Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2018 | Jul. 31, 2018 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | DWSF | |
Entity Registrant Name | MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT LP | |
Entity Central Index Key | 873,799 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 1,677,764.612 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Unrestricted cash | $ 31,901,933 | $ 37,297,383 |
Restricted cash | 6,776,588 | 8,683,095 |
Net unrealized appreciation on open contracts | 799,332 | 2,224,482 |
Total equity in trading account | 39,477,853 | 48,204,960 |
Cash at bank | 437 | |
Interest receivable | 40,733 | 36,496 |
Total assets | 39,518,586 | 48,241,893 |
Liabilities: | ||
Net unrealized depreciation on open contracts | 306,757 | |
Accrued expenses: | ||
Ongoing placement agent fees | 65,967 | 77,782 |
General Partner fees | 65,967 | 77,782 |
Management fees | 47,878 | 62,553 |
Redemptions payable to Limited Partners | 633,036 | 1,525,563 |
Total liabilities | 1,119,605 | 1,743,680 |
Partners' Capital: | ||
General Partner | 446,972 | 617,398 |
Limited Partners | 37,952,009 | 45,880,815 |
Total partners' capital (net asset value) | 38,398,981 | 46,498,213 |
Total liabilities and partners' capital | $ 39,518,586 | $ 48,241,893 |
Net asset value per Unit | $ 22.27 | $ 23.82 |
Futures Contracts [Member] | ||
Assets: | ||
Net unrealized appreciation on open contracts | $ 799,332 | $ 1,738,051 |
Forward Contracts [Member] | ||
Assets: | ||
Net unrealized appreciation on open contracts | $ 486,431 | |
Liabilities: | ||
Net unrealized depreciation on open contracts | $ 306,757 |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - shares | Jun. 30, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
General Partner, Units outstanding | 20,066.995 | 25,914.948 |
Limited Partners, Units outstanding | 1,703,819.187 | 1,925,780.666 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Jun. 30, 2018USD ($)Contract | Dec. 31, 2017USD ($)Contract | |
Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | $ 1,531,065 | $ 2,377,628 | |
Unrealized Depreciation on Open Contracts | (731,733) | (639,577) | |
Net unrealized appreciation (depreciation) on open contracts | $ 799,332 | $ 1,738,051 | |
% of Partners' Capital | 2.08% | 3.74% | |
Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | $ 726,521 | $ 1,275,513 | |
Unrealized Depreciation on Open Contracts | (1,033,278) | (789,082) | |
Net unrealized appreciation (depreciation) on open contracts | $ (306,757) | $ 486,431 | |
% of Partners' Capital | (0.80%) | 1.05% | |
Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 2.69% | 1.70% | |
Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 1.89% | 2.75% | |
Commodity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | $ 788,766 | $ 1,273,423 | |
Unrealized Depreciation on Open Contracts | (105,784) | (187,625) | |
Commodity [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | 452,379 | 897,185 | |
Unrealized Depreciation on Open Contracts | $ (892,877) | $ (385,217) | |
Commodity [Member] | Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 124 | 69 | |
% of Partners' Capital | 2.32% | 0.83% | |
Commodity [Member] | Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 104 | 177 | |
% of Partners' Capital | 1.18% | 1.94% | |
Equity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | $ 106,764 | $ 489,126 | |
Unrealized Depreciation on Open Contracts | (450,822) | (107,968) | |
Currencies [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | 283,873 | 196,144 | |
Unrealized Depreciation on Open Contracts | (39,245) | (3,001) | |
Currencies [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Notional Amount | 24,292,466 | 40,275,705 | |
Unrealized Appreciation on Open Contracts | 274,142 | 378,328 | |
Notional Amount | 22,478,358 | 36,880,820 | |
Unrealized Depreciation on Open Contracts | $ (140,401) | $ (403,865) | |
Currencies [Member] | Total Unrealized Depreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 0.37% | 0.87% | |
Currencies [Member] | Total Unrealized Appreciation on Open Contracts [Member] | Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
% of Partners' Capital | 0.71% | 0.81% | |
Interest Rates [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Unrealized Appreciation on Open Contracts | $ 351,662 | $ 418,935 | |
Unrealized Depreciation on Open Contracts | (135,882) | (340,983) | |
Long [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ 462,257 | $ 1,366,022 | |
% of Partners' Capital | 1.20% | 2.94% | |
Long [Member] | Commodity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 259 | 332 | |
Net unrealized appreciation (depreciation) on open contracts | $ 487,263 | $ 1,018,011 | |
% of Partners' Capital | 1.27% | 2.19% | |
Long [Member] | Equity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 300 | 374 | |
Net unrealized appreciation (depreciation) on open contracts | $ (382,980) | $ 379,994 | |
% of Partners' Capital | (1.00%) | 0.82% | |
Long [Member] | Currencies [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 63 | 115 | |
