☑ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 94-6260018 | |
(State of Organization) | (IRS Employer Identification Number) |
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) | ||
(410) 413-2600 | ||
(Registrant’s telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Not applicable. | Not applicable. | Not applicable. |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Emerging growth company ☐ |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 15,776,934 | 4.21 | % | |||||||
Equipment Loans | 1,089,741 | 0.29 | % | ||||||||
Total Asset Backed Securities (cost $16,975,180) | 16,866,675 | 4.50 | % | ||||||||
Bank Deposits | |||||||||||
Singapore | |||||||||||
Financials (cost $1,815,000) | 1,814,348 | 0.48 | % | ||||||||
United States | |||||||||||
Financials (cost $1,750,000) | 1,747,916 | 0.47 | % | ||||||||
Total Bank Deposits (cost $3,565,000) | 3,562,264 | 0.95 | % | ||||||||
Commercial Paper | |||||||||||
Canada | |||||||||||
Financials (cost $1,349,332) | 1,349,464 | 0.36 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $2,035,181) | 2,035,830 | 0.54 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $479,937) | 479,899 | 0.13 | % | ||||||||
United States | |||||||||||
Communications | 10,044,126 | 2.68 | % | ||||||||
Consumer Staples | 2,208,708 | 0.59 | % | ||||||||
Energy | 2,074,822 | 0.55 | % | ||||||||
Financials | 53,125,043 | 14.17 | % | ||||||||
Real Estate | 12,869,989 | 3.43 | % | ||||||||
Technology | 5,001,383 | 1.33 | % | ||||||||
Utilities | 28,639,760 | 7.64 | % | ||||||||
Total United States (cost $113,981,955) | 113,963,831 | 30.39 | % | ||||||||
Total Commercial Paper (cost $117,846,405) | 117,829,024 | 31.42 | % | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $3,585,000) | 3,589,712 | 0.96 | % | ||||||||
Canada | |||||||||||
Energy | 1,356,689 | 0.36 | % | ||||||||
Financials | 12,486,025 | 3.33 | % | ||||||||
Total Canada (cost $13,970,646) | 13,842,714 | 3.69 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary | 3,666,603 | 0.98 | % | ||||||||
Industrials | 1,815,000 | 0.48 | % | ||||||||
Total Germany (cost $5,480,000) | 5,481,603 | 1.46 | % | ||||||||
Japan | |||||||||||
Financials (cost $774,879) | 773,268 | 0.21 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $2,069,754) | 2,055,282 | 0.55 | % | ||||||||
United Kingdom | |||||||||||
Financials | 1,430,956 | 0.38 | % | ||||||||
Health Care | 1,321,887 | 0.35 | % | ||||||||
Total United Kingdom (cost $2,771,069) | $ | 2,752,843 | 0.73 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 25,617,427 | 5.22 | % | |||||||
Equipment Loans | 2,946,283 | 0.60 | % | ||||||||
Total Asset Backed Securities (cost $28,808,597) | 28,563,710 | 5.82 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $5,950,735) | 5,926,372 | 1.21 | % | ||||||||
Total Bank Deposits (cost $5,950,735) | 5,926,372 | 1.21 | % | ||||||||
Commercial Paper | |||||||||||
France | |||||||||||
Financials (cost $2,953,674) | 2,951,392 | 0.60 | % | ||||||||
Sweden | |||||||||||
Financials (cost $2,792,470) | 2,787,884 | 0.57 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $8,956,851) | 8,954,782 | 1.82 | % | ||||||||
United States | |||||||||||
Consumer Discretionary | 24,051,903 | 4.90 | % | ||||||||
Consumer Staples | 11,991,950 | 2.44 | % | ||||||||
Financials | 55,564,759 | 11.31 | % | ||||||||
Industrials | 8,576,745 | 1.75 | % | ||||||||
Real Estate | 20,601,227 | 4.19 | % | ||||||||
Technology | 24,720,933 | 5.03 | % | ||||||||
Utilities | 34,465,215 | 7.02 | % | ||||||||
Total United States (cost $180,027,536) | 179,972,732 | 36.64 | % | ||||||||
Total Commercial Paper (cost $194,730,531) | 194,666,790 | 39.63 | % | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $3,915,129) | 3,911,296 | 0.80 | % | ||||||||
Canada | |||||||||||
Energy | 1,968,145 | 0.40 | % | ||||||||
Financials | 14,364,289 | 2.92 | % | ||||||||
Total Canada (cost $16,600,166) | 16,332,434 | 3.32 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary | 1,174,033 | 0.24 | % | ||||||||
Industrials | 1,959,852 | 0.40 | % | ||||||||
Total Germany (cost $3,140,718) | 3,133,885 | 0.64 | % | ||||||||
Spain | |||||||||||
Financials (cost $2,599,998) | 2,533,337 | 0.52 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $3,579,862) | 3,510,123 | 0.71 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $1,892,764) | $ | 1,838,732 | 0.37 | % |
Maturity Face Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||||||||
Corporate Bonds (continued) | Corporate Bonds (continued) | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
Consumer Discretionary | $ | 5,210,648 | 1.39 | % | Consumer Discretionary | $ | 6,830,810 | 1.39 | % | |||||||||||||
Consumer Staples | 1,512,865 | 0.40 | % | Consumer Staples | 1,173,158 | 0.24 | % | |||||||||||||||
Energy | 5,892,324 | 1.57 | % | Energy | 5,980,602 | 1.22 | % | |||||||||||||||
Financials | 9,001,224 | 2.40 | % | Financials | 19,002,448 | 3.87 | % | |||||||||||||||
Health Care | 3,991,864 | 1.06 | % | Health Care | 6,501,857 | 1.32 | % | |||||||||||||||
Industrials | 5,104,630 | 1.36 | % | Industrials | 7,316,508 | 1.49 | % | |||||||||||||||
Materials | 1,020,486 | 0.27 | % | Materials | 2,797,600 | 0.57 | % | |||||||||||||||
Real Estate | 1,575,129 | 0.42 | % | Real Estate | 2,105,044 | 0.43 | % | |||||||||||||||
Technology | 4,021,806 | 1.07 | % | Technology | 3,748,479 | 0.76 | % | |||||||||||||||
Utilities | 4,379,563 | 1.17 | % | Utilities | 6,817,470 | 1.39 | % | |||||||||||||||
Total United States (cost $42,039,315) | 41,710,539 | 11.11 | % | Total United States (cost $63,219,173) | 62,273,976 | 12.68 | % | |||||||||||||||
Total Corporate Bonds (cost $70,690,663) | 70,205,961 | 18.71 | % | Total Corporate Bonds (cost $94,947,810) | 93,533,783 | 19.04 | % | |||||||||||||||
Government and Agency Obligations | Government and Agency Obligations | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
U.S. Treasury Bills | U.S. Treasury Bills | |||||||||||||||||||||
$ | 5,660,000 | U.S. Treasury Bills Due 04/14/2022 (1) | 5,659,660 | 1.51 | % | 5,160,000 | U.S. Treasury Bills Due 10/13/2022 (1) | 5,156,326 | 1.05 | % | ||||||||||||
$ | 24,500,000 | U.S. Treasury Bills Due 05/12/2022 (1) | 24,494,414 | 6.53 | % | 500,000 | U.S. Treasury Bills Due 10/20/2022 (1) | 499,408 | 0.10 | % | ||||||||||||
$ | 3,100,000 | U.S. Treasury Bills Due 06/16/2022 (1) | 3,097,294 | 0.83 | % | 29,900,000 | U.S. Treasury Bills Due 11/10/2022 (1) | 29,814,337 | 6.07 | % | ||||||||||||
$ | 14,600,000 | U.S. Treasury Bills Due 12/15/2022 (1) | 14,517,130 | 2.96 | % | |||||||||||||||||
Total Government And Agency Obligations (cost $33,255,529) | 33,251,368 | 8.87 | % | Total Government And Agency Obligations (cost $49,977,121) | 49,987,201 | 10.18 | % | |||||||||||||||
Total Fixed Income Securities (cost $242,332,777) (2) | $ | 241,715,292 | 64.45 | % | Total Fixed Income Securities (cost $374,414,794) (2) | $ | 372,677,856 | 75.88 | % |
(1) | Pledged as collateral for the trading of futures positions. |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Money Market Funds | ||||||||||||||||
United States | ||||||||||||||||
Money Market Funds (cost $30,136,605) | $ | 30,136,605 | 8.04 | % | ||||||||||||
Total Short Term Investments (cost $30,136,605) | $ | 30,136,605 | 8.04 | % | ||||||||||||
Money Market Funds (cost $103,542) | $ | 103,542 | 0.02 | % | ||||||||||||
Total Short Term Investments (cost $103,542) | $ | 103,542 | 0.02 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Agriculture | $ | 1,441,043 | 0.38 | % | $ | (3,470,025 | ) | (0.71 | )% | |||||||
Energy | (1,956,434 | ) | (0.52 | )% | (181,572 | ) | (0.04 | )% | ||||||||
Metals | 15,016,434 | 4.00 | % | (9,940,757 | ) | (2.02 | )% | |||||||||
