XML 53 R22.htm IDEA: XBRL DOCUMENT v3.3.1.900
Assets and Condensed Schedule of Investments by Class of Units (Tables)
 12 Months Ended
Dec. 31, 2015
Class A  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
1,995,803

Net unrealized gain (loss) on open futures contracts

 

 
42,590

Net unrealized gain (loss) on open forward currency contracts

 

 
(12,385)

Net unrealized gain (loss) on open swap contracts

 

 
60,114

Total equity in brokers' trading accounts

 

 
2,086,122

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

 
3,325,820

Securities owned, at fair value (cost $5,969,758)

 

 
5,985,021

Interest receivable

 

 
707

Total assets

 

$
11,397,670

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $643,941).

 

$
644,040

Cash

 

 
822,931

Net unrealized gain (loss) on open futures contracts

 

 
600,078

Net unrealized gain (loss) on open forward currency contracts

 

 
(9,416)

Total equity in brokers' trading accounts

 

 
2,057,633

 

 

 

 

Cash and cash equivalents

 

 
8,354,809

Securities owned, at fair value (cost $5,817,022)

 

 
5,828,936

Interest receivable

 

 
1,618

Total assets

 

$
16,242,996

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(9,573)

 
(0.09)

%  

$
33,988

 
0.31

%  

$
24,415

 
0.22

%

Currencies

 

$
5,032

 
0.05

%

$
51,471

 
0.46

%

$
56,503

 
0.51

%

Energy

 

$
615

 
0.01

%

$
(11,715)

 
(0.11)

%

$
(11,100)

 
(0.10)

%

Interest rates

 

$
(20,996)

 
(0.19)

%

$
4,046

 
0.04

%

$
(16,950)

 
(0.15)

%

Meats

 

$
(44)

 
0.00

%

$
(7,554)

 
(0.07)

%

$
(7,598)

 
(0.07)

%

Metals

 

$
(1,513)

 
(0.01)

%

$
8,051

 
0.07

%

$
6,538

 
0.06

%

Soft commodities

 

$
(2,480)

 
(0.02)

%

$
(6,664)

 
(0.06)

%

$
(9,144)

 
(0.08)

%

Stock indices and single stock futures

 

$
(3,591)

 
(0.03)

%

$
(2,212)

 
(0.02)

%

$
(5,803)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(32,550)

 

 

 

$
69,411

 

 

 

$
36,861

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
1,514

 
0.01

%

$
659

 
0.01

%

$
2,173

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
53,620

 
0.49

%

$
53,620

 
0.49

%

Interest rates

 

$
(42,589)

 
(0.39)

%

$
(5,592)

 
(0.05)

%

$
(48,181)

 
(0.44)

%

Metals

 

$
(5,709)

 
(0.05)

%

$
14,288

 
0.13

%

$
8,579

 
0.08

%

Soft commodities

 

$
8

 
0.00

%

$
263

 
0.00

%

$
271

 
0.00

%

Stock indices

 

$
(554)

 
(0.01)

%

$
(10,179)

 
(0.09)

%

$
(10,733)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(47,330)

 

 

 

$
53,059

 

 

 

$
5,729

 

 

 

Total Futures Contracts

 

$
(79,880)

 
(0.73)

%

$
122,470

 
1.12

%

$
42,590

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
393

 
0.00

%

$
(12,778)

 
(0.12)

%

$
(12,385)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
60,114

 
0.55

%

$

 —

 
0.00

%

$
60,114

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(19,373)

 
(0.18)

%

$
109,692

 
1.00

%

$
90,319

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(11,009)

 
(0.07)

%

$
(965)

 
(0.01)

%

$
(11,974)

 
(0.08)

%

Currencies

 

$
2,711

 
0.02

%

$
100,040

 
0.64

%

$
102,751

 
0.66

%

Energy

 

$
(16,024)

 
(0.10)

%

$
74,707

 
0.48

%

$
58,683

 
0.38

%

Interest rates

 

$
18,717

 
0.12

%

$
(3,042)

 
(0.02)

%

$
15,675

 
0.10

%

Meats

 

$
(7,071)

 
(0.05)

%

$
2,197

 
0.01

%

$
(4,874)

 
(0.04)

%

Metals

 

$
(1,055)

 
(0.01)

%

$
22,265

 
0.14

%

$
21,210

 
0.13

%

Soft commodities

 

$
(2,618)

 
(0.01)

%

$
44,197

 
0.28

%

$
41,579

 
0.27

%

Stock indices and single stock futures

 

$
45,391

 
0.29

%

$
(3,997)

 
(0.02)

%

$
41,394

 
0.27

%

Total U.S. Futures Positions

 

$
29,042

 

 

 

$
235,402

 

 

 

$
264,444

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
201

 
0.00

%

$
(50)

 
0.00

%

$
151

 
0.00

%

Energy

 

$
80

 
0.00

%

$
85,279

 
0.55

%

$
85,359

 
0.55

%

Interest rates

 

$
226,826

 
1.46

%

$
(2,048)

 
(0.01)

%

$
224,778

 
1.45

%

Metals

 

$
(75,327)

 
(0.48)

%

$
65,845

 
0.42

%

$
(9,482)

 
(0.06)

%

Soft commodities

 

$
668

 
0.00

%

$
372

 
0.00

%

$
1,040

 
0.00

%

Stock indices

 

$
37,840

 
0.24

%

$
(4,052)

 
(0.02)

%

$
33,788

 
0.22

%

Total Foreign Futures Positions

 

$
190,288

 

 

 

$
145,346

 

 

 

$
335,634

 

 

 

Total Futures Contracts

 

$
219,330

 
1.41

%

$
380,748

 
2.46

%

$
600,078

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
18,550

 
0.12

%

$
(27,966)

 
(0.18)

%

$
(9,416)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
237,880

 
1.53

%

$
352,782

 
2.28

%

$
590,662

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
1,672,546

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
1,677,308

 
15.25

%

$
2,559,510

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
2,566,968

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $4,232,451)

 

 

 

$
4,244,276

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
102,926

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
113,817

 
1.03

%

$
632,171

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
639,777

 
5.82

%

 

 

 

Total U.S. Corporate bonds (cost of $751,347)

 

 

 

$
753,594

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

 

 

                                                     

 

 

 

 

 

 

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$
206,366

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
206,290

 
1.87

%

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$
205,852

 

1/13/2016

 

National Grid PLC,  0.5%

 

$
205,817

 
1.87

%

$
575,356

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 
575,044

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 
780,861

 
7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $985,960)

 

 

 

$
987,151

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Class A Units at December 31, 2015

    

