Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2021shares | |
Document and Entity Information | |
Document Type | 10-Q |
Document Quarterly Report | true |
Document Transition Report | false |
Document Period End Date | Jun. 30, 2021 |
Entity File Number | 0-50316 |
Entity Registrant Name | GRANT PARK FUTURES FUND LIMITED PARTNERSHIP |
Entity Incorporation, State or Country Code | IL |
Entity Tax Identification Number | 36-3596839 |
Entity Address, Address Line One | 555 West Jackson Boulevard |
Entity Address, Address Line Two | SuiteĀ 600 |
Entity Address, City or Town | Chicago |
Entity Address, State or Province | IL |
Entity Address, Postal Zip Code | 60661 |
City Area Code | 312 |
Local Phone Number | 756-4450 |
Title of 12(b) Security | Not applicable. |
No Trading Symbol Flag | true |
Security Exchange Name | NONE |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | true |
Entity Emerging Growth Company | false |
Entity Shell Company | false |
Entity Common Stock, Shares Outstanding | 0 |
Current Fiscal Year End Date | --12-31 |
Document Fiscal Year Focus | 2021 |
Document Fiscal Period Focus | Q2 |
Entity Central Index Key | 0000845698 |
Amendment Flag | false |
Consolidated Statements of Fina
Consolidated Statements of Financial Condition - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Equity in brokers' trading accounts: | ||
Cash | $ 7,517,619 | $ 9,659,503 |
Total equity in brokers' trading accounts | 7,056,174 | 9,738,841 |
Cash and cash equivalents | 5,249,782 | 4,887,405 |
Securities owned, at fair value | 33,627,751 | 32,199,809 |
Net interest and dividend receivable, net | 2,628 | |
Total assets | 45,933,707 | 46,828,683 |
Liabilities | ||
Brokerage charge payable | 223,680 | 237,272 |
Accrued incentive fees | 414,058 | 210,546 |
Organization and offering costs payable | 10,684 | 11,070 |
Accrued operating expenses | 9,440 | 9,734 |
Redemptions payable to limited partners | 704,819 | 1,097,230 |
Interest and other liabilities | 2,694 | 25,250 |
Total liabilities | 1,365,375 | 1,591,102 |
Partners' Capital (Net Asset Value) | ||
Total partners' capital (net asset value) | 44,568,332 | 45,237,581 |
Total liabilities and partners' capital (net asset value) | 45,933,707 | 46,828,683 |
Class A | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 226,108 | 276,860 |
Limited Partners | 3,612,732 | 3,351,509 |
Class B | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 27,210,500 | 28,009,494 |
Legacy 1 Class | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 395,905 | 370,186 |
Legacy 2 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 215,075 | 197,003 |
Limited Partners | 114,878 | 105,224 |
Global 1 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 306,534 | |
Limited Partners | 12,211,368 | 12,024,149 |
Global 2 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 192,765 | 176,124 |
Limited Partners | 380,471 | 412,668 |
Global 3 Class | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 8,530 | 7,830 |
Futures Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | 115,550 | 1,563,838 |
Forward Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | (63,929) | |
Swap Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | $ (576,995) | $ (1,420,571) |
Consolidated Statements of Fi_2
Consolidated Statements of Financial Condition (Parenthetical) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Securities owned, cost (in dollars) | $ 33,771,875 | $ 32,419,952 |
Class A | ||
General Partner, units outstanding | 231.29 | 307.34 |
Limited Partners, units outstanding | 3,695.61 | 3,720.55 |
Class B | ||
Limited Partners, units outstanding | 34,849.48 | 38,806.88 |
Legacy 1 Class | ||
Limited Partners, units outstanding | 468.82 | 479.12 |
Legacy 2 Class | ||
General Partner, units outstanding | 263.13 | 263.13 |
Limited Partners, units outstanding | 140.55 | 140.55 |
Global 1 Class | ||
General Partner, units outstanding | 0 | 392.74 |
Limited Partners, units outstanding | 14,278.42 | 15,405.71 |
Global 2 Class | ||
General Partner, units outstanding | 231.81 | 231.81 |
Limited Partners, units outstanding | 457.52 | 543.13 |
Global 3 Class | ||
Limited Partners, units outstanding | 12.62 | 12.62 |
Consolidated Condensed Schedule
Consolidated Condensed Schedule of Investments - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 | ||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Investments Owned, Cost | $ 33,771,875 | $ 32,419,952 | ||
Investments Owned, Fair Value | 33,627,751 | 32,199,809 | ||
Open long contracts | Futures, Forward, and Swap Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (327,595) | $ 437,189 | ||
Percent of Partners' Capital (Net Asset Value) | (0.73%) | 0.97% | ||
Open long contracts | Forward Contracts | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 35,488 | ||
Percent of Partners' Capital (Net Asset Value) | [1] | 0.08% | ||
Open long contracts | Futures Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 249,400 | $ 1,822,272 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.56% | 4.03% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 254,952 | $ 1,498,191 | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 16,151 | $ 497,749 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.04% | 1.10% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (195,987) | $ 160,805 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.44%) | 0.36% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Energy | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 362,385 | $ 246,968 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.81% | 0.55% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 31,307 | $ 34,956 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.07% | 0.07% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Meats | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (10,831) | $ 13,025 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.02%) | 0.03% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (100,994) | $ 162,472 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.23%) | 0.36% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 37,583 | $ 235,885 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.08% | 0.52% | |
Open long contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 115,338 | $ 146,331 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.26% | 0.32% | |
Open long contracts | Futures Contracts | Foreign Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (5,552) | $ 324,081 | |
Open long contracts | Futures Contracts | Foreign Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 42,079 | $ 59,748 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.09% | 0.13% | |
Open long contracts | Futures Contracts | Foreign Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 9,061 | $ 146,552 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.02% | 0.32% | |
Open long contracts | Futures Contracts | Foreign Futures Positions | Soft commodities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 16,800 | $ 2,290 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.04% | 0.01% | |
Open long contracts | Futures Contracts | Foreign Futures Positions | Stock indices | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (73,492) | $ 115,491 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.16%) | 0.26% | |
Open long contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (576,995) | |||
Percent of Partners' Capital (Net Asset Value) | (1.29%) | |||
Open long contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (1,420,571) | |||
Percent of Partners' Capital (Net Asset Value) | (3.14%) | |||
Open short contracts | Futures, Forward, and Swap Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (133,850) | $ (357,851) | ||
Percent of Partners' Capital (Net Asset Value) | (0.30%) | (0.79%) | ||
Open short contracts | Forward Contracts | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (99,417) | ||
Percent of Partners' Capital (Net Asset Value) | [1] | (0.22%) | ||
Open short contracts | Futures Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (133,850) | $ (258,434) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.30%) | (0.57%) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 151,719 | $ (180,920) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (21,712) | (1,937) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.05%) | ||
Open short contracts | Futures Contracts | U.S. Futures Positions | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 199,554 | $ 14,100 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.45% | 0.03% | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Energy | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (10,620) | $ (115,816) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.02%) | (0.26%) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 27,377 | $ (6,310) | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.06% | (0.01%) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 1,395 | $ (32,855) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.08%) | ||
Open short contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 3,068 | $ (4,387) | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.01% | (0.01%) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (47,343) | $ (33,715) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.11%) | (0.07%) | |
Open short contracts | Futures Contracts | Foreign Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (285,569) | $ (77,514) | |
Open short contracts | Futures Contracts | Foreign Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (210,549) | $ (122,828) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.47%) | (0.27%) | |
Open short contracts | Futures Contracts | Foreign Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (70,435) | $ 47,376 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.16%) | 0.11% | |
Open short contracts | Futures Contracts | Foreign Futures Positions | Stock indices | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (4,585) | $ (2,062) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.01%) | (0.01%) | |
Open contracts | Futures, Forward, and Swap Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (461,445) | $ 79,338 | ||
Percent of Partners' Capital (Net Asset Value) | (1.03%) | 0.18% | ||
Open contracts | Forward Contracts | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (63,929) | ||
Percent of Partners' Capital (Net Asset Value) | [1] | (0.14%) | ||
Open contracts | Futures Contracts | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 115,550 | $ 1,563,838 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.26% | 3.46% | |
Open contracts | Futures Contracts | U.S. Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 406,671 | $ 1,317,271 | |
Open contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (5,561) | $ 495,812 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.01%) | 1.10% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Currencies | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 3,567 | $ 174,905 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.01% | 0.39% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Energy | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 351,765 | $ 131,152 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.79% | 0.29% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 58,684 | $ 28,646 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.13% | 0.06% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Meats | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (10,831) | $ 13,025 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.02%) | 0.03% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (99,599) | $ 129,617 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.23%) | 0.28% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 40,651 | $ 231,498 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.09% | 0.51% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 67,995 | $ 112,616 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.15% | 0.25% | |
Open contracts | Futures Contracts | Foreign Futures Positions | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (291,121) | $ 246,567 | |
Open contracts | Futures Contracts | Foreign Futures Positions | Interest rates | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (168,470) | $ (63,080) | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.38%) | (0.14%) | |
Open contracts | Futures Contracts | Foreign Futures Positions | Metals | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (61,374) | $ 193,928 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.14%) | 0.43% | |
Open contracts | Futures Contracts | Foreign Futures Positions | Soft commodities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ 16,800 | $ 2,290 | |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.04% | 0.01% | |
Open contracts | Futures Contracts | Foreign Futures Positions | Stock indices | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | [1] | $ (78,077) | $ 113,429 | |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.17%) | 0.25% | |
Open contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (576,995) | |||
Percent of Partners' Capital (Net Asset Value) | (1.29%) | |||
Open contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Net unrealized gain/(loss) on open contracts | $ (1,420,571) | |||
Percent of Partners' Capital (Net Asset Value) | (3.14%) | |||
Securities owned | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 75.45% | 71.18% | ||
Investments Owned, Cost | $ 33,771,875 | $ 32,419,952 | ||
Investments Owned, Fair Value | $ 33,627,751 | $ 32,199,809 | ||
Securities owned | U.S. Government securities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 15.70% | |||
Investments Owned, Cost | $ 6,993,011 | |||
Investments Owned, Fair Value | $ 6,996,170 | |||
Securities owned | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 42.42% | [2] | 33.21% | |
Investments Owned, Cost | $ 18,893,877 | [2] | $ 14,999,285 | |
Investments Owned, Fair Value | $ 18,907,546 | [2] | $ 15,023,691 | |
Securities owned | Federal Agricultural Mortgage Corp. | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 5.56% | |||
Investments Owned, Face Value | $ 2,500,000 | |||
