XML 32 R22.htm IDEA: XBRL DOCUMENT v3.6.0.2
Assets and Condensed Schedule of Investments by Class of Units (Tables)
 12 Months Ended
Dec. 31, 2016
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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
1,843,791

Net unrealized gain (loss) on open futures contracts

 

 
131,967

Net unrealized gain (loss) on open forward currency contracts

 

 
40

Net unrealized gain (loss) on open swap contracts

 

 
(42,526)

Total equity in brokers' trading accounts

 

 
1,933,272

 

 

 

 

Cash and cash equivalents

 

 
2,873,705

Securities owned, at fair value (cost $5,048,054)

 

 
5,065,395

Interest receivable

 

 
1,766

Total assets

 

$
9,874,138

 

 

 

 

 

 

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

 

 

 

 

 

 

 
3,325,820

Cash and cash equivalents

 

 
5,985,021

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

 

 
707

Interest receivable

 

$
11,397,670

 

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

 

$
(10,802)

 
(0.11)

%  

$
2,512

 
0.03

%  

$
(8,290)

 
(0.09)

%

Currencies

 

$
6,723

 
0.07

%

$
17,460

 
0.18

%

$
24,183

 
0.25

%

Energy

 

$
31,288

 
0.33

%

$
(315)

 
(0.00)

%

$
30,973

 
0.32

%

Interest rates

 

$
1,227

 
0.01

%

$
(2,612)

 
(0.03)

%

$
(1,385)

 
(0.01)

%

Meats

 

$
4,035

 
0.04

%

$
(22)

 
(0.00)

%

$
4,013

 
0.04

%

Metals

 

$
(4,286)

 
(0.04)

%

$
8,323

 
0.09

%

$
4,037

 
0.04

%

Soft commodities

 

$
(1,301)

 
(0.01)

%

$
14,865

 
0.16

%

$
13,564

 
0.14

%

Stock indices and single stock futures

 

$
(15,502)

 
(0.16)

%

$
1,613

 
0.02

%

$
(13,889)

 
(0.15)

%

Total U.S. Futures Positions

 

$
11,382

 

 

 

$
41,824

 

 

 

$
53,206

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
63

 
0.00

%

$
83

 
0.00

%

$
146

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
508

 
0.01

%

$

 —

 

 —

%

$
508

 
0.01

%

Interest rates

 

$
17,783

 
0.19

%

$
(1,840)

 
(0.02)

%

$
15,943

 
0.17

%

Metals

 

$
(4,428)

 
(0.05)

%

$
19,043

 
0.20

%

$
14,615

 
0.15

%

Soft commodities

 

$
374

 
0.00

%

$
1,000

 
0.01

%

$
1,374

 
0.01

%

Stock indices

 

$
49,125

 
0.51

%

$
(2,950)

 
(0.03)

%

$
46,175

 
0.48

%

Total Foreign Futures Positions

 

$
63,425

 

 

 

$
15,336

 

 

 

$
78,761

 

 

 

Total Futures Contracts

 

$
74,807

 
0.78

%

$
57,160

 
0.60

%

$
131,967

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(566)

 
(0.01)

%

$
606

 
0.01

%

$
40

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(65,943)

 
(0.69)

%

$

 —

 

 —

%

$
(65,943)

 
(0.69)

%

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

 

$
23,417

 
0.24

%

$

 —

 

 —

%

$
23,417

 
0.24

%

Total Swap Contracts

 

$
(42,526)

 
(0.44)

%

$

 —

 

 —

%

$
(42,526)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
31,715

 
0.33

%

$
57,766

 
0.60

%

$
89,481

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
2,749,410

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
2,756,898

 
28.80

%

$
1,099,764

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
1,103,660

 
11.53

%

$
144,706

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
145,448

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $3,993,852)

 

 

 

$
4,006,006

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
109,976

 

6/1/2017

 

American Electric Power, 1.8%

 

$
111,871

 
1.17

%

$
115,765

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
116,544

 
1.22

%

$
106,503

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
106,260

 
1.11

%

$
110,266

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
110,605

 
1.16

%

$
115,765

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
123,509

 
1.29

%

$
76,694

 