$

5,985,021

    
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

644,266

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $643,941)

 

$

644,040

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

1,039,139

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

1,042,733

 
6.72

%

$

3,465,530

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

3,471,433

 
22.38

%

$

129,892

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

129,936

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $4,634,561)

 

 

 

$

4,644,102

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

80,118

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

80,701

 
0.52

%

$

534,274

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

548,854

 
3.54

%

 

 

 

Total Corporate bonds (cost of $627,486) ***

 

 

 

$
629,555

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

134,257

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

134,081

 
0.86

%

$

421,371

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

421,198

 
2.72

%

 

 

 

Total Commercial paper (cost of $554,975) ***

 

 

 

$
555,279

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Class A Units at December 31, 2014

    

$

5,828,936

    
37.58

%

 

Class B  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
21,921,928

Net unrealized gain (loss) on open futures contracts

 

 
467,814

Net unrealized gain (loss) on open forward currency contracts

 

 
(136,037)

Net unrealized gain (loss) on open swap contracts

 

 
660,292

Total equity in brokers' trading accounts

 

 
22,913,997

 

 

 

 

Cash and cash equivalents

 

 
36,530,848

Securities owned, at fair value (cost $65,571,910)

 

 
65,739,557

Interest receivable

 

 
7,765

Total assets

 

$
125,192,167

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $6,722,434)

 

$
6,723,466

Cash

 

 
8,591,010

Net unrealized gain (loss) on open futures contracts

 

 
6,264,502

Net unrealized gain (loss) on open forward currency contracts

 

 
(98,296)

Total equity in brokers' trading accounts

 

 
21,480,682

 

 

 

 

Cash and cash equivalents

 

 
87,220,211

Securities owned, at fair value (cost $60,726,934)

 

 
60,851,309

Interest receivable

 

 
16,886

Total assets

 

$
169,569,088

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(105,151)

 
(0.09)

%

$
373,322

 
0.31

%

$
268,171

 
0.22

%

Currencies

 

$
55,267

 
0.05

%

$
565,359

 
0.46

%

$
620,626

 
0.51

%

Energy

 

$
6,759

 
0.01

%

$
(128,681)

 
(0.11)

%

$
(121,922)

 
(0.10)

%

Interest rates

 

$
(230,606)

 
(0.19)

%

$
44,439

 
0.04

%

$
(186,167)

 
(0.15)

%

Meats

 

$
(486)

 
0.00

%

$
(82,973)

 
(0.07)

%

$
(83,459)

 
(0.07)

%

Metals

 

$
(16,619)

 
(0.01)

%

$
88,432

 
0.07

%

$
71,813

 
0.06

%

Soft commodities

 

$
(27,235)

 
(0.02)

%

$
(73,194)

 
(0.06)

%

$
(100,429)

 
(0.08)

%

Stock indices and single stock futures

 

$
(39,439)

 
(0.03)

%

$
(24,299)

 
(0.02)

%

$
(63,738)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(357,510)

 

 

 

$
762,405

 

 

 

$
404,895

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
16,633

 
0.01

%

$
7,235

 
0.01

%

$
23,868

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
588,958

 
0.49

%

$
588,958

 
0.49

%

Interest rates

 

$
(467,797)

 
(0.39)

%

$
(61,426)

 
(0.05)

%

$
(529,223)

 
(0.44)

%

Metals

 

$
(62,710)

 
(0.05)

%

$
156,942

 
0.13

%

$
94,232

 
0.08

%

Soft commodities

 

$
91

 
0.00

%

$
2,885

 
0.00

%

$
2,976

 
0.00

%

Stock indices

 

$
(6,089)

 
(0.01)

%

$
(111,803)

 
(0.09)

%

$
(117,892)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(519,872)

 

 

 

$
582,791

 

 

 

$
62,919

 

 

 

Total Futures Contracts

 

$
(877,382)

 
(0.73)

%

$
1,345,196

 
1.12

%

$
467,814

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
4,320

 
0.00

%

$
(140,357)

 
(0.12)

%

$
(136,037)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
660,292

 
0.55

%

$

 —

 
0.00

%

$
660,292

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(212,770)

 
(0.18)

%

$
1,204,839

 
1.00

%

$
992,069

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(114,934)

 
(0.07)

%

$
(10,076)

 
(0.01)

%

$
(125,010)

 
(0.08)

%

Currencies

 

$
28,297

 
0.02

%

$
1,044,365

 
0.64

%

$
1,072,662

 
0.66

%

Energy

 

$
(167,286)

 
(0.10)

%

$
779,909

 
0.48

%

$
612,623

 
0.38

%

Interest rates

 

$
195,398

 
0.12

%

$
(31,759)

 
(0.02)

%

$
163,639

 
0.10

%

Meats

 

$
(73,821)

 
(0.05)

%

$
22,932

 
0.01

%

$
(50,889)

 
(0.04)

%

Metals

 

$
(11,012)

 
(0.01)

%

$
232,439

 
0.14

%

$
221,427

 
0.13

%

Soft commodities

 

$
(27,334)

 
(0.01)

%

$
461,400

 
0.28

%

$
434,066

 
0.27

%

Stock indices and single stock futures

 

$
473,864

 
0.29

%

$
(41,730)

 
(0.02)

%

$
432,134

 
0.27

%

Total U.S. Futures Positions

 

$
303,172

 

 

 

$
2,457,480

 

 

 

$
2,760,652

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
2,095

 
0.00

%

$
(522)

 
0.00

%

$
1,573

 
0.00

%

Energy

 

$
833

 
0.00

%

$
890,273

 
0.55

%

$
891,106

 
0.55

%

Interest rates

 

$
2,367,958

 
1.46

%

$
(21,378)

 
(0.01)

%

$
2,346,580

 
1.45

%

Metals

 

$
(786,379)

 
(0.48)

%

$
687,387

 
0.42

%

$
(98,992)

 
(0.06)

%

Soft commodities

 

$
6,976

 
0.00

%

$
3,881

 
0.00

%

$
10,857

 
0.00

%

Stock indices

 

$
395,032

 
0.24

%

$
(42,306)

 
(0.02)

%

$
352,726

 
0.22

%

Total Foreign Futures Positions

 

$
1,986,515

 

 

 

$
1,517,335

 

 

 

$
3,503,850

 

 

 

Total Futures Contracts

 

$
2,289,687

 
1.41

%

$
3,974,815

 
2.46

%

$
6,264,502

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
193,652

 
0.12

%

$
(291,948)

 
(0.18)

%

$
(98,296)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
2,483,339

 
1.53

%

$
3,682,867

 
2.28

%

$
6,166,206

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
18,371,270

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
18,423,576

 
15.25

%

$
28,113,696

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
28,195,614

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $46,489,302)

