Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	9/30/2019		9/30/2019		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	90,053	$	(116,177)	$	(26,124)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		316,799		(38,718)		278,081
Energy contracts	Net Unrealized gain (loss) on open futures contracts		151,132		(279,118)		(127,986)
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		262,011		(482,520)		(220,509)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		760		(18,778)		(18,018)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		488,821		(429,896)		58,925
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		15,631		(72,951)		(57,320)
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		223,600		(146,461)		77,139
		$	1,548,807	$	(1,584,619)	$	(35,812)
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	183,679	$	(87,578)	$	96,101
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	2,776,688	$	(82,765)	$	2,693,923
*At September 30, 2019, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date April 30, 2024
Agricultural contracts	2%
Energy contracts	1%
Interest rate contracts	74%
Metals contracts	2%
Stock indices contracts	4%
Forward currency contracts	17%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	46%
Stock indices contracts	22%
Forward currency contracts	32%
Total	100%

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2018		12/31/2018		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	137,471	$	(21,434)	$	116,037
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		319,952		(279,232)		40,720
Energy contracts	Net Unrealized gain (loss) on open futures contracts		213,143		(29,596)		183,547
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		1,472,305		(230,289)		1,242,016
Meats contracts	Net Unrealized gain (loss) on open futures contracts		34,138		(20,908)		13,230
Metals contracts	Net Unrealized gain (loss) on open futures contracts		489,925		(224,143)		265,782
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		149,703		(25,803)		123,900
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		135,976		(393,667)		(257,691)
		$	2,952,613	$	(1,225,072)	$	1,727,541
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	142,015	$	(183,443)	$	(41,428)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	2,528,979	$	(595,870)	$	1,933,109
*At December 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	4%
Energy contracts	2%
Interest rate contracts	58%
Metals contracts	1%
Stock indices contracts	4%
Forward currency contracts	31%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	52%
Stock indices contracts	15%
Forward currency contracts	33%
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, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Agriculturals contracts	Net gain (loss) from futures trading	$	63,116	$	(161,208)	$	(31,550)	$	(999,875)
Currencies contracts	Net gain (loss) from futures trading		754,299		(292,778)		(41,445)		(167,862)
Energy contracts	Net gain (loss) from futures trading		(433,057)		84,828		(1,047,055)		1,557,374
Interest rates contracts	Net gain (loss) from futures trading		1,628,379		(1,294,553)		6,672,188		(673,845)
Meats contracts	Net gain (loss) from futures trading		(57,190)		(5,978)		(119,508)		(292,654)
Metals contracts	Net gain (loss) from futures trading		310,738		867,554		529,697		(681,082)
Soft commodities contracts	Net gain (loss) from futures trading		63,227		656,969		(148,220)		1,511,344
Stock indices	Net gain (loss) from futures trading		(406,464)		1,783,370		578,608		(1,804,213)
Forward Currency Contracts	Net gain (loss) from forward trading		73,076		9,437		223,996		20,143
Swap Contracts	Net gain (loss) from swap trading		1,129,397		(540,473)		760,814		419,482
		$	3,125,521	$	1,107,168	$	7,377,525	$	(1,111,188)

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statement of Operations	Three Months Ended				Nine Months Ended
	September 30, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Net gain (loss) from futures trading
Realized	$	3,840,920	$	1,054,015	$	8,156,068	$	(995,761)
Change in unrealized		(1,917,872)		584,189		(1,763,353)		(555,052)
Total realized and change in unrealized net gain (loss) from futures trading	$	1,923,048	$	1,638,204	$	6,392,715	$	(1,550,813)
Net gain (loss) from forward trading
Realized	$	28,629	$	262,786	$	86,467	$	159,369
Change in unrealized		44,447		(253,349)		137,529		(139,226)
Total realized and change in unrealized net gain (loss) from forward trading	$	73,076	$	9,437	$	223,996	$	20,143
Net gain (loss) from swap trading
Change in unrealized	$	1,129,397	$	(540,473)	$	760,814	$	419,482
Total realized and change in unrealized net gain (loss) from swap trading	$	1,129,397	$	(540,473)	$	760,814	$	419,482
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	3,125,521	$	1,107,168	$	7,377,525	$	(1,111,188)

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of September 30, 2019

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			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	$	1,548,807	$	(1,584,619)	$	(35,812)
Forward contracts		183,679		(87,578)		96,101
Swap contracts		2,776,688		(82,765)		2,693,923
Total derivatives	$	4,509,174	$	(1,754,962)	$	2,754,212

Offsetting of Derivative Assets

As of December 31, 2018

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			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	$	2,952,613	$	(1,225,072)	$	1,727,541
Forward contracts		142,015		(183,443)		(41,428)
Swap contracts		2,528,979		(595,870)		1,933,109
Total derivatives	$	5,623,607	$	(2,004,385)	$	3,619,222

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of September 30, 2019

					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	$	1,584,619	$	(1,584,619)	$	—
Forward contracts		87,578		(87,578)		—
Swap contracts		82,765		(82,765)		—
Total derivatives	$	1,754,962	$	(1,754,962)	$	—

Offsetting of Derivative Liabilities

As of December 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	$	1,225,072	$	(1,225,072)	$	—
Forward contracts		183,443		(183,443)		—
Swap contracts		595,870		(595,870)		—
Total derivatives	$	2,004,385	$	(2,004,385)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of September 30, 2019

			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	(9,908)	$	—	$	—	$	(9,908)
Deutsche Bank AG		2,693,923		—		—		2,693,923
SG Americas Securities, LLC		70,197		—		—		70,197
Total	$	2,754,212	$	—	$	—	$	2,754,212

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2018

			Gross Amounts Not Offset in the Consolidated
			Statement of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	104,888	$	—	$	—	$	104,888
Deutsche Bank AG		1,933,109		—		—		1,933,109
SG Americas Securities, LLC		1,625,006		—		—		1,625,006
UBS AG		(43,781)		—		—		(43,781)
Total	$	3,619,222	$	—	$	—	$	3,619,222