Stock indices | 1,194,756 | 0.32 | % | (271,130 | ) | (0.06 | )% | |||||||||
Short-term interest rates | 5,886 | 0.00 | % | 71,211 | 0.01 | % | ||||||||||
Long-term interest rates | (2,544,694 | ) | (0.68 | )% | (416,846 | ) | (0.08 | )% | ||||||||
Net unrealized gain (loss) on long futures contracts | 13,156,991 | 3.50 | % | (14,209,119 | ) | (2.90 | )% |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Agriculture | (272,255 | ) | (0.07 | )% | (1,481,602 | ) | (0.30 | )% | ||||||||
Energy | (29,160 | ) | (0.01 | )% | 685,247 | 0.14 | % | |||||||||
Metals | (10,715,389 | ) | (2.86 | )% | 9,942,614 | 2.02 | % | |||||||||
Stock indices | (360,796 | ) | (0.10 | )% | 5,097,536 | 1.04 | % | |||||||||
Short-term interest rates | 2,241,167 | 0.60 | % | 3,837,569 | 0.78 | % | ||||||||||
Long-term interest rates | 3,135,519 | 0.84 | % | 1,450,461 | 0.30 | % | ||||||||||
Net unrealized gain (loss) on short futures contracts | (6,000,914 | ) | (1.60 | )% | 19,531,825 | 3.98 | % | |||||||||
Net unrealized gain (loss) on open futures contracts | $ | 7,156,077 | 1.90 | % | $ | 5,322,706 | 1.08 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Various long forward currency contracts | $ | 12,598,173 | 3.36 | % | $ | (42,463,335 | ) | (8.65 | )% | |||||||
Various short forward currency contracts | (4,256,898 | ) | (1.14 | )% | 59,555,906 | 12.12 | % | |||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 8,341,275 | 2.22 | % | $ | 17,092,571 | 3.47 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,185,843) | $ | 1,349,507 | 0.36 | % | ||||||||||||
Centrally cleared credit default index swaps - Buy protection (net cost $119,563) (3) | $ | (158,136 | ) | (0.03 | )% |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $1,176,856) (4) | $ | 2,170,352 | 0.58 | % | ||||||||||||
Centrally cleared interest rate swaps - Pay fixed (net proceeds $1,321,198) (4) | $ | (77,959 | ) | (0.02 | )% |
(3) | Includes |
(4) | Includes |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 13,032,001 | 4.38 | % | |||||||
Equipment Loans | 1,314,876 | 0.44 | % | ||||||||
Total Asset Backed Securities (cost $14,377,009) | 14,346,877 | 4.82 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $1,750,000) | 1,749,055 | 0.59 | % | ||||||||
Commercial Paper | |||||||||||
United Kingdom | |||||||||||
Financials (cost $1,664,351) | 1,664,326 | 0.56 | % | ||||||||
United States | |||||||||||
Communications | 3,904,457 | 1.31 | % | ||||||||
Consumer Discretionary | 7,014,034 | 2.36 | % | ||||||||
Financials | 22,969,552 | 7.72 | % | ||||||||
Industrials | 3,989,738 | 1.34 | % | ||||||||
Materials | 4,499,654 | 1.51 | % | ||||||||
Real Estate | 18,286,034 | 6.15 | % | ||||||||
Technology | 2,464,769 | 0.83 | % | ||||||||
Utilities | 17,623,039 | 5.93 | % | ||||||||
Total United States (cost $80,761,680) | 80,751,277 | 27.15 | % | ||||||||
Total Commercial Paper (cost $82,426,031) | 82,415,603 | 27.71 | % | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $3,585,000) | 3,598,062 | 1.21 | % | ||||||||
Canada | |||||||||||
Energy | 1,408,341 | 0.47 | % | ||||||||
Financials | 10,355,575 | 3.48 | % | ||||||||
Total Canada (cost $11,778,745) | 11,763,916 | 3.95 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary (cost $2,760,000) | 2,763,989 | 0.93 | % | ||||||||
Japan | |||||||||||
Financials (cost $2,435,486) | 2,435,503 | 0.82 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $3,899,594) | 3,902,371 | 1.31 | % | ||||||||
United Kingdom | |||||||||||
Financials | 604,915 | 0.20 | % | ||||||||
Health Care | 1,330,920 | 0.45 | % | ||||||||
Total United Kingdom (cost $1,937,907) | $ | 1,935,835 | 0.65 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Corporate Bonds (continued) | |||||||||||
United States | |||||||||||
Consumer Discretionary | $ | 4,752,690 | 1.60 | % | |||||||
Consumer Staples | 2,744,448 | 0.92 | % | ||||||||
Energy | 4,874,684 | 1.64 | % | ||||||||
Financials | 9,708,375 | 3.26 | % | ||||||||
Health Care | 3,960,029 | 1.33 | % | ||||||||
Industrials | 4,590,168 | 1.54 | % | ||||||||
Materials | 1,043,902 | 0.35 | % | ||||||||
Real Estate | 1,573,554 | 0.53 | % | ||||||||
Technology | 3,690,160 | 1.24 | % | ||||||||
Utilities | 2,547,665 | 0.86 | % | ||||||||
Total United States (cost $39,522,537) | 39,485,675 | 13.27 | % | ||||||||
Total Corporate Bonds (cost $65,919,269) | 65,885,351 | 22.14 | % | ||||||||
Government and Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 5,660,000 | U.S. Treasury Bills Due 01/20/2022 (1) | 5,659,966 | 1.90 | % | ||||||
$ | 3,100,000 | U.S. Treasury Bills Due 03/17/2022 (1) | 3,099,653 | 1.04 | % | ||||||
$ | 24,500,000 | U.S. Treasury Bills Due 05/12/2022 (1) | 24,492,086 | 8.24 | % | ||||||
Total Government And Agency Obligations (cost $33,254,967) | 33,251,705 | 11.18 | % | ||||||||
Total Fixed Income Securities (cost $197,727,276) (2) | $ | 197,648,591 | 66.44 | % |
(1) | Pledged as collateral for the trading of futures positions. |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of $33,251,705 deposited with the futures brokers. |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $16,805,816) | $ | 16,805,816 | 5.65 | % | ||||
Total Short Term Investments (cost $16,805,816) | $ | 16,805,816 | 5.65 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (119,097 | ) | (0.04 | )% | |||
Energy | 564,654 | 0.19 | % | |||||
Metals | 5,925,856 | 1.99 | % | |||||
Stock indices | 1,630,380 | 0.55 | % | |||||
Short-term interest rates | (396,557 | ) | (0.13 | )% | ||||
Long-term interest rates | (2,270,766 | ) | (0.76 | )% | ||||
Net unrealized gain (loss) on long futures contracts | 5,334,470 | 1.80 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | 847,345 | 0.28 | % | |||||
Energy | (502,467 | ) | (0.17 | )% | ||||
Metals | (6,686,832 | ) | (2.25 | )% | ||||
Stock indices | (58,118 | ) | (0.02 | )% | ||||
Short-term interest rates | 363,140 | 0.12 | % | |||||
Long-term interest rates | 1,295,615 | 0.44 | % | |||||
Net unrealized gain (loss) on short futures contracts | (4,741,317 | ) | (1.60 | )% | ||||
Net unrealized gain (loss) on open futures contracts | $ | 593,153 | 0.20 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | 8,600,251 | 2.89 | % | ||||
Various short forward currency contracts | (10,378,226 | ) | (3.49 | )% | ||||
Net unrealized gain (loss) on open forward currency contracts | $ | (1,777,975 | ) | (0.60 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared credit default index swaps - Sell protection (net cost $3,180,504) (3) | $ | 3,214,681 | 1.08% | % |
(3) | Includes $3,195,050 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
ASSETS | ||||||||||||||||
Equity in futures brokers trading accounts | ||||||||||||||||
Cash | $ | 40,755,754 | $ | 33,259,944 | $ | 49,540,785 | $ | 33,259,944 | ||||||||
Restricted cash | 1,997,417 | 2,296,459 | 0 | 2,296,459 | ||||||||||||
Fixed income securities (cost $33,255,529 and $33,254,967, respectively) | 33,251,368 | 33,251,705 | ||||||||||||||
Fixed income securities (cost $49,977,121 and $33,254,967, respectively) | 49,987,201 | 33,251,705 | ||||||||||||||
Net unrealized gain (loss) on open futures contracts | 7,156,077 | 593,153 | 5,322,706 | 593,153 | ||||||||||||
Total equity in futures brokers trading accounts | 83,160,616 | 69,401,261 | 104,850,692 | 69,401,261 | ||||||||||||
Cash and cash equivalents | 8,754,505 | 2,650,894 | 10,817,054 | 2,650,894 | ||||||||||||
Cash at interbank market maker | 4,432,287 | 11,026,620 | 20,561,939 | 11,026,620 | ||||||||||||
Restricted cash at interbank market maker | 24,284,646 | 26,299,559 | 7,982,239 | 26,299,559 | ||||||||||||
Short term investments (cost $30,136,605 and $16,805,816, respectively) | 30,136,605 | 16,805,816 | ||||||||||||||