 

 

 

$
46,619,190

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
1,130,540

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
1,250,170

 
1.03

%

$
6,943,775

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
7,027,318

 
5.82

%

 

 

 

Total U.S. corporate bonds (cost of $8,252,808)

 

 

 

$
8,277,488

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

 

$

2,266,732

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$

2,265,889

 
1.87

%

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

 

$

2,261,079

 

1/13/2016

 

National Grid PLC,  0.5%

 

$

2,260,695

 
1.87

%

$

6,319,717

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 

6,316,295

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 

8,576,990

 
7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $10,829,800)

 

 

 

$
10,842,879

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Class B Units at December 31, 2015

    

$
65,739,557

    
54.41

%

 

 

 

 

 

 

 

**No individual position constituted greater than 1 percent of partners' capital (net asset value).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

6,725,834

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $6,722,434)

 

 

6,723,466

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

10,848,119

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

10,885,636

 
6.72

%

$

36,178,478

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

36,240,107

 
22.38

%

$

1,356,015

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

1,356,469

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $48,382,612)

 

 

 

$

48,482,212

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

836,390

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

842,479

 
0.52

%

$

5,577,561

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

5,729,770

 
3.54

%

 

 

 

Total Corporate bonds (cost of $6,550,649) ***

 

 

 

$
6,572,249

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

1,401,577

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

1,399,746

 
0.86

%

$

4,398,912

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

4,397,102

 
2.72

%

 

 

 

Total Commercial paper (cost of $5,793,672) ***

 

 

 

$
5,796,848

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Class B Units at December 31, 2014

    

$

60,851,309

 
37.58

%

 

Legacy 1 Class  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
347,573

Net unrealized gain (loss) on open futures contracts

 

 
7,417

Net unrealized gain (loss) on open forward currency contracts

 

 
(2,157)

Net unrealized gain (loss) on open swap contracts

 

 
10,469

Total equity in brokers' trading accounts

 

 
363,302

 

 

 

 

Cash and cash equivalents

 

 
579,197

Securities owned, at fair value (cost $1,039,644)

 

 
1,042,301

Interest receivable

 

 
123

Total assets

 

$
1,984,923

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $109,783)

 

$
109,800

Cash

 

 
140,299

Net unrealized gain (loss) on open futures contracts

 

 
102,305

Net unrealized gain (loss) on open forward currency contracts

 

 
(1,605)

Total equity in brokers' trading accounts

 

 
350,799

 

 

 

 

Cash and cash equivalents

 

 
1,424,385

Securities owned, at fair value (cost $991,726)

 

 
993,756

Interest receivable

 

 
276

Total assets

 

$
2,769,216

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(1,667)

 
(0.09)

%

$
5,919

 
0.31

%

$
4,252

 
0.22

%

Currencies

 

$
876

 
0.05

%

$
8,964

 
0.46

%

$
9,840

 
0.51

%

Energy

 

$
107

 
0.01

%

$
(2,040)

 
(0.11)

%

$
(1,933)

 
(0.10)

%

Interest rates

 

$
(3,656)

 
(0.19)

%

$
705

 
0.04

%

$
(2,951)

 
(0.15)

%

Meats

 

$
(8)

 
0.00

%

$
(1,316)

 
(0.07)

%

$
(1,324)

 
(0.07)

%

Metals

 

$
(263)

 
(0.01)

%

$
1,402

 
0.07

%

$
1,139

 
0.06

%

Soft commodities

 

$
(432)

 
(0.02)

%

$
(1,160)

 
(0.06)

%

$
(1,592)

 
(0.08)

%

Stock indices and single stock futures

 

$
(625)

 
(0.03)

%

$
(385)

 
(0.02)

%

$
(1,010)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(5,668)

 

 

 

$
12,089

 

 

 

$
6,421

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
264

 
0.01

%

$
115

 
0.01

%

$
379

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
9,338

 
0.49

%

$
9,338

 
0.49

%

Interest rates

 

$
(7,417)

 
(0.39)

%

$
(974)

 
(0.05)

%

$
(8,391)

 
(0.44)

%

Metals

 

$
(994)

 
(0.05)

%

$
2,487

 
0.13

%

$
1,493

 
0.08

%

Soft commodities

 

$
1

 
0.00

%

$
46

 
0.00

%

$
47

 
0.00

%

Stock indices

 

$
(97)

 
(0.01)

%

$
(1,773)

 
(0.09)

%

$
(1,870)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(8,243)

 

 

 

$
9,239

 

 

 

$
996

 

 

 

Total Futures Contracts

 

$
(13,911)

 
(0.73)

%

$
21,328

 
1.12

%

$
7,417

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
68

 
0.00

%

$
(2,225)

 
(0.12)

%

$
(2,157)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
10,469

 
0.55

%

$

 —

 
0.00

%

$
10,469

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(3,374)

 
(0.18)

%

$
19,103

 
1.00

%

$
15,729

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(1,877)

 
(0.07)

%

$
(165)

 
(0.01)

%

$
(2,042)

 
(0.08)

%

Currencies

 

$
462

 
0.02

%

$
17,055

 
0.64

%

$
17,517

 
0.66

%

Energy

 

$
(2,732)

 
(0.10)

%

$
12,737

 
0.48

%

$
10,005

 
0.38

%

Interest rates

 

$
3,191

 
0.12

%

$
(519)

 
(0.02)

%

$
2,672

 
0.10

%

Meats

 

$
(1,206)

 
(0.05)

%

$
375

 
0.01

%

$
(831)

 
(0.04)

%

Metals

 

$
(180)

 
(0.01)

%

$
3,796

 
0.14

%

$
3,616

 
0.13

%

Soft commodities

 

$
(446)

 
(0.01)

%

$
7,535

 
0.28

%

$
7,089

 
0.27

%

Stock indices and single stock futures

 

$
7,739

 
0.29

%

$
(681)

 
(0.02)

%

$
7,058

 
0.27

%

Total U.S. Futures Positions

 

$
4,951

 

 

 

$
40,133

 

 

 

$
45,084

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
34

 
0.00

%

$
(9)

 
0.00

%

$
25

 
0.00

%

Energy

 

$
14

 
0.00

%

$
14,539

 
0.55

%

$
14,553

 
0.55

%

Interest rates

 

$
38,671

 
1.46

%

$
(349)

 
(0.01)

%

$
38,322

 
1.45

%

Metals

 

$
(12,842)

 
(0.48)

%

$
11,226

 
0.42

%

$
(1,616)

 
(0.06)