Investments Owned, Rate of Return | 1.70% | |||
Investments Owned, Fair Value | $ 2,516,450 | |||
Securities owned | Federal Farm Credit Banks | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 12.11% | 4.42% | ||
Investments Owned, Face Value | $ 5,396,000 | $ 2,000,000 | ||
Investments Owned, Rate of Return Range Minimum | 0.20% | |||
Investments Owned, Rate of Return Range Maximum | 0.40% | |||
Investments Owned, Rate of Return | 0.20% | |||
Investments Owned, Fair Value | $ 5,397,941 | $ 2,000,350 | ||
Securities owned | Federal Home Loan Banks | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 12.35% | |||
Investments Owned, Face Value | $ 5,500,000 | |||
Investments Owned, Rate of Return Range Minimum | 0.40% | |||
Investments Owned, Rate of Return Range Maximum | 0.50% | |||
Investments Owned, Fair Value | $ 5,502,745 | |||
Securities owned | Federal Home Loan Mortgage Corporation | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 4.49% | 9.95% | ||
Investments Owned, Face Value | $ 2,000,000 | $ 4,500,000 | ||
Investments Owned, Rate of Return Range Minimum | 0.30% | |||
Investments Owned, Rate of Return Range Maximum | 0.50% | |||
Investments Owned, Rate of Return | 0.30% | |||
Investments Owned, Fair Value | $ 2,001,550 | $ 4,501,581 | ||
Securities owned | Federal National Mortgage Association | U.S. Government-sponsored enterprises | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 13.47% | 13.28% | ||
Investments Owned, Face Value | $ 6,000,000 | $ 6,000,000 | ||
Investments Owned, Rate of Return Range Minimum | 0.30% | 0.30% | ||
Investments Owned, Rate of Return Range Maximum | 0.40% | 0.40% | ||
Investments Owned, Fair Value | $ 6,005,310 | $ 6,005,310 | ||
Securities owned | U.S. Exchange Traded Funds | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 17.33% | [2] | 15.87% | |
Investments Owned, Shares | [2] | 305,000 | ||
Investments Owned, Cost | $ 7,884,987 | [2] | $ 7,425,915 | |
Investments Owned, Fair Value | $ 7,724,035 | [2] | $ 7,180,070 | |
Securities owned | Amplify High Income ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 1.34% | |||
Investments Owned, Shares | 38,000 | |||
Investments Owned, Fair Value | $ 605,340 | |||
Securities owned | Highland/iBoxx Senior Loan ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 3.01% | |||
Investments Owned, Shares | 85,000 | |||
Investments Owned, Fair Value | $ 1,361,700 | |||
Securities owned | Invesco Preferred ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 1.69% | |||
Investments Owned, Shares | 50,000 | |||
Investments Owned, Fair Value | $ 763,000 | |||
Securities owned | iShares Floating Rate Bond ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 1.12% | |||
Investments Owned, Shares | 10,000 | |||
Investments Owned, Fair Value | $ 507,200 | |||
Securities owned | BlackRock Short Maturity Bond ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 1.11% | |||
Investments Owned, Shares | 10,000 | |||
Investments Owned, Fair Value | $ 501,700 | |||
Securities owned | PIMCO Enhanced Short Maturity Active ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 2.71% | |||
Investments Owned, Shares | 12,000 | |||
Investments Owned, Fair Value | $ 1,224,480 | |||
Securities owned | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 3.27% | |||
Investments Owned, Shares | 55,000 | |||
Investments Owned, Fair Value | $ 1,482,250 | |||
Securities owned | VanEck Vectors Investment Grade Floating Rate ETF | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 1.06% | |||
Investments Owned, Shares | 15,000 | |||
Investments Owned, Fair Value | $ 481,500 | |||
Securities owned | Other Exchange-Traded Funds | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | [3] | 0.56% | ||
Investments Owned, Shares | [3] | 10,000 | ||
Investments Owned, Fair Value | [3] | $ 252,900 | ||
Securities owned | U.S. Treasury Bills | U.S. Government securities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 6.73% | 22.10% | ||
Investments Owned, Face Value | $ 3,000,000 | $ 10,000,000 | ||
Investments Owned, Rate of Return | 0.10% | 1.00% | ||
Investments Owned, Cost | $ 9,994,752 | |||
Investments Owned, Fair Value | $ 2,999,614 | $ 9,996,048 | ||
Securities owned | Other US Treasury Bills | U.S. Government securities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | [2] | 4.49% | ||
Investments Owned, Face Value | [2] | $ 2,000,000 | ||
Investments Owned, Rate of Return | [2] | 0.00% | ||
Investments Owned, Fair Value | [2] | $ 1,999,565 | ||
Securities owned | US Treasury Notes | U.S. Government securities | ||||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | ||||
Percent of Partners' Capital (Net Asset Value) | 4.48% | |||
Investments Owned, Face Value | $ 2,000,000 | |||
Investments Owned, Rate of Return | 0.20% | |||
Investments Owned, Fair Value | $ 1,996,991 | |||
[1] | No individual futures contract position constituted greater than 1 percent of partnersā capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented. | |||
[2] | No individual position constituted greater than 5 percent of partnersā capital (net asset value). | |||
[3] | No individual position constituted greater than 1 percent of partnersā capital (net asset value). |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | $ (645) | $ 27,807 | $ (645) | |
Change in unrealized | $ 73,383 | 390,085 | 57,684 | (447,556) |
Net gains (losses) from securities | 73,383 | 389,440 | 85,491 | (448,201) |
Net trading gains (losses) | 2,226,253 | 1,172,398 | 5,746,748 | (8,029,887) |
Income | ||||
Interest income | (17,677) | 72,954 | (5,522) | 214,719 |
Dividend income | 52,083 | 85,490 | 102,034 | 171,557 |
Total income | 34,406 | 158,444 | 96,512 | 386,276 |
Expenses from operations | ||||
Brokerage charge | 557,002 | 586,807 | 1,109,560 | 1,245,636 |
Incentive fees | 308,823 | 842 | 732,146 | 62,661 |
Organizational and offering costs | 33,481 | 35,954 | 66,726 | 77,925 |
Operating expenses | 29,553 | 31,398 | 58,838 | 67,935 |
Total expenses | 928,859 | 655,001 | 1,967,270 | 1,454,157 |
Net investment loss | (894,453) | (496,557) | (1,870,758) | (1,067,881) |
Net income (loss) | $ 1,331,800 | $ 675,841 | $ 3,875,990 | $ (9,097,768) |
Class A | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | $ 25.80 | $ 9.82 | $ 76.77 | $ (146.75) |
Class B | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | 19.39 | 6.83 | 59.03 | (120.49) |
Legacy 1 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | 26.17 | 12.42 | 71.83 | (114.88) |
Legacy 2 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | 24.87 | 11.61 | 68.68 | (112.44) |
Global 1 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | 27.55 | 13.52 | 74.73 | (113.50) |
Global 2 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | 26.33 | 12.71 | 71.78 | (111.57) |
Global 3 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | $ 19.03 | $ 7.97 | $ 55.46 | $ (97.68) |
Futures Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | $ 3,027,117 | $ 1,160,943 | $ 6,523,246 | $ 290,839 |
Change in unrealized | (591,508) | (552,536) | (1,448,288) | 21,032 |
Commissions | (171,534) | (188,675) | (341,351) | (388,822) |
Net gains (losses) | 2,264,075 | 419,732 | 4,733,607 | (76,951) |
Forward Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | (55,454) | (14,955) | 22,721 | 150,483 |
Change in unrealized | (167,234) | (3,507) | 63,929 | 75,919 |
Commissions | (1,292) | (1,578) | (2,576) | (5,348) |
Net gains (losses) | (223,980) | (20,040) | 84,074 | 221,054 |
Swap Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Net gains (losses) | 112,775 | 383,266 | 843,576 | (7,725,789) |
Change in unrealized | $ 112,775 | $ 383,266 | $ 843,576 | $ (7,725,789) |
Consolidated Statements of Chan
Consolidated Statements of Changes in Partners' Capital (Net Asset Value) - USD ($) | Class AGeneral Partner | Class ALimited Partners | Class A | Class BLimited Partners | Class B | Legacy 1 ClassLimited Partners | Legacy 1 Class | Legacy 2 ClassGeneral Partner | Legacy 2 ClassLimited Partners | Legacy 2 Class | Global 1 ClassGeneral Partner | Global 1 ClassLimited Partners | Global 1 Class | Global 2 ClassGeneral Partner | Global 2 ClassLimited Partners | Global 2 Class | Global 3 ClassLimited Partners | Global 3 Class | Total |
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 992.10 | $ 799.78 | $ 832.28 | $ 808.27 | $ 836.87 | $ 815.99 | $ 677.29 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 304,918 | $ 212,682 | $ 328,671 | $ 189,151 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 3,710,803 | $ 41,821,340 | $ 414,242 | $ 113,599 | $ 15,265,460 | $ 501,820 | $ 323,221 | ||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 3,740.34 | 52,290.82 | 497.72 | 140.55 | 18,241.21 | 614.97 | 477.23 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 63,185,907 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Redemptions | $ (1,368,811) | $ (953,528) | $ (18,162) | $ (34,260) | (2,374,761) | ||||||||||||||
Redemptions (in units) | (1,889.22) | (1,266.67) | (24.64) | (59.93) | |||||||||||||||
Net income (loss) | $ (48,122) | $ (585,637) | $ (6,559,480) | $ (63,359) | $ (32,644) | $ (17,435) | $ (49,883) | $ (2,262,503) | $ (28,810) | $ (75,319) | $ (50,417) | (9,773,609) | |||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 256,796 | $ 180,038 | $ 278,788 | $ 160,341 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 3,125,166 | $ 33,893,049 | $ 350,883 | $ 96,164 | $ 12,049,429 | $ 408,339 | $ 238,544 | ||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 3,740.34 | 50,401.60 | 497.72 | 140.55 | 16,974.54 | 590.33 | 417.30 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | 51,037,537 | ||||||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 304,918 | $ 212,682 | $ 328,671 | $ 189,151 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 3,710,803 | $ 41,821,340 | $ 414,242 | $ 113,599 | $ 15,265,460 | $ 501,820 | $ 323,221 | ||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 3,740.34 | 52,290.82 | 497.72 | 140.55 | 18,241.21 | 614.97 | 477.23 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | 63,185,907 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net income (loss) | (9,097,768) | ||||||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 259,815 | $ 183,096 | $ 284,095 | $ 163,289 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 3,157,652 | $ 29,104,789 | $ 347,464 | $ 97,796 | $ 11,837,505 | $ 415,846 | $ 234,931 | ||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 3,735.31 | 42,845.86 | 484.34 | 140.55 | 16,364.44 | 590.33 | 405.33 | ||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | 46,086,278 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | 835.53 | 672.46 | 704.98 | 684.22 | 709.85 | 691.71 | 571.64 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 256,796 | $ 180,038 | $ 278,788 | $ 160,341 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 3,125,166 | $ 33,893,049 | $ 350,883 | $ 96,164 | $ 12,049,429 | $ 408,339 | $ 238,544 | ||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 3,740.34 | 50,401.60 | 497.72 | 140.55 | 16,974.54 | 590.33 | 417.30 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | 51,037,537 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Redemptions | $ (4,260) | $ (5,163,878) | $ (9,569) | $ (449,393) | (5,627,100) | ||||||||||||||
Redemptions (in units) | (5.03) | (7,555.74) | (13.38) | (619.71) | |||||||||||||||
Transfers in (out) | $ 6,983 | $ (6,983) | |||||||||||||||||
Transfers in (out) (in shares) | 9.61 | (11.97) | |||||||||||||||||
Net income (loss) | $ 3,019 | $ 36,746 | $ 375,618 | $ 6,150 | $ 3,058 | $ 1,632 | $ 5,307 | $ 230,486 | $ 2,948 | $ 7,507 | $ 3,370 | 675,841 | |||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 259,815 | $ 183,096 | $ 284,095 | $ 163,289 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 3,157,652 | $ 29,104,789 | $ 347,464 | $ 97,796 | $ 11,837,505 | $ 415,846 | $ 234,931 | ||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 3,735.31 | 42,845.86 | 484.34 | 140.55 | 16,364.44 | 590.33 | 405.33 | ||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | 46,086,278 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | 845.35 | 679.29 | 717.40 | 695.83 | 723.37 | 704.42 | 579.61 | ||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 900.81 | $ 721.77 | $ 772.63 | $ 748.69 | $ 780.50 | $ 759.80 | $ 620.27 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2020 | $ 276,860 | $ 276,860 | $ 197,003 | $ 197,003 | $ 306,534 | $ 306,534 | $ 176,124 | $ 176,124 | |||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2020 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | |||||||||||
Partners' capital, (net asset value) at Dec. 31, 2020 | $ 3,351,509 | $ 3,351,509 | $ 28,009,494 | $ 28,009,494 | $ 370,186 | $ 370,186 | $ 105,224 | $ 105,224 | $ 12,024,149 | $ 12,024,149 | $ 412,668 | $ 412,668 | $ 7,830 | $ 7,830 | |||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2020 | 3,720.55 | 3,720.55 | 38,806.88 | 38,806.88 | 479.12 | 479.12 | 140.55 | 140.55 | 15,405.71 | 15,405.71 | 543.13 | 543.13 | 12.62 | 12.62 | |||||
Partners' capital, (net asset value) at Dec. 31, 2020 | 45,237,581 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Redemptions | $ (815,848) | $ (573,890) | $ (19,633) | (1,409,371) | |||||||||||||||
Redemptions (in units) | (1,083.09) | (705.66) | (25.76) | ||||||||||||||||
Net income (loss) | $ 15,663 | $ 189,612 | $ 1,529,653 | $ 21,875 | $ 11,528 | $ 6,158 | $ 18,527 | $ 716,597 | $ 10,538 | $ 23,579 | $ 460 | 2,544,190 | |||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | $ 292,523 | $ 208,531 | $ 325,061 | $ 186,662 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2021 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | $ 3,541,121 | $ 28,723,299 | $ 392,061 | $ 111,382 | $ 12,166,856 | $ 416,614 | $ 8,290 | ||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2021 | 3,720.55 | 37,723.79 | 479.12 | 140.55 | 14,700.05 | 517.37 | 12.62 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | 46,372,400 | ||||||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2020 | $ 276,860 | $ 276,860 | $ 197,003 | $ 197,003 | $ 306,534 | $ 306,534 | $ 176,124 | $ 176,124 | |||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2020 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | |||||||||||
