Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2016

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	3/31/2016		3/31/2016		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	722,262	$	(259,891)	$	462,371
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		1,350,616		(745,242)		605,374
Energy contracts	Net Unrealized gain (loss) on open futures contracts		212,723		(316,546)		(103,823)
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		2,132,662		(1,065,665)		1,066,997
Meats contracts	Net Unrealized gain (loss) on open futures contracts		36,473		(117,119)		(80,646)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,108,210		(1,858,575)		(750,365)
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		259,518		(290,922)		(31,404)
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,386,205		(384,690)		1,001,515
		$	7,208,669	$	(5,038,650)	$	2,170,019
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	1,071,156	$	(991,014)	$	80,142
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	(1,893,713)	$	—	$	(1,893,713)
*At March 31, 2016, the sector exposure of the CTA indices underlying the swap was:
Interest rate contracts	51%
Forward currency contracts	32%
Stock indices and stock index options	17%
Total	100%

	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%

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

		Three Months Ended		Three Months Ended
Type of Contract		March 31, 2016		March 31, 2015
Agriculturals contracts	Net gain (loss) from futures trading	$	(549,338)	$	(1,756,907)
Currencies contracts	Net gain (loss) from futures trading		(1,370,843)		5,506,085
Energy contracts	Net gain (loss) from futures trading		2,384,901		(129,702)
Interest rates contracts	Net gain (loss) from futures trading		15,437,452		8,576,983
Meats contracts	Net gain (loss) from futures trading		(248,074)		577,289
Metals contracts	Net gain (loss) from futures trading		(1,397,295)		(2,298,370)
Soft commodities contracts	Net gain (loss) from futures trading		(310,625)		100,072
Stock indices	Net gain (loss) from futures trading		2,007,210		6,545,022
Forward Currency Contracts	Net gain (loss) from forward trading		203,973		(301,349)
Swap Contracts	Net gain (loss) from swap trading		(3,061,813)		—
		$	13,095,548	$	16,819,123

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended
	March 31, 2016		March 31, 2015
Net gain (loss) from futures trading
Realized	$	14,610,964	$	21,735,994
Change in unrealized		1,342,424		(4,615,522)
Total realized and changed in unrealized net gain (loss) from futures trading	$	15,953,388	$	17,120,472
Net gain (loss) from forward trading
Realized	$	(116,827)	$	(43,760)
Change in unrealized		320,800		(257,589)
Total realized and changed in unrealized net gain (loss) from forward trading	$	203,973	$	(301,349)
Net gain (loss) from swap trading
Change in unrealized	$	(3,061,813)		—
Total realized and changed in unrealized net gain (loss) from swap trading	$	(3,061,813)	$	—
Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading	$	13,095,548	$	16,819,123

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of March 31, 2016

					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	$	7,208,669	$	(5,038,650)	$	2,170,019
Forward contracts		1,071,156		(991,014)		80,142
Swap contracts		—		(1,893,713)		(1,893,713)
Total derivatives	$	8,279,825	$	(7,923,377)	$	356,448

Offsetting of Derivative Assets

As of December 31, 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	$	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

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of March 31, 2016

					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	$	5,038,650	$	(5,038,650)	$	—
Forward contracts		991,014		(991,014)		—
Swap contracts		1,893,713		(1,893,713)		—
Total derivatives	$	7,923,377	$	(7,923,377)	$	—

Offsetting of Derivative Liabilities

As of December 31, 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	$	6,123,114	$	(6,123,114)	$	—
Forward contracts		922,984		(922,984)		—
Swap contracts		—		—		—
Total derivatives	$	7,046,098	$	(7,046,098)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of March 31, 2016

			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	$	(1,893,713)	$	—	$	—	$	(1,893,713)
ED&F Man Capital Markets Inc		(77,801)		—		—		(77,801)
SG Americas Securities, LLC		1,670,917		—		—		1,670,917
UBS Securities LLC		657,045		—		—		657,045
Total	$	356,448	$	—	$	—	$	356,448

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2015

			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