Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments

Summary of Fair Values of Derivative Instruments

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	June 30, 2022		June 30, 2022		Fair Value
Agriculturals contracts	Net Unrealized gain (loss) on open futures contracts	$	63,478	$	(174,869)	$	(111,391)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		244,090		(149,722)		94,368
Energy contracts	Net Unrealized gain (loss) on open futures contracts		313,674		(491,320)		(177,646)
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		504,065		(379,972)		124,093
Meats contracts	Net Unrealized gain (loss) on open futures contracts		10,510		(10,425)		85
Metals contracts	Net Unrealized gain (loss) on open futures contracts		865,650		(575,083)		290,567
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		108,868		(27,483)		81,385
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		211,985		(55,228)		156,757
		$	2,322,320	$	(1,864,102)	$	458,218

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	December 31, 2021		December 31, 2021		Fair Value
Agriculturals contracts	Net Unrealized gain (loss) on open futures contracts	$	78,449	$	(92,756)	$	(14,307)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts		82,177		(235,432)		(153,255)
Energy contracts	Net Unrealized gain (loss) on open futures contracts		51,769		(40,364)		11,405
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts		347,549		(167,687)		179,862
Meats contracts	Net Unrealized gain (loss) on open futures contracts		12,651		(4,114)		8,537
Metals contracts	Net Unrealized gain (loss) on open futures contracts		228,905		(189,619)		39,286
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts		101,421		(24,286)		77,135
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts		174,098		(98,809)		75,289
		$	1,077,019	$	(853,067)	$	223,952
Swap contracts*	Net Unrealized gain (loss) on open swap contracts	$	—	$	(591,631)	$	(591,631)
*At December 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	26%
Stock indices contracts	23%
Forward currency contracts	51%
Total	100%

Schedule of Effect of Derivative Instruments on the Consolidated Statement of Operations

		Three Months Ended				Six Months Ended
Type of Contract		June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
Agriculturals contracts	Net gain (loss) from futures trading	$	(502,266)	$	827,829	$	249,127	$	1,188,967
Currencies contracts	Net gain (loss) from futures trading		795,245		166,269		1,002,953		(109,582)
Energy contracts	Net gain (loss) from futures trading		361,337		636,861		1,972,315		1,853,585
Interest rates contracts	Net gain (loss) from futures trading		887,238		328,245		1,831,134		417,860
Meats contracts	Net gain (loss) from futures trading		(140,849)		(70,061)		(211,770)		28,703
Metals contracts	Net gain (loss) from futures trading		169,924		233,042		997,787		214,067
Soft commodities contracts	Net gain (loss) from futures trading		(300,377)		326,508		(199,944)		708,244
Stock indices contracts	Net gain (loss) from futures trading		417,655		(13,084)		196,313		773,114
	Net gain (loss) from futures trading		1,687,907		2,435,609		5,837,915		5,074,958
Forward currency contracts	Net gain (loss) from forward currency trading		—		(222,688)		—		86,650
Swap contracts	Net gain (loss) from swap trading		—		112,775		(330,498)		843,576
Total		$	1,687,907	$	2,325,696	$	5,507,417	$	6,005,184

Schedule of Line Item in Consolidated Statement of Operations

Line Item in Consolidated Statements of Operations	Three Months Ended				Six Months Ended
	June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
Net gain (loss) from futures trading
Realized	$	2,444,080	$	3,027,117	$	5,603,649	$	6,523,246
Change in unrealized		(756,173)		(591,508)		234,266		(1,448,288)
Total realized and change in unrealized net gain (loss) from futures trading	$	1,687,907	$	2,435,609	$	5,837,915	$	5,074,958
Net gain (loss) from forward currency trading
Realized	$	—	$	(55,454)	$	—	$	22,721
Change in unrealized		—		(167,234)		—		63,929
Total realized and change in unrealized net gain (loss) from forward currency trading	$	—	$	(222,688)	$	—	$	86,650
Net gain (loss) from swap trading
Realized	$	—	$	—	$	(922,129)	$	—
Change in unrealized		—		112,775		591,631		843,576
Total realized and change in unrealized net gain (loss) from swap trading	$	—	$	112,775	$	(330,498)	$	843,576
Total realized and change in unrealized net gain (loss) from futures, forward currency and swap trading	$	1,687,907	$	2,325,696	$	5,507,417	$	6,005,184

Schedule of Offsetting of Derivative Assets

Offsetting of Derivative Assets

As of June 30, 2022

					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
Total U.S. and foreign futures contracts	$	2,322,320	$	(1,864,102)	$	458,218

Offsetting of Derivative Assets

As of December 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	$	1,077,019	$	(853,067)	$	223,952
Swap contracts		—		(591,631)		(591,631)
Total derivatives	$	1,077,019	$	(1,444,698)	$	(367,679)

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of June 30, 2022

					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
Total U.S. and foreign futures contracts	$	1,864,102	$	(1,864,102)	$	—

Offsetting of Derivative Liabilities

As of December 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	$	853,067	$	(853,067)	$	—
Swap contracts		591,631		(591,631)		—
Total derivatives	$	1,444,698	$	(1,444,698)	$	—

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivative Assets and Liabilities and Collateral Received by Counterparty

As of June 30, 2022

			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		Pledged		Net Amount
ADM Investor Services, Inc.	$	328,693	$	—	$	—	$	328,693
Rosenthal Collins Group Division of Marex Spectron		129,525		—		—		129,525
Total	$	458,218	$	—	$	—	$	458,218

Derivative Assets and Liabilities and Collateral Received by Counterparty

As of December 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		Pledged		Net Amount
ADM Investor Services, Inc.	$	120,272	$	—	$	—	$	120,272
Deutsche Bank AG		(591,631)		—		591,631		—
Rosenthal Collins Group Division of Marex Spectron		103,680		—		—		103,680
Total	$	(367,679)	$	—	$	591,631	$	223,952