Partners' capital, (net asset value) at Dec. 31, 2020 | $ 3,351,509 | $ 3,351,509 | $ 28,009,494 | $ 28,009,494 | $ 370,186 | $ 370,186 | $ 105,224 | $ 105,224 | $ 12,024,149 | $ 12,024,149 | $ 412,668 | $ 412,668 | $ 7,830 | $ 7,830 | |||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2020 | 3,720.55 | 3,720.55 | 38,806.88 | 38,806.88 | 479.12 | 479.12 | 140.55 | 140.55 | 15,405.71 | 15,405.71 | 543.13 | 543.13 | 12.62 | 12.62 | |||||
Partners' capital, (net asset value) at Dec. 31, 2020 | 45,237,581 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net income (loss) | 3,875,990 | ||||||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2021 | $ 226,108 | $ 226,108 | $ 215,075 | $ 215,075 | $ 192,765 | $ 192,765 | |||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2021 | 231.29 | 231.29 | 263.13 | 263.13 | 0 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2021 | $ 3,612,732 | $ 3,612,732 | $ 27,210,500 | $ 27,210,500 | $ 395,905 | $ 395,905 | $ 114,878 | $ 114,878 | $ 12,211,368 | $ 12,211,368 | $ 380,471 | $ 380,471 | $ 8,530 | $ 8,530 | |||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2021 | 3,695.61 | 3,695.61 | 34,849.48 | 34,849.48 | 468.82 | 468.82 | 140.55 | 140.55 | 14,278.42 | 14,278.42 | 457.52 | 457.52 | 12.62 | 12.62 | |||||
Partners' capital, (net asset value) at Jun. 30, 2021 | 44,568,332 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 951.78 | $ 761.41 | $ 818.29 | $ 792.50 | $ 827.68 | $ 805.25 | $ 656.70 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | $ 292,523 | $ 208,531 | $ 325,061 | $ 186,662 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2021 | 307.34 | 263.13 | 392.74 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | $ 3,541,121 | $ 28,723,299 | $ 392,061 | $ 111,382 | $ 12,166,856 | $ 416,614 | $ 8,290 | ||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2021 | 3,720.55 | 37,723.79 | 479.12 | 140.55 | 14,700.05 | 517.37 | 12.62 | ||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2021 | 46,372,400 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Redemptions | $ (75,000) | $ (24,380) | $ (2,276,744) | $ (8,739) | $ (337,306) | $ (362,761) | $ (50,938) | (3,135,868) | |||||||||||
Redemptions (in units) | (76.05) | (24.94) | (2,874.31) | (10.30) | (392.74) | (421.63) | (59.85) | ||||||||||||
Net income (loss) | $ 8,585 | $ 95,991 | $ 763,945 | $ 12,583 | $ 6,544 | $ 3,496 | $ 12,245 | $ 407,273 | $ 6,103 | $ 14,795 | $ 240 | 1,331,800 | |||||||
Partners' capital, (net asset value) at Jun. 30, 2021 | $ 226,108 | $ 226,108 | $ 215,075 | $ 215,075 | $ 192,765 | $ 192,765 | |||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2021 | 231.29 | 231.29 | 263.13 | 263.13 | 0 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2021 | $ 3,612,732 | $ 3,612,732 | $ 27,210,500 | $ 27,210,500 | $ 395,905 | $ 395,905 | $ 114,878 | $ 114,878 | $ 12,211,368 | $ 12,211,368 | $ 380,471 | $ 380,471 | $ 8,530 | $ 8,530 | |||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2021 | 3,695.61 | 3,695.61 | 34,849.48 | 34,849.48 | 468.82 | 468.82 | 140.55 | 140.55 | 14,278.42 | 14,278.42 | 457.52 | 457.52 | 12.62 | 12.62 | |||||
Partners' capital, (net asset value) at Jun. 30, 2021 | $ 44,568,332 | ||||||||||||||||||
Increase (Decrease) in Partners' Capital | |||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 977.58 | $ 780.80 | $ 844.46 | $ 817.37 | $ 855.23 | $ 831.58 | $ 675.73 |
Nature of Business and Signific
Nature of Business and Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2021 | |
Nature of Business and Significant Accounting Policies | |
Nature of Business and Significant Accounting Policies | Note 1. Nature of Business and Significant Accounting Policies Nature of business: Effective April 1, 2019, limited partnership units of the Partnership are no longer offered for sale. For existing investors in the Partnership, business continues to be conducted as usual. There was no change in the trading, operations, or monthly statements, etc. as a result of the termination of the offering, and redemption requests continue to be offered on a monthly basis. The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, swap transactions and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures. The Partnership is a multi-advisor commodity pool that invests the assets of each class of the Partnership in the Partnershipās subsidiary limited liability trading companies (each, a āTrading Companyā and collectively, the āTrading Companiesā) which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of certain reference traders; and/or (iii) allocate assets to the Partnershipās cash management trading company. The Partnershipās general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C. (āthe General Partnerā), an Illinois limited liability company. The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor or reference trader. Effectively, this structure isolates one trading advisor or reference trader from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies: GP 1, LLC (āGP 1ā) GP 5, LLC (āGP 5ā) GP 11, LLC (āGP 11ā) GP 3, LLC (āGP 3ā) GP 8, LLC (āGP 8ā) GP 18, LLC (āGP 18ā) GP 4, LLC (āGP 4ā) GP 9, LLC (āGP 9ā) There were no assets allocated to GP 1, GP 9 and GP 11 as of June 30, 2021 and December 31, 2020. Additionally, GP Cash Management, LLC (āGP Cash Managementā) was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The excess cash is held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or may be invested in mutual funds. The members of GP Cash Management are the Trading Companies. Classes of interests: Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage charge and organization and offering costs payable to the General Partner. Both Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ only in respect to the brokerage charge payable to the General Partner. The Legacy 1 Class and Legacy 2 Class units were offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as āwrap-accountsā). The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partnerās brokerage charge. The Global 1 Class and Global 2 Class units were offered only to investors in wrap accounts. The Partnershipās significant accounting policies are as follows: Accounting principles: Financial Services ā Investment Companies Consolidation: Use of estimates: Cash and cash equivalents: Valuation of investments: Investment transactions, investment income and expenses: Balance Sheet, Offsetting Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnershipās clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership. Commissions: Redemptions payable: Distinguishing Liabilities from Equity Income taxes: The Partnership follows the provisions of ASC 740, Income Taxes Organization and offering costs: Foreign currency transactions: rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Swap contracts: Changes in the value of the swap agreements are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies, the Partnership has entered into a total return swap with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swap. As of June 30, 2021 and December 31, 2020, the notional value of the swap was $8,688,769 and $9,589,399, respectively, and the cash margin balance was $2,250,000 and $4,650,000, respectively, which is included in equity in brokersā trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020. Statement of cash flows: Statement of Cash Flows Recent accounting pronouncements: Reference Rate Reform, Reference Rate Reform ā Interim financial statements: The consolidated financial statements included herein were prepared by us without audit according to the rules and regulations of the SEC. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP may be omitted pursuant to such rules and regulations. The financial statements reflect, in the opinion of management, all adjustments necessary that were of a normal and recurring nature and adequate disclosures to present fairly the financial position and results of operations as of and for the periods indicated. The results of operations for the three and six months ended June 30, 2021 and 2020 are not necessarily indicative of the results to be expected for the full year or for any other period. ā These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Form 10-K previously filed with the SEC. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Measurements | |
Fair Value Measurements | Note 2. Fair Value Measurements As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement. Level 3. Inputs that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3. The following section describes the valuation techniques used by the Partnership to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized. The fair value of exchange-traded futures contracts, options on futures contracts and exchange-traded funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The fair value of money market funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2 of the fair value hierarchy. U.S. Government securities and U.S. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy. The investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the counterparty. The Partnershipās swap transactions are a two-party contract entered into primarily to exchange the returns earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or swapped between parties are calculated with respect to a notional amount. The total return swaps have inputs which are transparent and can generally be corroborated by market data and therefore are classified within Level 2 of the fair value hierarchy. The following table presents the Partnershipās fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2021: ā ā ā ā ā ā ā ā ā ā ā ā ā ā Assets and Liabilities Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 115,550 ā $ ā ā $ ā ā $ 115,550 ā Swap contracts ā ā ā ā ā (576,995) ā ā ā ā ā (576,995) ā Cash and cash equivalents ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. money market fund ā ā 5,246,209 ā ā ā ā ā ā ā ā 5,246,209 ā Securities owned ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. Government-sponsored enterprises ā ā ā ā ā 18,907,546 ā ā ā ā ā 18,907,546 ā U.S. Government securities ā ā ā ā ā 6,996,170 ā ā ā ā ā 6,996,170 ā U.S. Exchange-traded funds ā ā 7,724,035 ā ā ā ā ā ā ā ā 7,724,035 ā Total ā $ 13,085,794 ā $ 25,326,721 ā $ ā ā $ 38,412,515 ā ā The gross presentation of the fair value of the Partnershipās derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector. The following table presents the Partnershipās fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2020: ā ā ā ā ā ā ā ā ā ā ā ā ā ā Assets and Liabilities Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,563,838 ā $ ā ā $ ā ā $ 1,563,838 ā Forward currency contracts ā ā ā ā ā (63,929) ā ā ā ā ā (63,929) ā Swap contracts ā ā ā ā ā (1,420,571) ā ā ā ā ā (1,420,571) ā Cash and cash equivalents ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. money market fund ā ā 4,876,725 ā ā ā ā ā ā ā ā 4,876,725 ā Securities owned ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. Government-sponsored enterprises ā ā ā ā ā 15,023,691 ā ā ā ā ā 15,023,691 ā U.S. Government securities ā ā ā ā ā 9,996,048 ā ā ā ā ā 9,996,048 ā U.S. Exchange-traded funds ā ā 7,180,070 ā ā ā ā ā ā ā ā 7,180,070 ā Total ā $ 13,620,633 ā $ 23,535,239 ā $ ā ā $ 37,155,872 ā ā The gross presentation of the fair value of the Partnershipās derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector. The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnershipās accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among Levels 1, 2, and 3 during the six months ended June 30, 2021 and year ended December 31, 2020. |
Deposits with Brokers and Inter
Deposits with Brokers and Interbank Market Makers | 6 Months Ended |
Jun. 30, 2021 | |
Deposits with Brokers and Interbank Market Makers | |
Deposits with Brokers and Interbank Market Makers | Note 3. Deposits with Brokers and Interbank Market Makers The Partnership, through the Trading Companies, deposits assets with ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas Securities, LLC subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government-sponsored enterprise securities and/or cash with such clearing brokers. The Partnership may earn interest income on its assets deposited with the clearing brokers. The Partnership, through the Trading Companies, has entered into a relationship with SociĆØtĆØ GĆØnĆØrale International Limited for the clearing of its OTC foreign currency transactions and with Deutsche Bank AG for its swap transactions. The Partnership has entered into an International Swaps and Derivatives Association, Inc. master agreement with Deutsche Bank AG and SociĆØtĆØ GĆØnĆØrale International Limited. Margin requirements may be satisfied by the deposit of U.S. Treasury bills and/or cash with such interbank market makers or swap counterparties. The Partnership may earn interest income on its assets deposited with the interbank market makers. |
Commodity Trading Advisors and
Commodity Trading Advisors and Reference Traders | 6 Months Ended |
Jun. 30, 2021 | |
Commodity Trading Advisors and Reference Traders | |
Commodity Trading Advisors and Reference Traders | ā Note 4. Commodity Trading Advisors and Reference Traders The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors or through swap transactions based on reference programs of such advisors. Each trading advisor that receives a direct allocation from the Partnership has entered into an advisory contract with the Partnership. As of June 30, 2021, the commodity trading advisors are EMC Capital Advisors, LLC (āEMCā), Episteme Capital Partners (UK) LLP (āEpistemeā), Quantica Capital AG (āQuanticaā) and Sterling Partners Quantitative Investments LLC (āSterlingā) (collectively, the āAdvisorsā). The Partnership will obtain the equivalent of net profits or net losses generated by H2O AM LLP (āH2Oā) and as a reference trader (āReference Traderā) through an off-exchange swap transaction and will not allocate assets to H2O directly. The Advisors and Reference Trader are paid a quarterly consulting fee, directly or through swap transactions, ranging from 0.2 percent to 1 percent per annum of the Partnershipās month-end allocated net assets and a quarterly or semi-annual incentive fee, directly or through swap transactions, ranging from 0 percent to 20 percent of the new trading profits on the allocated net assets of the Advisor or Reference Trader. |