9/22/2017

 

Other **

 

$
77,075

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $642,118)

 

 

 

$
645,864

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
231,529

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
231,219

 
2.42

%

$
182,329

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
182,306

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $412,084)

 

 

 

$
413,525

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Class A Units at December 31, 2016

    

$

5,065,395

    
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
1,981,324

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
1,986,737

 
18.06

%

$
2,250,732

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
2,257,539

 
20.53

%

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$

206,366

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$

206,290

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
19,094,865

Net unrealized gain (loss) on open futures contracts

 

 
1,366,694

Net unrealized gain (loss) on open forward currency contracts

 

 
422

Net unrealized gain (loss) on open swap contracts

 

 
(440,413)

Total equity in brokers' trading accounts

 

 
20,021,568

 

 

 

 

Cash and cash equivalents

 

 
29,760,975

Securities owned, at fair value (cost $52,279,208)

 

 
52,458,798

Interest receivable

 

 
18,288

Total assets

 

$
102,259,629

 

 

 

 

 

 

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

 

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

 

$
(111,873)

 
(0.11)

%  

$
26,011

 
0.03

%  

$
(85,862)

 
(0.09)

%

Currencies

 

$
69,626

 
0.07

%

$
180,814

 
0.18

%

$
250,440

 
0.25

%

Energy

 

$
324,031

 
0.33

%

$
(3,263)

 
(0.00)

%

$
320,768

 
0.32

%

Interest rates

 

$
12,712

 
0.01

%

$
(27,048)

 
(0.03)

%

$
(14,336)

 
(0.01)

%

Meats

 

$
41,787

 
0.04

%

$
(225)

 
(0.00)

%

$
41,562

 
0.04

%

Metals

 

$
(44,392)

 
(0.04)

%

$
86,191

 
0.09

%

$
41,799

 
0.04

%

Soft commodities

 

$
(13,478)

 
(0.01)

%

$
153,949

 
0.16

%

$
140,471

 
0.14

%

Stock indices and single stock futures

 

$
(160,543)

 
(0.16)

%

$
16,709

 
0.02

%

$
(143,834)

 
(0.15)

%

Total U.S. Futures Positions

 

$
117,870

 

 

 

$
433,138

 

 

 

$
551,008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
653

 
0.00

%

$
863

 
0.00

%

$
1,516

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
5,259

 
0.01

%

$

 —

 

 —

%

$
5,259

 
0.01

%

Interest rates

 

$
184,164

 
0.19

%

$
(19,056)

 
(0.02)

%

$
165,108

 
0.17

%

Metals

 

$
(45,857)

 
(0.05)

%

$
197,220

 
0.20

%

$
151,363

 
0.15

%

Soft commodities

 

$
3,874

 
0.00

%

$
10,356

 
0.01

%

$
14,230

 
0.01

%

Stock indices

 

$
508,756

 
0.51

%

$
(30,546)

 
(0.03)

%

$
478,210

 
0.48

%

Total Foreign Futures Positions

 

$
656,849

 

 

 

$
158,837

 

 

 

$
815,686

 

 

 

Total Futures Contracts

 

$
774,719

 
0.78

%

$
591,975

 
0.60

%

$
1,366,694

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(5,857)

 
(0.01)

%

$
6,279

 
0.01

%

$
422

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(682,929)

 
(0.69)

%

$

 —

 

 —

%

$
(682,929)

 
(0.69)

%

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

 

$
242,516

 
0.24

%

$

 —

 

 —

%

$
242,516

 
0.24

%

Total Swap Contracts

 

$
(440,413)

 
(0.44)

%

$

 —

 

 —

%

$
(440,413)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
328,449

 
0.33

%

$
598,254

 
0.60

%

$
926,703

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

 

Fair Value

    

(net asset value)

 

$
28,473,740

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
28,551,289

 
28.80

%

$
11,389,496

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
11,429,839

 
11.53

%

$
1,498,618

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
1,506,306

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $41,361,566)

 

 

 

$
41,487,434

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

 

Fair Value

    

(net asset value)

 

