Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2018

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	9/30/2018		9/30/2018		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	102,251	$	(40,534)	$	61,717
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		349,554		(246,506)		103,048
Energy contracts	Net Unrealized gain (loss) on open futures contracts		881,731		(14,082)		867,649
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		598,812		(721,575)		(122,763)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		33,625		(9,008)		24,617
Metals contracts	Net Unrealized gain (loss) on open futures contracts		356,521		(408,999)		(52,478)
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		314,273		(30,002)		284,271
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		1,110,676		(187,131)		923,545
		$	3,747,443	$	(1,657,837)	$	2,089,606
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	167,777	$	(281,376)	$	(113,599)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	1,633,143	$	(34,349)	$	1,598,794
*At September 30, 2018, 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	64%
Metals contracts	1%
Stock indices contracts	3%
Forward currency contracts	29%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	43%
Stock indices contracts	23%
Forward currency contracts	34%
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%

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, 2018		September 30, 2017		September 30, 2018		September 30, 2017
Agriculturals contracts	Net gain (loss) from futures trading	$	(161,208)	$	(1,293,249)	$	(999,875)	$	(2,371,623)
Currencies contracts	Net gain (loss) from futures trading		(292,778)		465,911		(167,862)		(2,630,140)
Energy contracts	Net gain (loss) from futures trading		84,828		(398,756)		1,557,374		(7,007,122)
Interest rates contracts	Net gain (loss) from futures trading		(1,294,553)		(1,446,217)		(673,845)		(7,567,144)
Meats contracts	Net gain (loss) from futures trading		(5,978)		(383,441)		(292,654)		333,991
Metals contracts	Net gain (loss) from futures trading		867,554		399,336		(681,082)		(2,207,600)
Soft commodities contracts	Net gain (loss) from futures trading		656,969		(785,380)		1,511,344		382,280
Stock indices	Net gain (loss) from futures trading		1,783,370		3,790,195		(1,804,213)		17,060,597
Forward Currency Contracts	Net gain (loss) from forward trading		9,437		(13,784)		20,143		(1,649,376)
Swap Contracts	Net gain (loss) from swap trading		(540,473)		460,436		419,482		597,256
		$	1,107,168	$	795,051	$	(1,111,188)	$	(5,058,881)

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended				Nine Months Ended
	September 30, 2018		September 30, 2017		September 30, 2018		September 30, 2017
Net gain (loss) from futures trading
Realized	$	1,054,015	$	(3,624,312)	$	(995,761)	$	(2,024,091)
Change in unrealized		584,189		3,972,712		(555,052)		(1,982,669)
Total realized and change in unrealized net gain (loss) from futures trading	$	1,638,204	$	348,400	$	(1,550,813)	$	(4,006,760)
Net gain (loss) from forward trading
Realized	$	262,786	$	513,204	$	159,369	$	(1,134,274)
Change in unrealized		(253,349)		(526,989)		(139,226)		(515,103)
Total realized and change in unrealized net gain (loss) from forward trading	$	9,437	$	(13,785)	$	20,143	$	(1,649,377)
Net gain (loss) from swap trading
Change in unrealized	$	(540,473)	$	460,436	$	419,482	$	597,256
Total realized and change in unrealized net gain (loss) from swap trading	$	(540,473)	$	460,436	$	419,482	$	597,256
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	1,107,168	$	795,051	$	(1,111,188)	$	(5,058,881)

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of September 30, 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	$	3,747,443	$	(1,657,837)	$	2,089,606
Forward contracts		167,777		(281,376)		(113,599)
Swap contracts		1,633,143		(34,349)		1,598,794
Total derivatives	$	5,548,363	$	(1,973,562)	$	3,574,801

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

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of September 30, 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	$	1,657,837	$	(1,657,837)	$	—
Forward contracts		281,376		(281,376)		—
Swap contracts		34,349		(34,349)		—
Total derivatives	$	1,973,562	$	(1,973,562)	$	—

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)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of September 30, 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
ADM Investor Services, Inc.	$	230,586	$	—	$	—	$	230,586
Deutsche Bank AG		1,598,794		—		—		1,598,794
SG Americas Securities, LLC		1,847,870		—		—		1,847,870
UBS AG		(102,449)		—		—		(102,449)
Total	$	3,574,801	$	-	$	-	$	3,574,801

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