General Partner and Related Par
General Partner and Related Party Transactions | 6 Months Ended |
Jun. 30, 2021 | |
General Partner and Related Party Transactions | |
General Partner and Related Party Transactions | Note 5. General Partner and Related Party Transactions The General Partner shall at all times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) during such time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (āNASAAā) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines. Ten percent of the General Partners limited partnership interest in the Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest. The Partnership pays the General Partner a monthly brokerage charge, organization and offering reimbursement and operating expenses. The annualized brokerage charge, organization and offering reimbursement and operating expenses are presented in the table below. ā ā ā ā ā ā ā ā ā ā ā ā ā Organization and Offering ā ā ā ā Brokerage charge* Reimbursement* Operating Expense* Class A units ā 7.00 % 0.10 % 0.25 % Class B units ā 7.45 % 0.30 % 0.25 % Legacy 1 Class units ā 4.50 % 0.30 % 0.25 % Legacy 2 Class units ā 4.75 % 0.30 % 0.25 % Global 1 Class units ā 3.95 % 0.30 % 0.25 % Global 2 Class units ā 4.20 % 0.30 % 0.25 % Global 3 Class units ā 5.95 % 0.30 % 0.25 % ā *The fees are calculated and payable monthly on the basis of month-end adjusted net assets. āAdjusted net assetsā is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions. Included in the total brokerage charge are amounts paid to the clearing brokers for execution and clearing costs, which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered, which are reflected in the brokerage charge line on the consolidated statements of operations. The brokerage charge in the amounts of $557,002 and $1,109,560, respectively, for the three and six months ended June 30, 2021 and $586,807 and $1,245,636, respectively, for the three and six months ended June 30, 2020, are shown on the consolidated statements of operations. Transaction costs and consulting fees are taken into account in determining the net amount the Partnership receives or pays in connection with swap transactions, but such costs or fees are not directly charged to the Partnership or any of its trading companies. The general partner will reduce (but not below zero) the brokerage charge by the amount of such costs and fees. Each class of units pays a fee to a counterparty in respect of any swap transaction of up to 0.50% of the notional amount of such swap transaction. Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $33,481 and $66,726, respectively, for the three and six months ended June 30, 2021 and $35,954 and $77,925, respectively, for the three and six months ended June 30, 2020, are shown on the consolidated statements of operations. Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnershipās average month-end net assets during the year, the difference may be reimbursed, at the General Partnerās discretion, pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $29,553 and $58,838, respectively, for the three and six months ended June 30, 2021 and $31,398 and $67,935, respectively, for the three and six months ended June 30, 2020, are shown on the consolidated statement of operations. An entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of the Partnership, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC, which is one of the commodity trading advisors of the Partnership. The general partner, on behalf of the Partnership, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMCās allocated net assets at the end of each period. For the three and six months ended June 30, 2021, EMC was paid approximately $23,200 and $45,400, respectively, in consulting fees and $12,300 and $57,700, respectively, in incentive fees. For the three and six months ended June 30, 2020, EMC was paid approximately $19,400 and $39,300, respectively, in consulting fees and no incentive fees. ā |
Redemptions and Allocation of N
Redemptions and Allocation of Net Income or Loss | 6 Months Ended |
Jun. 30, 2021 | |
Redemptions and Allocation of Net Income or Loss | |
Redemptions and Allocation of Net Income or Loss | Note 6. Redemptions and Allocation of Net Income or Loss Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners have the right to redeem units as of any month-end upon ten (10) daysā prior written notice to the Partnership. The General Partner, however, may permit earlier redemptions in its discretion. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners were prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeemed their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, paid the applicable early redemption fee. There were no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeemed their units on or after the one-year anniversary of their subscription. Redemptions will be made as of the last day of the month for an amount equal to the net asset value per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is also contingent upon the Partnershipās having property sufficient to discharge its liabilities on the redemption date and may be delayed if the General Partner determines that earlier liquidation of commodity interest positions to meet redemption payments would be detrimental to the Partnership or nonredeeming Limited Partners. In addition, the General Partner may at any time cause the redemption of all or a portion of any Limited Partnerās units upon fifteen (15) daysā written notice. The General Partner may also immediately redeem any Limited Partnerās units without notice if the General Partner believes that (i) the redemption is necessary to avoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement Income Security Act of 1974 , as amended (āERISAā), (ii) the Limited Partner made a misrepresentation in connection with its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by the Partnership or any Partner. In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month. |
Financial Highlights
Financial Highlights | 6 Months Ended |
Jun. 30, 2021 | |
Financial Highlights | |
Financial Highlights | Note 7. Financial Highlights ā The following financial highlights reflect activity related to the Partnership. Total return is based on the change in value during the period of a theoretical investment made by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partnersā ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions. ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Three Months Ended ā ā Six Months Ended ā ā ā ā June 30, ā ā June 30, ā ā ā ā 2021 ā ā 2020 ā 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total return ā Class A Units ā 2.71 % ā 1.18 % ā 8.52 % (14.79) % ā Total return ā Class B Units ā 2.55 % ā 1.02 % ā 8.18 % (15.07) % ā Total return ā Legacy 1 Class Units ā 3.20 % ā 1.76 % ā 9.30 % (13.80) % ā Total return ā Legacy 2 Class Units ā 3.14 % ā 1.70 % ā 9.17 % (13.91) % ā Total return ā Global 1 Class Units ā 3.33 % ā 1.90 % ā 9.58 % (13.56) % ā Total return ā Global 2 Class Units ā 3.27 % ā 1.84 % ā 9.45 % (13.67) % ā Total return ā Global 3 Class Units ā 2.90 % ā 1.39 % ā 8.94 % (14.42) % ā Ratios as a percentage of average net assets: ā ā ā ā ā ā ā ā ā ā ā ā Expenses prior to incentive fees (1) ā 5.39 % ā 5.36 % ā 5.39 % 5.13 % ā Incentive fees (2) ā 0.67 % ā 0.00 % ā 1.60 % 0.12 % ā Total expenses ā 6.06 % ā 5.36 % ā 6.99 % 5.25 % ā Net investment loss (1) (3) ā (5.09) % ā (4.06) % ā (4.97) % (3.71) % ā ā (1) Annualized. (2) Not annualized. (3) Excludes incentive fee. ā The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three and six months ended June 30, 2021 and 2020 (annualized). ā The following per unit performance calculations reflect activity related to the Partnership for the three and six months ended June 30, 2021 and 2020. ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Class A Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 951.78 ā $ 835.53 ā $ 900.81 ā $ 992.10 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 45.33 ā ā 18.97 ā ā 116.00 ā ā (127.83) ā Net investment loss* ā ā (19.53) ā ā (9.15) ā ā (39.23) ā ā (18.92) ā Total income (loss) from operations ā ā 25.80 ā ā 9.82 ā ā 76.77 ā ā (146.75) ā Net asset value per unit at end of period ā $ 977.58 ā $ 845.35 ā $ 977.58 ā $ 845.35 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Class B Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 761.41 ā $ 672.46 ā $ 721.77 ā $ 799.78 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 36.58 ā ā 15.55 ā ā 93.29 ā ā (102.50) ā Net investment loss* ā ā (17.19) ā ā (8.72) ā ā (34.26) ā ā (17.99) ā Total income (loss) from operations ā ā 19.39 ā ā 6.83 ā ā 59.03 ā ā (120.49) ā Net asset value per unit at end of period ā $ 780.80 ā $ 679.29 ā $ 780.80 ā $ 679.29 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Legacy 1 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 818.29 ā $ 704.98 ā $ 772.63 ā $ 832.28 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 38.92 ā ā 16.02 ā ā 99.62 ā ā (107.53) ā Net investment loss* ā ā (12.75) ā ā (3.60) ā ā (27.79) ā ā (7.35) ā Total income (loss) from operations ā ā 26.17 ā ā 12.42 ā ā 71.83 ā ā (114.88) ā Net asset value per unit at end of period ā $ 844.46 ā $ 717.40 ā $ 844.46 ā $ 717.40 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Legacy 2 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 792.50 ā $ 684.22 ā $ 748.69 ā $ 808.27 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 37.56 ā ā 15.53 ā ā 96.32 ā ā (104.41) ā Net investment loss* ā ā (12.69) ā ā (3.92) ā ā (27.64) ā ā (8.03) ā Total income (loss) from operations ā ā 24.87 ā ā 11.61 ā ā 68.68 ā ā (112.44) ā Net asset value per unit at end of period ā $ 817.37 ā $ 695.83 ā $ 817.37 ā $ 695.83 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 1 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 827.68 ā $ 709.85 ā $ 780.50 ā $ 836.87 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 39.54 ā ā 16.15 ā ā 101.14 ā ā (108.10) ā Net investment loss* ā ā (11.99) ā ā (2.63) ā ā (26.41) ā ā (5.40) ā Total income (loss) from operations ā ā 27.55 ā ā 13.52 ā ā 74.73 ā ā (113.50) ā Net asset value per unit at end of period ā $ 855.23 ā $ 723.37 ā $ 855.23 ā $ 723.37 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 2 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 805.25 ā $ 691.71 ā $ 759.80 ā $ 815.99 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 38.86 ā ā 15.70 ā ā 98.61 ā ā (105.44) ā Net investment loss* ā ā (12.53) ā ā (2.99) ā ā (26.83) ā ā (6.13) ā Total income (loss) from operations ā ā 26.33 ā ā 12.71 ā ā 71.78 ā ā (111.57) ā Net asset value per unit at end of period ā $ 831.58 ā $ 704.42 ā $ 831.58 ā $ 704.42 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 3 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 656.70 ā $ 571.64 ā $ 620.27 ā $ 677.29 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 31.15 ā ā 12.98 ā ā 79.78 ā ā (87.24) ā Net investment loss* ā ā (12.12) ā ā (5.01) ā ā (24.32) ā ā (10.44) ā Total income (loss) from operations ā ā 19.03 ā ā 7.97 ā ā 55.46 ā ā (97.68) ā Net asset value per unit at end of period ā $ 675.73 ā $ 579.61 ā $ 675.73 ā $ 579.61 ā ā * Net investment loss per unit is calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
Trading Activities and Related
Trading Activities and Related Risks | 6 Months Ended |
Jun. 30, 2021 | |
Trading Activities and Related Risks | |
Trading Activities and Related Risks | Note 8. Trading Activities and Related Risks ā The Partnership, through its Advisors or swap transactions based on reference programs of such advisors, engages in the speculative trading of a variety of instruments, which may include U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts and other derivative instruments including swap contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnershipās speculative trading may include equities and exchange-traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. ā The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCMās proprietary activities. A customerās cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCMās segregation requirements. In the event of an FCMās insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes ADM Investor Services, Inc., Rosenthal Collins Group Division of Marex Spectron and SG Americas Securities, LLC as its clearing brokers. ā The amount of required margin and good faith deposits with the FCMs, interbank market makers and swap counterparties usually ranges from 5% to 35% of the Partnershipās net asset value. The cash deposited with the FCMs, interbank market makers and swap counterparties at June 30, 2021 and December 31, 2020 was $7,517,619 and $9,659,503, respectively, which was 16.87% and 21.35% of the net asset value, respectively, and is included in equity in brokersā trading accounts on the consolidated statements of financial condition. ā For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. ā In addition to market risk, trading futures, forwards and swap contracts entails a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions. ā In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional markets rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership. ā Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the Partnership will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the Partnership to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of the Partnership. If the counterparty to such a swap agreement defaults, the Partnership would be a general unsecured creditor for any termination amounts owed by the counterparty to the Partnership as well as for any collateral deposits in excess of the amounts owed by the Partnership to the counterparty, which would result in losses to the Partnership. ā There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results. ā Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnershipās ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statements of financial condition. ā The Partnership maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Partnership does not believe it is exposed to any significant credit risk. ā The General Partner has established procedures to actively monitor and minimize market and credit risks. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received. ā Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Parkās business or operations or the value of positions held by Grant Park. Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified. ā On March 11, 2020, the World Health Organization declared the novel coronavirus disease 2019, known as COVID-19 (āCOVID-19ā), a pandemic. The COVID-19 global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, Grant Park could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. |
