Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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(State or other jurisdiction of incorporation or organization)
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(IRS Employer Identification Number)
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(Address of principal executive offices, including zip code)
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( |
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(Registrant’s telephone number, including area code) |
Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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Not applicable.
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Not applicable.
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Not applicable.
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Large accelerated filer ☐
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Accelerated filer ☐
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Smaller reporting company
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Page
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PART I — FINANCIAL INFORMATION
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Item 1.
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Financial Statements.
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1-6
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7
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Statements of Operations for the Three Months and Six Months Ended June 30, 2023
and 2022 (Unaudited)
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8
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9
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Statements of Changes in Partners’ Capital (Net Asset Value) for the Six Months Ended June 30, 2023
and 2022 (Unaudited)
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10
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11
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12-26
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Item 2.
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27-33
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Item 3.
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34-38
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Item 4.
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38
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Item 1.
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39
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Item 1A.
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39
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Item 2.
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39
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Item 3.
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39
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Item 4.
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39
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Item 5.
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39
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Item 6.
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40-41
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42
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Maturity |
Fair | % of Net | |||||||||
Face Value |
Description | Value ($) | Asset Value | ||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$ |
|
|
%
|
|||||||
Equipment Loans
|
|
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%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $
|
|
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%
|
||||||||
Commercial Paper
|
|||||||||||
Canada
|
|||||||||||
Materials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
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%
|
||||||||
Consumer Staples
|
|
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%
|
||||||||
Financials
|
|
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%
|
||||||||
Industrials
|
|
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%
|
||||||||
Materials
|
|
|
%
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||||||||
Real estate
|
|
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%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
$ |
|
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
|||||||
Canada
|
|||||||||||
Financials
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Information technology
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real estate
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government and Agency Obligations (cost $
|
|
|
%
|
||||||||
Total Fixed Income Securities (2) (cost $
|
$
|
|
|
%
|
(1)
|
Pledged as collateral for the trading of futures positions.
|
(2) |
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
|||||
Total Short Term Investments (cost $
|
$
|
|
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
|
|
%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
|
|
%
|
|||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
(
|
)
|
(
|
)%
|
||||
Metals
|
|
|
%
|
|||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
|
|
%
|
||||
Various short forward currency contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net proceeds $
|
$
|
|
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - Pay fixed (net proceeds $
|
$
|
|
|
(3)
|
|
(4)
|
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Asset Backed Securities | |||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Commercial Paper | |||||||||||
Ireland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
$
|
|
|
%
|
Maturity |
Fair
|
% of Net
|
|||||||||
Face Value |
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds |
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
|||||||
Canada
|
|||||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real estate
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations | |||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ |
U.S. Treasury Bills Due
|
|
|
%
|
|||||||
$ |
U.S. Treasury Bills Due
|
|
|
%
|
|||||||
$ |
U.S. Treasury Bills Due
|
|
|
%
|
|||||||
Total Government and Agency Obligations (cost $ |
|
|
%
|
||||||||
Total Fixed Income Securities (2) (cost $ |
$
|
|
|
%
|
(1)
|
|
(2)
|
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
(
|
)
|
(
|
)%
|
|||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(
|
)
|
(
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