Short term investments (cost $103,542 and $16,805,816, respectively) | 103,542 | 16,805,816 | ||||||||||||||
Cash at swaps broker | 9,162,730 | 9,578,262 | 10,893,344 | 9,578,262 | ||||||||||||
Restricted cash at swaps broker | 2,164,295 | 988,951 | 5,571,827 | 988,951 | ||||||||||||
Fixed income securities (cost $209,077,248 and $164,472,309, respectively) | 208,463,924 | 164,396,886 | ||||||||||||||
Fixed income securities (cost $324,437,673 and $164,472,309, respectively) | 322,690,655 | 164,396,886 | ||||||||||||||
Credit default index swaps | 0 | 19,631 | 5,638 | 19,631 | ||||||||||||
Due from swaps broker | 35,999 | 60,858 | 4,245 | 60,858 | ||||||||||||
Net unrealized gain on open forward currency contracts | 8,341,275 | 0 | 17,092,571 | 0 | ||||||||||||
Interest receivable | 182,534 | 160,341 | 736,162 | 160,341 | ||||||||||||
Subscriptions receivable | 332,820 | 0 | ||||||||||||||
Total assets | $ | 379,119,416 | $ | 301,389,079 | $ | 501,642,728 | $ | 301,389,079 | ||||||||
LIABILITIES | ||||||||||||||||
Accounts payable | $ | 245,236 | $ | 164,328 | $ | 187,829 | $ | 164,328 | ||||||||
Management fee payable | 614,921 | 495,742 | 818,692 | 495,742 | ||||||||||||
Net unrealized loss on open forward currency contracts | 0 | 1,777,975 | 0 | 1,777,975 | ||||||||||||
Credit default index swaps | 21,136 | 0 | ||||||||||||||
Interest rate swaps | 243,407 | 0 | 128,494 | 0 | ||||||||||||
Accrued commissions and other trading fees on open contracts | 45,975 | 38,562 | 38,573 | 38,562 | ||||||||||||
Offering costs payable | 137,181 | 110,066 | 184,598 | 110,066 | ||||||||||||
Sales commission payable | 490,864 | 420,687 | 662,650 | 420,687 | ||||||||||||
Performance fee payable | 1,530,801 | 0 | 8,239,946 | 0 | ||||||||||||
Redemptions payable | 812,276 | 999,500 | 196,230 | 999,500 | ||||||||||||
Total liabilities | 4,141,797 | 4,006,860 | 10,457,012 | 4,006,860 | ||||||||||||
UNITHOLDERS’ CAPITAL (Net Asset Value) | ||||||||||||||||
Series A Units - Redeemable | ||||||||||||||||
Other Unitholders - 79,898.568 and 76,728.203 units outstanding at March 31, 2022 and December 31, 2021 | 279,430,276 | 222,737,822 | ||||||||||||||
Other Unitholders - 86,297.936 and 76,728.203 units outstanding at September 30, 2022 and December 31, 2021 | 363,914,809 | 222,737,822 | ||||||||||||||
Series B Units – Redeemable | ||||||||||||||||
Other Unitholders - 10,228.466 and 10,247.759 units outstanding at March 31, 2022 and December 31, 2021 | 39,426,133 | 32,886,235 | ||||||||||||||
Other Unitholders - 10,156.916 and 10,247.759 units outstanding at September 30, 2022 and December 31, 2021 | 47,216,643 | 32,886,235 | ||||||||||||||
Series D Units – Redeemable | ||||||||||||||||
Other Unitholders - 9,119.672 and 6,875.564 units outstanding at March 31, 2022 and December 31, 2021 | 12,686,644 | 8,222,341 | ||||||||||||||
Other Unitholders - 13,444.989 and 6,875.564 units outstanding at September 30, 2022 and December 31, 2021 | 22,584,283 | 8,222,341 | ||||||||||||||
Series W Units – Redeemable | ||||||||||||||||
Other Unitholders - 10,272.713 and 9,386.736 units outstanding at March 31, 2022 and December 31, 2021 | 43,434,566 | 33,535,821 | ||||||||||||||
Other Unitholders - 11,209.346 and 9,386.736 units outstanding at September 30, 2022 and December 31, 2021 | 57,469,981 | 33,535,821 | ||||||||||||||
Total unitholders’ capital (Net Asset Value) | 374,977,619 | 297,382,219 | 491,185,716 | 297,382,219 | ||||||||||||
Total liabilities and unitholders’ capital (Net Asset Value) | $ | 379,119,416 | $ | 301,389,079 | $ | 501,642,728 | $ | 301,389,079 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||||||||||
Realized | $ | 42,007,020 | $ | 18,168,677 | $ | 12,935,168 | $ | 4,554,366 | $ | 89,739,889 | $ | 46,945,515 | ||||||||||||
Change in unrealized | 6,562,924 | (7,655,650 | ) | 5,106,899 | (4,492,391 | ) | 4,729,553 | (13,358,341 | ) | |||||||||||||||
Brokerage commissions | (345,972 | ) | (574,846 | ) | (389,967 | ) | (607,561 | ) | (1,093,431 | ) | (1,773,360 | ) | ||||||||||||
Net gain (loss) from futures trading | 48,223,972 | 9,938,181 | 17,652,100 | (545,586) | 93,376,011 | 31,813,814 | ||||||||||||||||||
Forward currency trading gains (losses) | ||||||||||||||||||||||||
Realized | 7,497,056 | 5,889,117 | 21,056,227 | (8,095,369) | 56,273,970 | 11,462,922 | ||||||||||||||||||
Change in unrealized | 10,119,250 | 9,003,704 | 5,254,912 | 7,076,126 | 18,870,546 | 1,824,883 | ||||||||||||||||||
Brokerage commissions | (64,191 | ) | (72,500 | ) | (74,604 | ) | (106,196 | ) | (193,788 | ) | (263,928 | ) | ||||||||||||
Net gain (loss) from forward currency trading | 17,552,115 | 14,820,321 | 26,236,535 | (1,125,439 | ) | 74,950,728 | 13,023,877 | |||||||||||||||||
Swap trading gains (losses) | ||||||||||||||||||||||||
Realized | (613,017 | ) | (3,663,394 | ) | 1,799,372 | 660,156 | 3,405,812 | (2,886,435 | ) | |||||||||||||||
Change in unrealized | 1,122,983 | (1,385,903 | ) | 678,463 | 400,312 | 1,170,489 | (681,914 | ) | ||||||||||||||||
Net gain (loss) from swap trading | 509,966 | (5,049,297 | ) | 2,477,835 | 1,060,468 | 4,576,301 | (3,568,349 | ) | ||||||||||||||||
Total net trading gain (loss) | 66,286,053 | 19,709,205 | 46,366,470 | (610,557) | 172,903,040 | 41,269,342 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 214,695 | 241,716 | 2,329,907 | 201,884 | 3,587,446 | 733,434 | ||||||||||||||||||
Realized gain (loss) on fixed income securities | (17,398 | ) | (12,356 | ) | 75,027 | (82,709 | ) | (41,438 | ) | (210,930 | ) | |||||||||||||
Change in unrealized gain (loss) on fixed income securities | (538,800 | ) | (141,866 | ) | (339,189 | ) | (26,791 | ) | (1,658,253 | ) | (217,451 | ) | ||||||||||||
Total investment income (loss) | (341,503 | ) | 87,494 | 2,065,745 | 92,384 | 1,887,755 | 305,053 | |||||||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 1,683,378 | 1,378,057 | 2,308,117 | 1,472,367 | 6,104,905 | 4,327,806 | ||||||||||||||||||
Performance fee | 1,530,801 | 0 | 8,266,281 | 0 | 20,426,740 | 54,801 | ||||||||||||||||||
Operating expenses | 215,236 | 202,130 | 287,173 | 218,177 | 765,515 | 624,644 | ||||||||||||||||||
Sales commission | 1,460,348 | 1,233,221 | 1,968,933 | 1,308,308 | 5,249,614 | 3,858,879 | ||||||||||||||||||
Total expenses | 4,889,763 | 2,813,408 | 12,830,504 | 2,998,852 | 32,546,774 | 8,866,130 | ||||||||||||||||||
Net investment income (loss) | (5,231,266 | ) | (2,725,914 | ) | (10,764,759 | ) | (2,906,468 | ) | (30,659,019 | ) | (8,561,077 | ) | ||||||||||||
NET INCOME (LOSS) | $ | 61,054,787 | $ | 16,983,291 | $ | 35,601,711 | $ | (3,517,025) | $ | 142,244,021 | $ | 32,708,265 | ||||||||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
(based on weighted average number of units outstanding during the period) | ||||||||||||||||||||||||
Series A | $ | 600.02 | $ | 158.13 | $ | 311.59 | $ | (36.55) | $ | 1,318.95 | $ | 314.15 | ||||||||||||
Series B | $ | 645.50 | $ | 179.08 | $ | 339.06 | $ | (40.22) | $ | 1,440.32 | $ | 351.88 | ||||||||||||
Series D | $ | 201.55 | $ | 69.83 | $ | 132.49 | $ | (11.43) | $ | 482.51 | $ | 126.41 | ||||||||||||
Series W | $ | 665.58 | $ | 214.20 | $ | 398.72 | $ | (26.42) | $ | 1,561.21 | $ | 432.40 | ||||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
Series A | $ | 594.36 | $ | 162.24 | $ | 303.67 | $ | (40.22) | $ | 1,314.01 | $ | 306.42 | ||||||||||||
Series B | $ | 645.43 | $ | 182.23 | $ | 339.38 | $ | (40.35) | $ | 1,439.60 | $ | 349.01 | ||||||||||||
Series D | $ | 195.25 | $ | 70.19 | $ | 124.82 | $ | (12.76) | $ | 483.87 | $ | 125.40 | ||||||||||||
Series W | $ | 655.47 | $ | 212.33 | $ | 388.36 | $ | (31.33) | $ | 1,554.29 | $ | 422.39 | ||||||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | ||||||||||||||||||||||||