Indemnifications
Indemnifications | 6 Months Ended |
Jun. 30, 2021 | |
Indemnifications | |
Indemnifications | Note 9. Indemnifications ā In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnershipās maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote. |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments | |
Derivative Instruments | Note 10. Derivative Instruments ā The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entityās financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8). ā The Partnershipās business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market risk and credit risk. In entering into these contracts, the Partnership faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. The Partnership minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%. ā In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearing organization is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions. ā In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there will likely be greater counterparty credit risk in these transactions. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts. ā The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05. ā For the three and six months ended June 30, 2021, the monthly average number of futures contracts bought and sold was 5,978 and 5,112, respectively, and the monthly average number of forward contracts bought and sold was 160 and 117, respectively. For the three and six months ended June 30, 2020, the monthly average number of futures contracts bought and sold was 3,329 and 4,038, respectively, and the monthly average number of forward contracts bought and sold was 217 and 307, respectively. There were no swap contracts bought or sold during the three and six months ended June 30, 2021 and 2020, respectively. The following tables summarize the quantitative information required by FASB ASC 815: ā Fair Values of Derivative Instruments at June 30, 2021 and December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Consolidated ā Asset ā Liability ā ā ā ā ā Statements of Financial ā Derivatives ā Derivatives ā ā ā ā Condition Location ā June 30, 2021 ā June 30, 2021 ā Fair Value ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net Unrealized gain (loss) on open futures contracts ā $ 22,175 ā $ (27,736) ā $ (5,561) ā ā ā ā ā ā ā ā ā ā ā ā Currencies contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 201,324 ā ā (197,757) ā ā 3,567 ā ā ā ā ā ā ā ā ā ā ā ā Energy contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 408,919 ā ā (57,154) ā ā 351,765 ā ā ā ā ā ā ā ā ā ā ā ā Interest rates contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 190,709 ā ā (300,495) ā ā (109,786) ā ā ā ā ā ā ā ā ā ā ā ā Meats contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 4,430 ā ā (15,261) ā ā (10,831) ā ā ā ā ā ā ā ā ā ā ā ā Metals contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 116,364 ā ā (277,337) ā ā (160,973) ā ā ā ā ā ā ā ā ā ā ā ā Soft commodities contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 69,319 ā ā (11,868) ā ā 57,451 ā ā ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 134,921 ā ā (145,003) ā ā (10,082) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā $ 1,148,161 ā $ (1,032,611) ā $ 115,550 ā ā ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā Net Unrealized gain (loss) on open forward currency contracts ā $ ā ā $ ā ā $ ā ā ā ā ā ā ā ā ā ā ā ā ā Swap contracts* ā Net Unrealized gain (loss) on open swap contracts ā $ ā ā $ (576,995) ā $ (576,995) ā ā ā ā ā ā ā ā ā ā ā ā *At June 30, 2021, the sector exposure of the CTA index underlying the swap was: ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Deutsche Bank total return swap, termination date June 30, 2025 ā ā ā ā ā ā ā ā Interest rate contracts ā 38% ā ā ā ā ā ā ā ā ā Stock indices contracts ā 20% ā ā ā ā ā ā ā ā ā Forward currency contracts ā 42% ā ā ā ā ā ā ā ā ā Total ā 100% ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Consolidated ā Asset ā Liability ā ā ā ā ā ā Statements of Financial ā Derivatives ā Derivatives ā ā ā ā ā Condition Location December 31, 2020 December 31, 2020 Fair Value ā ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net Unrealized gain (loss) on open futures contracts ā $ 497,774 ā $ (1,962) ā $ 495,812 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Currencies contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 184,052 ā ā (9,147) ā ā 174,905 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Energy contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 273,682 ā ā (142,530) ā ā 131,152 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Interest rates contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 120,357 ā ā (154,791) ā ā (34,434) ā ā ā ā ā ā ā ā ā ā ā ā ā ā Meats contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 17,160 ā ā (4,135) ā ā 13,025 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Metals contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 408,111 ā ā (84,566) ā ā 323,545 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Soft commodities contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 283,819 ā ā (50,031) ā ā 233,788 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 283,402 ā ā (57,357) ā ā 226,045 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā $ 2,068,357 ā $ (504,519) ā $ 1,563,838 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā Net Unrealized gain (loss) on open forward currency contracts ā $ 62,001 ā $ (125,930) ā $ (63,929) ā ā ā ā ā ā ā ā ā ā ā ā ā ā Swap contracts* ā Net Unrealized gain (loss) on open swap contracts ā $ ā ā $ (1,420,571) ā $ (1,420,571) ā ā ā ā ā ā ā ā ā ā ā ā ā ā *At December 31, 2020, the sector exposure of the CTA index underlying the swap was: ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Deutsche Bank total return swap, termination date June 30, 2025 ā ā ā ā ā ā ā ā ā Interest rate contracts ā 59% ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā 13% ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā 28% ā ā ā ā ā ā ā ā ā ā Total ā 100% ā ā ā ā ā ā ā ā ā ā ā The Effect of Derivative Instruments on the Consolidated Statements of Operations for the Three and Six Months Ended June 30, 2021 and 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Three Months Ended ā Three Months Ended ā Six Months Ended ā Six Months Ended ā Type of Contract ā June 30, 2021 June 30, 2020 ā June 30, 2021 June 30, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net gain (loss) from futures trading ā $ 827,829 ā $ (344,256) ā $ 1,188,967 ā $ (173,223) ā Currencies contracts ā Net gain (loss) from futures trading ā ā 166,269 ā ā (147,901) ā ā (109,582) ā ā 279,608 ā Energy contracts ā Net gain (loss) from futures trading ā ā 636,861 ā ā (84,987) ā ā 1,853,585 ā ā 483,710 ā Interest rates contracts ā Net gain (loss) from futures trading ā ā 328,245 ā ā 276,356 ā ā 417,860 ā ā 2,133,625 ā Meats contracts ā Net gain (loss) from futures trading ā ā (70,061) ā ā 12,789 ā ā 28,703 ā ā 156,460 ā Metals contracts ā Net gain (loss) from futures trading ā ā 233,042 ā ā 94,563 ā ā 214,067 ā ā 445,599 ā Soft commodities contracts ā Net gain (loss) from futures trading ā ā 326,508 ā ā (55,254) ā ā 708,244 ā ā (52,967) ā Stock indices contracts ā Net gain (loss) from futures trading ā ā (13,084) ā ā 857,097 ā ā 773,114 ā ā (2,960,941) ā ā ā Net gain (loss) from futures trading ā ā 2,435,609 ā ā 608,407 ā ā 5,074,958 ā ā 311,871 ā Forward currency contracts ā Net gain (loss) from forward currency trading ā ā (222,688) ā ā (18,462) ā ā 86,650 ā ā 226,402 ā Swap contracts ā Net gain (loss) from swap trading ā ā 112,775 ā ā 383,266 ā ā 843,576 ā ā (7,725,789) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total ā ā ā $ 2,325,696 ā $ 973,211 ā $ 6,005,184 ā $ (7,187,516) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Line Item in Consolidated Statements of Operations ā Three Months Ended ā Six Months Ended ā ā June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from futures trading ā ā ā ā ā ā ā ā ā ā ā ā ā Realized ā $ 3,027,117 ā $ 1,160,943 ā $ 6,523,246 ā $ 290,839 ā Change in unrealized ā ā (591,508) ā ā (552,536) ā ā (1,448,288) ā ā 21,032 ā Total realized and change in unrealized net gain (loss) from futures trading ā $ 2,435,609 ā $ 608,407 ā $ 5,074,958 ā $ 311,871 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from forward currency trading ā ā ā ā ā ā ā ā ā ā ā ā ā Realized ā $ (55,454) ā $ (14,955) ā $ 22,721 ā $ 150,483 ā Change in unrealized ā ā (167,234) ā ā (3,507) ā ā 63,929 ā ā 75,919 ā Total realized and change in unrealized net gain (loss) from forward currency trading ā $ (222,688) ā $ (18,462) ā $ 86,650 ā $ 226,402 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from swap trading ā ā ā ā ā ā ā ā ā ā ā ā ā Change in unrealized ā $ 112,775 ā $ 383,266 ā $ 843,576 ā $ (7,725,789) ā Total realized and change in unrealized net gain (loss) from swap trading ā $ 112,775 ā $ 383,266 ā $ 843,576 ā $ (7,725,789) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total realized and change in unrealized net gain (loss) from futures, forward currency and swap trading ā $ 2,325,696 ā $ 973,211 ā $ 6,005,184 ā $ (7,187,516) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā The tables below show the gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition: ā Offsetting of Derivative Assets As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain/(Loss) ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Assets Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,148,161 ā $ (1,032,611) ā $ 115,550 ā Swap contracts ā ā ā ā ā (576,995) ā ā (576,995) ā Total derivatives ā $ 1,148,161 ā $ (1,609,606) ā $ (461,445) ā ā Offsetting of Derivative Liabilities As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Liabilities Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,032,611 ā $ (1,032,611) ā $ ā ā Swap contracts ā ā 576,995 ā ā (576,995) ā ā ā ā Total derivatives ā $ 1,609,606 ā $ (1,609,606) ā $ ā ā ā Derivative Assets and Liabilities and Collateral Received by Counterparty As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Gross Amounts Not Offset in the Consolidated ā ā ā ā ā ā ā ā ā Statements of Financial Condition ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā ā ā ā ā ā ā Unrealized Gain/(Loss) ā ā ā ā ā ā ā ā ā ā ā ā Presented in ā ā ā ā ā ā ā ā ā ā ā ā the Consolidated ā ā ā ā ā ā ā ā ā ā ā ā Statements of ā Financial ā Cash Collateral ā ā ā ā Counterparty Financial Condition Instruments Pledged Net Amount ā ā ā ā ā ā ā ā ā ā ā ā ā ā ADM Investor Services, Inc. ā $ (84,738) ā $ ā ā $ 84,738 ā $ ā ā Deutsche Bank AG ā ā (576,995) ā ā ā ā ā 576,995 ā ā ā ā Rosenthal Collins Group Division of Marex Spectron ā ā 260,845 ā ā ā ā ā ā ā ā 260,845 ā SG Americas Securities, LLC ā ā (60,557) ā ā ā ā ā 60,557 ā ā ā ā Total ā $ (461,445) ā $ ā ā $ 722,290 ā $ 260,845 ā ā Offsetting of Derivative Assets As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain/(Loss) ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Assets Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 2,068,357 ā $ (504,519) ā $ 1,563,838 ā Forward currency contracts ā ā 62,001 ā ā (125,930) ā ā (63,929) ā Swap contracts ā ā ā ā ā (1,420,571) ā ā (1,420,571) ā Total derivatives ā $ 2,130,358 ā $ (2,051,020) ā $ 79,338 ā ā Offsetting of Derivative Liabilities As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Liabilities Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 504,519 ā $ (504,519) ā $ ā ā Forward currency contracts ā ā 125,930 ā ā (125,930) ā ā ā ā Swap contracts ā ā 1,420,571 ā ā (1,420,571) ā ā ā ā Total derivatives ā $ 2,051,020 ā $ (2,051,020) ā $ ā ā ā Derivative Assets and Liabilities and Collateral Received by Counterparty As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Gross Amounts Not Offset in the Consolidated ā ā ā ā ā ā ā ā ā Statements of Financial Condition ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā ā ā ā ā ā ā Unrealized Gain/(Loss) ā ā ā ā ā ā ā ā ā ā ā ā Presented in ā ā ā ā ā ā ā ā ā ā ā ā the Consolidated ā ā ā ā ā ā ā ā ā ā ā ā Statements of ā Financial ā Cash Collateral ā ā ā ā Counterparty Financial Condition Instruments Pledged Net Amount ā ā ā ā ā ā ā ā ā ā ā ā ā ā ADM Investor Services, Inc. ā $ 304,358 ā $ ā ā $ ā ā $ 304,358 ā Deutsche Bank AG ā ā (1,420,571) ā ā ā ā ā 1,420,571 ā ā ā ā Rosenthal Collins Group Division of Marex Spectron ā ā 112,762 ā ā ā ā ā ā ā ā 112,762 ā SG Americas Securities, LLC ā ā 1,082,789 ā ā ā ā ā ā ā ā 1,082,789 ā Total ā $ 79,338 ā $ ā ā $ 1,420,571 ā $ 1,499,909 ā ā |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events | |
Subsequent Events | Note 11. Subsequent Events ā The Partnership has evaluated subsequent events for potential recognition and/or disclosure through date of issuance of the accompanying consolidated financial statements. There are no subsequent events to disclose or record. ā |
Nature of Business and Signif_2
Nature of Business and Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
Nature of Business and Significant Accounting Policies | |
Accounting principles | Accounting principles: Financial Services ā Investment Companies |
Consolidation | Consolidation: |
Use of estimates | Use of estimates: |
Cash and cash equivalents | Cash and cash equivalents: |
Valuation of investments | Valuation of investments: |
Investment transactions, investment income and expenses | Investment transactions, investment income and expenses: Balance Sheet, Offsetting Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnershipās clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership. |
Commissions | Commissions: |