$
1,138,950

 

6/1/2017

 

American Electric Power, 1.8%

 

$
1,158,568

 
1.17

%

$
1,198,894

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
1,206,968

 
1.22

%

$
1,102,983

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
1,100,465

 
1.11

%

$
1,141,947

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
1,145,464

 
1.16

%

$
1,198,894

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
1,279,094

 
1.29

%

$
794,267

 

9/22/2017

 

Other **

 

$
798,211

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $6,649,973)

 

 

 

$
6,688,770

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

 

Fair Value

    

(net asset value)

 

$
2,397,789

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
2,394,579

 
2.42

%

$
1,888,259

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
1,888,015

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $4,267,669)

 

 

 

$
4,282,594

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Class B Units at December 31, 2016

    

$

52,458,798

 
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
21,762,889

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
21,822,344

 
18.06

%

$
24,722,077

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
24,796,846

 
20.53

%

 

 

 

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)

 

$
2,266,732

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
2,265,889

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
248,115

Net unrealized gain (loss) on open futures contracts

 

 
17,759

Net unrealized gain (loss) on open forward currency contracts

 

 
6

Net unrealized gain (loss) on open swap contracts

 

 
(5,723)

Total equity in brokers' trading accounts

 

 
260,157

 

 

 

 

Cash and cash equivalents

 

 
386,708

Securities owned, at fair value (cost $679,305)

 

 
681,639

Interest receivable

 

 
238

Total assets

 

$
1,328,742

 

 

 

 

 

 

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

 

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

 

$
(1,454)

 
(0.11)

%

$
338

 
0.03

%

$
(1,116)

 
(0.09)

%

Currencies

 

$
905

 
0.07

%

$
2,349

 
0.18

%

$
3,254

 
0.25

%

Energy

 

$
4,210

 
0.33

%

$
(42)

 
(0.00)

%

$
4,168

 
0.32

%

Interest rates

 

$
165

 
0.01

%

$
(350)

 
(0.03)

%

$
(185)

 
(0.01)

%

Meats

 

$
543

 
0.04

%

$
(2)

 
(0.00)

%

$
541

 
0.04

%

Metals

 

$
(577)

 
(0.04)

%

$
1,120

 
0.09

%

$
543

 
0.04

%

Soft commodities

 

$
(175)

 
(0.01)

%

$
2,000

 
0.16

%

$
1,825

 
0.14

%

Stock indices and single stock futures

 

$
(2,086)

 
(0.16)

%

$
217

 
0.02

%

$
(1,869)

 
(0.15)

%

Total U.S. Futures Positions

 

$
1,531

 

 

 

$
5,630

 

 

 

$
7,161

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
8

 
0.00

%

$
11

 
0.00

%

$
19

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
68

 
0.01

%

$

 —

 

 —

%

$
68

 
0.01

%

Interest rates

 

$
2,393

 
0.19

%

$
(248)

 
(0.02)

%

$
2,145

 
0.17

%

Metals

 

$
(596)

 
(0.05)

%

$
2,563

 
0.20

%

$
1,967

 
0.15

%

Soft commodities

 

$
50

 
0.00

%

$
135

 
0.01

%

$
185

 
0.01

%

Stock indices

 

$
6,611

 
0.51

%

$
(397)

 
(0.03)

%

$
6,214

 
0.48

%

Total Foreign Futures Positions

 

$
8,534

 

 

 

$
2,064

 

 

 

$
10,598

 

 

 

Total Futures Contracts

 

$
10,065

 
0.78

%

$
7,694

 
0.60

%

$
17,759

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(76)

 
(0.01)

%

$
82

 
0.01

%

$
6

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(8,874)

 
(0.69)

%

$

 —

 

 —

%

$
(8,874)

 
(0.69)

%

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

 

$
3,151

 
0.24

%

$

 —

 

 —

%

$
3,151

 
0.24

%

Total Swap Contracts

 

$
(5,723)

 
(0.44)

%

$

 —

 

 —

%

$
(5,723)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
4,266

 
0.33

%

$
7,776

 
0.60

%

$
12,042

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

 

Fair Value

    

(net asset value)