Series A | 77,571.617 | 81,509.294 | 83,608.776 | 77,038.130 | 80,750.329 | 78,762.657 | ||||||||||||||||||
Series B | 10,232.838 | 11,231.999 | 10,183.328 | 10,675.883 | 10,210.510 | 10,926.355 | ||||||||||||||||||
Series D | 7,732.918 | 4,707.188 | 12,293.975 | 4,844.070 | 9,944.019 | 4,743.907 | ||||||||||||||||||
Series W | 9,535.187 | 8,187.761 | 11,207.605 | 8,186.591 | 10,398.207 | 8,142.531 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income (loss) | $ | 61,054,787 | $ | 16,983,291 | $ | 142,244,021 | $ | 32,708,265 | ||||||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||||||||||
Net change in unrealized on futures, forwards, swaps and investments | (17,266,357 | ) | 179,715 | (23,112,335 | ) | 12,432,823 | ||||||||||
(Increase) decrease in interest receivable | (22,193 | ) | (16,206 | ) | (575,821 | ) | (22,102 | ) | ||||||||
Increase (decrease) in payable for securities purchased | 0 | 249,672 | ||||||||||||||
(Increase) decrease in due from swaps broker | 24,859 | 6,944 | 56,613 | (10,219 | ) | |||||||||||
Increase (decrease) in accounts payable and accrued expenses | 1,808,478 | 49,765 | 8,828,371 | 503,896 | ||||||||||||
Net purchases from swap broker | 1,407,159 | (1,787,611 | ) | 1,312,975 | (893,409 | ) | ||||||||||
Purchases of investments | (771,103,238 | ) | (687,734,970 | ) | (3,145,661,537 | ) | (2,074,582,275 | ) | ||||||||
Sales/maturities of investments | 713,166,946 | 695,070,483 | 2,985,676,294 | 2,071,012,999 | ||||||||||||
Net cash from (for) operating activities | (10,929,559 | ) | 23,001,083 | (31,231,419 | ) | 41,149,978 | ||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Addition of units | 20,372,622 | 1,954,320 | 63,499,979 | 9,439,868 | ||||||||||||
Redemption of units | (3,644,235 | ) | (20,036,489 | ) | (11,707,974 | ) | (34,053,806 | ) | ||||||||
Offering costs paid | (347,883 | ) | (305,518 | ) | (1,294,087 | ) | (953,137 | ) | ||||||||
Net cash from (for) financing activities | 16,380,504 | (18,387,687 | ) | 50,497,918 | (25,567,075 | ) | ||||||||||
Net increase in cash, cash equivalents and restricted cash | 5,450,945 | 4,613,396 | ||||||||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash | 19,266,499 | 15,582,903 | ||||||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 86,100,689 | 68,603,522 | 86,100,689 | 68,603,522 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 91,551,634 | $ | 73,216,918 | $ | 105,367,188 | $ | 84,186,425 |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||||||||||
Equity in futures brokers trading accounts: | ||||||||||||||||
Cash | $ | 40,755,754 | $ | 33,259,944 | $ | 49,540,785 | $ | 33,259,944 | ||||||||
Restricted cash | 1,997,417 | 2,296,459 | 0 | 2,296,459 | ||||||||||||
Cash and cash equivalents | 8,754,505 | 2,650,894 | 10,817,054 | 2,650,894 | ||||||||||||
Cash at interbank market maker | 4,432,287 | 11,026,620 | 20,561,939 | 11,026,620 | ||||||||||||
Restricted cash at interbank market maker | 24,284,646 | 26,299,559 | 7,982,239 | 26,299,559 | ||||||||||||
Cash at swaps broker | 9,162,730 | 9,578,262 | 10,893,344 | 9,578,262 | ||||||||||||
Restricted cash at swaps broker | 2,164,295 | 988,951 | 5,571,827 | 988,951 | ||||||||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 91,551,634 | $ | 86,100,689 | $ | 105,367,188 | $ | 86,100,689 |
Series A - Other Unitholders | Series B - Other Unitholders | Series A - Other Unitholders | Series B - Other Unitholders | |||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Balances at December 31, 2021 | 76,728.203 | $ | 222,737,822 | 10,247.759 | $ | 32,886,235 | 76,728.203 | $ | 222,737,822 | 10,247.759 | $ | 32,886,235 | ||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2022 | 46,544,538 | 6,605,252 | 46,544,538 | 6,605,252 | ||||||||||||||||||||||||||||
Additions | 4,143.585 | 13,531,965 | 6.169 | 21,994 | 4,143.585 | 13,531,965 | 6.169 | 21,994 | ||||||||||||||||||||||||
Redemptions | (973.220 | ) | (3,069,663 | ) | (25.462 | ) | (87,348 | ) | (973.220 | ) | (3,069,663 | ) | (25.462 | ) | (87,348 | ) | ||||||||||||||||
Offering costs | (314,386 | ) | 0 | (314,386 | ) | 0 | ||||||||||||||||||||||||||
Balances at March 31, 2022 | 79,898.568 | $ | 279,430,276 | 10,228.466 | $ | 39,426,133 | 79,898.568 | $ | 279,430,276 | 10,228.466 | $ | 39,426,133 | ||||||||||||||||||||
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2022 | 33,909,878 | 4,648,364 | ||||||||||||||||||||||||||||||
Additions | 3,498.957 | 13,327,329 | 6.611 | 27,663 | ||||||||||||||||||||||||||||
Redemptions | (628.745 | ) | (2,375,787 | ) | (38.577 | ) | (162,002 | ) | ||||||||||||||||||||||||
Offering costs | (393,326 | ) | 0 | |||||||||||||||||||||||||||||
Balances at June 30, 2022 | 82,768.780 | $ | 323,898,370 | 10,196.500 | $ | 43,940,158 | ||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2022 | 26,051,432 | 3,452,770 | ||||||||||||||||||||||||||||||
Additions | 4,059.549 | 16,511,129 | 6.765 | 29,996 | ||||||||||||||||||||||||||||
Redemptions | (530.393 | ) | (2,120,347 | ) | (46.349 | ) | (206,281 | ) | ||||||||||||||||||||||||
Offering costs | (425,775 | ) | 0 | |||||||||||||||||||||||||||||
Balances at September 30, 2022 | 86,297.936 | $ | 363,914,809 | 10,156.916 | $ | 47,216,643 | ||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Balances at December 31, 2020 | 83,925.461 | $ | 216,523,843 | 11,380.986 | $ | 32,296,756 | 83,925.461 | $ | 216,523,843 | 11,380.986 | $ | 32,296,756 | ||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2021 | 12,889,369 | 2,011,419 | 12,889,369 | 2,011,419 | ||||||||||||||||||||||||||||
Additions | 279.528 | 735,305 | 6.646 | 19,012 | 279.528 | 735,305 | 6.6460 | 19,012 | ||||||||||||||||||||||||
Redemptions | (6,130.245 | ) | (15,787,255 | ) | (361.739 | ) | (1,028,841 | ) | (6,130.245 | ) | (15,787,255 | ) | (361.739 | ) | (1,028,841 | ) | ||||||||||||||||
Offering costs | (265,637 | ) | 0 | (265,637 | ) | 0 | ||||||||||||||||||||||||||
Balances at March 31, 2021 | 78,074.744 | $ | 214,095,625 | 11,025.893 | $ | 33,298,346 | 78,074.744 | $ | 214,095,625 | 11,025.893 | $ | 33,298,346 | ||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2021 | 14,669,516 | 2,262,828 | ||||||||||||||||||||||||||||||
Additions | 574.754 | 1,654,820 | 6.670 | 21,349 | ||||||||||||||||||||||||||||
Redemptions | (1,497.403 | ) | (4,344,473 | ) | (290.812 | ) | (917,357 | ) | ||||||||||||||||||||||||
Offering costs | (283,088 | ) | 0 | |||||||||||||||||||||||||||||
Balances at June 30, 2021 | 77,152.095 | $ | 225,792,400 | 10,741.751 | $ | 34,665,166 | ||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2021 | (2,815,919) | (429,430) | ||||||||||||||||||||||||||||||
Additions | 902.679 | 2,622,514 | 6.548 | 21,028 | ||||||||||||||||||||||||||||
Redemptions | (1,132.859 | ) | (3,292,625 | ) | (164.642 | ) | (528,895 | ) | ||||||||||||||||||||||||
Offering costs | (281,348 | ) | 0 | |||||||||||||||||||||||||||||
Balances at September 30, 2021 | 76,921.915 | $ | 222,025,022 | 10,583.657 | $ | 33,727,869 |
Net Asset Value per Other Unitholders’ Unit - Series A | ||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 3,497.31 | $ | 2,902.95 | $ | 2,742.19 | $ | 2,579.95 |
Net Asset Value per Other Unitholders’ Unit - Series B | ||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 3,854.55 | $ | 3,209.12 | $ | 3,020.01 | $ | 2,837.78 |
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||
$ | 4,216.96 | $ | 3,913.29 | $ | 3,497.31 | $ | 2,902.95 |
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 2,886.37 | $ | 2,926.59 | $ | 2,742.19 | $ | 2,579.95 |
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||
$ | 4,648.72 | $ | 4,309.34 | $ | 3,854.55 | $ | 3,209.12 |
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 3,186.79 | $ | 3,227.14 | $ | 3,020.01 | $ | 2,837.78 |
