Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	9/30/2017			9/30/2017		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	112,923		$	(188,652)	$	(75,729)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		219,197			(661,793)		(442,596)
Energy contracts	Net Unrealized gain (loss) on open futures contracts		340,682			(312,947)		27,735
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		485,531			(950,806)		(465,275)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		49,816			(58,162)		(8,346)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		949,761			(939,436)		10,325
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		189,249			(37,859)		151,390
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,671,511			(571,762)		1,099,749
		$	4,018,670		$	(3,721,417)	$	297,253
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	426,813		$	(941,210)	$	(514,397)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,833,011		$	(1,970,452)	$	(137,441)
*At September 30, 2017, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date March 29, 2019
Agricultural contracts	2%
Energy contracts	1%
Interest rate contracts	62%
Metals contracts	1%
Stock indices contracts	16%
Forward currency contracts	18%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	42%
Stock indices contracts	12%
Forward currency contracts	46%
Total	100%

	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	12/31/2016			12/31/2016		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	121,013		$	(261,721)	$	(140,708)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		763,565			(345,781)		417,784
Energy contracts	Net Unrealized gain (loss) on open futures contracts		562,341			(18,461)		543,880
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		578,244			(326,726)		251,518
Meats contracts	Net Unrealized gain (loss) on open futures contracts		79,821			(10,487)		69,334
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,604,965			(1,282,731)		322,234
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		344,652			(86,579)		258,073
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,111,526			(553,717)		557,809
		$	5,166,127		$	(2,886,203)	$	2,279,924
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	556,627		$	(555,922)	$	705
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	404,566		$	(1,139,264)	$	(734,698)
*At December 31, 2016, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date March 29, 2019
Agricultural contracts	3%
Energy contracts	1%
Interest rate contracts	53%
Metals contracts	3%
Stock indices contracts	15%
Forward currency contracts	25%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	61%
Stock indices contracts	10%
Forward currency contracts	29%
Total	100%

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

		Three Months Ended		Three Months Ended		Nine Months Ended		Nine Months Ended
Type of Contract		September 30, 2017		September 30, 2016		September 30, 2017		September 30, 2016
Agriculturals contracts	Net gain (loss) from futures trading	$	(1,293,249)	$	(344,464)	$	(2,371,623)	$	1,705,400
Currencies contracts	Net gain (loss) from futures trading		465,911		(1,179,735)		(2,630,140)		(2,620,498)
Energy contracts	Net gain (loss) from futures trading		(398,756)		(3,845,918)		(7,007,122)		(1,192,066)
Interest rates contracts	Net gain (loss) from futures trading		(1,446,217)		(2,588,887)		(7,567,144)		21,639,195
Meats contracts	Net gain (loss) from futures trading		(383,441)		726,212		333,991		305,094
Metals contracts	Net gain (loss) from futures trading		399,336		(1,077,129)		(2,207,600)		(3,357,713)
Soft commodities contracts	Net gain (loss) from futures trading		(785,380)		495,726		382,280		(506,213)
Stock indices	Net gain (loss) from futures trading		3,790,195		4,274,961		17,060,597		2,368,613
Forward Currency Contracts	Net gain (loss) from forward trading		(13,784)		(177,604)		(1,649,376)		402,932
Swap Contracts	Net gain (loss) from swap trading		460,436		692,037		597,256		(3,862,738)
		$	795,051	$	(3,024,801)	$	(5,058,881)	$	14,882,006

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended				Nine Months Ended
	September 30, 2017		September 30, 2016		September 30, 2017		September 30, 2016
Net gain (loss) from futures trading
Realized	$	(3,624,312)	$	1,523,704	$	(2,024,091)	$	16,121,355
Change in unrealized		3,972,712		(5,062,938)		(1,982,669)		2,220,457
Total realized and change in unrealized net gain (loss) from futures trading	$	348,400	$	(3,539,234)	$	(4,006,760)	$	18,341,812
Net gain (loss) from forward trading
Realized	$	513,204	$	220,489	$	(1,134,274)	$	(163,404)
Change in unrealized		(526,989)		(398,093)		(515,103)		566,336
Total realized and change in unrealized net gain (loss) from forward trading	$	(13,785)	$	(177,604)	$	(1,649,377)	$	402,932
Net gain (loss) from swap trading
Change in unrealized	$	460,436	$	692,037	$	597,256	$	(3,862,738)
Total realized and change in unrealized net gain (loss) from swap trading	$	460,436	$	692,037	$	597,256	$	(3,862,738)
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	795,051	$	(3,024,801)	$	(5,058,881)	$	14,882,006

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of September 30, 2017

					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	$	4,018,671	$	(3,721,416)	$	297,255
Forward contracts		426,812		(941,210)		(514,398)
Swap contracts		1,833,011		(1,970,452)		(137,441)
Total derivatives	$	6,278,494	$	(6,633,078)	$	(354,584)

Offsetting of Derivative Assets

As of December 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	$	5,166,127	$	(2,886,203)	$	2,279,924
Forward contracts		556,627		(555,922)		705
Swap contracts		404,566		(1,139,264)		(734,698)
Total derivatives	$	6,127,320	$	(4,581,389)	$	1,545,931

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of September 30, 2017

					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	$	3,721,416	$	(3,721,416)	$	—
Forward contracts		941,210		(941,210)		—
Swap contracts		1,970,452		(1,970,452)		—
Total derivatives	$	6,633,078	$	(6,633,078)	$	—

Offsetting of Derivative Liabilities

As of December 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	$	2,886,203	$	(2,886,203)	$	—
Forward contracts		555,922		(555,922)		—
Swap contracts		1,139,264		(1,139,264)		—
Total derivatives	$	4,581,389	$	(4,581,389)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of September 30, 2017

			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	$	(137,441)	$	—	$	—	$	(137,441)
SG Americas Securities, LLC		32,628		—		—		32,628
UBS AG		(510,029)		—		—		(510,029)
Wells Fargo Securities, LLC		260,257		—		—		260,257
Total	$	(354,585)	$	—	$	—	$	(354,585)

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 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	$	(734,698)	$	—	$	—	$	(734,698)
SG Americas Securities, LLC		1,582,067		—		—		1,582,067
UBS AG		(40,113)		—		—		(40,113)
Wells Fargo Securities, LLC		738,675		—		—		738,675
Total	$	1,545,931	$	—	$	—	$	1,545,931