 

$
369,982

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
370,990

 
28.80

%

$
147,993

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
148,517

 
11.53

%

$
19,473

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
19,573

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $537,444)

 

 

 

$
539,080

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

 

 

 

 

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

 

 

 

 

 

$
14,799

 

6/1/2017

 

American Electric Power, 1.8%

 

$
15,054

 
1.17

%

 

 

 

 

 

$
15,578

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
15,683

 
1.22

%

 

 

 

 

 

$
14,332

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
14,299

 
1.11

%

 

 

 

 

 

$
14,838

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
14,884

 
1.16

%

 

 

 

 

 

$
15,578

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
16,620

 
1.29

%

 

 

 

 

 

$
10,321

 

9/22/2017

 

Other **

 

$
10,372

 
0.80

%

 

 

 

 

 

 

 

 

Total U.S. Corporate bonds (cost $86,408)

 

 

 

$
86,912

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

 

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

 

 

 

 

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

 

 

 

 

 

$
31,156

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
31,115

 
2.42

%

 

 

 

 

 

$
24,536

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
24,532

 
1.90

%

 

 

 

 

 

 

 

 

Total U.S. Commercial paper (cost $55,453)

 

 

 

$
55,647

 
4.32

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total securities owned by Legacy 1 Class Units at December 31, 2016

    

$

681,639

    
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
345,051

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
345,994

 
18.06

%

$
391,969

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
393,154

 
20.53

%

 

 

 

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)

 

$
35,939

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
35,926

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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)

 

 

 

$
171,914

 
8.97

%

 

 

 

 

 

 

 

 

 

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

    

$

1,042,301

    
54.41

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
90,336

Net unrealized gain (loss) on open futures contracts

 

 
6,466

Net unrealized gain (loss) on open forward currency contracts

 

 
2

Net unrealized gain (loss) on open swap contracts

 

 
(2,084)

Total equity in brokers' trading accounts

 

 
94,720

 

 

 

 

Cash and cash equivalents

 

 
140,797

Securities owned, at fair value (cost $247,329)

 

 
248,178

Interest receivable

 

 
87

Total assets

 

$
483,782

 

 

 

 

 

 

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

 

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

 

$
(529)

 
(0.11)

%

$
123

 
0.03

%

$
(406)

 
(0.09)

%

Currencies

 

$
329

 
0.07

%

$
855

 
0.18

%

$
1,184

 
0.25

%

Energy

 

$
1,533

 
0.33

%

$
(15)

 
(0.00)

%

$
1,518

 
0.32

%

Interest rates

 

$
60

 
0.01

%

$
(128)

 
(0.03)

%

$
(68)

 
(0.01)

%

Meats

 

$
198

 
0.04

%

$
(1)

 
(0.00)

%

$
197

 
0.04

%

Metals

 

$
(210)

 
(0.04)

%

$
408

 
0.09

%

$
198

 
0.04

%

Soft commodities

 

$
(64)

 
(0.01)

%

$
729

 
0.16

%

$
665

 
0.14

%

Stock indices and single stock futures

 

$
(759)

 
(0.16)

%

$
79

 
0.02

%

$
(680)

 
(0.15)

%

Total U.S. Futures Positions

 

$
558

 

 

 

$
2,050

 

 

 

$
2,608

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
3

 
0.00

%

$
4

 
0.00

%

$
7

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
25

 
0.01

%

$

 —

 

 —

%

$
25

 
0.01

%

Interest rates

 

$
871

 
0.19

%

$
(90)

 
(0.02)

%

$
781

 
0.17

%

Metals

 

$
(217)

 
(0.05)

%

$
933

 
0.20

%

$
716

 
0.15

%

Soft commodities

 

$
18

 
0.00

%

$
49

 
0.01

%

$
67

 
0.01

%

Stock indices

 

$
2,407

 
0.51

%

$
(145)

 
(0.03)

%

$
2,262

 
0.48

%

Total Foreign Futures Positions

 

$
3,107

 

 

 

$
751

 

 

 

$
3,858

 

 

 

Total Futures Contracts

 