Net unrealized appreciation (depreciation) on open contracts | $ 21,785 | $ 126,683 | |
% of Partners' Capital | 0.06% | 0.27% | |
Long [Member] | Interest Rates [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 1,061 | 875 | |
Net unrealized appreciation (depreciation) on open contracts | $ 336,189 | $ (158,666) | |
% of Partners' Capital | 0.87% | (0.34%) | |
Short [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Net unrealized appreciation (depreciation) on open contracts | $ 337,075 | $ 372,029 | |
% of Partners' Capital | 0.88% | 0.80% | |
Short [Member] | Commodity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 367 | 597 | |
Net unrealized appreciation (depreciation) on open contracts | $ 195,719 | $ 67,787 | |
% of Partners' Capital | 0.51% | 0.15% | |
Short [Member] | Equity [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 33 | 38 | |
Net unrealized appreciation (depreciation) on open contracts | $ 38,922 | $ 1,164 | |
% of Partners' Capital | 0.10% | 0.00% | [1] |
Short [Member] | Currencies [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 246 | 101 | |
Net unrealized appreciation (depreciation) on open contracts | $ 222,843 | $ 66,460 | |
% of Partners' Capital | 0.58% | 0.14% | |
Short [Member] | Interest Rates [Member] | Futures Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Number of Contracts | Contract | 435 | 1,257 | |
Net unrealized appreciation (depreciation) on open contracts | $ (120,409) | $ 236,618 | |
% of Partners' Capital | (0.31%) | 0.51% | |
[1] | Due to rounding. |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Investment Income: | |||||
Interest income | $ 129,661 | $ 80,162 | $ 256,213 | $ 141,044 | |
Expenses: | |||||
General Partner fees | 207,091 | 265,179 | 438,945 | 558,032 | |
Ongoing placement agent fees | 207,091 | 265,179 | 438,945 | 558,032 | |
Management fees | 150,150 | 220,122 | 319,074 | 464,969 | |
Total expenses | 564,332 | 750,480 | 1,196,964 | 1,581,033 | |
Net investment loss | (434,671) | (670,318) | (940,751) | (1,439,989) | |
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | (1,181,190) | (203,922) | (110,897) | 855,230 | |
Net change in unrealized gains (losses) on open contracts | 281,412 | (1,318,878) | (1,716,529) | (3,047,852) | |
Total trading results | (899,778) | (1,522,800) | (1,827,426) | (2,192,622) | |
Net income (loss) | $ (1,334,449) | $ (2,193,118) | $ (2,768,177) | $ (3,632,611) | |
Net income (loss) per Unit* | [1] | $ (0.75) | $ (0.97) | $ (1.55) | $ (1.56) |
Weighted average number of Units outstanding | 1,808,104.554 | 2,312,290.218 | 1,860,496.874 | 2,401,391.706 | |
[1] | Represents the change in net asset value per Unit during the period. |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Limited Partners [Member] | General Partner [Member] |
Units of Partnership Interest, balance at Dec. 31, 2016 | 2,548,837.611 | ||
Redemptions (in units) | (320,593.598) | (2,169.197) | |
Units of Partnership Interest, balance at Jun. 30, 2017 | 2,226,074.816 | ||
Partners' Capital, balance at Dec. 31, 2016 | $ 59,990,398 | $ 59,329,412 | $ 660,986 |
Redemptions-General Partner | (50,000) | (50,000) | |
Redemptions-Limited Partners | (7,379,994) | (7,379,994) | |
Net Income (Loss) | (3,632,611) | (3,591,211) | (41,400) |
Partners' Capital, balance at Jun. 30, 2017 | $ 48,927,793 | $ 48,358,207 | $ 569,586 |
Units of Partnership Interest, balance at Dec. 31, 2017 | 1,951,695.614 | ||
Redemptions (in units) | (221,961.479) | (5,847.953) | |
Units of Partnership Interest, balance at Jun. 30, 2018 | 1,723,886.182 | ||
Partners' Capital, balance at Dec. 31, 2017 | $ 46,498,213 | $ 45,880,815 | $ 617,398 |
Redemptions-General Partner | (149,883) | (149,883) | |
Redemptions-Limited Partners | (5,181,172) | (5,181,172) | |
Net Income (Loss) | (2,768,177) | (2,747,634) | (20,543) |
Partners' Capital, balance at Jun. 30, 2018 | $ 38,398,981 | $ 37,952,009 | $ 446,972 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization: Morgan Stanley Smith Barney Spectrum Select L.P. (the “Partnership”) is a Delaware limited partnership organized in 1991 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy and agricultural products (collectively, “Futures Interests”) (refer to Note 4, “Financial Instruments”). The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership commenced trading operations on August 1, 1991. The Partnership is one of the Morgan Stanley Spectrum series of funds, comprised of the Partnership and Morgan Stanley Smith Barney Spectrum Strategic L.P., and prior to December 31, 2017, Morgan Stanley Smith Barney Spectrum Technical L.P. and Ceres Tactical Currency L.P. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (“Ceres” or the “General Partner”) and commodity pool operator of the Partnership. Ceres is a wholly owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. During the reporting periods ended June 30, 2018 and 2017, the Partnership’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) is a principal subsidiary of MSD Holdings. MS&Co. and its affiliates act as the custodians of the Partnership’s assets available for trading in Futures Interests. MS&Co. is a wholly-owned subsidiary of Morgan Stanley. During prior periods included in this report, the Partnership also deposited a portion of its cash in a non-trading Effective December 31, 2017, the General Partner terminated the management agreement among the Partnership, the General Partner and Rabar Market Research, Inc. (“Rabar”), pursuant to which Rabar traded a portion of the Partnership’s assets. Consequently, Rabar ceased all Futures Interest trading on behalf of the Partnership. Effective June 30, 2016, the General Partner terminated the management agreement, dated as of October 9, 2007, as amended, among the Partnership, the General Partner and Altis Partners (Jersey) Limited (“Altis”), pursuant to which Altis traded a portion of the Partnership’s assets. Consequently, Altis ceased all Futures Interest trading on behalf of the Partnership. References herein to the Trading Advisor or the Trading Advisors may also include, as relevant, Rabar and Altis. In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The General Partner pays or reimburses the Partnership, from the General Partner fee it receives from the Partnership, the ordinary administrative expenses of the Partnership. This includes the expenses related to the engagement of the Administrator. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2018, the results of its operations for the three and six months ended June 30, 2018 and 2017 and the changes in partners’ capital for the six months ended June 30, 2018 and 2017. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K 10-K”) Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. Use of Estimates Profit Allocation. Statement of Cash Flows “Statement of Cash Flows.” Partnership’s Investments first-in, first-out Restricted and Unrestricted Cash Investment Company Status 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements Income Taxes. “Income Taxes,” “more-likely-than-not” more-likely-than-not Net Income (Loss) per Unit. “Financial Services – Investment Companies There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K |
Financial Highlights
Financial Highlights | 6 Months Ended |
Jun. 30, 2018 | |
Investment Company [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2018 and 2017 were as follows: For the Three Months Ended June 30, For the Six Months Ended June 30, 2018 2017 2018 2017 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.51) $ (0.68) $ (1.05) $ (0.96) Net investment loss (0.24) (0.29) (0.50) (0.60) Net increase (decrease) for the period (0.75) (0.97) (1.55) (1.56) Net asset value per Unit, beginning of period 23.02 22.95 23.82 23.54 Net asset value per Unit, end of period $ 22.27 $ 21.98 $ 22.27 $ 21.98 For the Three Months Ended June 30, For the Six Months Ended June 30, 2018 2017 2018 2017 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (4.3)% (5.2)% (4.4)% (5.3)% Operating expenses before incentive fees 5.6 % 5.8 % 5.6 % 5.8 % Incentive fees -% -% -% -% Operating expenses after incentive fees 5.6 % 5.8 % 5.6 % 5.8 % Total return: Total return before incentive fees (3.3)% (4.2)% (6.5)% (6.6)% Incentive fees -% -% -% -% Total return after incentive fees (3.3)% (4.2)% (6.5)% (6.6)% * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees, if applicable). *** Interest income less total expenses. The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average partners’ capital. |
Financial Instruments
Financial Instruments | 6 Months Ended |
Jun. 30, 2018 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments | 4. Financial Instruments: The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until the settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open futures or forward contracts. The resulting net change in unrealized gains and losses is reflected in the “Net change in unrealized gains (losses) on open contracts” in the Statements of Income and Expenses. The Partnership’s contracts are accounted for on a trade-date basis. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out The fair value of an exchange-traded contract is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. In general, the risks associated with non-exchange-traded non-exchange-traded The Partnership also has credit risk because MS&Co. acts as the commodity futures broker, or the counterparty, with respect to most of the Partnership’s assets. Exchange-traded futures and exchange-traded forward contracts are fair valued on a daily basis, with variations in value settled on a daily basis. With respect to the Partnership’s non-exchange-traded non-exchange-traded non-exchange-traded The General Partner monitors and attempts to mitigate the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and forward contracts by sector, margin requirements, gain and loss transactions and collateral positions. The futures and forwards traded by the Partnership, along with the U.S. Treasury bills held by the Partnership, involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures and exchange-traded forward contracts are settled daily through variation margin. Gains and losses on non-exchange-traded In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The Partnership considers the risk of any future obligation relating to these indemnifications to be remote. |