Redemptions payable | Redemptions payable: Distinguishing Liabilities from Equity |
Income taxes | Income taxes: The Partnership follows the provisions of ASC 740, Income Taxes |
Organization and offering costs | Organization and offering costs: |
Foreign currency transactions | Foreign currency transactions: rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. |
Swap contracts | Swap contracts: Changes in the value of the swap agreements are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies, the Partnership has entered into a total return swap with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swap. As of June 30, 2021 and December 31, 2020, the notional value of the swap was $8,688,769 and $9,589,399, respectively, and the cash margin balance was $2,250,000 and $4,650,000, respectively, which is included in equity in brokersā trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020. |
Statement of cash flows | Statement of cash flows: Statement of Cash Flows |
Recent accounting pronouncements | Recent accounting pronouncements: Reference Rate Reform, Reference Rate Reform ā Interim financial statements: The consolidated financial statements included herein were prepared by us without audit according to the rules and regulations of the SEC. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP may be omitted pursuant to such rules and regulations. The financial statements reflect, in the opinion of management, all adjustments necessary that were of a normal and recurring nature and adequate disclosures to present fairly the financial position and results of operations as of and for the periods indicated. The results of operations for the three and six months ended June 30, 2021 and 2020 are not necessarily indicative of the results to be expected for the full year or for any other period. ā These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Form 10-K previously filed with the SEC. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Measurements | |
Schedule of fair value hierarchy for assets and liabilities measured at fair value on a recurring basis | The following table presents the Partnershipās fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2021: ā ā ā ā ā ā ā ā ā ā ā ā ā ā Assets and Liabilities Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 115,550 ā $ ā ā $ ā ā $ 115,550 ā Swap contracts ā ā ā ā ā (576,995) ā ā ā ā ā (576,995) ā Cash and cash equivalents ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. money market fund ā ā 5,246,209 ā ā ā ā ā ā ā ā 5,246,209 ā Securities owned ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. Government-sponsored enterprises ā ā ā ā ā 18,907,546 ā ā ā ā ā 18,907,546 ā U.S. Government securities ā ā ā ā ā 6,996,170 ā ā ā ā ā 6,996,170 ā U.S. Exchange-traded funds ā ā 7,724,035 ā ā ā ā ā ā ā ā 7,724,035 ā Total ā $ 13,085,794 ā $ 25,326,721 ā $ ā ā $ 38,412,515 ā The following table presents the Partnershipās fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2020: ā ā ā ā ā ā ā ā ā ā ā ā ā ā Assets and Liabilities Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,563,838 ā $ ā ā $ ā ā $ 1,563,838 ā Forward currency contracts ā ā ā ā ā (63,929) ā ā ā ā ā (63,929) ā Swap contracts ā ā ā ā ā (1,420,571) ā ā ā ā ā (1,420,571) ā Cash and cash equivalents ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. money market fund ā ā 4,876,725 ā ā ā ā ā ā ā ā 4,876,725 ā Securities owned ā ā ā ā ā ā ā ā ā ā ā ā ā U.S. Government-sponsored enterprises ā ā ā ā ā 15,023,691 ā ā ā ā ā 15,023,691 ā U.S. Government securities ā ā ā ā ā 9,996,048 ā ā ā ā ā 9,996,048 ā U.S. Exchange-traded funds ā ā 7,180,070 ā ā ā ā ā ā ā ā 7,180,070 ā Total ā $ 13,620,633 ā $ 23,535,239 ā $ ā ā $ 37,155,872 ā |
General Partner and Related P_2
General Partner and Related Party Transactions (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
General Partner and Related Party Transactions | |
Schedule of annualized brokerage charge, organization and offering reimbursement and operating expenses | ā ā ā ā ā ā ā ā ā ā ā ā ā Organization and Offering ā ā ā ā Brokerage charge* Reimbursement* Operating Expense* Class A units ā 7.00 % 0.10 % 0.25 % Class B units ā 7.45 % 0.30 % 0.25 % Legacy 1 Class units ā 4.50 % 0.30 % 0.25 % Legacy 2 Class units ā 4.75 % 0.30 % 0.25 % Global 1 Class units ā 3.95 % 0.30 % 0.25 % Global 2 Class units ā 4.20 % 0.30 % 0.25 % Global 3 Class units ā 5.95 % 0.30 % 0.25 % |
Financial Highlights (Tables)
Financial Highlights (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Financial Highlights | |
Schedule of financial highlights reflecting total return and relevant ratios to Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Three Months Ended ā ā Six Months Ended ā ā ā ā June 30, ā ā June 30, ā ā ā ā 2021 ā ā 2020 ā 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total return ā Class A Units ā 2.71 % ā 1.18 % ā 8.52 % (14.79) % ā Total return ā Class B Units ā 2.55 % ā 1.02 % ā 8.18 % (15.07) % ā Total return ā Legacy 1 Class Units ā 3.20 % ā 1.76 % ā 9.30 % (13.80) % ā Total return ā Legacy 2 Class Units ā 3.14 % ā 1.70 % ā 9.17 % (13.91) % ā Total return ā Global 1 Class Units ā 3.33 % ā 1.90 % ā 9.58 % (13.56) % ā Total return ā Global 2 Class Units ā 3.27 % ā 1.84 % ā 9.45 % (13.67) % ā Total return ā Global 3 Class Units ā 2.90 % ā 1.39 % ā 8.94 % (14.42) % ā Ratios as a percentage of average net assets: ā ā ā ā ā ā ā ā ā ā ā ā Expenses prior to incentive fees (1) ā 5.39 % ā 5.36 % ā 5.39 % 5.13 % ā Incentive fees (2) ā 0.67 % ā 0.00 % ā 1.60 % 0.12 % ā Total expenses ā 6.06 % ā 5.36 % ā 6.99 % 5.25 % ā Net investment loss (1) (3) ā (5.09) % ā (4.06) % ā (4.97) % (3.71) % ā ā (1) Annualized. (2) Not annualized. (3) Excludes incentive fee. ā |
Class A | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Class A Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 951.78 ā $ 835.53 ā $ 900.81 ā $ 992.10 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 45.33 ā ā 18.97 ā ā 116.00 ā ā (127.83) ā Net investment loss* ā ā (19.53) ā ā (9.15) ā ā (39.23) ā ā (18.92) ā Total income (loss) from operations ā ā 25.80 ā ā 9.82 ā ā 76.77 ā ā (146.75) ā Net asset value per unit at end of period ā $ 977.58 ā $ 845.35 ā $ 977.58 ā $ 845.35 ā |
Class B | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Class B Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 761.41 ā $ 672.46 ā $ 721.77 ā $ 799.78 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 36.58 ā ā 15.55 ā ā 93.29 ā ā (102.50) ā Net investment loss* ā ā (17.19) ā ā (8.72) ā ā (34.26) ā ā (17.99) ā Total income (loss) from operations ā ā 19.39 ā ā 6.83 ā ā 59.03 ā ā (120.49) ā Net asset value per unit at end of period ā $ 780.80 ā $ 679.29 ā $ 780.80 ā $ 679.29 ā |
Legacy 1 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Legacy 1 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 818.29 ā $ 704.98 ā $ 772.63 ā $ 832.28 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 38.92 ā ā 16.02 ā ā 99.62 ā ā (107.53) ā Net investment loss* ā ā (12.75) ā ā (3.60) ā ā (27.79) ā ā (7.35) ā Total income (loss) from operations ā ā 26.17 ā ā 12.42 ā ā 71.83 ā ā (114.88) ā Net asset value per unit at end of period ā $ 844.46 ā $ 717.40 ā $ 844.46 ā $ 717.40 ā |
Legacy 2 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Legacy 2 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 792.50 ā $ 684.22 ā $ 748.69 ā $ 808.27 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 37.56 ā ā 15.53 ā ā 96.32 ā ā (104.41) ā Net investment loss* ā ā (12.69) ā ā (3.92) ā ā (27.64) ā ā (8.03) ā Total income (loss) from operations ā ā 24.87 ā ā 11.61 ā ā 68.68 ā ā (112.44) ā Net asset value per unit at end of period ā $ 817.37 ā $ 695.83 ā $ 817.37 ā $ 695.83 ā |
Global 1 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 1 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 827.68 ā $ 709.85 ā $ 780.50 ā $ 836.87 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 39.54 ā ā 16.15 ā ā 101.14 ā ā (108.10) ā Net investment loss* ā ā (11.99) ā ā (2.63) ā ā (26.41) ā ā (5.40) ā Total income (loss) from operations ā ā 27.55 ā ā 13.52 ā ā 74.73 ā ā (113.50) ā Net asset value per unit at end of period ā $ 855.23 ā $ 723.37 ā $ 855.23 ā $ 723.37 ā |
Global 2 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 2 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 805.25 ā $ 691.71 ā $ 759.80 ā $ 815.99 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 38.86 ā ā 15.70 ā ā 98.61 ā ā (105.44) ā Net investment loss* ā ā (12.53) ā ā (2.99) ā ā (26.83) ā ā (6.13) ā Total income (loss) from operations ā ā 26.33 ā ā 12.71 ā ā 71.78 ā ā (111.57) ā Net asset value per unit at end of period ā $ 831.58 ā $ 704.42 ā $ 831.58 ā $ 704.42 ā |
Global 3 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Global 3 Class Units ā Three Months Ended ā Six Months Ended ā ā ā June 30, ā June 30, ā ā ā 2021 ā 2020 2021 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Per Unit Performance ā ā ā ā ā ā ā ā ā ā ā ā ā (for unit outstanding throughout the entire period): ā ā ā ā ā ā ā ā ā ā ā ā ā Net asset value per unit at beginning of period ā $ 656.70 ā $ 571.64 ā $ 620.27 ā $ 677.29 ā Income (loss) from operations ā ā ā ā ā ā ā ā ā ā ā ā ā Net realized and change in unrealized gain (loss) from trading* ā ā 31.15 ā ā 12.98 ā ā 79.78 ā ā (87.24) ā Net investment loss* ā ā (12.12) ā ā (5.01) ā ā (24.32) ā ā (10.44) ā Total income (loss) from operations ā ā 19.03 ā ā 7.97 ā ā 55.46 ā ā (97.68) ā Net asset value per unit at end of period ā $ 675.73 ā $ 579.61 ā $ 675.73 ā $ 579.61 ā |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments | |
Summary of Fair Values of Derivative Instruments | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Consolidated ā Asset ā Liability ā ā ā ā ā Statements of Financial ā Derivatives ā Derivatives ā ā ā ā Condition Location ā June 30, 2021 ā June 30, 2021 ā Fair Value ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net Unrealized gain (loss) on open futures contracts ā $ 22,175 ā $ (27,736) ā $ (5,561) ā ā ā ā ā ā ā ā ā ā ā ā Currencies contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 201,324 ā ā (197,757) ā ā 3,567 ā ā ā ā ā ā ā ā ā ā ā ā Energy contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 408,919 ā ā (57,154) ā ā 351,765 ā ā ā ā ā ā ā ā ā ā ā ā Interest rates contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 190,709 ā ā (300,495) ā ā (109,786) ā ā ā ā ā ā ā ā ā ā ā ā Meats contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 4,430 ā ā (15,261) ā ā (10,831) ā ā ā ā ā ā ā ā ā ā ā ā Metals contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 116,364 ā ā (277,337) ā ā (160,973) ā ā ā ā ā ā ā ā ā ā ā ā Soft commodities contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 69,319 ā ā (11,868) ā ā 57,451 ā ā ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 134,921 ā ā (145,003) ā ā (10,082) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā $ 1,148,161 ā $ (1,032,611) ā $ 115,550 ā ā ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā Net Unrealized gain (loss) on open forward currency contracts ā $ ā ā $ ā ā $ ā ā ā ā ā ā ā ā ā ā ā ā ā Swap contracts* ā Net Unrealized gain (loss) on open swap contracts ā $ ā ā $ (576,995) ā $ (576,995) ā ā ā ā ā ā ā ā ā ā ā ā *At June 30, 2021, the sector exposure of the CTA index underlying the swap was: ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Deutsche Bank total return swap, termination date June 30, 2025 ā ā ā ā ā ā ā ā Interest rate contracts ā 38% ā ā ā ā ā ā ā ā ā Stock indices contracts ā 20% ā ā ā ā ā ā ā ā ā Forward currency contracts ā 42% ā ā ā ā ā ā ā ā ā Total ā 100% ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Consolidated ā Asset ā Liability ā ā ā ā ā ā Statements of Financial ā Derivatives ā Derivatives ā ā ā ā ā Condition Location December 31, 2020 December 31, 2020 Fair Value ā ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net Unrealized gain (loss) on open futures contracts ā $ 497,774 ā $ (1,962) ā $ 495,812 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Currencies contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 184,052 ā ā (9,147) ā ā 174,905 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Energy contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 273,682 ā ā (142,530) ā ā 131,152 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Interest rates contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 120,357 ā ā (154,791) ā ā (34,434) ā ā ā ā ā ā ā ā ā ā ā ā ā ā Meats contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 17,160 ā ā (4,135) ā ā 13,025 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Metals contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 408,111 ā ā (84,566) ā ā 323,545 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Soft commodities contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 283,819 ā ā (50,031) ā ā 233,788 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā Net Unrealized gain (loss) on open futures contracts ā ā 283,402 ā ā (57,357) ā ā 226,045 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā $ 2,068,357 ā $ (504,519) ā $ 1,563,838 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā Net Unrealized gain (loss) on open forward currency contracts ā $ 62,001 ā $ (125,930) ā $ (63,929) ā ā ā ā ā ā ā ā ā ā ā ā ā ā Swap contracts* ā Net Unrealized gain (loss) on open swap contracts ā $ ā ā $ (1,420,571) ā $ (1,420,571) ā ā ā ā ā ā ā ā ā ā ā ā ā ā *At December 31, 2020, the sector exposure of the CTA index underlying the swap was: ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Deutsche Bank total return swap, termination date June 30, 2025 ā ā ā ā ā ā ā ā ā Interest rate contracts ā 59% ā ā ā ā ā ā ā ā ā ā Stock indices contracts ā 13% ā ā ā ā ā ā ā ā ā ā Forward currency contracts ā 28% ā ā ā ā ā ā ā ā ā ā Total ā 100% ā ā ā ā ā ā ā ā ā ā |