Series D - Other Unitholders | Series W - Other Unitholders | Trust | Series D - Other Unitholders | Series W - Other Unitholders | Trust | |||||||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Total Amount | Units | Amount | Units | Amount | Total Amount | |||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2021 | 6,875.564 | $ | 8,222,341.000 | 9,386.736 | $ | 33,535,821 | $ | 297,382,219 | 6,875.564 | $ | 8,222,341 | 9,386.736 | $ | 33,535,821 | $ | 297,382,219 | ||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2022 | 1,558,591.000 | 6,346,406 | 61,054,787 | 1,558,591 | 6,346,406 | 61,054,787 | ||||||||||||||||||||||||||||||||||
Additions | 2,244.108 | 2,918,655.000 | 956.930 | 3,900,008 | 20,372,622 | 2,244.108 | 2,918,655 | 956.930 | 3,900,008 | 20,372,622 | ||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (70.953 | ) | (300,000 | ) | (3,457,011 | ) | 0.000 | 0 | (70.953 | ) | (300,000 | ) | (3,457,011 | ) | ||||||||||||||||||||||||
Offering costs | (12,943.000 | ) | (47,669 | ) | (374,998 | ) | (12,943 | ) | (47,669 | ) | (374,998 | ) | ||||||||||||||||||||||||||||
Balances at March 31, 2022 | 9,119.672 | $ | 12,686,644 | 10,272.713 | $ | 43,434,566 | $ | 374,977,619 | 9,119.672 | $ | 12,686,644 | 10,272.713 | $ | 43,434,566 | $ | 374,977,619 | ||||||||||||||||||||||||
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2022 | 1,610,591 | 5,418,690 | 45,587,523 | |||||||||||||||||||||||||||||||||||||
Additions | 2,567.837 | 3,894,936 | 950.411 | 4,376,182 | 21,626,110 | |||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (127.820 | ) | (591,658 | ) | (3,129,447 | ) | ||||||||||||||||||||||||||||||||
Offering costs | (18,945 | ) | (61,427 | ) | (473,698 | ) | ||||||||||||||||||||||||||||||||||
Balances at June 30, 2022 | 11,687.509 | $ | 18,173,226 | 11,095.304 | $ | 52,576,353 | $ | 438,588,107 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2022 | 1,628,864 | 4,468,645 | 35,601,711 | |||||||||||||||||||||||||||||||||||||
Additions | 1,757.480 | 2,807,129 | 520.174 | 2,485,813 | 21,834,067 | |||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (406.132 | ) | (1,991,618 | ) | (4,318,246 | ) | ||||||||||||||||||||||||||||||||
Offering costs | (24,936 | ) | (69,212 | ) | (519,923 | ) | ||||||||||||||||||||||||||||||||||
Balances at September 30, 2022 | 13,444.989 | $ | 22,584,283 | 11,209.346 | $ | 57,469,981 | $ | 491,185,716 | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2020 | 4,757.939 | $ | 5,043,054 | 8,258.693 | $ | 25,702,039 | $ | 279,565,692 | 4,757.939 | $ | 5,043,054 | 8,258.693 | $ | 25,702,039 | $ | 279,565,692 | ||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2021 | 328,699 | 1,753,804 | 16,983,291 | 328,699 | 1,753,804 | 16,983,291 | ||||||||||||||||||||||||||||||||||
Additions | 176.974 | 200,000 | 158.300 | 500,003 | 1,454,320 | 176.974 | 200,000 | 158.300 | 500,003 | 1,454,320 | ||||||||||||||||||||||||||||||
Redemptions | (240.143 | ) | (259,827 | ) | (366.182 | ) | (1,159,095 | ) | (18,235,018 | ) | (240.143 | ) | (259,827 | ) | (366.182 | ) | (1,159,095 | ) | (18,235,018 | ) | ||||||||||||||||||||
Offering costs | (6,311 | ) | (32,265 | ) | (304,213 | ) | (6,311 | ) | (32,265 | ) | (304,213 | ) | ||||||||||||||||||||||||||||
Balances at March 31, 2021 | 4,694.770 | $ | 5,305,615 | 8,050.811 | $ | 26,764,486 | $ | 279,464,072 | 4,694.770 | $ | 5,305,615 | 8,050.811 | $ | 26,764,486 | $ | 279,464,072 | ||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2021 | 326,345 | 1,983,310 | 19,241,999 | |||||||||||||||||||||||||||||||||||||
Additions | 167.076 | 199,020 | 116.614 | 410,001 | 2,285,190 | |||||||||||||||||||||||||||||||||||
Redemptions | (129.980 | ) | (154,811 | ) | (124.443 | ) | (442,227 | ) | (5,858,868 | ) | ||||||||||||||||||||||||||||||
Offering costs | (7,030 | ) | (35,614 | ) | (325,732 | ) | ||||||||||||||||||||||||||||||||||
Balances at June 30, 2021 | 4,731.866 | $ | 5,669,139 | 8,042.982 | $ | 28,679,956 | $ | 294,806,661 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2021 | (55,376) | (216,300) | (3,517,025) | |||||||||||||||||||||||||||||||||||||
Additions | 1,052.721 | 1,250,053 | 537.582 | 1,904,001 | 5,797,596 | |||||||||||||||||||||||||||||||||||
Redemptions | (17.209) | (20,399) | (119.507 | ) | (425,470 | ) | (4,267,389 | ) | ||||||||||||||||||||||||||||||||
Offering costs | (7,249 | ) | (36,484 | ) | (325,081 | ) | ||||||||||||||||||||||||||||||||||
Balances at September 30, 2021 | 5,767.378 | $ | 6,836,168 | 8,461.057 | $ | 29,905,703 | $ | 292,494,762 |
Net Asset Value per Other Unitholders’ Unit - Series D | ||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 1,391.13 | $ | 1,195.88 | $ | 1,130.11 | $ | 1,059.92 |
Net Asset Value per Other Unitholders’ Unit - Series W | ||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 4,228.15 | $ | 3,572.68 | $ | 3,324.45 | $ | 3,112.12 |
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||
$ | 1,679.75 | $ | 1,554.93 | $ | 1,391.13 | $ | 1,195.88 |
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 1,185.32 | $ | 1,198.08 | $ | 1,130.11 | $ | 1,059.92 |
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||
$ | 5,126.97 | $ | 4,738.61 | $ | 4,228.15 | $ | 3,572.68 |
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||
$ | 3,534.51 | $ | 3,565.84 | $ | 3,324.45 | $ | 3,112.12 |
Series A | Series A | |||||||||||||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,902.95 | $ | 2,579.95 | $ | 3,913.29 | $ | 2,926.59 | $ | 2,902.95 | $ | 2,579.95 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 636.19 | 192.65 | 406.06 | (6.10 | ) | 1,599.86 | 404.38 | |||||||||||||||||
Net investment income (loss) (1) | (37.78 | ) | (27.15 | ) | (97.30 | ) | (30.47 | ) | (271.81 | ) | (87.42 | ) | ||||||||||||
Total net income (loss) from operations | 598.41 | 165.50 | 308.76 | (36.57 | ) | 1,328.05 | 316.96 | |||||||||||||||||
Offering costs (1) | (4.05 | ) | (3.26 | ) | (5.09 | ) | (3.65 | ) | (14.04 | ) | (10.54 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 3,497.31 | $ | 2,742.19 | $ | 4,216.96 | $ | 2,886.37 | $ | 4,216.96 | $ | 2,886.37 | ||||||||||||
Total Return (4) | 20.47 | % | 6.29 | % | 7.76 | % | 1.37 | % | 45.26 | % | 11.88 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 4.36 | % | 4.34 | % | 4.32 | % | 4.28 | % | 4.37 | % | 4.35 | % | ||||||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 1.80 | % | 0.00 | % | 4.67 | % | 0.00 | % | ||||||||||||
Total expenses | 4.36 | % | 4.34 | % | 6.12 | % | 4.28 | % | 9.04 | % | 4.35 | % | ||||||||||||
Net investment income (loss) (2),(3) | (4.80 | )% | (4.21 | )% | (2.52 | )% | (4.16 | )% | (3.75 | )% | (4.20 | )% |
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Series B | Series B | |||||||||||||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 3,209.12 | $ | 2,837.78 | $ | 4,309.34 | $ | 3,227.14 | $ | 3,209.12 | $ | 2,837.78 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 703.65 | 212.14 | 446.84 | (6.74) | 1,762.51 | 445.38 | ||||||||||||||||||
Net investment income (loss) (1) | (58.22 | ) | (29.91 | ) | (107.46 | ) | (33.61 | ) | (322.91 | ) | (96.37 | ) | ||||||||||||
Total net income (loss) from operations | 645.43 | 182.23 | 339.38 | (40.35) | 1,439.60 | 349.01 | ||||||||||||||||||
Net asset value per unit at end of period | $ | 3,854.55 | $ | 3,020.01 | $ | 4,648.72 | $ | 3,186.79 | $ | 4,648.72 | $ | 3,186.79 | ||||||||||||
Total Return (4) | 20.11 | % | 6.42 | % | 7.88 | % | (1.25 | )% | 44.86 | % | 12.30 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 4.40 | % | 4.32 | % | 4.32 | % | 4.28 | % | 4.40 | % | 4.34 | % | ||||||||||||
Performance fee (4) | 0.47 | % | 0.00 | % | 1.82 | % | 0.00 | % | 5.28 | % | 0.00 | % | ||||||||||||
