Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

Fair Value Measurements

Schedule of fair value hierarchy for assets and liabilities measured at fair value on a recurring basis

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2017:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	297,252	$	—	$	—	$	297,252
Forward currency contracts		—		(514,397)		—		(514,397)
Swap contracts		—		(137,441)		—		(137,441)
Cash and cash equivalents
U.S. money market fund		4,208,775						4,208,775
Securities owned
U.S. Government-sponsored enterprises		—		69,173,416		—		69,173,416
U.S. corporate bonds		—		5,897,469		—		5,897,469
U.S. mutual fund		—		7,209,140				7,209,140
Total	$	4,506,027	$	81,628,187	$	—	$	86,134,214

The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2016:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	2,279,924	$	—	$	—	$	2,279,924
Forward currency contracts		—		705		—		705
Swap contracts		—		(734,698)		—		(734,698)
Cash and cash equivalents
U.S. money market fund		3,965,046				—		3,965,046
Foreign commercial paper		—		1,328,590		—		1,328,590
U.S. commercial paper		—		44,381,818		—		44,381,818
Securities owned
U.S. commercial paper		—		7,144,238		—		7,144,238
U.S. Government-sponsored enterprises		—		69,209,493		—		69,209,493
U.S. corporate bonds		—		11,158,232		—		11,158,232
Total	$	6,244,970	$	132,488,378	$	—	$	138,733,348