Schedule of Effect of Derivative Instruments on the Consolidated Statement of Operations | ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Three Months Ended ā Three Months Ended ā Six Months Ended ā Six Months Ended ā Type of Contract ā June 30, 2021 June 30, 2020 ā June 30, 2021 June 30, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Agriculturals contracts ā Net gain (loss) from futures trading ā $ 827,829 ā $ (344,256) ā $ 1,188,967 ā $ (173,223) ā Currencies contracts ā Net gain (loss) from futures trading ā ā 166,269 ā ā (147,901) ā ā (109,582) ā ā 279,608 ā Energy contracts ā Net gain (loss) from futures trading ā ā 636,861 ā ā (84,987) ā ā 1,853,585 ā ā 483,710 ā Interest rates contracts ā Net gain (loss) from futures trading ā ā 328,245 ā ā 276,356 ā ā 417,860 ā ā 2,133,625 ā Meats contracts ā Net gain (loss) from futures trading ā ā (70,061) ā ā 12,789 ā ā 28,703 ā ā 156,460 ā Metals contracts ā Net gain (loss) from futures trading ā ā 233,042 ā ā 94,563 ā ā 214,067 ā ā 445,599 ā Soft commodities contracts ā Net gain (loss) from futures trading ā ā 326,508 ā ā (55,254) ā ā 708,244 ā ā (52,967) ā Stock indices contracts ā Net gain (loss) from futures trading ā ā (13,084) ā ā 857,097 ā ā 773,114 ā ā (2,960,941) ā ā ā Net gain (loss) from futures trading ā ā 2,435,609 ā ā 608,407 ā ā 5,074,958 ā ā 311,871 ā Forward currency contracts ā Net gain (loss) from forward currency trading ā ā (222,688) ā ā (18,462) ā ā 86,650 ā ā 226,402 ā Swap contracts ā Net gain (loss) from swap trading ā ā 112,775 ā ā 383,266 ā ā 843,576 ā ā (7,725,789) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total ā ā ā $ 2,325,696 ā $ 973,211 ā $ 6,005,184 ā $ (7,187,516) ā |
Schedule of Line Item in Consolidated Statement of Operations | ā ā ā ā ā ā ā ā ā ā ā ā ā ā Line Item in Consolidated Statements of Operations ā Three Months Ended ā Six Months Ended ā ā June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from futures trading ā ā ā ā ā ā ā ā ā ā ā ā ā Realized ā $ 3,027,117 ā $ 1,160,943 ā $ 6,523,246 ā $ 290,839 ā Change in unrealized ā ā (591,508) ā ā (552,536) ā ā (1,448,288) ā ā 21,032 ā Total realized and change in unrealized net gain (loss) from futures trading ā $ 2,435,609 ā $ 608,407 ā $ 5,074,958 ā $ 311,871 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from forward currency trading ā ā ā ā ā ā ā ā ā ā ā ā ā Realized ā $ (55,454) ā $ (14,955) ā $ 22,721 ā $ 150,483 ā Change in unrealized ā ā (167,234) ā ā (3,507) ā ā 63,929 ā ā 75,919 ā Total realized and change in unrealized net gain (loss) from forward currency trading ā $ (222,688) ā $ (18,462) ā $ 86,650 ā $ 226,402 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net gain (loss) from swap trading ā ā ā ā ā ā ā ā ā ā ā ā ā Change in unrealized ā $ 112,775 ā $ 383,266 ā $ 843,576 ā $ (7,725,789) ā Total realized and change in unrealized net gain (loss) from swap trading ā $ 112,775 ā $ 383,266 ā $ 843,576 ā $ (7,725,789) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Total realized and change in unrealized net gain (loss) from futures, forward currency and swap trading ā $ 2,325,696 ā $ 973,211 ā $ 6,005,184 ā $ (7,187,516) ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā |
Schedule of Offsetting of Derivative Assets | Offsetting of Derivative Assets As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain/(Loss) ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Assets Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,148,161 ā $ (1,032,611) ā $ 115,550 ā Swap contracts ā ā ā ā ā (576,995) ā ā (576,995) ā Total derivatives ā $ 1,148,161 ā $ (1,609,606) ā $ (461,445) ā Offsetting of Derivative Assets As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain/(Loss) ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Assets Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 2,068,357 ā $ (504,519) ā $ 1,563,838 ā Forward currency contracts ā ā 62,001 ā ā (125,930) ā ā (63,929) ā Swap contracts ā ā ā ā ā (1,420,571) ā ā (1,420,571) ā Total derivatives ā $ 2,130,358 ā $ (2,051,020) ā $ 79,338 ā |
Schedule of Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Liabilities Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 1,032,611 ā $ (1,032,611) ā $ ā ā Swap contracts ā ā 576,995 ā ā (576,995) ā ā ā ā Total derivatives ā $ 1,609,606 ā $ (1,609,606) ā $ ā ā Offsetting of Derivative Liabilities As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā Gross Amounts ā Unrealized Gain ā ā ā ā ā ā Offset in the ā Presented in ā ā ā Gross Amount of ā Consolidated ā the Consolidated ā ā ā Recognized ā Statements of ā Statements of ā Type of Instrument Liabilities Financial Condition Financial Condition ā ā ā ā ā ā ā ā ā ā ā U.S. and foreign futures contracts ā $ 504,519 ā $ (504,519) ā $ ā ā Forward currency contracts ā ā 125,930 ā ā (125,930) ā ā ā ā Swap contracts ā ā 1,420,571 ā ā (1,420,571) ā ā ā ā Total derivatives ā $ 2,051,020 ā $ (2,051,020) ā $ ā ā |
Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty | Derivative Assets and Liabilities and Collateral Received by Counterparty As of June 30, 2021 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Gross Amounts Not Offset in the Consolidated ā ā ā ā ā ā ā ā ā Statements of Financial Condition ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā ā ā ā ā ā ā Unrealized Gain/(Loss) ā ā ā ā ā ā ā ā ā ā ā ā Presented in ā ā ā ā ā ā ā ā ā ā ā ā the Consolidated ā ā ā ā ā ā ā ā ā ā ā ā Statements of ā Financial ā Cash Collateral ā ā ā ā Counterparty Financial Condition Instruments Pledged Net Amount ā ā ā ā ā ā ā ā ā ā ā ā ā ā ADM Investor Services, Inc. ā $ (84,738) ā $ ā ā $ 84,738 ā $ ā ā Deutsche Bank AG ā ā (576,995) ā ā ā ā ā 576,995 ā ā ā ā Rosenthal Collins Group Division of Marex Spectron ā ā 260,845 ā ā ā ā ā ā ā ā 260,845 ā SG Americas Securities, LLC ā ā (60,557) ā ā ā ā ā 60,557 ā ā ā ā Total ā $ (461,445) ā $ ā ā $ 722,290 ā $ 260,845 ā Derivative Assets and Liabilities and Collateral Received by Counterparty As of December 31, 2020 ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā ā Gross Amounts Not Offset in the Consolidated ā ā ā ā ā ā ā ā ā Statements of Financial Condition ā ā ā ā ā ā Net Amount of ā ā ā ā ā ā ā ā ā ā ā ā Unrealized Gain/(Loss) ā ā ā ā ā ā ā ā ā ā ā ā Presented in ā ā ā ā ā ā ā ā ā ā ā ā the Consolidated ā ā ā ā ā ā ā ā ā ā ā ā Statements of ā Financial ā Cash Collateral ā ā ā ā Counterparty Financial Condition Instruments Pledged Net Amount ā ā ā ā ā ā ā ā ā ā ā ā ā ā ADM Investor Services, Inc. ā $ 304,358 ā $ ā ā $ ā ā $ 304,358 ā Deutsche Bank AG ā ā (1,420,571) ā ā ā ā ā 1,420,571 ā ā ā ā Rosenthal Collins Group Division of Marex Spectron ā ā 112,762 ā ā ā ā ā ā ā ā 112,762 ā SG Americas Securities, LLC ā ā 1,082,789 ā ā ā ā ā ā ā ā 1,082,789 ā Total ā $ 79,338 ā $ ā ā $ 1,420,571 ā $ 1,499,909 ā |
Nature of Business and Signif_3
Nature of Business and Significant Accounting Policies (Details) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)class | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Assets allocated to GP 1, GP 9, and GP 11 | $ 0 | $ 0 | $ 0 | ||
Classes of interests | |||||
Number of classes of limited partner interests | class | 7 | ||||
Income taxes | |||||
Income taxes | 0 | $ 0 | $ 0 | $ 0 | |
Debt | |||||
Debt carried by partners | 0 | $ 0 | 0 | $ 0 | |
General Partner | |||||
Organization and offering costs | |||||
Unreimbursed organization and offering costs | 74,000 | $ 74,000 | |||
General Partner | Maximum | |||||
Organization and offering costs | |||||
Allowable monthly reimbursement of organization and offering costs as a percent of net Partnership asset value | 0.083% | ||||
Allowable annual reimbursement of organization and offering costs as a percent of net Partnership asset value | 1.00% | ||||
Swap Contracts | Deutsche Bank Total Return Swap | |||||
Swap contracts | |||||
Derivative notional value | 8,688,769 | $ 8,688,769 | 9,589,399 | ||
Cash margin balance | $ 2,250,000 | $ 2,250,000 | $ 4,650,000 |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value Measurements | ||
Investments Owned, Fair Value | $ 33,627,751 | $ 32,199,809 |
Amount of transfers among Levels 1, 2, and 3 | 0 | 0 |
Recurring basis | ||
Fair Value Measurements | ||
Total - Assets | 38,412,515 | 37,155,872 |
Recurring basis | Futures Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | 115,550 | 1,563,838 |
Recurring basis | Forward Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (63,929) | |
Recurring basis | Swap Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (576,995) | (1,420,571) |
Recurring basis | U.S. money market fund | ||
Fair Value Measurements | ||
Cash and cash equivalents | 5,246,209 | 4,876,725 |
Recurring basis | U.S. Government-sponsored enterprises | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 18,907,546 | 15,023,691 |
Recurring basis | U.S. Government securities | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 6,996,170 | 9,996,048 |
Recurring basis | U.S. Exchange Traded Funds | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 7,724,035 | 7,180,070 |
Recurring basis | Level 1 | ||
Fair Value Measurements | ||
Total - Assets | 13,085,794 | 13,620,633 |
Recurring basis | Level 1 | Futures Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | 115,550 | 1,563,838 |
Recurring basis | Level 1 | U.S. money market fund | ||
Fair Value Measurements | ||
Cash and cash equivalents | 5,246,209 | 4,876,725 |
Recurring basis | Level 1 | U.S. Exchange Traded Funds | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 7,724,035 | 7,180,070 |
Recurring basis | Level 2 | ||
Fair Value Measurements | ||
Total - Assets | 25,326,721 | 23,535,239 |
Recurring basis | Level 2 | Forward Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (63,929) | |
Recurring basis | Level 2 | Swap Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (576,995) | (1,420,571) |
Recurring basis | Level 2 | U.S. Government-sponsored enterprises | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 18,907,546 | 15,023,691 |
Recurring basis | Level 2 | U.S. Government securities | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | $ 6,996,170 | $ 9,996,048 |
Commodity Trading Advisors an_2
Commodity Trading Advisors and Reference Traders (Details) | 6 Months Ended |
Jun. 30, 2021 | |
Minimum | |
Commodity Trading Advisors and Reference Traders | |
Annual percentage of allocated net assets paid as a management fee to commodity trading advisors and reference traders | 0.20% |
Percentage of new trading profits on allocated net assets paid as a incentive fee to commodity trading advisors and reference traders | 0.00% |
Maximum | |
Commodity Trading Advisors and Reference Traders | |
Annual percentage of allocated net assets paid as a management fee to commodity trading advisors and reference traders | 1.00% |
Percentage of new trading profits on allocated net assets paid as a incentive fee to commodity trading advisors and reference traders | 20.00% |
General Partner and Related P_3
General Partner and Related Party Transactions (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
General Partner and Related Party Transactions | |||||
Brokerage charge | $ 557,002 | $ 586,807 | $ 1,109,560 | $ 1,245,636 | |
Incentive fees | 308,823 | 842 | 732,146 | 62,661 | |
Organizational and offering costs | 33,481 | 35,954 | 66,726 | 77,925 | |
Operating expenses | 29,553 | 31,398 | 58,838 | 67,935 | |
Financial Instruments Excluding Derivatives, Owned and not Pledged, Cost | 33,771,875 | $ 33,771,875 | $ 32,419,952 | ||
Maximum | |||||
General Partner and Related Party Transactions | |||||
Percent of the notional amount of a swap transaction used as the basis for fees paid to a counterparty | 0.50% | ||||
Percentage of average month-end net assets as basis for determining operating expense reimbursements | 0.25% | ||||
General Partner | |||||
General Partner and Related Party Transactions | |||||
Minimum ownership of units as a percentage of all capital contributions of all Partners to the Partnership, option one | 1.00% | ||||
Value of minimum ownership of units, option two | $ 25,000 | ||||
Percentage of total capital contributions of all partners and all related limited partnerships used in computation of minimum net worth, option one | 5.00% | ||||
Percentage of Units being offered for sale in the Partnership used in computation of minimum net worth, option one | 5.00% | ||||
Amount of minimum net worth required to be maintained, option two | $ 50,000 | ||||
Amount of maximum net worth required to be maintained | $ 1,000,000 | ||||
Percentage of General Partners limited partnership interest in the entity treated as a general partnership interest | 10.00% | ||||
Minimum amount to which the general partner will reduce the brokerage charge after offset of transaction costs and consulting fees | $ 0 | ||||
General Partner | Class A | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 7.00% | ||||
Organization and Offering Reimbursement (as a percent) | 0.10% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Class B | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 7.45% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Legacy 1 Class | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 4.50% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Legacy 2 Class | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 4.75% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Global 1 Class | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 3.95% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Global 2 Class | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 4.20% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
General Partner | Global 3 Class | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge (as a percent) | 5.95% | ||||
Organization and Offering Reimbursement (as a percent) | 0.30% | ||||
Operating Expense (as a percent) | 0.25% | ||||
EMC | |||||
General Partner and Related Party Transactions | |||||
Brokerage charge | 23,200 | 19,400 | $ 45,400 | 39,300 | |
Incentive fees | $ 12,300 | $ 0 | $ 57,700 | $ 0 |
Redemptions and Allocation of_2
Redemptions and Allocation of Net Income or Loss (Details) | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Class A | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Class B | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Legacy 1 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Legacy 2 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 1 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 2 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 3 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Minimum period of holding of units after which no redemption fees are applicable | 1 year |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Financial Highlights (Details)
