Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	3/31/2020		3/31/2020		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	69,794	$	(5,448)	$	64,346
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		121,017		(3,845)		117,172
Energy contracts	Net Unrealized gain (loss) on open futures contracts		203,381		(44,744)		158,637
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		466,955		(118,585)		348,370
Meats contracts	Net Unrealized gain (loss) on open futures contracts		25,317		—		25,317
Metals contracts	Net Unrealized gain (loss) on open futures contracts		329,602		(131,144)		198,458
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		89,342		(10,809)		78,533
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		202,436		(217,894)		(15,458)
		$	1,507,844	$	(532,469)	$	975,375
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	135,413	$	(125,060)	$	10,353
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(5,071,616)	$	(5,071,616)
*At March 31, 2020, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date April 30, 2024
Agricultural contracts	6%
Energy contracts	1%
Interest rate contracts	53%
Metals contracts	4%
Stock indices contracts	3%
Forward currency contracts	33%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	42%
Stock indices contracts	10%
Forward currency contracts	48%
Total	100%

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2019		12/31/2019		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	201,399	$	(45,915)	$	155,484
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		77,837		(71,524)		6,313
Energy contracts	Net Unrealized gain (loss) on open futures contracts		399,221		(314,480)		84,741
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		47,095		(324,965)		(277,870)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		1,715		(5,030)		(3,315)
Metals contracts	Net Unrealized gain (loss) on open futures contracts		277,156		(152,572)		124,584
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		56,283		(3,922)		52,361
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		325,154		(65,645)		259,509
		$	1,385,860	$	(984,053)	$	401,807
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	67,730	$	(136,803)	$	(69,073)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	3,650,232	$	(612,793)	$	3,037,439
*At December 31, 2019, the sector exposure of the CTA indices underlying the swaps was:
Deutsche Bank total return swap, termination date April 30, 2024
Agricultural contracts	3%
Energy contracts	3%
Interest rate contracts	46%
Metals contracts	5%
Stock indices contracts	12%
Forward currency contracts	31%
Total	100%
Deutsche Bank total return swap, termination date July 1, 2020
Interest rate contracts	39%
Stock indices contracts	22%
Forward currency contracts	39%
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, 2020		March 31, 2019
Agriculturals contracts	Net gain (loss) from futures trading	$	171,033	$	116,879
Currencies contracts	Net gain (loss) from futures trading		427,509		(506,183)
Energy contracts	Net gain (loss) from futures trading		568,697		(578,242)
Interest rates contracts	Net gain (loss) from futures trading		1,857,269		3,077,891
Meats contracts	Net gain (loss) from futures trading		143,671		(26,149)
Metals contracts	Net gain (loss) from futures trading		351,036		(253,345)
Soft commodities contracts	Net gain (loss) from futures trading		2,287		(162,505)
Stock indices	Net gain (loss) from futures trading		(3,818,038)		579,719
Forward Currency Contracts	Net gain (loss) from forward trading		244,864		36,355
Swap Contracts	Net gain (loss) from swap trading		(8,109,055)		(230,918)
		$	(8,160,727)	$	2,053,502

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statements of Operations	Three Months Ended
	March 31, 2020		March 31, 2019
Net gain (loss) from futures trading
Realized	$	(870,104)	$	1,887,583
Change in unrealized		573,568		360,482
Total realized and change in unrealized net gain (loss) from futures trading	$	(296,536)	$	2,248,065
Net gain (loss) from forward trading
Realized	$	165,438	$	17,913
Change in unrealized		79,426		18,442
Total realized and change in unrealized net gain (loss) from forward trading	$	244,864	$	36,355
Net gain (loss) from swap trading
Change in unrealized	$	(8,109,055)	$	(230,918)
Total realized and change in unrealized net gain (loss) from swap trading	$	(8,109,055)	$	(230,918)
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	(8,160,727)	$	2,053,502

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of March 31, 2020

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Assets		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	1,507,844	$	(532,469)	$	975,375
Forward contracts		135,413		(125,060)		10,353
Swap contracts		—		(5,071,616)		(5,071,616)
Total derivatives	$	1,643,257	$	(5,729,145)	$	(4,085,888)

Offsetting of Derivative Assets

As of December 31, 2019

					Net Amount of
			Gross Amounts		Unrealized Gain/(Loss)
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Assets		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	1,385,860	$	(984,053)	$	401,807
Forward contracts		67,730		(136,803)		(69,073)
Swap contracts		3,650,232		(612,793)		3,037,439
Total derivatives	$	5,103,822	$	(1,733,649)	$	3,370,173

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of March 31, 2020

					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Liabilities		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	532,469	$	(532,469)	$	—
Forward contracts		125,060		(125,060)		—
Swap contracts		5,071,616		(5,071,616)		—
Total derivatives	$	5,729,145	$	(5,729,145)	$	—

Offsetting of Derivative Liabilities

As of December 31, 2019

					Net Amount of
			Gross Amounts		Unrealized Gain
			Offset in the		Presented in
	Gross Amount of		Consolidated		the Consolidated
	Recognized		Statements of		Statements of
Type of Instrument	Liabilities		Financial Condition		Financial Condition
U.S. and foreign futures contracts	$	984,053	$	(984,053)	$	—
Forward contracts		136,803		(136,803)		—
Swap contracts		612,793		(612,793)		—
Total derivatives	$	1,733,649	$	(1,733,649)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of March 31, 2020

			Gross Amounts Not Offset in the Consolidated
			Statements of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statements of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	547,129	$	—	$	—	$	547,129
Deutsche Bank AG		(5,071,616)		—		—		(5,071,616)
SG Americas Securities, LLC		438,599		—		—		438,599
Total	$	(4,085,888)	$	—	$	—	$	(4,085,888)

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2019

			Gross Amounts Not Offset in the Consolidated
			Statements of Financial Condition
	Net Amount of
	Unrealized Gain/(Loss)
	Presented in
	the Consolidated
	Statements of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount
ADM Investor Services, Inc.	$	(75,551)	$	—	$	—	$	(75,551)
Deutsche Bank AG		3,037,439		—		—		3,037,439
SG Americas Securities, LLC		408,285		—		—		408,285
Total	$	3,370,173	$	—	$	—	$	3,370,173