Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2016

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	6/30/2016		6/30/2016		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	461,728	$	(241,369)	$	220,359
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		1,281,566		(291,139)		990,427
Energy contracts	Net Unrealized gain (loss) on open futures contracts		304,244		(189,498)		114,746
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		5,742,448		(427,947)		5,314,501
Meats contracts	Net Unrealized gain (loss) on open futures contracts		39,083		(137,277)		(98,194)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,807,099		(1,678,254)		128,845
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		304,602		(48,440)		256,162
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,733,120		(548,975)		1,184,145
		$	11,673,890	$	(3,562,899)	$	8,110,991
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	1,614,917	$	(891,147)	$	723,770
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	114,970	$	(3,501,646)	$	(3,386,676)
*At June 30, 2016, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	50%
Forward currency contracts	37%
Stock indices	13%
Total	100%
Deutsche Bank total return swap, termination date March 29, 2019
Interest rate contracts	82%
Forward currency contracts	10%
Stock indices	4%
Agricultural contracts	2%
Metals contracts	2%
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		Six Months Ended		Six Months Ended
Type of Contract		June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015
Agriculturals contracts	Net gain (loss) from futures trading	$	2,599,202	$	(274,810)	$	2,049,864	$	(2,031,717)
Currencies contracts	Net gain (loss) from futures trading		(69,920)		(4,822,842)		(1,440,763)		683,243
Energy contracts	Net gain (loss) from futures trading		268,951		(3,846,784)		2,653,852		(3,976,486)
Interest rates contracts	Net gain (loss) from futures trading		8,790,630		(8,239,626)		24,228,082		337,357
Meats contracts	Net gain (loss) from futures trading		(173,044)		(786,894)		(421,118)		(209,605)
Metals contracts	Net gain (loss) from futures trading		(883,289)		(1,904,459)		(2,280,584)		(4,202,829)
Soft commodities contracts	Net gain (loss) from futures trading		(691,314)		(313,200)		(1,001,939)		(213,128)
Stock indices	Net gain (loss) from futures trading		(3,913,558)		(3,826,862)		(1,906,348)		2,718,160
Forward Currency Contracts	Net gain (loss) from forward trading		376,563		(279,243)		580,536		(580,592)
Swap Contracts	Net gain (loss) from swap trading		(1,492,962)		—		(4,554,775)		—
		$	4,811,259	$	(24,294,720)	$	17,906,807	$	(7,475,597)

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended				Six Months Ended
	June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015
Net gain (loss) from futures trading
Realized	$	(13,313)	$	(17,645,279)	$	14,597,651	$	4,090,715
Change in unrealized		5,940,971		(6,370,198)		7,283,395		(10,985,720)
Total realized and changed in unrealized net gain (loss) from futures trading	$	5,927,658	$	(24,015,477)	$	21,881,046	$	(6,895,005)
Net gain (loss) from forward trading
Realized	$	(267,066)	$	(1,034,277)	$	(383,893)	$	(1,078,037)
Change in unrealized		643,629		755,034		964,429		497,445
Total realized and changed in unrealized net gain (loss) from forward trading	$	376,563	$	(279,243)	$	580,536	$	(580,592)
Net gain (loss) from swap trading
Change in unrealized	$	(1,492,962)		—	$	(4,554,775)		—
Total realized and changed in unrealized net gain (loss) from swap trading	$	(1,492,962)	$	—	$	(4,554,775)	$	—
Total realized and changed in unrealized net gain (loss) from futures, forward and swap trading	$	4,811,259	$	(24,294,720)	$	17,906,807	$	(7,475,597)

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of June 30, 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	$	11,673,890	$	(3,562,899)	$	8,110,991
Forward contracts		1,614,917		(891,147)		723,770
Swap contracts		114,970		(3,501,646)		(3,386,676)
Total derivatives	$	13,403,777	$	(7,955,692)	$	5,448,085

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 June 30, 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	$	3,562,899	$	(3,562,899)	$	—
Forward contracts		891,147		(891,147)		—
Swap contracts		3,501,646		(3,501,646)		—
Total derivatives	$	7,955,692	$	(7,955,692)	$	—

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 June 30, 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	$	(3,386,676)	$	—	$	—	$	(3,386,676)
SG Americas Securities, LLC		5,354,064		—		—		5,354,064
UBS Securities LLC		3,450,697		—		—		3,450,697
Wells Fargo Securities, LLC		30,000		—		—		30,000
Total	$	5,448,085	$	—	$	—	$	5,448,085

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