Total expenses | 4.87 | % | 4.32 | % | 6.14 | % | 4.28 | % | 9.68 | % | 4.34 | % | ||||||||||||
Net investment income (loss) (2),(3) | (4.80 | )% | (4.20 | )% | (2.52 | )% | (4.16 | )% | (3.80 | )% | (4.20 | )% |
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Series D | Series D | |||||||||||||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 1,195.88 | $ | 1,059.92 | $ | 1,554.93 | $ | 1,198.08 | $ | 1,195.88 | $ | 1,059.92 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 261.52 | 79.35 | 162.27 | (2.52) | 637.86 | 166.44 | ||||||||||||||||||
Net investment income (loss) (1) | (64.60 | ) | (7.82 | ) | (35.42 | ) | (8.74 | ) | (148.28 | ) | (36.70 | ) | ||||||||||||
Total net income (loss) from operations | 196.92 | 71.53 | 126.85 | (11.26) | 489.58 | 129.74 | ||||||||||||||||||
Offering costs (1) | (1.67 | ) | (1.34 | ) | (2.03 | ) | (1.50 | ) | (5.71 | ) | (4.34 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 1,391.13 | $ | 1,130.11 | $ | 1,679.75 | $ | 1,185.32 | $ | 1,679.75 | $ | 1,185.32 | ||||||||||||
Total Return (4) | 16.33 | % | 6.62 | % | 8.03 | % | (1.07 | )% | 40.46 | % | 11.83 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 3.08 | % | 3.08 | % | 3.04 | % | 3.08 | % | 3.01 | % | 3.08 | % | ||||||||||||
Performance fee (4) | 4.06 | % | 0.00 | % | 1.90 | % | 0.00 | % | 8.08 | % | 1.01 | % | ||||||||||||
Total expenses | 7.14 | % | 3.08 | % | 4.94 | % | 3.08 | % | 11.09 | % | 4.09 | % | ||||||||||||
Net investment income (loss) (2),(3) | (3.48 | )% | (2.95 | )% | (1.24 | )% | (2.96 | )% | (2.28 | )% | (2.93 | )% |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Series W | Series W | |||||||||||||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 3,572.68 | $ | 3,112.12 | $ | 4,738.61 | $ | 3,565.84 | $ | 3,572.68 | $ | 3,112.12 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 786.86 | 233.36 | 492.68 | (7.53) | 1,950.25 | 490.27 | ||||||||||||||||||
Net investment income (loss) (1) | (126.39 | ) | (17.09 | ) | (98.14 | ) | (19.34 | ) | (378.81 | ) | (55.06 | ) | ||||||||||||
Total net income (loss) from operations | 660.47 | 216.27 | 394.54 | (26.87) | 1,571.44 | 435.21 | ||||||||||||||||||
Offering costs (1) | (5.00 | ) | (3.94 | ) | (6.18 | ) | (4.46 | ) | (17.15 | ) | (12.82 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 4,228.15 | $ | 3,324.45 | $ | 5,126.97 | $ | 3,534.51 | $ | 5,126.97 | $ | 3,534.51 | ||||||||||||
Total Return (4) | 18.35 | % | 6.82 | % | 8.20 | % | (0.88 | )% | 43.50 | % | 13.57 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 2.32 | % | 2.31 | % | 2.28 | % | 2.32 | % | 2.31 | % | 2.32 | % | ||||||||||||
Performance fee (4) | 2.57 | % | 0.00 | % | 1.91 | % | 0.00 | % | 7.27 | % | 0.00 | % | ||||||||||||
Total expenses | 4.89 | % | 2.31 | % | 4.19 | % | 2.32 | % | 9.58 | % | 2.32 | % | ||||||||||||
Net investment income (loss) (2),(3) | (2.76 | )% | (2.18 | )% | (0.48 | )% | (2.16 | )% | (1.65 | )% | (2.17 | )% |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Fair Value at March 31, 2022 | Fair Value at September 30, 2022 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 30,136,605 | $ | 0 | $ | 0 | $ | 30,136,605 | $ | 103,542 | $ | 0 | $ | 0 | $ | 103,542 | ||||||||||||||||
Fixed income securities | 0 | 241,715,292 | 0 | 241,715,292 | 0 | 372,677,856 | 0 | 372,677,856 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 7,156,077 | 0 | 0 | 7,156,077 | 5,322,706 | 0 | 0 | 5,322,706 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 8,341,275 | 0 | 8,341,275 | 0 | 17,092,571 | 0 | 17,092,571 | ||||||||||||||||||||||||
Credit default index swap contracts | 0 | 1,349,507 | 0 | 1,349,507 | 0 | (158,136) | 0 | (158,136) | ||||||||||||||||||||||||
Interest rate swap contracts | 0 | 2,170,352 | 0 | 2,170,352 | 0 | (77,959 | ) | 0 | (77,959 | ) | ||||||||||||||||||||||
Total | $ | 37,292,682 | $ | 253,576,426 | $ | 0 | $ | 290,869,108 | $ | 5,426,248 | $ | 389,534,332 | $ | 0 | $ | 394,960,580 |
Fair Value at December 31, 2021 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 16,805,816 | $ | 0 | $ | 0 | $ | 16,805,816 | ||||||||
Fixed income securities | 0 | 197,648,591 | 0 | 197,648,591 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | 593,153 | 0 | 0 | 593,153 | ||||||||||||
Forward currency contracts | 0 | (1,777,975 | ) | 0 | (1,777,975 | ) | ||||||||||
Credit default index swap contracts | 0 | 3,214,681 | 0 | 3,214,681 | ||||||||||||
Total | $ | 17,398,969 | $ | 199,085,297 | $ | 0 | $ | 216,484,266 |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | ||||||||||||||
Credit Default Index Swaps | Maturity Date: June 2027 | Maturity Date: December 2026 | Maturity Date: December 2027 | Maturity Date: December 2026 | |||||||||||||
Investment grade | $ | 53,112,400 | $ | 42,813,968 | $ | 4,427,460 | $ | 42,813,968 | |||||||||
Non-investment grade | $ | 14,436,248 | $ | 37,631,729 | 2,285,180 | 37,631,729 | |||||||||||
Total | $ | 67,548,648 | $ | 80,445,697 | $ | 6,712,640 | $ | 80,445,697 |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at March 31, 2022 Fair Value | Liability Derivatives at March 31, 2022 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at September 30, 2022 Fair Value | Liability Derivatives at September 30, 2022 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 3,121,210 | $ | (1,952,422 | ) | $ | 1,168,788 | Net unrealized gain (loss) on open futures contracts | $ | 786,688 | $ | (5,738,315 | ) | $ | (4,951,627) | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 246,902 | (2,232,496 | ) | (1,985,594) | Net unrealized gain (loss) on open futures contracts | 897,622 | (393,947 | ) | 503,675 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 16,123,427 | (11,822,382 | ) | 4,301,045 | Net unrealized gain (loss) on open futures contracts | 10,809,812 | (10,807,955 | ) | 1,857 | ||||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 2,021,016 | (1,187,056 | ) | 833,960 | Net unrealized gain (loss) on open futures contracts | 5,176,680 | (350,274 | ) | 4,826,406 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 2,304,260 | (57,207 | ) | 2,247,053 | Net unrealized gain (loss) on open futures contracts | 4,002,666 | (93,886 | ) | 3,908,780 | ||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 3,790,409 | (3,199,584 | ) | 590,825 | Net unrealized gain (loss) on open futures contracts | 1,669,934 | (636,319 | ) | 1,033,615 | ||||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open Forward Currency Contracts | 33,799,523 | (25,458,248 | ) | 8,341,275 | Net unrealized gain (loss) on open forward currency contracts | 65,881,724 | (48,789,153 | ) | 17,092,571 | ||||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 1,459,432 | (109,925 | ) | 1,349,507 | Credit default index swaps | 0 | (158,136 | ) | (158,136) | ||||||||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | 2,246,540 | (76,188 | ) | 2,170,352 | Interest rate swaps | 2,549,061 | (2,627,020 | ) | (77,959 | ) | |||||||||||||||