$
3,665

 
0.78

%

$
2,801

 
0.60

%

$
6,466

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(28)

 
(0.01)

%

$
30

 
0.01

%

$
2

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(3,231)

 
(0.69)

%

$

 —

 

 —

%

$
(3,231)

 
(0.69)

 

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

 

$
1,147

 
0.24

%

$

 —

 

 —

%

$
1,147

 
0.24

 

Total Swap Contracts

 

$
(2,084)

 
(0.44)

%

$

 —

 

 —

%

$
(2,084)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
1,553

 
0.33

%

$
2,831

 
0.60

%

$
4,384

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
134,707

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
135,074

 
28.80

%

$
53,883

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
54,074

 
11.53

%

$
7,090

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
7,126

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $195,678)

 

 

 

$
196,274

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
5,388

 

6/1/2017

 

American Electric Power, 1.8%

 

$
5,481

 
1.17

%

$
5,672

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
5,710

 
1.22

%

$
5,218

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
5,206

 
1.11

%

$
5,402

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
5,419

 
1.16

%

$
5,672

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
6,051

 
1.29

%

$
3,758

 

9/22/2017

 

Other **

 

$
3,776

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $31,461)

 

 

 

$
31,643

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
11,344

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
11,329

 
2.42

%

$
8,933

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
8,932

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $20,190)

 

 

 

$
20,261

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Legacy 2 Class Units at December 31, 2016

    

$

248,178

    
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
115,319

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
115,634

 
18.06

%

$
130,999

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
131,395

 
20.53

%

 

 

 

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)

 

$
12,011

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
12,007

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
6,522,138

Net unrealized gain (loss) on open futures contracts

 

 
466,815

Net unrealized gain (loss) on open forward currency contracts

 

 
145

Net unrealized gain (loss) on open swap contracts

 

 
(150,430)

Total equity in brokers' trading accounts

 

 
6,838,668

 

 

 

 

Cash and cash equivalents

 

 
10,165,308

Securities owned, at fair value (cost $17,856,749)

 

 
17,918,088

Interest receivable

 

 
6,247

Total assets

 

$
34,928,311

 

 

 

 

 

 

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

 

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

 

$
(38,212)

 
(0.11)

%

$
8,884

 
0.03

%

$
(29,328)

 
(0.09)

%

Currencies

 

$
23,782

 
0.07

%

$
61,760

 
0.18

%

$
85,542

 
0.25

%

Energy

 

$
110,678

 
0.33

%

$
(1,114)

 
(0.00)

%

$
109,564

 
0.32

%

Interest rates

 

$
4,342

 
0.01

%

$
(9,239)

 
(0.03)

%

$
(4,897)

 
(0.01)

%

Meats

 

$
14,273

 
0.04

%

$
(77)

 
(0.00)

%

$
14,196

 
0.04

%

Metals

 

$
(15,163)

 
(0.04)

%

$
29,440

 
0.09

%

$
14,277

 
0.04

%

Soft commodities

 

$
(4,604)

 
(0.01)

%

$
52,584

 
0.16

%

$
47,980

 
0.14

%

Stock indices and single stock futures

 

$
(54,836)

 
(0.16)

%

$
5,707

 
0.02

%

$
(49,129)

 
(0.15)

%

Total U.S. Futures Positions

 

$
40,260

 

 

 

$
147,945

 

 

 

$
188,205

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
223

 
0.00

%

$
295

 
0.00

%

$
518

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
1,796

 
0.01

%

$

 —

 

 —

%

$
1,796

 
0.01

%

Interest rates

 

$
62,904

 
0.19

%

$
(6,509)

 
(0.02)

%

$
56,395

 
0.17

%

Metals

 

$
(15,663)

 
(0.05)

%

$
67,363

 
0.20

%

$
51,700

 
0.15

%

Soft commodities

 

$
1,323

 
0.00

%

$
3,537

 
0.01

%

$
4,860

 
0.01

%

Stock indices

 

$
173,774

 
0.51

%

$
(10,433)

 
(0.03)

%

$
163,341

 
0.48

%

Total Foreign Futures Positions

 

$
224,357

 

 

 