(
|
)
|
(
|
)%
|
||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
|
|
%
|
||||
Various short forward currency contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net proceeds $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $
|
$
|
|
|
%
|
(3)
|
|
(4)
|
|
June 30, 2023
|
December 31, 2022
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
|
|||||||
Fixed income securities (cost $
|
|
|
||||||
Net unrealized gain (loss) on open futures contracts
|
|
|
||||||
Total equity in futures brokers trading accounts
|
|
|
||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market maker
|
|
|
||||||
Short term investments (cost $
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Fixed income securities (cost $
|
|
|
||||||
Credit default index swaps
|
|
|
||||||
Interest rate swaps
|
||||||||
Due from swaps broker
|
|
|
||||||
Net unrealized gain on open forward currency contracts
|
|
|
||||||
Interest receivable
|
|
|
||||||
Total assets
|
$
|
|
$
|
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
|
$
|
|
||||
Brokerage fee payable
|
|
|
||||||
Net unrealized loss on open forward currency contracts
|
|
|
|
|
|
|
|
|
Payable for securities purchased
|
||||||||
Accrued commissions and other trading fees on open contracts
|
|
|
||||||
Offering costs payable
|
|
|
||||||
Redemptions payable
|
|
|
||||||
Total liabilities
|
|
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner -
|
|
|
||||||
Limited Partners -
|
|
|
||||||
Total partners’ capital (Net Asset Value)
|
|
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
|
$
|
|
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
|
2023
|
2022
|
2023
|
2022
|
||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
|
(
|
)
|
|||||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net gain (loss) from futures trading
|
|
|
|
|
||||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
(
|
)
|
|
|
|
|||||||||||
Change in unrealized
|
(
|
)
|
|
(
|
)
|
|
||||||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
(
|
)
|
|
|
|
|||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
|
|
|
|
||||||||||||
Change in unrealized
|
|
(
|
)
|
|
|
|||||||||||
Net gain (loss) from swap trading
|
|
|
|
|
||||||||||||
Total net trading gain (loss)
|
|
|
|
|
||||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
|
|
|
|
||||||||||||
Realized gain (loss) on fixed income securities
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Change in unrealized gain (loss) on fixed income securities
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Total investment income (loss)
|
|
|
|
(
|
)
|
|||||||||||
Expenses
|
||||||||||||||||
Brokerage fee
|
|
|
|
|
||||||||||||
Operating expenses
|
|
|
|
|
||||||||||||
Total expenses
|
|
|
|
|
||||||||||||
Net investment income (loss)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
|||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
|||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
(
|
)
|
$ |
$
|
|
$
|
|
||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
|
|
|
|
Six Months Ended
June 30,
|
||||||||
2023
|
2022
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
|
$
|
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
(
|
)
|
(
|
)
|
||||
(Increase) decrease in interest receivable
|
(
|
)
|
(
|
)
|
||||
(Increase) decrease in due from swaps broker
|
(
|
)
|
|
|||||
Increase (decrease) in payable for securities purchased | ||||||||
Increase (decrease) in accounts payable and accrued expenses
|
(
|
|
||||||
Net purchases from swap broker
|
|
|
||||||
Purchases of investments
|
(
|
)
|
(
|
)
|
||||
Sales/maturities of investments
|
|
|
||||||
Net cash from (for) operating activities
|
|
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
(
|
)
|
(
|
)
|
||||
Offering costs paid
|
(
|
)
|
(
|
)
|
||||
Net cash from (for) financing activities
|
(
|
)
|
(
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
|
(
|
)
|
|||||
Cash, cash equivalents and restricted cash at beginning of period
|
|
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
June 30, 2023
|
December 31, 2022
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
||||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market maker
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Six Months Ended June 30, 2023
|
||||||||||||||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2023
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at March 31, 2023
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2023
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at June 30, 2023
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Six Months Ended June 30, 2022
|
||||||||||||||||||||||||
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2022
|
|
|
$
|
|
||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at March 31, 2022
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2022
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at June 30, 2022
|
|
$
|
|
|
$
|
|
|
$
|
|
June 30, 2023
|
March 31, 2023
|
December 31, 2022
|
June 30, 2022
|
March 31, 2022
|
December 31, 2021
|
|||||||||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2023
|
2022
|
2023
|
2022
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
|
|
|
|
||||||||||||
Net investment income (loss) (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Total net income (loss) from operations
|
(
|
)
|
|
|
|
|||||||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Total Return (4)
|
(
|
)%
|
|
%
|
|
%
|
|
%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
|
%
|
|
%
|
||||||||
Performance fee (4)
|
|
%
|
|
%
|
|
%
|
|
%
|
||||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
|
%
|
||||||||
Net investment income (loss) (2) (3)
|
(
|
)%
|
(
|
)%
|
(
|
)%
|
(
|
)%
|
(1) |
|
(2) |
|
(3) |
|
(4) |
|
Fair Value at June 30, 2023
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Fair Value at December 31, 2022
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts
|
|
|
|
|
||||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
June 30, 2023
|
December 31, 2022
|
|||||||
Credit Default Index Swaps
|
Maturity Date:
|
Maturity Date:
|
||||||
Investment grade
|
$
|
|
$
|
|
||||
Non-investment grade
|
|
|
||||||
Total
|
$
|
|
$
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
June 30, 2023
Fair Value |
Liability
Derivatives at
June 30, 2023
Fair Value
|
Net
|
|||||||||
Agriculture Contracts |
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
|
(
|
)
|
|
||||||||
Total
