Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	3/31/2021		3/31/2021		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	148,262	$	(80,660)	$	67,602
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		72,879		(53,863)		19,016
Energy contracts	Net Unrealized gain (loss) on open futures contracts		510,211		(164,742)		345,469
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		402,200		(288,014)		114,186
Meats contracts	Net Unrealized gain (loss) on open futures contracts		119,145		(9,037)		110,108
Metals contracts	Net Unrealized gain (loss) on open futures contracts		242,596		(270,208)		(27,612)
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		111,417		(103,818)		7,599
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		89,882		(19,192)		70,690
		$	1,696,592	$	(989,534)	$	707,058
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	486,349	$	(319,115)	$	167,234
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(689,770)	$	(689,770)
*At March 31, 2021, the sector exposure of the CTA index underlying the swap was:
Deutsche Bank total return swap, termination date June 30, 2025
Interest rate contracts	31%
Stock indices contracts	19%
Forward currency contracts	50%
Total	100%

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2020		12/31/2020		Fair Value
Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	497,774	$	(1,962)	$	495,812
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		184,052		(9,147)		174,905
Energy contracts	Net Unrealized gain (loss) on open futures contracts		273,682		(142,530)		131,152
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		120,357		(154,791)		(34,434)
Meats contracts	Net Unrealized gain (loss) on open futures contracts		17,160		(4,135)		13,025
Metals contracts	Net Unrealized gain (loss) on open futures contracts		408,111		(84,566)		323,545
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		283,819		(50,031)		233,788
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		283,402		(57,357)		226,045
		$	2,068,357	$	(504,519)	$	1,563,838
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	$	62,001	$	(125,930)	$	(63,929)
Swap Contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(1,420,571)	$	(1,420,571)
*At December 31, 2020, the sector exposure of the CTA index underlying the swap was:
Deutsche Bank total return swap, termination date June 30, 2025
Interest rate contracts	59%
Stock indices contracts	13%
Forward currency contracts	28%
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, 2021		March 31, 2020
Agriculturals contracts	Net gain (loss) from futures trading	$	361,138	$	171,033
Currencies contracts	Net gain (loss) from futures trading		(275,851)		427,509
Energy contracts	Net gain (loss) from futures trading		1,216,724		568,697
Interest rates contracts	Net gain (loss) from futures trading		89,615		1,857,269
Meats contracts	Net gain (loss) from futures trading		98,764		143,671
Metals contracts	Net gain (loss) from futures trading		(18,975)		351,036
Soft commodities contracts	Net gain (loss) from futures trading		381,736		2,287
Stock indices	Net gain (loss) from futures trading		786,198		(3,818,038)
Forward currency contracts	Net gain (loss) from forward currency trading		309,338		244,864
Swap contracts	Net gain (loss) from swap trading		730,801		(8,109,055)
		$	3,679,488	$	(8,160,727)

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statements of Operations	Three Months Ended
	March 31, 2021		March 31, 2020
Net gain (loss) from futures trading
Realized	$	3,496,129	$	(870,104)
Change in unrealized		(856,780)		573,568
Total realized and change in unrealized net gain (loss) from futures trading	$	2,639,349	$	(296,536)
Net gain (loss) from forward currency trading
Realized	$	78,175	$	165,438
Change in unrealized		231,163		79,426
Total realized and change in unrealized net gain (loss) from forward currency trading	$	309,338	$	244,864
Net gain (loss) from swap trading
Change in unrealized	$	730,801	$	(8,109,055)
Total realized and change in unrealized net gain (loss) from swap trading	$	730,801	$	(8,109,055)
Total realized and change in unrealized net gain (loss) from futures, forward and swap trading	$	3,679,488	$	(8,160,727)

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of March 31, 2021

					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	$	1,696,592	$	(989,534)	$	707,058
Forward currency contracts		486,349		(319,115)		167,234
Swap contracts		—		(689,770)		(689,770)
Total derivatives	$	2,182,941	$	(1,998,419)	$	184,522

Offsetting of Derivative Assets

As of December 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	$	2,068,357	$	(504,519)	$	1,563,838
Forward currency contracts		62,001		(125,930)		(63,929)
Swap contracts		—		(1,420,571)		(1,420,571)
Total derivatives	$	2,130,358	$	(2,051,020)	$	79,338

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of March 31, 2021

					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	$	989,534	$	(989,534)	$	—
Forward currency contracts		319,115		(319,115)		—
Swap contracts		689,770		(689,770)		—
Total derivatives	$	1,998,419	$	(1,998,419)	$	—

Offsetting of Derivative Liabilities

As of December 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	$	504,519	$	(504,519)	$	—
Forward currency contracts		125,930		(125,930)		—
Swap contracts		1,420,571		(1,420,571)		—
Total derivatives	$	2,051,020	$	(2,051,020)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of March 31, 2021

			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.	$	186,793	$	—	$	—	$	186,793
Deutsche Bank AG		(689,770)		—		—		(689,770)
Rosenthal Collins Group Division of Marex Spectron		208,618		—		—		208,618
SG Americas Securities, LLC		478,881		—		—		478,881
Total	$	184,522	$	—	$	—	$	184,522

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 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.	$	304,358	$	—	$	—	$	304,358
Deutsche Bank AG		(1,420,571)		—		—		(1,420,571)
Rosenthal Collins Group Division of Marex Spectron		112,762						112,762
SG Americas Securities, LLC		1,082,789		—		—		1,082,789
Total	$	79,338	$	—	$	—	$	79,338