%

Soft commodities

 

$
114

 
0.00

%

$
63

 
0.00

%

$
177

 
0.00

%

Stock indices

 

$
6,451

 
0.24

%

$
(691)

 
(0.02)

%

$
5,760

 
0.22

%

Total Foreign Futures Positions

 

$
32,442

 

 

 

$
24,779

 

 

 

$
57,221

 

 

 

Total Futures Contracts

 

$
37,393

 
1.41

%

$
64,912

 
2.46

%

$
102,305

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
3,163

 
0.12

%

$
(4,768)

 
(0.18)

%

$
(1,605)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
40,556

 
1.53

%

$
60,144

 
2.28

%

$
100,700

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
291,277

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
292,106

 
15.25

%

$
445,743

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
447,042

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $737,089)

 

 

 

$
739,148

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
17,925

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
19,821

 
1.03

%

$
110,094

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
111,418

 
5.82

%

 

 

 

Total U.S. corporate bonds (cost of $130,848)

 

 

 

$
131,239

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$
35,939

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
35,926

 
1.87

%

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$
35,849

 

1/13/2016

 

National Grid PLC,  0.5%

 

 
35,843

 
1.87

%

$
100,199

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 
100,145

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 
135,988

 
7.10

%

 

 

 

Total Commercial paper (cost of $171,707)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total securities owned by Legacy 1 Class Units at December 31, 2015

    

$

1,042,301

    
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

109,839

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $109,783)

 

$

109,800

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

177,160

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

177,772

 
6.72

%

$

590,827

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

591,834

 
22.38

%

$

22,145

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

22,152

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $790,132)

 

 

 

$

791,758

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

13,659

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

13,758

 
0.52

%

$

91,087

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

93,572

 
3.54

%

 

 

 

Total Corporate bonds (cost of $106,978) ***

 

 

 

$
107,330

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

22,889

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

22,859

 
0.86

%

$

71,838

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

71,809

 
2.72

%

 

 

 

Total Commercial paper (cost of $94,616) ***

 

 

 

$
94,668

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Legacy 1 Class Units at December 31, 2014

    

$

993,756

    
37.58

%

 

Legacy 2 Class  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
116,161

Net unrealized gain (loss) on open futures contracts

 

 
2,479

Net unrealized gain (loss) on open forward currency contracts

 

 
(721)

Net unrealized gain (loss) on open swap contracts

 

 
3,499

Total equity in brokers' trading accounts

 

 
121,418

 

 

 

 

Cash and cash equivalents

 

 
193,572

Securities owned, at fair value (cost $347,456)

 

 
348,345

Interest receivable

 

 
41

Total assets

 

$
663,376

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $37,730)

 

$
37,735

Cash

 

 
48,217

Net unrealized gain (loss) on open futures contracts

 

 
35,163

Net unrealized gain (loss) on open forward currency contracts

 

 
(552)

Total equity in brokers' trading accounts

 

 
120,563

 

 

 

 

Cash and cash equivalents

 

 
489,524

Securities owned, at fair value (cost $340,831)

 

 
341,528

Interest receivable

 

 
95

Total assets

 

$
951,710

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(558)

 
(0.09)

%

$
1,978

 
0.31

%

$
1,420

 
0.22

%

Currencies

 

$
293

 
0.05

%

$
2,996

 
0.46

%

$
3,289

 
0.51

%

Energy

 

$
36

 
0.01

%

$
(682)

 
(0.11)

%

$
(646)

 
(0.10)

%

Interest rates

 

$
(1,222)

 
(0.19)

%

$
235

 
0.04

%

$
(987)

 
(0.15)

%

Meats

 

$
(3)

 
0.00

%

$
(440)

 
(0.07)

%

$
(443)

 
(0.07)

%

Metals

 

$
(88)

 
(0.01)

%

$
469

 
0.07

%

$
381

 
0.06

%

Soft commodities

 

$
(144)

 
(0.02)

%

$
(388)

 
(0.06)

%

$
(532)

 
(0.08)

%

Stock indices and single stock futures

 

$
(209)

 
(0.03)

%

$
(129)

 
(0.02)

%

$
(338)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(1,895)

 

 

 

$
4,039

 

 

 

$
2,144

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
88

 
0.01

%

$
38

 
0.01

%

$
126

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
3,121

 
0.49

%

$
3,121

 
0.49

%

Interest rates

 

$
(2,478)

 
(0.39)

%

$
(325)

 
(0.05)

%

$
(2,803)

 
(0.44)

%

Metals

 

$
(332)

 
(0.05)

%

$
832

 
0.13

%

$
500

 
0.08

%

Soft commodities

 

$

 —

 
0.00

%

$
15

 
0.00

%

$
15

 
0.00

%

Stock indices

 

$
(32)

 
(0.01)

%

$
(592)

 
(0.09)

%

$
(624)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(2,754)

 

 

 

$
3,089

 

 

 

$
335

 

 

 

Total Futures Contracts

 

$
(4,649)

 
(0.73)

%

$
7,128

 
1.12

%

$
2,479

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
23

 
0.00

%

$
(744)

 
(0.12)

%

$
(721)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
3,499

 
0.55

%

$

 —

 
0.00

%

$
3,499

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(1,127)

 
(0.18)

%

$
6,384

 
1.00

%

$
5,257

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(645)

 
(0.07)

%

$
(57)

 
(0.01)

%

$
(702)

 
(0.08)

%

Currencies

 

$
159

 
0.02

%

$
5,862

 
0.64

%

$
6,021

 
0.66

%

Energy

 

$
(939)

 
(0.10)

%

$
4,377

 
0.48

%

$
3,438

 
0.38

%

Interest rates

 

$
1,097

 
0.12

%

$
(178)

 
(0.02)

%

$
919

 
0.10

%

Meats

 

$
(414)

 
(0.05)

%

$
129

 
0.01

%

$
(285)

 
(0.04)

%

Metals

 

$
(62)

 
(0.01)

%

$
1,305

 
0.14

%

$
1,243

 
0.13

%

Soft commodities

 

$
(153)

 
(0.01)

%

$
2,590

 
0.28

%

$
2,437

 
0.27

%

Stock indices and single stock futures

 

$
2,660

 
0.29

%

$
(234)

 
(0.02)

%

$
2,426

 
0.27

%

Total U.S. Futures Positions

 

$
1,703

 

 

 

$
13,794

 

 

 

$
15,497

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
12

 
0.00

%

$
(3)

 
0.00

%

$
9

 
0.00

%

Energy

 

$
5

 
0.00

%

$
4,997

 
0.55

%

$
5,002

 
0.55

%

Interest rates

 