Totals | $ | 65,112,719 | $ | (46,095,508 | ) | $ | 19,017,211 | $ | 91,774,187 | $ | (69,595,005 | ) | $ | 22,179,182 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | Amount of centrally cleared swap contracts |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2021 Fair Value | Liability Derivatives at December 31, 2021 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at December 31, 2021 Fair Value | Liability Derivatives at December 31, 2021 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 1,487,590 | $ | (759,342 | ) | $ | 728,248 | Net unrealized gain (loss) on open futures contracts | $ | 1,487,590 | $ | (759,342 | ) | $ | 728,248 | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 838,852 | (776,665 | ) | 62,187 | Net unrealized gain (loss) on open futures contracts | 838,852 | (776,665 | ) | 62,187 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 6,130,256 | (6,891,232 | ) | (760,976) | Net unrealized gain (loss) on open futures contracts | 6,130,256 | (6,891,232 | ) | (760,976 | ) | |||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 1,956,889 | (384,627 | ) | 1,572,262 | Net unrealized gain (loss) on open futures contracts | 1,956,889 | (384,627 | ) | 1,572,262 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 391,795 | (425,212 | ) | (33,417) | Net unrealized gain (loss) on open futures contracts | 391,795 | (425,212 | ) | (33,417 | ) | |||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,998,845 | (2,973,996 | ) | (975,151) | Net unrealized gain (loss) on open futures contracts | 1,998,845 | (2,973,996 | ) | (975,151 | ) | |||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open Forward Currency Contracts | 15,205,088 | (16,983,063 | ) | (1,777,975) | Net unrealized gain (loss) on open forward currency contracts | 15,205,088 | (16,983,063 | ) | (1,777,975 | ) | |||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 3,700,832 | (486,151 | ) | 3,214,681 | Credit default index swaps | 3,700,832 | (486,151 | ) | 3,214,681 | ||||||||||||||||
Totals | $ | 31,710,147 | $ | (29,680,288 | ) | $ | 2,029,859 | $ | 31,710,147 | $ | (29,680,288 | ) | $ | 2,029,859 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | Amount of centrally cleared swap contracts |
Type of Instrument | Trading Gains (Losses) for the Three Months Ended March 31, 2022 | Trading Gains (Losses) for the Three Months Ended March 31, 2021 | Trading Gains (Losses) for the Three Months Ended September 30, 2022 | Trading Gains (Losses) for the Three Months Ended September 30, 2021 | ||||||||||||
Agriculture Contracts | $ | 5,200,704 | $ | 5,250,127 | $ | (2,073,812) | $ | (2,117,388) | ||||||||
Energy Contracts | 19,565,308 | 5,104,539 | (6,630,220) | 3,244,110 | ||||||||||||
Metal Contracts | 6,975,988 | (722,815 | ) | 2,998,702 | 407,512 | |||||||||||
Stock Indices Contracts | 1,168,001 | 10,713,578 | 5,386,513 | 570,182 | ||||||||||||
Short-Term Interest Rate Contracts | 4,905,169 | (2,735,704 | ) | 12,893,245 | (10,424 | ) | ||||||||||
Long-Term Interest Rate Contracts | 10,754,775 | (7,096,698 | ) | 5,467,639 | (2,032,017) | |||||||||||
Forward Currency Contracts | 17,616,305 | 14,892,821 | 26,311,139 | (1,019,242 | ) | |||||||||||
Credit default index swap contracts | (1,394,715 | ) | 2,053 | |||||||||||||
Interest rate swap contracts | 1,904,681 | (5,051,350 | ) | |||||||||||||
Credit Default Index Swap Contracts | (524,041 | ) | 3,030 | |||||||||||||
Interest Rate Swap Contracts | 3,001,876 | 1,057,437 | ||||||||||||||
Total | $ | 66,696,216 | $ | 20,356,551 | $ | 46,831,041 | $ | 103,200 |
Line Item in the Statements of Operations | Trading Gains (Losses) for the Three Months Ended March 31, 2022 | Trading Gains (Losses) for the Three Months Ended March 31, 2021 | ||||||
Futures trading gains (losses): | ||||||||
Realized*** | $ | 42,007,020 | $ | 18,168,677 | ||||
Change in unrealized | 6,562,924 | (7,655,650 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized*** | 7,497,056 | 5,889,117 | ||||||
Change in unrealized | 10,119,250 | 9,003,704 | ||||||
Swap trading gains (losses): | ||||||||
Realized | (613,017 | ) | (3,663,394 | ) | ||||
Change in unrealized | 1,122,983 | (1,385,903 | ) | |||||
Total | $ | 66,696,216 | $ | 20,356,551 |
Type of Instrument | Trading Gains (Losses) for the Nine Months Ended September 30, 2022 | Trading Gains (Losses) for the Nine Months Ended September 30, 2021 | ||||||
Agriculture Contracts | $ | 6,363,678 | $ | 11,911,128 | ||||
Energy Contracts | 16,737,144 | 17,238,164 | ||||||
Metal Contracts | 8,828,009 | 2,517,362 | ||||||
Stock Indices Contracts | 9,745,805 | 19,296,167 | ||||||
Short-Term Interest Rate Contracts | 17,293,993 | (3,565,052 | ) | |||||
Long-Term Interest Rate Contracts | 35,500,813 | (13,810,593 | ) | |||||
Forward Currency Contracts | 75,144,516 | 13,287,804 | ||||||
Credit Default Index Swap Contracts | (4,748,190 | ) | 967,575 | |||||
Interest Rate Swap Contracts | 9,324,491 | (4,535,925 | ) | |||||
Total | $ | 174,190,259 | $ | 43,306,630 |
Line Item in the Statements of Operations | Trading Gains (Losses) for the Three Months Ended September 30, 2022 | Trading Gains (Losses) for the Three Months Ended September 30, 2021 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | 12,935,168 | $ | 4,554,366 | ||||
Change in unrealized | 5,106,899 | (4,492,391 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized** | 21,056,227 | (8,095,369) | ||||||
Change in unrealized | 5,254,912 | 7,076,126 | ||||||
Swap trading gains (losses): | ||||||||
Realized | 1,799,372 | 660,156 | ||||||
Change in unrealized | 678,463 | 400,312 | ||||||
Total | $ | 46,831,041 | $ | 103,200 |
Line Item in the Statements of Operations | Trading Gains (Losses) for the Nine Months Ended September 30, 2022 | Trading Gains (Losses) for the Nine Months Ended September 30, 2021 | ||||||
Futures trading gains (losses): | ||||||||
Realized*** | $ | 89,739,889 | $ | 46,945,515 | ||||
Change in unrealized | 4,729,553 | (13,358,341 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized*** | 56,273,970 | 11,462,922 | ||||||
Change in unrealized | 18,870,546 | 1,824,883 | ||||||
Swap trading gains (losses): | ||||||||
Realized*** | 3,405,812 | (2,886,435 | ) | |||||
Change in unrealized | 1,170,489 | (681,914 | ) | |||||
Total | $ | 174,190,259 | $ | 43,306,630 |
For the three months ended |
*** | For the nine months ended September 30, 2022 and 2021, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $(17,703) and $160,751, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(1,112,618) and $374,085, respectively. |
Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | ||||||||||||||||||||||||
As of March 31, 2022 | ||||||||||||||||||||||||||
As of September 30, 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 | 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 | UBS Securities LLC | $ | 14,358,083 | $ | (10,420,261 | ) | $ | 3,937,822 | UBS Securities LLC | $ | 11,708,732 | $ | (9,225,539 | ) | $ | 2,483,193 | ||||||||||
Futures contracts | Goldman, Sachs & Co. | 13,249,141 | (10,030,886 | ) | 3,218,255 | Goldman, Sachs & Co. | 11,634,670 | (8,795,157 | ) | 2,839,513 | ||||||||||||||||
Forward currency contracts | NatWest Markets Plc | 33,799,523 | (25,458,248 | ) | 8,341,275 | NatWest Markets Plc | 65,881,724 | (48,789,153 | ) | 17,092,571 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 3,705,972 | (186,113 | ) | 3,519,859 | Centrally Cleared | 2,549,061 | (2,549,061 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 65,112,719 | $ | (46,095,508 | ) | $ | 19,017,211 | $ | 91,774,187 | $ | (69,358,910 | ) | $ | 22,415,277 |
* | 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 | Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||||||||||||||||
As of March 31, 2022 | ||||||||||||||||||||||||||||||||
As of September 30, 2022 | ||||||||||||||||||||||||||||||||
Net Amounts of Unrealized Gain Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | 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 | Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||||||||
UBS Securities LLC | $ | 3,937,822 | $ | 0 | $ | 0 | $ | 3,937,822 | $ | 2,483,193 | $ | 0 | $ | 0 | $ | 2,483,193 | ||||||||||||||||
Goldman Sachs & Co. LLC | 3,218,255 | 0 | 0 | 3,218,255 | ||||||||||||||||||||||||||||
Goldman, Sachs & Co. | 2,839,513 | 0 | 0 | 2,839,513 | ||||||||||||||||||||||||||||
NatWest Markets Plc | 8,341,275 | 0 | 0 | 8,341,275 | 17,092,571 | 0 | 0 | 17,092,571 | ||||||||||||||||||||||||