$
54,253

 

 

 

$
278,610

 

 

 

Total Futures Contracts

 

$
264,617

 
0.78

%

$
202,198

 
0.60

%

$
466,815

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(2,000)

 
(0.01)

%

$
2,145

 
0.01

%

$
145

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(233,265)

 
(0.69)

%

$

 —

 

 —

%

$
(233,265)

 
(0.69)

%

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

 

$
82,835

 
0.24

%

$

 —

 

 —

%

$
82,835

 
0.24

%

Total Swap Contracts

 

$
(150,430)

 
(0.44)

%

$

 —

 

 —

%

$
(150,430)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
112,187

 
0.33

%

$
204,343

 
0.60

%

$
316,530

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
9,725,633

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
9,752,121

 
28.80

%

$
3,890,253

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
3,904,033

 
11.53

%

$
511,875

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
514,501

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $14,127,664)

 

 

 

$
14,170,655

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
389,025

 

6/1/2017

 

American Electric Power, 1.8%

 

$
395,726

 
1.17

%

$
409,500

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
412,258

 
1.22

%

$
376,740

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
375,880

 
1.11

%

$
390,049

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
391,250

 
1.16

%

$
409,500

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
436,894

 
1.29

%

$
271,294

 

9/22/2017

 

Other **

 

$
272,641

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $2,271,398)

 

 

 

$
2,284,649

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
819,001

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
817,904

 
2.42

%

$
644,963

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
644,880

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $1,457,687)

 

 

 

$
1,462,784

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Global 1 Class Units at December 31, 2016

 

$

17,918,088

 
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                   

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
3,516,854

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
3,526,462

 
18.06

%

$
3,995,055

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
4,007,137

 
20.53

%

 

 

 

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)

 

$
366,301

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
366,165

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
395,856

Net unrealized gain (loss) on open futures contracts

 

 
28,333

Net unrealized gain (loss) on open forward currency contracts

 

 
9

Net unrealized gain (loss) on open swap contracts

 

 
(9,130)

Total equity in brokers' trading accounts

 

 
415,068

 

 

 

 

Cash and cash equivalents

 

 
616,975

Securities owned, at fair value (cost $1,083,801)

 

 
1,087,524

Interest receivable

 

 
379

Total assets

 

$
2,119,946

 

 

 

 

 

 

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

 

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

 

$
(2,319)

 
(0.11)

%

$
539

 
0.03

%

$
(1,780)

 
(0.09)

%

Currencies

 

$
1,443

 
0.07

%

$
3,748

 
0.18

%

$
5,191

 
0.25

%

Energy

 

$
6,717

 
0.33

%

$
(68)

 
(0.00)

%

$
6,649

 
0.32

%

Interest rates

 

$
264

 
0.01

%

$
(561)

 
(0.03)

%

$
(297)

 
(0.01)

%

Meats

 

$
866

 
0.04

%

$
(5)

 
(0.00)

%

$
861

 
0.04

%

Metals

 

$
(920)

 
(0.04)

%

$
1,787

 
0.09

%

$
867

 
0.04

%

Soft commodities

 

$
(279)

 
(0.01)

%

$
3,192

 
0.16

%

$
2,913

 
0.14

%

Stock indices and single stock futures

 

$
(3,328)

 
(0.16)

%

$
346

 
0.02

%

$
(2,982)

 
(0.15)

%

Total U.S. Futures Positions

 

$
2,444

 

 

 

$
8,978

 

 

 

$
11,422

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
14

 
0.00

%

$
18

 
0.00

%

$
32

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
109

 
0.01

%

$

 —

 

 —

%

$
109

 
0.01

%

Interest rates

 

$
3,818

 
0.19

%

$
(395)

 
(0.02)

%

$
3,423

 
0.17

%

Metals

 

$
(951)

 
(0.05)

%

$
4,089

 
0.20

%

$
3,138

 
0.15

%

Soft commodities

 

$
80

 
0.00

%

$
215

 
0.01

%

$
295

 
0.01

%

Stock indices

 

$
10,547

 
0.51

%

$
(633)

 
(0.03)