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2022
Fair Value
|
Liability
Derivatives at
December 31, 2022
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | ||||||||||
Total
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument
|
Trading Gains (Losses) for
the Three Months Ended
|
Trading Gains (Losses) for
the Three Months Ended
|
||||||
Agriculture Contracts
|
$
|
|
$
|
|
||||
Energy Contracts
|
(
|
)
|
|
|||||
Metal Contracts
|
|
(
|
)
|
|||||
Stock Indices Contracts
|
|
|
||||||
Short-Term Interest Rate Contracts
|
|
(
|
)
|
|||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Forward Currency Contracts
|
(
|
)
|
|
|||||
Credit Default Index Swap Contracts
|
|
(
|
)
|
|||||
Interest Rate Swap Contracts
|
|
|
||||||
Total
|
$
|
|
$
|
|
Type of Instrument
|
Trading Gains (Losses) for
the Six Months Ended
|
Trading Gains (Losses) for
the Six Months Ended
|
||||||
Agriculture Contracts
|
$
|
|
$
|
|
||||
Energy Contracts
|
(
|
)
|
|
|||||
Metal Contracts
|
|
|
||||||
Stock Indices Contracts
|
|
|
||||||
Short-Term Interest Rate Contracts
|
|
|
||||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Forward Currency Contracts
|
|
|
||||||
Credit Default Index Swap Contracts
|
|
(
|
)
|
|||||
Interest Rate Swap Contracts
|
|
|
||||||
Total
|
$
|
|
$
|
|
Line Item in the Statements of Operations
|
Trading Gains (Losses) for
the Three Months Ended
|
Trading Gains (Losses) for
the Three Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
|
$
|
|
||||
Change in unrealized
|
(
|
)
|
(
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
(
|
)
|
|
|||||
Change in unrealized
|
(
|
)
|
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
|
|
||||||
Change in unrealized
|
|
(
|
)
|
|||||
Total
|
$
|
|
$
|
|
Line Item in the Statements of Operations
|
Trading Gains (Losses) for
the Six Months Ended
|
Trading Gains (Losses) for
the Six Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
|
$
|
|
||||
Change in unrealized
|
|
(
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
|
|
||||||
Change in unrealized
|
(
|
)
|
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
|
|
||||||
Change in unrealized
|
|
|
||||||
Total
|
$
|
|
$
|
|
** |
|
*** |
|
Offsetting of Derivative Assets by Counterparty
|
As of June 30, 2023
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the Statements of
Financial Condition
|
|||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
|||||||||
As of June 30, 2023
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Received |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of June 30, 2023
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of June 30, 2023
|
Net Amounts of
Unrealized Loss Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Pledged |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
(
|
)
|
|
|||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Offsetting of Derivative Assets by Counterparty
|
As of December 31, 2022
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
|
$ | ( |
) | $ | ||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
As of December 31, 2022
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Received |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2022
|
Type of Instrument
|
Counterparty
|
Gross Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements ofFinancial Condition
|
|||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of December 31, 2022
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments |
Cash Collateral
Pledged |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
1.18
|
%
|
||
Commodities
|
0.94
|
%
|
||
Foreign Exchange
|
0.54
|
%
|
||
Interest Rates
|
0.35
|
%
|
||
Equity Indices
|
1.34
|
%
|
||
4.35
|
%
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
0.48
|
%
|
||
Commodities
|
12.77
|
%
|
||
Foreign Exchange
|
15.26
|
%
|
||
Interest Rates
|
10.87
|
%
|
||
Equity Indices
|
1.07
|
%
|
||
40.45
|
%
|
June 30, 2023
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.19
|
%
|
1.18
|
%
|
||||
Commodities
|
0.73
|
%
|
0.94
|
%
|
||||
Foreign Exchange
|
0.69
|
%
|
0.54
|
%
|
||||
Interest Rates
|
0.79
|
%
|
0.35
|
%
|
||||
Equity Indices
|
0.61
|
%
|
1.34
|
%
|
||||
Aggregate/Total
|
1.18
|
%
|
4.35
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the
sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Of the 2.80% year to date return, approximately 4.35% was due to trading gains (before commissions), approximately 2.41% due to investment income and approximately (3.96)% due to brokerage fees, operating expenses
and offering costs borne by the Fund.
|
December 31, 2022
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.09
|
%
|
1.52
|
%
|
||||
Commodities
|
0.54
|
%
|
9.43
|
%
|
||||
Foreign Exchange
|
1.15
|
%
|
20.25
|
%
|
||||
Interest Rates
|
0.98
|
%
|
16.46
|
%
|
||||
Equity Indices
|
0.53
|
%
|
1.06
|
%
|
||||
Aggregate/Total
|
1.66
|
%
|
48.72
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the
sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Of the 41.83% year to date return, approximately 48.72% was due to trading gains (before commissions) and approximately 1.42% due to investment income, offset by approximately (8.31)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
4.01
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of June 30, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of
June 30, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2023 and 2022, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2023 and 2022, (v) Statements of Changes
in Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2023 and 2022, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2023 and 2022, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.
|
(2) |
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.
|
(4) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.
|
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of June 30, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of June
30, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2023 and 2022, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2023 and 2022, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2023 and 2022, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2023 and 2022, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
|
|||
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: August 14, 2023
|
By:
|
/s/ Kevin D. Cole
|
|
Kevin D. Cole
|
|||
Chief Executive Officer & Chief Investment Officer
|