$
13,290

 
1.46

%

$
(120)

 
(0.01)

%

$
13,170

 
1.45

%

Metals

 

$
(4,414)

 
(0.48)

%

$
3,858

 
0.42

%

$
(556)

 
(0.06)

%

Soft commodities

 

$
39

 
0.00

%

$
22

 
0.00

%

$
61

 
0.00

%

Stock indices

 

$
2,217

 
0.24

%

$
(237)

 
(0.02)

%

$
1,980

 
0.22

%

Total Foreign Futures Positions

 

$
11,149

 

 

 

$
8,517

 

 

 

$
19,666

 

 

 

Total Futures Contracts

 

$
12,852

 
1.41

%

$
22,311

 
2.46

%

$
35,163

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
1,087

 
0.12

%

$
(1,639)

 
(0.18)

 

$
(552)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
13,939

 
1.53

%

$
20,672

 
2.28

%

$
34,611

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
97,347

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
97,624

 
15.25

%

$
148,971

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
149,405

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises (cost of $246,340)

 

 

 

$
247,029

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
5,991

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
6,624

 
1.03

%

$
36,794

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
37,237

 
5.82

%

 

 

 

Total U.S. corporate bonds, (cost of $43,730)

 

 

 

$
43,861

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$
12,011

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
12,007

 
1.87

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$
11,981

 

1/13/2016

 

National Grid PLC,  0.5%

 

 
11,979

 
1.87

%

$
33,487

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 
33,469

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 
45,448

 
7.10

%

 

 

 

Total Commercial paper, (cost of $57,386)

 

 

 

$
57,455

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Legacy 2 Class Units at December 31, 2015

    

$

348,345

    
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

37,749

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $37,730)

 

$

37,735

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

60,885

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

61,096

 
6.72

%

$

203,052

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

203,398

 
22.38

%

$

7,611

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

7,613

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $271,548)

 

 

 

$

272,107

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

4,694

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

4,728

 
0.52

%

$

31,304

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

32,158

 
3.54

%

 

 

 

Total Corporate bonds (cost of $36,766) ***

 

 

 

$
36,886

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

7,866

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

7,856

 
0.86

%

$

24,689

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

24,679

 
2.72

%

 

 

 

Total Commercial paper (cost of $32,517) ***

 

 

 

$
32,535

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Legacy 2 Class Units at December 31, 2014

    

$

341,528

    
37.58

%

 

Global 1 Class  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
3,542,555

Net unrealized gain (loss) on open futures contracts

 

 
75,598

Net unrealized gain (loss) on open forward currency contracts

 

 
(21,983)

Net unrealized gain (loss) on open swap contracts

 

 
106,702

Total equity in brokers' trading accounts

 

 
3,702,872

 

 

 

 

Cash and cash equivalents

 

 
5,903,337

Securities owned, at fair value (cost $10,596,334)

 

 
10,623,425

Interest receivable

 

 
1,255

Total assets

 

$
20,230,889

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $401,108)

 

$
401,170

Cash

 

 
512,601

Net unrealized gain (loss) on open futures contracts

 

 
373,783

Net unrealized gain (loss) on open forward currency contracts

 

 
(5,865)

Total equity in brokers' trading accounts

 

 
1,281,689

 

 

 

 

Cash and cash equivalents

 

 
5,204,179

Securities owned, at fair value (cost $3,623,402)

 

 
3,630,823

Interest receivable

 

 
1,008

Total assets

 

$
10,117,699

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(16,992)

 
(0.09)

%

$
60,328

 
0.31

%

$
43,336

 
0.22

%

Currencies

 

$
8,931

 
0.05

%

$
91,361

 
0.46

%

$
100,292

 
0.51

%

Energy

 

$
1,092

 
0.01

%

$
(20,795)

 
(0.11)

%

$
(19,703)

 
(0.10)

%

Interest rates

 

$
(37,265)

 
(0.19)

%

$
7,182

 
0.04

%

$
(30,083)

 
(0.15)

%

Meats

 

$
(79)

 
0.00

%

$
(13,408)

 
(0.07)

%

$
(13,487)

 
(0.07)

%

Metals

 

$
(2,686)

 
(0.01)

%

$
14,290

 
0.07

%

$
11,604

 
0.06

%

Soft commodities

 

$
(4,401)

 
(0.02)

%

$
(11,828)

 
(0.06)

%

$
(16,229)

 
(0.08)

%

Stock indices and single stock futures

 

$
(6,373)

 
(0.03)

%

$
(3,927)

 
(0.02)

%

$
(10,300)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(57,773)

 

 

 

$
123,203

 

 

 

$
65,430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
2,688

 
0.01

%

$
1,169

 
0.01

%

$
3,857

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
95,175

 
0.49

%

$
95,175

 
0.49

%

Interest rates

 

$
(75,595)

 
(0.39)

%

$
(9,926)

 
(0.05)

%

$
(85,521)

 
(0.44)

%

Metals

 

$
(10,134)

 
(0.05)

%

$
25,361

 
0.13

%

$
15,227

 
0.08

%

Soft commodities

 

$
15

 
0.00

%

$
466

 
0.00

%

$
481

 
0.00

%

Stock indices

 

$
(984)

 
(0.01)

%

$
(18,067)

 
(0.09)

%

$
(19,051)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(84,010)

 

 

 

$
94,178

 

 

 

$
10,168

 

 

 

Total Futures Contracts

 

$
(141,783)

 
(0.73)

%

$
217,381

 
1.12

%

$
75,598

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
699

 
0.00

%

$
(22,682)

 
(0.12)

%

$
(21,983)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
106,702

 
0.55

%

$

 —

 
0.00

%

$
106,702

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(34,382)

 
(0.18)

%

$
194,699

 
1.00

%

$
160,317

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(6,858)

 
(0.07)

%

$
(601)

 
(0.01)

%

$
(7,459)

 
(0.08)

%

Currencies

 

$
1,688

 
0.02

%

$
62,314

 
0.64

%

$
64,002

 
0.66

%

Energy

 

$
(9,981)

 
(0.10)

%

$
46,535

 
0.48

%

$
36,554

 
0.38

%

Interest rates

 

$
11,659

 
0.12

%

$
(1,895)

 
(0.02)

%

$
9,764

 
0.10

%

Meats

 

$
(4,405)

 
(0.05)

%

$
1,368

 
0.01

%

$
(3,037)

 
(0.04)

%

Metals

 

$
(657)

 
(0.01)

%

$
13,869

 
0.14

%

$
13,212

 
0.13

%

Soft commodities

 

$
(1,631)

 
(0.01)

