Derivative Instruments (Tables)

3 Months Ended

12 Months Ended

Mar. 31, 2018

Dec. 31, 2017

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	3/31/2018			3/31/2018		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	74,110		$	(84,983)	$	(10,873)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		214,555			(224,284)		(9,729)
Energy contracts	Net Unrealized gain (loss) on open futures contracts		581,547			(64,603)		516,944
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		972,293			(482,616)		489,677
Meats contracts	Net Unrealized gain (loss) on open futures contracts		82,091			(2,708)		79,383
Metals contracts	Net Unrealized gain (loss) on open futures contracts		512,038			(824,941)		(312,903)
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		524,236			(57,668)		466,568
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		211,346			(789,887)		(578,541)
		$	3,172,216		$	(2,531,690)	$	640,526
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	397,363		$	(248,265)	$	149,098
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	2,113,139		$	(639,007)	$	1,474,132
*At March 31, 2018, 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	5%
Interest rate contracts	68%
Metals contracts	2%
Stock indices contracts	5%
Forward currency contracts	17%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	46%
Stock indices contracts	11%
Forward currency contracts	43%
Total	100%

	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	12/31/2017			12/31/2017		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	192,152		$	(41,963)	$	150,189
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		607,592			(214,009)		393,583
Energy contracts	Net Unrealized gain (loss) on open futures contracts		1,202,346			(156,581)		1,045,765
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		480,661			(820,436)		(339,775)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		37,013			(5,967)		31,046
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,464,763			(828,583)		636,180
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		371,081			(161,787)		209,294
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		867,587			(349,210)		518,377
		$	5,223,195		$	(2,578,536)	$	2,644,659
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	573,423		$	(547,796)	$	25,627
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,179,312		$	—	$	1,179,312
*At December 31, 2017, 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	3%
Interest rate contracts	54%
Metals contracts	4%
Stock indices contracts	16%
Forward currency contracts	20%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	44%
Stock indices contracts	14%
Forward currency contracts	42%
Total	100%

	Consolidated	Asset			Liability
	Statements of Financial	Derivatives			Derivatives
	Condition Location	12/31/2017			12/31/2017		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	192,152		$	(41,963)	$	150,189
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		607,592			(214,009)		393,583
Energy contracts	Net Unrealized gain (loss) on open futures contracts		1,202,346			(156,581)		1,045,765
				.
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		480,661			(820,436)		(339,775)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		37,013			(5,967)		31,046
Metals contracts	Net Unrealized gain (loss) on open futures contracts		1,464,763			(828,583)		636,180
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		371,081			(161,787)		209,294
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		867,587			(349,210)		518,377
		$	5,223,195		$	(2,578,536)	$	2,644,659
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	573,423		$	(547,796)	$	25,627
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,179,312		$	—	$	1,179,312
*At December 31, 2017, 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	3%
Interest rate contracts	54%
Metals contracts	4%
Stock indices contracts	16%
Forward currency contracts	20%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	44%
Stock indices contracts	14%
Forward currency contracts	42%
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
Type of Contract		March 31, 2018		March 31, 2017
Agriculturals contracts	Net gain (loss) from futures trading	$	(736,354)	$	(646,957)
Currencies contracts	Net gain (loss) from futures trading		112,083		(1,578,888)
Energy contracts	Net gain (loss) from futures trading		(437,551)		(3,111,188)
Interest rates contracts	Net gain (loss) from futures trading		457,206		(3,155,183)
Meats contracts	Net gain (loss) from futures trading		(108,284)		(7,808)
Metals contracts	Net gain (loss) from futures trading		(899,375)		55,883
Soft commodities contracts	Net gain (loss) from futures trading		657,094		377,913
Stock indices	Net gain (loss) from futures trading		(2,966,998)		9,078,242
Forward Currency Contracts	Net gain (loss) from forward trading		79,074		(545,656)
Swap Contracts	Net gain (loss) from swap trading		294,820		454,233
		$	(3,548,285)	$	920,591

		Years Ended December 31,
Type of Contract		2017		2016		2015
Agriculturals contracts	Net gain (loss) from futures trading	$	(2,343,148)	$	1,009,750	$	(5,823,922)
Currencies contracts	Net gain (loss) from futures trading		(3,320,635)		(2,202,100)		(1,033,607)
Energy contracts	Net gain (loss) from futures trading		(4,612,712)		(4,239,891)		7,578,021
Interest rates contracts	Net gain (loss) from futures trading		(8,492,797)		19,692,367		(546,752)
Meats contracts	Net gain (loss) from futures trading		266,929		(161,655)		40,851
Metals contracts	Net gain (loss) from futures trading		(1,954,292)		(2,242,748)		(493,305)
Soft commodities contracts	Net gain (loss) from futures trading		220,619		(785,394)		(1,501,617)
Stock indices	Net gain (loss) from futures trading		23,817,809		4,103,539		(10,362,726)
Forward Currency Contracts	Net gain (loss) from forward trading		(2,371,940)		325,950		(2,077,514)
Swap Contracts	Net gain (loss) from swap trading		1,914,010		(1,902,797)		1,168,100
		$	3,123,843	$	13,597,021	$	(13,052,471)