Centrally Cleared | 3,519,859 | 0 | 0 | 3,519,859 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 19,017,211 | $ | 0 | $ | 0 | $ | 19,017,211 | $ | 22,415,277 | $ | 0 | $ | 0 | $ | 22,415,277 |
Offsetting of Derivative Liabilities by Counterparty | Offsetting of Derivative Liabilities by Counterparty | Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||||||||||||
As of March 31, 2022 | ||||||||||||||||||||||||||
As of September 30, 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 of Financial Condition | 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 | UBS Securities LLC | $ | 10,420,261 | $ | (10,420,261 | ) | $ | 0 | UBS Securities LLC | $ | 9,225,539 | $ | (9,225,539 | ) | $ | 0 | ||||||||||
Futures contracts | Goldman, Sachs & Co. | 10,030,886 | (10,030,886 | ) | 0 | Goldman, Sachs & Co. | 8,795,157 | (8,795,157 | ) | 0 | ||||||||||||||||
Forward currency contracts | NatWest Markets Plc | 25,458,248 | (25,458,248 | ) | 0 | NatWest Markets Plc | 48,789,153 | (48,789,153 | ) | 0 | ||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 186,113 | (186,113 | ) | 0 | Centrally Cleared | 2,785,156 | (2,549,061 | ) | 236,095 | ||||||||||||||||
Total derivatives | $ | 46,095,508 | $ | (46,095,508 | ) | $ | 0 | $ | 69,595,005 | $ | (69,358,910 | ) | $ | 236,095 |
Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||||||||||||||||
As of March 31, 2022 | ||||||||||||||||||||||||||||||||
As of September 30, 2022 | ||||||||||||||||||||||||||||||||
Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | 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 | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
Goldman, Sachs & Co. | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | 236,095 | 0 | (236,095 | ) | 0 | |||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 236,095 | $ | 0 | $ | (236,095 | ) | $ | 0 |
Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | ||||||||||||||||||||||||
As of December 31, 2021 | As of December 31, 2021 | As of December 31, 2021 | ||||||||||||||||||||||||
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 | 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 | UBS Securities LLC | $ | 6,465,894 | $ | (6,446,733 | ) | $ | 19,161 | UBS Securities LLC | $ | 6,465,894 | $ | (6,446,733 | ) | $ | 19,161 | ||||||||||
Futures contracts | Goldman, Sachs & Co. | 6,338,333 | (5,764,341 | ) | 573,992 | Goldman, Sachs & Co. | 6,338,333 | (5,764,341 | ) | 573,992 | ||||||||||||||||
Forward currency contracts | NatWest Markets Plc | 15,205,088 | (15,205,088 | ) | 0 | NatWest Markets Plc | 15,205,088 | (15,205,088 | ) | 0 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 3,700,832 | (486,151 | ) | 3,214,681 | Centrally Cleared | 3,700,832 | (486,151 | ) | 3,214,681 | ||||||||||||||||
Total derivatives | $ | 31,710,147 | $ | (27,902,313 | ) | $ | 3,807,834 | $ | 31,710,147 | $ | (27,902,313 | ) | $ | 3,807,834 |
* | 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, 2021 | ||||||||||||||||
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 | ||||||||||||
UBS Securities LLC | $ | 19,161 | $ | 0 | $ | 0 | $ | 19,161 | ||||||||
Goldman, Sachs & Co. | 573,992 | 0 | 0 | 573,992 | ||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | ||||||||||||
Centrally Cleared | 3,214,681 | 0 | 0 | 3,214,681 | ||||||||||||
Total | $ | 3,807,834 | $ | 0 | $ | 0 | $ | 3,807,834 |
Offsetting of Derivative Liabilities by Counterparty | Offsetting of Derivative Liabilities by Counterparty | Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||||||||||||
As of December 31, 2021 | As of December 31, 2021 | As of December 31, 2021 | ||||||||||||||||||||||||
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 | 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 | UBS Securities LLC | $ | 6,446,733 | $ | (6,446,733 | ) | $ | 0 | UBS Securities LLC | $ | 6,446,733 | $ | (6,446,733 | ) | $ | 0 | ||||||||||
Futures contracts | Goldman, Sachs & Co. | 5,764,341 | (5,764,341 | ) | 0 | Goldman, Sachs & Co. | 5,764,341 | (5,764,341 | ) | 0 | ||||||||||||||||
Forward currency contracts | NatWest Markets Plc | 16,983,063 | (15,205,088 | ) | 1,777,975 | NatWest Markets Plc | 16,983,063 | (15,205,088 | ) | 1,777,975 | ||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 486,151 | (486,151 | ) | 0 | Centrally Cleared | 486,151 | (486,151 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 29,680,288 | $ | (27,902,313 | ) | $ | 1,777,975 | $ | 29,680,288 | $ | (27,902,313 | ) | $ | 1,777,975 |
Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||||||||||||||||
As of December 31, 2021 | ||||||||||||||||||||||||||||||||
Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | 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 | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
Goldman, Sachs & Co. | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
NatWest Markets Plc | 1,777,975 | 0 | (1,777,975 | ) | 0 | 1,777,975 | 0 | (1,777,975 | ) | 0 | ||||||||||||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 1,777,975 | $ | 0 | $ | (1,777,975 | ) | $ | 0 | $ | 1,777,975 | $ | 0 | $ | (1,777,975 | ) | $ | 0 |
Sector | % Gain (Loss) | |||
Credit | % | |||
Commodities | % | |||
Foreign Exchange | % | |||
Interest Rates | % | |||
Equity Indices | % | |||
% |
Sector | % Gain (Loss) | |||
Credit | ( | )% | ||
Commodities | % | |||
Foreign Exchange | % | |||
Interest Rates | ( | )% | ||
Equity Indices | % | |||
% |
March 31, 2022 | September 30, 2022 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.07 | % | 0.00 | % | 0.04 | % | 0.86 | % | ||||||||
Commodities | 1.30 | % | 10.46 | % | 0.57 | % | 11.79 | % | ||||||||
Foreign Exchange | 0.84 | % | 5.89 | % | 1.00 | % | 22.33 | % | ||||||||
Interest Rates | 1.12 | % | 5.32 | % | 0.65 | % | 15.89 | % | ||||||||
Equity Indices | 0.49 | % | 0.24 | % | 0.37 | % | 2.44 | % | ||||||||
Aggregate/Total | 2.27 | % | 21.91 | % | 1.68 | % | 53.31 | % |
* | 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 Trust’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. |
** | Represents the gross trading for the Trust for the |
December 31, 2021 | December 31, 2021 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.07 | % | (0.59 | )% | 0.07 | % | (0.59 | )% | ||||||||
Commodities | 0.91 | % | 11.16 | % | 0.91 | % | 11.16 | % | ||||||||
Foreign Exchange | 0.90 | % | 8.25 | % | 0.90 | % | 8.25 | % | ||||||||
Interest Rates | 0.58 | % | (9.78 | )% | 0.58 | % | (9.78 | )% | ||||||||
Stock Indices | 0.92 | % | 8.89 | % | ||||||||||||
Equity Indices | 0.92 | % | 8.89 | % | ||||||||||||
Aggregate/Total | 2.09 | % | 17.93 | % | 2.09 | % | 17.93 | % |
* | 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 Trust’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. |
** | Represents the gross trading for the Trust for the year ended December 31, 2021. |
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 | ||
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 Securites Exchange Act of 1934. | ||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites 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. | ||
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of | ||
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 Form 10 filed on April 30, 2003. |
(2) | Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011. |
(3) | Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed 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. | ||
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of | ||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
THE CAMPBELL FUND TRUST (Registrant) | |||
By: | Campbell & Company, LP | ||
Managing Operator | |||
Date: | By: | /s/ Kevin D. Cole | |
Kevin D. Cole | |||
Chief Executive Officer & Chief Investment Officer |