%

$
27,530

 
0.28

%

$
25,899

 
0.27

%

Stock indices and single stock futures

 

$
28,274

 
0.29

%

$
(2,490)

 
(0.02)

%

$
25,784

 
0.27

%

Total U.S. Futures Positions

 

$
18,089

 

 

 

$
146,630

 

 

 

$
164,719

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
125

 
0.00

%

$
(31)

 
0.00

%

$
94

 
0.00

%

Energy

 

$
50

 
0.00

%

$
53,120

 
0.55

%

$
53,170

 
0.55

%

Interest rates

 

$
141,289

 
1.46

%

$
(1,276)

 
(0.01)

%

$
140,013

 
1.45

%

Metals

 

$
(46,921)

 
(0.48)

%

$
41,014

 
0.42

%

$
(5,907)

 
(0.06)

%

Soft commodities

 

$
416

 
0.00

%

$
232

 
0.00

%

$
648

 
0.00

%

Stock indices

 

$
23,570

 
0.24

%

$
(2,524)

 
(0.02)

%

$
21,046

 
0.22

%

Total Foreign Futures Positions

 

$
118,529

 

 

 

$
90,535

 

 

 

$
209,064

 

 

 

Total Futures Contracts

 

$
136,618

 
1.41

%

$
237,165

 
2.46

%

$
373,783

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
11,555

 
0.12

%

$
(17,420)

 
(0.18)

%

$
(5,865)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
148,173

 
1.53

%

$
219,745

 
2.28

%

$
367,918

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
2,968,773

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
2,977,225

 
15.25

%

$
4,543,136

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
4,556,374

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $7,512,610)

 

 

 

$
7,533,599

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
182,694

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
202,026

 
1.03

%

$
1,122,105

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
1,135,605

 
5.82

%

 

 

 

Total Corporate bonds, (cost of $1,333,643)

 

 

 

$
1,337,631

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$

366,301

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$

366,165

 
1.87

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$

365,387

 

1/13/2016

 

National Grid PLC,  0.5%

 

 

365,325

 
1.87

%

$

1,021,258

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 

1,020,705

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 

1,386,030

 
7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $1,750,081)

 

 

 

$
1,752,195

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Global 1 Class Units at December 31, 2015

 

$

10,623,425

 
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

401,311

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $401,108)

 

$

401,170

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

647,276

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

649,515

 
6.72

%

$

2,158,666

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

2,162,343

 
22.38

%

$

80,910

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

80,937

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $2,886,852)

 

 

 

$

2,892,795

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

49,905

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

50,268

 
0.52

%

$

332,797

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

341,879

 
3.54

%

 

 

 

Total Corporate bonds (cost of $390,858) ***

 

 

 

$
392,147

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

83,628

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

83,519

 
0.86

%

$

262,470

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

262,362

 
2.72

%

 

 

 

Total Commercial paper (cost of $345,692) ***

 

 

 

$
345,881

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Global 1 Class Units at December 31, 2014

    

$

3,630,823

    
37.58

%

 

Global 2 Class  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
702,758

Net unrealized gain (loss) on open futures contracts

 

 
14,997

Net unrealized gain (loss) on open forward currency contracts

 

 
(4,361)

Net unrealized gain (loss) on open swap contracts

 

 
21,167

Total equity in brokers' trading accounts

 

 
734,561

 

 

 

 

Cash and cash equivalents

 

 
1,171,081

Securities owned, at fair value (cost $2,102,059)

 

 
2,107,434

Interest receivable

 

 
249

Total assets

 

$
4,013,325

 

 

 

 

 

Assets by Class of Units

 

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $243,500)

 

$
243,537

Cash

 

 
311,183

Net unrealized gain (loss) on open futures contracts

 

 
226,914

Net unrealized gain (loss) on open forward currency contracts

 

 
(3,561)

Total equity in brokers' trading accounts

 

 
778,073

 

 

 

 

Cash and cash equivalents

 

 
3,159,285

Securities owned, at fair value (cost $2,199,646)

 

 
2,204,153

Interest receivable

 

 
612

Total assets

 

$
6,142,123

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(3,371)

 
(0.09)

%

$
11,968

 
0.31

%

$
8,597

 
0.22

%

Currencies

 

$
1,772

 
0.05

%

$
18,124

 
0.46

%

$
19,896

 
0.51

%

Energy

 

$
217

 
0.01

%

$
(4,125)

 
(0.11)

%

$
(3,908)

 
(0.10)

%

Interest rates

 

$
(7,393)

 
(0.19)

%

$
1,425

 
0.04

%

$
(5,968)

 
(0.15)

%

Meats

 

$
(16)

 
0.00

%

$
(2,660)

 
(0.07)

%

$
(2,676)

 
(0.07)

%

Metals

 

$
(533)

 
(0.01)

%

$
2,835

 
0.07

%

$
2,302

 
0.06

%

Soft commodities

 

$
(873)

 
(0.02)

%

$
(2,346)

 
(0.06)

%

$
(3,219)

 
(0.08)

%

Stock indices and single stock futures

 

$
(1,264)

 
(0.03)

%

$
(779)

 
(0.02)

%

$
(2,043)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(11,461)

 

 

 

$
24,442

 

 

 

$
12,981

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
533

 
0.01

%

$
232

 
0.01

%

$
765

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
18,880

 
0.49

%

$
18,880

 
0.49

%

Interest rates

 

$
(14,996)

 
(0.39)

%

$
(1,970)

 
(0.05)

%

$
(16,966)

 
(0.44)

%

Metals

 

$
(2,010)

 
(0.05)

%

$
5,031

 
0.13

%

$
3,021

 
0.08

%

Soft commodities

 

$
3

 
0.00

%

$
92

 
0.00

%

$
95

 
0.00

%

Stock indices

 

$
(195)

 
(0.01)

%

$
(3,584)

 
(0.09)

%

$
(3,779)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(16,665)

 

 

 

$
18,681

 

 

 

$
2,016

 

 

 

Total Futures Contracts

 

$
(28,126)

 
(0.73)

%

$
43,123

 
1.12

%

$
14,997

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
138

 
0.00

%

$
(4,499)

 
(0.12)

%

$
(4,361)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
21,167

 
0.55

%

$

 —

 
0.00

%

$
21,167

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(6,821)

 
(0.18)

%

$
38,624

 
1.00

%

$
31,803

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(4,163)

 
(0.07)

%

$
(365)

 
(0.01)

%

$
(4,528)

 
(0.08)

%

Currencies

 

$
1,025

 
0.02

%

$
37,829

 
0.64

%

$
38,854

 
0.66

%

Energy

 