%

$
9,914

 
0.48

%

Total Foreign Futures Positions

 

$
13,617

 

 

 

$
3,294

 

 

 

$
16,911

 

 

 

Total Futures Contracts

 

$
16,061

 
0.78

%

$
12,272

 
0.60

%

$
28,333

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(121)

 
(0.01)

%

$
130

 
0.01

%

$
9

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(14,158)

 
(0.69)

%

$

 —

 

 —

%

$
(14,158)

 
(0.69)

%

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

 

$
5,028

 
0.24

%

$

 —

 

 —

%

$
5,028

 
0.24

%

Total Swap Contracts

 

$
(9,130)

 
(0.44)

%

$

 —

 

 —

%

$
(9,130)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
6,810

 
0.33

%

$
12,402

 
0.60

%

$
19,212

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
590,290

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
591,897

 
28.80

%

$
236,116

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
236,952

 
11.53

%

$
31,068

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
31,227

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $857,467)

 

 

 

$
860,076

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
23,612

 

6/1/2017

 

American Electric Power, 1.8%

 

$
24,018

 
1.17

%

$
24,854

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
25,022

 
1.22

%

$
22,866

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
22,814

 
1.11

%

$
23,674

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
23,747

 
1.16

%

$
24,854

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
26,517

 
1.29

%

$
16,466

 

9/22/2017

 

Other **

 

$
16,548

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $137,861)

 

 

 

$
138,666

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
49,709

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
49,642

 
2.42

%

$
39,146

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
39,140

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $88,473)

 

 

 

$
88,782

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Global 2 Class Units at December 31, 2016

    

$

1,087,524

    
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
697,660

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
699,566

 
18.06

%

$
792,524

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
794,921

 
20.53

%

 

 

 

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)

 

$
72,665

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
72,638

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%

 

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, 2016

Equity in brokers' trading accounts:

 

 

 

Cash

 

$
3,659,025

Net unrealized gain (loss) on open futures contracts

 

 
261,890

Net unrealized gain (loss) on open forward currency contracts

 

 
81

Net unrealized gain (loss) on open swap contracts

 

 
(84,392)

Total equity in brokers' trading accounts

 

 
3,836,604

 

 

 

 

Cash and cash equivalents

 

 
5,702,902

Securities owned, at fair value (cost $10,017,925)

 

 
10,052,340

Interest receivable

 

 
3,504

Total assets

 

$
19,595,350

 

 

 

 

 

 

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

 

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

 

$
(21,438)

 
(0.11)

%

$
4,984

 
0.03

%

$
(16,454)

 
(0.09)

%

Currencies

 

$
13,342

 
0.07

%

$
34,648

 
0.18

%

$
47,990

 
0.25

%

Energy

 

$
62,093

 
0.33

%

$
(626)

 
(0.00)

%

$
61,467

 
0.32

%

Interest rates

 

$
2,436

 
0.01

%

$
(5,183)

 
(0.03)

%

$
(2,747)

 
(0.01)

%

Meats

 

$
8,007

 
0.04

%

$
(43)

 
(0.00)

%

$
7,964

 
0.04

%

Metals

 

$
(8,507)

 
(0.04)

%

$
16,516

 
0.09

%

$
8,009

 
0.04

%

Soft commodities

 

$
(2,583)

 
(0.01)

%

$
29,500

 
0.16

%

$
26,917

 
0.14

%

Stock indices and single stock futures

 

$
(30,764)

 
(0.16)

%

$
3,203

 
0.02

%

$
(27,561)

 
(0.15)

%

Total U.S. Futures Positions

 

$
22,586

 

 

 

$
82,999

 

 

 

$
105,585

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$
125

 
0.00

%

$
165

 
0.00

%

$
290

 
0.00

%

Currencies

 

$

 —

 

 —

%

$

 —

 

 —

%

$

 —

 

 —

%

Energy

 

$
1,008

 
0.01

%

$

 —

 

 —

%

$
1,008

 
0.01

%

Interest rates

 

$
35,290

 
0.19

%

$
(3,652)

 
(0.02)

%

$
31,638

 
0.17

%

Metals

 