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended
	March 31, 2018		March 31, 2017
Net gain (loss) from futures trading
Realized	$	(1,918,046)	$	2,661,434
Change in unrealized		(2,004,133)		(1,649,420)
Total realized and change in unrealized net gain (loss) from futures trading	$	(3,922,179)	$	1,012,014
Net gain (loss) from forward trading
Realized	$	(44,397)	$	(67,154)
Change in unrealized		123,471		(478,502)
Total realized and change in unrealized net gain (loss) from forward trading	$	79,074	$	(545,656)
Net gain (loss) from swap trading
Change in unrealized	$	294,820	$	454,233
Total realized and change in unrealized net gain (loss) from swap trading	$	294,820	$	454,233
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	(3,548,285)	$	920,591

Line Item in Consolidated Statement of Operations	For years ended December 31,
	2017		2016		2015
Net gain (loss) from futures trading
Realized	$	3,217,037	$	13,721,540	$	(1,421,184)
Change in unrealized		364,735		1,452,328		(10,721,873)
Total realized and change in unrealized net gain (loss) from futures trading	$	3,581,772	$	15,173,868	$	(12,143,057)
Net gain (loss) from forward trading
Realized	$	(2,396,861)	$	84,586	$	(2,018,078)
Change in unrealized		24,922		241,364		(59,436)
Total realized and change in unrealized net gain (loss) from forward trading	$	(2,371,939)	$	325,950	$	(2,077,514)
Net gain (loss) from swap trading
Change in unrealized	$	1,914,010		(1,902,797)		1,168,100
Total realized and change in unrealized net gain (loss) from swap trading	$	1,914,010	$	(1,902,797)	$	1,168,100
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	3,123,843	$	13,597,021	$	(13,052,471)

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of March 31, 2018

					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	$	3,172,216	$	(2,531,690)	$	640,526
Forward contracts		397,363		(248,265)		149,098
Swap contracts		2,113,139		(639,007)		1,474,132
Total derivatives	$	5,682,718	$	(3,418,962)	$	2,263,756

Offsetting of Derivative Assets

As of December 31, 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	$	5,223,195	$	(2,578,536)	$	2,644,659
Forward contracts		573,423		(547,796)		25,627
Swap contracts		1,179,312		—		1,179,312
Total derivatives	$	6,975,930	$	(3,126,332)	$	3,849,598

Offsetting of Derivative Assets

As of December 31, 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	$	5,223,195	$	(2,578,536)	$	2,644,659
Forward contracts		573,423		(547,796)		25,627
Swap contracts		1,179,312		—		1,179,312
Total derivatives	$	6,975,930	$	(3,126,332)	$	3,849,598

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 March 31, 2018

					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	$	2,531,690	$	(2,531,690)	$	—
Forward contracts		248,265		(248,265)		—
Swap contracts		639,007		(639,007)		—
Total derivatives	$	3,418,962	$	(3,418,962)	$	—

Offsetting of Derivative Liabilities

As of December 31, 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	$	2,578,536	$	(2,578,536)	$	—
Forward contracts		547,796		(547,796)		—
Swap contracts		—		—		—
Total derivatives	$	3,126,332	$	(3,126,332)	$	—

Offsetting of Derivative Liabilities

As of December 31, 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	$	2,578,536	$	(2,578,536)	$	—
Forward contracts		547,796		(547,796)		—
Swap contracts		—		—		—
Total derivatives	$	3,126,332	$	(3,126,332)	$	—

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 March 31, 2018

			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	$	1,474,132	$	—	$	—	$	1,474,132
SG Americas Securities, LLC		715,080		—		—		715,080
UBS AG		4,009		—		—		4,009
Wells Fargo Securities, LLC		70,535		—		—		70,535
Total	$	2,263,756	$	—	$	—	$	2,263,756

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 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	$	1,179,312	$	—	$	—	$	1,179,312
SG Americas Securities, LLC		1,805,261		—		—		1,805,261
UBS AG		(60,011)		—		—		(60,011)
Wells Fargo Securities, LLC		925,036		—		—		925,036
Total	$	3,849,598	$	—	$	—	$	3,849,598

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 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	$	1,179,312	$	—	$	—	$	1,179,312
SG Americas Securities, LLC		1,805,261		—		—		1,805,261
UBS AG		(60,011)		—		—		(60,011)
Wells Fargo Securities, LLC		925,036		—		—		925,036
Total	$	3,849,598	$	—	$	—	$	3,849,598

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