$
(6,059)

 
(0.10)

%

$
28,250

 
0.48

%

$
22,191

 
0.38

%

Interest rates

 

$
7,078

 
0.12

%

$
(1,150)

 
(0.02)

%

$
5,928

 
0.10

%

Meats

 

$
(2,674)

 
(0.05)

%

$
831

 
0.01

%

$
(1,843)

 
(0.04)

%

Metals

 

$
(399)

 
(0.01)

%

$
8,419

 
0.14

%

$
8,020

 
0.13

%

Soft commodities

 

$
(990)

 
(0.01)

%

$
16,713

 
0.28

%

$
15,723

 
0.27

%

Stock indices and single stock futures

 

$
17,164

 
0.29

%

$
(1,512)

 
(0.02)

%

$
15,652

 
0.27

%

Total U.S. Futures Positions

 

$
10,982

 

 

 

$
89,015

 

 

 

$
99,997

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
76

 
0.00

%

$
(19)

 
0.00

%

$
57

 
0.00

%

Energy

 

$
30

 
0.00

%

$
32,247

 
0.55

%

$
32,277

 
0.55

%

Interest rates

 

$
85,772

 
1.46

%

$
(774)

 
(0.01)

%

$
84,998

 
1.45

%

Metals

 

$
(28,484)

 
(0.48)

%

$
24,898

 
0.42

%

$
(3,586)

 
(0.06)

%

Soft commodities

 

$
253

 
0.00

%

$
141

 
0.00

%

$
394

 
0.00

%

Stock indices

 

$
14,309

 
0.24

%

$
(1,532)

 
(0.02)

%

$
12,777

 
0.22

%

Total Foreign Futures Positions

 

$
71,956

 

 

 

$
54,961

 

 

 

$
126,917

 

 

 

Total Futures Contracts

 

$
82,938

 
1.41

%

$
143,976

 
2.46

%

$
226,914

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
7,014

 
0.12

%

$
(10,575)

 
(0.18)

%

$
(3,561)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
89,952

 
1.53

%

$
133,401

 
2.28

%

$
223,353

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
588,934

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
590,611

 
15.25

%

$
901,250

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
903,876

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $1,490,322)

 

 

 

$
1,494,487

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
36,242

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
40,077

 
1.03

%

$
222,599

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
225,277

 
5.82

%

 

 

 

Total Corporate bonds, (cost of $264,563)

 

 

 

 
265,354

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

72,665

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$

72,638

 
1.87

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$

72,484

 

1/13/2016

 

National Grid PLC,  0.5%

 

 

72,472

 
1.87

%

$

202,593

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 

202,483

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 

274,955

 
7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $347,174)

 

 

 

$
347,593

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Global 2 Class Units at December 31, 2015

    

$

2,107,434

    
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

243,623

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $243,500)

 

$

243,537

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

392,940

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

394,299

 
6.72

%

$

1,310,454

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

1,312,687

 
22.38

%

$

49,117

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

49,134

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $1,752,511)

 

 

 

$

1,756,120

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

30,296

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

30,516

 
0.52

%

$

202,030

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

207,543

 
3.54

%

 

 

 

Total Corporate bonds (cost of $237,277) ***

 

 

 

$
238,059

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

50,768

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

50,702

 
0.86

%

$

159,337

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

159,272

 
2.72

%

 

 

 

Total Commercial paper (cost of $209,858) ***

 

 

 

$
209,974

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Global 2 Class Units at December 31, 2014

    

$

2,204,153

    
37.58

%

 

Global 3 Class  
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned  
Schedule of assets

 

 

 

 

Assets by Class of Units

    

December 31, 2015

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
10,154,573

Net unrealized gain (loss) on open futures contracts

 

 
216,700

Net unrealized gain (loss) on open forward currency contracts

 

 
(63,015)

Net unrealized gain (loss) on open swap contracts

 

 
305,857

Total equity in brokers' trading accounts

 

 
10,614,115

 

 

 

 

Cash and cash equivalents

 

 
16,921,648

Securities owned, at fair value (cost $30,373,913)

 

 
30,451,571

Interest receivable

 

 
3,597

Total assets

 

$
57,990,931

 

 

 

 

 

Assets by Class of Units

    

December 31, 2014

Equity in brokers' trading accounts:

 

 

 

Securities owned, at fair value (cost $4,235,235)

 

$
4,235,886

Cash

 

 
5,412,468

Net unrealized gain (loss) on open futures contracts

 

 
3,946,722

Net unrealized gain (loss) on open forward currency contracts

 

 
(61,927)

Total equity in brokers' trading accounts

 

 
13,533,149

 

 

 

 

Cash and cash equivalents

 

 
54,950,063

Securities owned, at fair value (cost $38,258,894)

 

 
38,337,254

Interest receivable

 

 
10,637

Total assets

 

$
106,831,103

 

Schedule of unrealized gain (loss) on futures, forwards, and swap contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(48,708)

 
(0.09)

%

$
172,929

 
0.31

%

$
124,221

 
0.22

%

Currencies

 

$
25,600

 
0.05

%

$
261,883

 
0.46

%

$
287,483

 
0.51

%

Energy

 

$
3,131

 
0.01

%

$
(59,607)

 
(0.11)

%

$
(56,476)

 
(0.10)

%

Interest rates

 

$
(106,820)

 
(0.19)

%

$
20,586

 
0.04

%

$
(86,234)

 
(0.15)

%

Meats

 

$
(224)

 
0.00

%

$
(38,434)

 
(0.07)

%

$
(38,658)

 
(0.07)

%

Metals

 

$
(7,698)

 
(0.01)

%

$
40,963

 
0.07

%

$
33,265

 
0.06

%

Soft commodities

 

$
(12,616)

 
(0.02)

%

$
(33,905)

 
(0.06)

%

$
(46,521)

 
(0.08)

%

Stock indices and single stock futures

 

$
(18,269)

 
(0.03)

%

$
(11,256)

 
(0.02)

%

$
(29,525)

 
(0.05)

%

Total U.S. Futures Positions

 

$
(165,604)

 

 

 

$
353,159

 

 

 

$
187,555

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
7,705

 
0.01

%

$
3,351

 
0.01

%

$
11,056

 
0.02

%

Energy

 

$

 —

 
0.00

%

$
272,814

 
0.49

%

$
272,814

 
0.49

%

Interest rates

 

$
(216,690)

 
(0.39)

%

$
(28,454)

 
(0.05)

%

$
(245,144)

 
(0.44)

%

Metals

 

$
(29,048)

 
(0.05)

%

$
72,697

 
0.13

%

$
43,649

 
0.08

%

Soft commodities

 

