Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	975,375	$	—	$	—	$	975,375
Forward currency contracts		—		10,353		—		10,353
Swap contracts		—		(5,071,616)		—		(5,071,616)
Cash and cash equivalents
U.S. money market fund		6,273,074		—		—		6,273,074
Securities owned
U.S. Government-sponsored enterprises		—		26,090,064		—		26,090,064
U.S. Government securities		—		4,981,878		—		4,981,878
U.S. Exchange-traded funds		7,676,592		—		—		7,676,592
Total	$	14,925,041	$	26,010,679	$	—	$	40,935,720

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, 2019:

Assets	Level 1		Level 2		Level 3		Total
Equity in brokers' trading accounts
U.S. and foreign futures contracts	$	401,807	$	—	$	—	$	401,807
Forward currency contracts		—		(69,073)		—		(69,073)
Swap contracts		—		3,037,439		—		3,037,439
Cash and cash equivalents
U.S. money market fund		576,180		—		—		576,180
Securities owned
U.S. Government-sponsored enterprises		—		31,644,430		—		31,644,430
U.S. Government securities		—		13,431,977		—		13,431,977
U.S. Exchange-traded funds		5,004,400		—		—		5,004,400
Total	$	5,982,387	$	48,044,773	$	—	$	54,027,160