$
(8,787)

 
(0.05)

%

$
37,792

 
0.20

%

$
29,005

 
0.15

%

Soft commodities

 

$
743

 
0.00

%

$
1,984

 
0.01

%

$
2,727

 
0.01

%

Stock indices

 

$
97,490

 
0.51

%

$
(5,853)

 
(0.03)

%

$
91,637

 
0.48

%

Total Foreign Futures Positions

 

$
125,869

 

 

 

$
30,436

 

 

 

$
156,305

 

 

 

Total Futures Contracts

 

$
148,455

 
0.78

%

$
113,435

 
0.60

%

$
261,890

 
1.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$
(1,122)

 
(0.01)

%

$
1,203

 
0.01

%

$
81

 
0.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, Termination date March 29, 2019

 

$
(130,864)

 
(0.69)

%

$

 —

 

 —

%

$
(130,864)

 
(0.69)

%

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

 

$
46,472

 
0.24

%

$

 —

 

 —

%

$
46,472

 
0.24

%

Total Swap Contracts

 

$
(84,392)

 
(0.44)

%

$

 —

 

 —

%

$
(84,392)

 
(0.44)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

$
62,941

 
0.33

%

$
114,638

 
0.60

%

$
177,579

 
0.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

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

%

 

Schedule of securities owned

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
5,456,238

 

9/28/2018-8/1/2019

 

Federal Farm Credit Banks, 1.1-1.3%

 

$
5,471,098

 
28.80

%

$
2,182,495

 

8/24/2018-8/22/2019

 

Federal Home Loan Banks, 1.1-1.5%

 

$
2,190,226

 
11.53

%

$
287,170

 

7/19/2019

 

Federal Agricultural Mortgage Corp., 1.1%

 

$
288,644

 
1.52

%

 

 

 

Total U.S. Government-sponsored enterprises (cost $7,925,848)

 

 

 

$
7,949,968

 
41.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
218,250

 

6/1/2017

 

American Electric Power, 1.8%

 

$
222,009

 
1.17

%

$
229,736

 

2/16/2018

 

American Honda Finance Co, 1.5%

 

$
231,283

 
1.22

%

$
211,357

 

12/1/2017

 

AT&T Inc., 1.8%

 

$
210,875

 
1.11

%

$
218,824

 

3/4/2017

 

GATX Corporation, 1.8%

 

$
219,498

 
1.16

%

$
229,736

 

2/1/2018

 

Wells Fargo & Company, 1.7%

 

$
245,105

 
1.29

%

$
152,200

 

9/22/2017

 

Other **

 

$
152,956

 
0.80

%

 

 

 

Total U.S. Corporate bonds (cost $1,274,291)

 

 

 

$
1,281,726

 
6.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

 

Description

    

Fair Value

    

(net asset value)

 

$
459,473

 

3/3/2017

 

Coca-Cola Corp.,0.8%

 

$
458,858

 
2.42

%

$
361,835

 

1/3/2017-1/9/2017

 

Others,  0.9-1.4% **

 

$
361,788

 
1.90

%

 

 

 

Total U.S. Commercial paper (cost $817,786)

 

 

 

$
820,646

 
4.32

%

 

 

 

 

 

 

 

 

 

Total securities owned by Global 3 Class Units at December 31, 2016

    

$

10,052,340

    
52.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of

 

 

 

 

                                                     

 

 

 

 

 

 

Partners' Capital

 

Face Value

    

Maturity Dates

    

Description

    

Fair Value

    

(net asset value)

 

$
10,080,903

 

4/20/2018-11/16/2018

 

Federal Farm Credit Banks, 1.1-1.4%

 

$
10,108,442

 
18.06

%

$
11,451,644

 

3/29/2018-12/28/2018

 

Federal Home Loan Banks, 1.1-1.5%

 

$
11,486,280

 
20.53

%

 

 

 

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)

 

$
1,049,986

 

1/5/2016-2/1/2016

 

Foreign commercial paper, 0.5-0.8% **

 

$
1,049,594

 
1.87

%

 

 

 

 

 

 

 

 

 

 

 

 

$
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

%