$
43

 
0.00

%

$
1,336

 
0.00

%

$
1,379

 
0.00

%

Stock indices

 

$
(2,820)

 
(0.01)

%

$
(51,789)

 
(0.09)

%

$
(54,609)

 
(0.10)

%

Total Foreign Futures Positions

 

$
(240,810)

 

 

 

$
269,955

 

 

 

$
29,145

 

 

 

Total Futures Contracts

 

$
(406,414)

 
(0.73)

%

$
623,114

 
1.12

%

$
216,700

 
0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
2,001

 
0.00

%

$
(65,016)

 
(0.12)

%

$
(63,015)

 
(0.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date July 1, 2020

 

$
305,857

 
0.55

%

$

 —

 
0.00

%

$
305,857

 
0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
(98,556)

 
(0.18)

%

$
558,098

 
1.00

%

$
459,542

 
0.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Unrealized gain/(loss) on open long contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Unrealized gain/(loss) on open short contracts

    

Percent of Partners’ Capital (Net Asset Value)

    

Net unrealized gain/(loss) on open contracts

    

Percent of Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
(72,410)

 
(0.07)

%

$
(6,348)

 
(0.01)

%

$
(78,758)

 
(0.08)

%

Currencies

 

$
17,827

 
0.02

%

$
657,966

 
0.64

%

$
675,793

 
0.66

%

Energy

 

$
(105,394)

 
(0.10)

%

$
491,355

 
0.48

%

$
385,961

 
0.38

%

Interest rates

 

$
123,103

 
0.12

%

$
(20,010)

 
(0.02)

%

$
103,093

 
0.10

%

Meats

 

$
(46,509)

 
(0.05)

%

$
14,447

 
0.01

%

$
(32,062)

 
(0.04)

%

Metals

 

$
(6,938)

 
(0.01)

%

$
146,441

 
0.14

%

$
139,503

 
0.13

%

Soft commodities

 

$
(17,222)

 
(0.01)

%

$
290,689

 
0.28

%

$
273,467

 
0.27

%

Stock indices and single stock futures

 

$
298,541

 
0.29

%

$
(26,291)

 
(0.02)

%

$
272,250

 
0.27

%

Total U.S. Futures Positions

 

$
190,998

 

 

 

$
1,548,249

 

 

 

$
1,739,247

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
1,319

 
0.00

%

$
(328)

 
0.00

%

$
991

 
0.00

%

Energy

 

$
524

 
0.00

%

$
560,885

 
0.55

%

$
561,409

 
0.55

%

Interest rates

 

$
1,491,850

 
1.46

%

$
(13,469)

 
(0.01)

%

$
1,478,381

 
1.45

%

Metals

 

$
(495,431)

 
(0.48)

%

$
433,064

 
0.42

%

$
(62,367)

 
(0.06)

%

Soft commodities

 

$
4,395

 
0.00

%

$
2,444

 
0.00

%

$
6,839

 
0.00

%

Stock indices

 

$
248,877

 
0.24

%

$
(26,655)

 
(0.02)

%

$
222,222

 
0.22

%

Total Foreign Futures Positions

 

$
1,251,534

 

 

 

$
955,941

 

 

 

$
2,207,475

 

 

 

Total Futures Contracts

 

$
1,442,532

 
1.41

%

$
2,504,190

 
2.46

%

$
3,946,722

 
3.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
122,004

 
0.12

%

$
(183,931)

 
(0.18)

%

$
(61,927)

 
(0.06)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$
1,564,536

 
1.53

%

$
2,320,259

 
2.28

%

$
3,884,795

 
3.81

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
8,509,853

 

8/10/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
8,534,082

 
15.25

%

$
13,022,694

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

 
13,060,640

 
23.34

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $21,534,556)

 

 

 

$
21,594,722

 
38.59

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
523,682

 

2/1/2018

 

Wachovia Corp, 1.7%

 

$
579,099

 
1.03

%

$
3,216,462

 

9/21/2016-2/16/2018

 

Others,  1.2-1.8%  **

 

 
3,255,162

 
5.82

%

 

 

 

Total Corporate bonds, (cost of $3,822,827)

 

 

 

 
3,834,261

 
6.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

 

Foreign Commercial paper

 

 

 

 

 

 

 

 

 

 

$

1,049,986

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$

1,049,594

 
1.87

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

 

$

1,047,368

 

1/13/2016

 

National Grid PLC,  0.5%

 

 

1,047,189

 
1.87

%

$

2,927,390

 

1/4/2016-3/18/2016

 

Others,  0.4-0.9% **

 

 

2,925,805

 
5.23

%

 

 

 

 

 

Total U.S. Commercial paper

 

 

3,972,994

 
7.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commercial paper (cost of $5,016,530) **

 

 

 

$
5,022,588

 
8.97

%

 

 

 

 

 

 

 

 

Total securities owned by Global 3 Class Units at December 31, 2015

    

$

30,451,571

    
54.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Date

    

Description

    

Fair Value

    

(net asset value)

 

$

4,237,378

 

6/18/2015

 

U.S. Treasury Bills, 0.10% (cost of $4,235,235)

 

$

4,235,886

 
4.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

6,834,481

 

7/21/2017-10/23/2017

 

Federal Farm Credit Banks, 1.1%

 

$

6,858,116

 
6.72

%

$

22,792,993

 

3/27/2017-12/19/2017

 

Federal Home Loan Banks, 1-1.3%

 

 

22,831,819

 
22.38

%

$

854,310

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

 

854,596

 
0.84

%

 

 

 

Total U.S. Government-sponsored enterprises  (cost of $30,481,784)

 

 

 

$

30,544,531

 
29.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

526,938

 

2/3/2015

 

Foreign corporate bonds,  0.8%

 

$

530,777

 
0.52

%

$

3,513,947

 

1/15/2015-10/1/2015

 

U.S. corporate bonds,  0.7-1.1%

 

 

3,609,843

 
3.54

%

 

 

 

Total Corporate bonds (cost of $4,127,008) ***

 

 

 

$
4,140,620

 
4.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$

883,015

 

4/10/2015

 

Foreign commercial paper, 0.5%

 

$

881,862

 
0.86

%

$

2,771,383

 

2/6/2015-2/23/2015

 

U.S. commercial paper, 0.3-0.4%

 

 

2,770,241

 
2.72

%

 

 

 

Total Commercial paper (cost of $3,650,102) ***

 

 

 

$
3,652,103

 
3.58

%

 

 

 

 

 

 

 

 

Total securities owned by Global 3 Class Units at December 31, 2014

    

$

38,337,254

    
37.58

%