Financial Highlights (Details) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Ratios as a percentage of average net assets: | ||||
Expenses prior to incentive fees (as a percent) | 5.39% | 5.36% | 5.39% | 5.13% |
Incentive fees (as a percent) | 0.67% | 0.00% | 1.60% | 0.12% |
Total expenses (as a percent) | 6.06% | 5.36% | 6.99% | 5.25% |
Net investment loss (as a percent) | (5.09%) | (4.06%) | (4.97%) | (3.71%) |
Class A | ||||
Financial Highlights | ||||
Total return (as a percent) | 2.71% | 1.18% | 8.52% | (14.79%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 951.78 | $ 835.53 | $ 900.81 | $ 992.10 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 45.33 | 18.97 | 116 | (127.83) |
Expenses net of interest and dividend income (in dollars per unit) | (19.53) | (9.15) | (39.23) | (18.92) |
Total income (loss) from operations (in dollars per unit) | 25.80 | 9.82 | 76.77 | (146.75) |
Net asset value per unit at end of period (in dollars per unit) | $ 977.58 | $ 845.35 | $ 977.58 | $ 845.35 |
Class B | ||||
Financial Highlights | ||||
Total return (as a percent) | 2.55% | 1.02% | 8.18% | (15.07%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 761.41 | $ 672.46 | $ 721.77 | $ 799.78 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 36.58 | 15.55 | 93.29 | (102.50) |
Expenses net of interest and dividend income (in dollars per unit) | (17.19) | (8.72) | (34.26) | (17.99) |
Total income (loss) from operations (in dollars per unit) | 19.39 | 6.83 | 59.03 | (120.49) |
Net asset value per unit at end of period (in dollars per unit) | $ 780.80 | $ 679.29 | $ 780.80 | $ 679.29 |
Legacy 1 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | 3.20% | 1.76% | 9.30% | (13.80%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 818.29 | $ 704.98 | $ 772.63 | $ 832.28 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 38.92 | 16.02 | 99.62 | (107.53) |
Expenses net of interest and dividend income (in dollars per unit) | (12.75) | (3.60) | (27.79) | (7.35) |
Total income (loss) from operations (in dollars per unit) | 26.17 | 12.42 | 71.83 | (114.88) |
Net asset value per unit at end of period (in dollars per unit) | $ 844.46 | $ 717.40 | $ 844.46 | $ 717.40 |
Legacy 2 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | 3.14% | 1.70% | 9.17% | (13.91%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 792.50 | $ 684.22 | $ 748.69 | $ 808.27 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 37.56 | 15.53 | 96.32 | (104.41) |
Expenses net of interest and dividend income (in dollars per unit) | (12.69) | (3.92) | (27.64) | (8.03) |
Total income (loss) from operations (in dollars per unit) | 24.87 | 11.61 | 68.68 | (112.44) |
Net asset value per unit at end of period (in dollars per unit) | $ 817.37 | $ 695.83 | $ 817.37 | $ 695.83 |
Global 1 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | 3.33% | 1.90% | 9.58% | (13.56%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 827.68 | $ 709.85 | $ 780.50 | $ 836.87 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 39.54 | 16.15 | 101.14 | (108.10) |
Expenses net of interest and dividend income (in dollars per unit) | (11.99) | (2.63) | (26.41) | (5.40) |
Total income (loss) from operations (in dollars per unit) | 27.55 | 13.52 | 74.73 | (113.50) |
Net asset value per unit at end of period (in dollars per unit) | $ 855.23 | $ 723.37 | $ 855.23 | $ 723.37 |
Global 2 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | 3.27% | 1.84% | 9.45% | (13.67%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 805.25 | $ 691.71 | $ 759.80 | $ 815.99 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 38.86 | 15.70 | 98.61 | (105.44) |
Expenses net of interest and dividend income (in dollars per unit) | (12.53) | (2.99) | (26.83) | (6.13) |
Total income (loss) from operations (in dollars per unit) | 26.33 | 12.71 | 71.78 | (111.57) |
Net asset value per unit at end of period (in dollars per unit) | $ 831.58 | $ 704.42 | $ 831.58 | $ 704.42 |
Global 3 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | 2.90% | 1.39% | 8.94% | (14.42%) |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 656.70 | $ 571.64 | $ 620.27 | $ 677.29 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 31.15 | 12.98 | 79.78 | (87.24) |
Expenses net of interest and dividend income (in dollars per unit) | (12.12) | (5.01) | (24.32) | (10.44) |
Total income (loss) from operations (in dollars per unit) | 19.03 | 7.97 | 55.46 | (97.68) |
Net asset value per unit at end of period (in dollars per unit) | $ 675.73 | $ 579.61 | $ 675.73 | $ 579.61 |
Trading Activities and Relate_2
Trading Activities and Related Risks (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Trading Activities and Related Risks | ||
Cash and cash equivalents | $ 7,517,619 | $ 9,659,503 |
FCMs, interbank market makers and swap counterparties | ||
Trading Activities and Related Risks | ||
Required margin and good faith deposits, low end of the range (as a percent) | 5.00% | |
Required margin and good faith deposits, high end of the range (as a percent) | 35.00% | |
Cash and cash equivalents | $ 7,517,619 | $ 9,659,503 |
Cash deposited with trading counterparties, percent of net asset value | 16.87% | 21.35% |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Fair Values of Derivative Instruments | ||
Asset Derivatives | $ 1,148,161 | $ 2,130,358 |
Liability Derivatives | $ (1,609,606) | $ (2,051,020) |
Interest rates | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 38.00% | 59.00% |
Stock indices | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 20.00% | 13.00% |
Futures Contracts | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | $ 1,148,161 | $ 2,068,357 |
Liability Derivatives | (1,032,611) | (504,519) |
Fair Value | 115,550 | 1,563,838 |
Futures Contracts | Agriculturals | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 22,175 | 497,774 |
Liability Derivatives | (27,736) | (1,962) |
Fair Value | (5,561) | 495,812 |
Futures Contracts | Currencies | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 201,324 | 184,052 |
Liability Derivatives | (197,757) | (9,147) |
Fair Value | 3,567 | 174,905 |
Futures Contracts | Energy | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 408,919 | 273,682 |
Liability Derivatives | (57,154) | (142,530) |
Fair Value | 351,765 | 131,152 |
Futures Contracts | Interest rates | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 190,709 | 120,357 |
Liability Derivatives | (300,495) | (154,791) |
Fair Value | (109,786) | (34,434) |
Futures Contracts | Meats | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 4,430 | 17,160 |
Liability Derivatives | (15,261) | (4,135) |
Fair Value | (10,831) | 13,025 |
Futures Contracts | Metals | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 116,364 | 408,111 |
Liability Derivatives | (277,337) | (84,566) |
Fair Value | (160,973) | 323,545 |
Futures Contracts | Soft commodities | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 69,319 | 283,819 |
Liability Derivatives | (11,868) | (50,031) |
Fair Value | 57,451 | 233,788 |
Futures Contracts | Stock indices | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 134,921 | 283,402 |
Liability Derivatives | (145,003) | (57,357) |
Fair Value | $ (10,082) | 226,045 |
Forward Contracts | ||
Fair Values of Derivative Instruments | ||
Fair Value | (63,929) | |
Forward Contracts | Currencies | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 62,001 | |
Liability Derivatives | (125,930) | |
Fair Value | $ (63,929) | |
Forward Contracts | Currencies | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 42.00% | 28.00% |
Swap Contracts | ||
Fair Values of Derivative Instruments | ||
Liability Derivatives | $ (576,995) | $ (1,420,571) |
Fair Value | $ (576,995) | $ (1,420,571) |
Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 100.00% | 100.00% |
Derivative Instruments - Effect
Derivative Instruments - Effect of Derivatives on Statement of Operations (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($)instrumentcontract | Jun. 30, 2020USD ($)instrumentcontract | Jun. 30, 2021USD ($)instrumentcontract | Jun. 30, 2020USD ($)contractinstrument | |
Derivative Instruments | ||||
Rarely exceeded margin-to-equity ratio (as a percent) | 25.00% | |||
Futures, Forward, and Swap Contracts | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 2,325,696 | $ 973,211 | $ 6,005,184 | $ (7,187,516) |
Futures Contracts | ||||
Derivative Instruments | ||||
Monthly average number of derivative instruments bought and sold | instrument | 5,978 | 3,329 | 5,112 | 4,038 |
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 2,435,609 | $ 608,407 | $ 5,074,958 | $ 311,871 |
Futures Contracts | Agriculturals | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 827,829 | (344,256) | 1,188,967 | (173,223) |
Futures Contracts | Currencies | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 166,269 | (147,901) | (109,582) | 279,608 |
Futures Contracts | Energy | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 636,861 | (84,987) | 1,853,585 | 483,710 |
Futures Contracts | Interest rates | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 328,245 | 276,356 | 417,860 | 2,133,625 |
Futures Contracts | Meats | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (70,061) | 12,789 | 28,703 | 156,460 |
Futures Contracts | Metals | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 233,042 | 94,563 | 214,067 | 445,599 |
Futures Contracts | Soft commodities | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 326,508 | (55,254) | 708,244 | (52,967) |
Futures Contracts | Stock indices | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ (13,084) | $ 857,097 | $ 773,114 | $ (2,960,941) |
Forward Contracts | ||||
Derivative Instruments | ||||
Monthly average number of derivative instruments bought and sold | instrument | 160 | 217 | 117 | 307 |
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ (222,688) | $ (18,462) | $ 86,650 | $ 226,402 |
Forward Contracts | Currencies | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ (222,688) | $ (18,462) | $ 86,650 | $ 226,402 |
Swap Contracts | ||||
Derivative Instruments | ||||
Monthly average number of derivative instruments bought and sold | contract | 0 | 0 | 0 | 0 |
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 112,775 | $ 383,266 | $ 843,576 | $ (7,725,789) |
Derivative Instruments - Deriva
Derivative Instruments - Derivatives by Line Item in Statement of Operations (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Futures, Forward, and Swap Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Total realized and changed in unrealized net gain (loss) | $ 2,325,696 | $ 973,211 | $ 6,005,184 | $ (7,187,516) |
Futures Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Realized | 3,027,117 | 1,160,943 | 6,523,246 | 290,839 |
Change in unrealized | (591,508) | (552,536) | (1,448,288) | 21,032 |
Total realized and changed in unrealized net gain (loss) | 2,435,609 | 608,407 | 5,074,958 | 311,871 |
Forward Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Realized | (55,454) | (14,955) | 22,721 | 150,483 |
Change in unrealized | (167,234) | (3,507) | 63,929 | 75,919 |
Total realized and changed in unrealized net gain (loss) | (222,688) | (18,462) | 86,650 | 226,402 |
Swap Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Change in unrealized | 112,775 | 383,266 | 843,576 | (7,725,789) |
Total realized and changed in unrealized net gain (loss) | $ 112,775 | $ 383,266 | $ 843,576 | $ (7,725,789) |
Derivative Instruments - Offset
Derivative Instruments - Offsetting of Derivative Assets (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | $ 1,148,161 | $ 2,130,358 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (1,609,606) | (2,051,020) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 79,338 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (461,445) | |
Futures Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | 1,148,161 | 2,068,357 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (1,032,611) | (504,519) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 115,550 | 1,563,838 |
Forward Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | 62,001 | |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (125,930) | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (63,929) | |
Swap Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (576,995) | (1,420,571) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ (576,995) | $ (1,420,571) |
Derivative Instruments - Offs_2
Derivative Instruments - Offsetting of Derivative Liabilities (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | $ 1,609,606 | $ 2,051,020 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (1,609,606) | (2,051,020) |
Futures Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 1,032,611 | 504,519 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (1,032,611) | (504,519) |
Forward Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 125,930 | |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (125,930) | |
Swap Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 576,995 | 1,420,571 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | $ (576,995) | $ (1,420,571) |
Derivative Instruments - Collat
Derivative Instruments - Collateral by Counterparty (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ 79,338 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ (461,445) | |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged | 722,290 | 1,420,571 |
Net Amount | 260,845 | 1,499,909 |
ADM Investor Services, Inc. | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 304,358 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (84,738) | |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged | 84,738 | |
Net Amount | 304,358 | |
Deutsche Bank AG | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (576,995) | (1,420,571) |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged | 576,995 | 1,420,571 |
Rosenthal Collins Group Division of Marex Spectron | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 260,845 | 112,762 |
Net Amount | 260,845 | 112,762 |
SG Americas Securities, LLC | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 1,082,789 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (60,557) | |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged | $ 60,557 | |
Net Amount | $ 1,082,789 |