Trading Activities
Trading Activities | 6 Months Ended |
Jun. 30, 2018 | |
Brokers and Dealers [Abstract] | |
Trading Activities | 5. Trading Activities: The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategies. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. All of the Futures Interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended June 30, 2018 and 2017 were 2,967 and 4,688, respectively. The monthly average number of futures contracts traded during the six months ended June 30, 2018 and 2017 were 3,209 and 4,689, respectively. The monthly average number of metal forward contracts traded during the three months ended June 30, 2018 and 2017 were 415 and 506, respectively. The monthly average number of metal forward contracts traded during the six months ended June 30, 2018 and 2017 were 420 and 557, respectively. The monthly average notional value of currency forward contracts traded during the three months ended June 30, 2018 and 2017 were $89,299,031 and $162,758,395, respectively. The monthly average notional value of currency forward contracts traded during the six months ended June 30, 2018 and 2017 were $111,022,823 and $143,084,513, respectively. The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting agreements or similar agreements as of June 30, 2018 and December 31, 2017, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ June 30, 2018 Recognized Condition Condition Instruments Pledged* Net Amount Assets Futures $ 1,531,065 $ (731,733) $ 799,332 $ - $ - $ 799,332 Forwards 726,521 (726,521) - - - - Total assets $ 2,257,586 $ (1,458,254) $ 799,332 $ - $ - $ 799,332 Liabilities Futures $ (731,733) $ 731,733 $ - $ - $ - $ - Forwards (1,033,278) 726,521 (306,757) - - (306,757) Total liabilities $ (1,765,011) $ 1,458,254 $ (306,757) $ - $ - $ (306,757) Net fair value $ 492,575 * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ December 31, 2017 Recognized Condition Condition Instruments Pledged* Net Amount Assets Futures $ 2,377,628 $ (639,577) $ 1,738,051 $ - $ - $ 1,738,051 Forwards 1,275,513 (789,082) 486,431 - - 486,431 Total assets $ 3,653,141 $ (1,428,659) $ 2,224,482 $ - $ - $ 2,224,482 Liabilities Futures $ (639,577) $ 639,577 $ - $ - $ - $ - Forwards (789,082) 789,082 - - - - Total liabilities $ (1,428,659) $ 1,428,659 $ - $ - $ - $ - Net fair value $ 2,224,482 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2018 and December 31, 2017, respectively. June 30, 2018 Assets Futures Contracts Commodity $ 788,766 Equity 106,764 Currencies 283,873 Interest rates 351,662 Total unrealized appreciation on open futures contracts 1,531,065 Liabilities Futures Contracts Commodity (105,784) Equity (450,822) Currencies (39,245) Interest rates (135,882) Total unrealized depreciation on open futures contracts (731,733) Net unrealized appreciation on open futures contracts $ 799,332 * Assets Forward Contracts Commodity $ 452,379 Currencies 274,142 Total unrealized appreciation on open forward contracts 726,521 Liabilities Forward Contracts Commodity (892,877) Currencies (140,401) Total unrealized depreciation on open forward contracts (1,033,278) Net unrealized depreciation on open forward contracts $ (306,757) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2017 Assets Futures Contracts Commodity $ 1,273,423 Equity 489,126 Currencies 196,144 Interest rates 418,935 Total unrealized appreciation on open futures contracts 2,377,628 Liabilities Futures Contracts Commodity (187,625) Equity (107,968) Currencies (3,001) Interest rates (340,983) Total unrealized depreciation on open futures contracts (639,577) Net unrealized appreciation on open futures contracts $ 1,738,051 * Assets Forward Contracts Commodity $ 897,185 Currencies 378,328 Total unrealized appreciation on open forward contracts 1,275,513 Liabilities Forward Contracts Commodity (385,217) Currencies (403,865) Total unrealized depreciation on open forward contracts (789,082) Net unrealized appreciation on open forward contracts $ 486,431 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. The following table indicates the Partnership’s trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2018 and 2017. Three Months Ended June 30, Six Months Ended June 30, Sector 2018 2017 2018 2017 Commodity $ (225,973) $ (548,754) $ (838,355) $ (2,866,174) Equity (121,211) 1,892,065 (118,610) 5,835,287 Currencies (682,457) (1,721,807) (681,655) (3,128,552) Interest rates 129,863 (1,144,304) (188,806) (2,033,183) Total $ (899,778) *** $ (1,522,800) *** $ (1,827,426) *** $ (2,192,622) *** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 6. Fair Value Measurements: Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The fair value of exchange-traded futures, forward and option contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded The Partnership considers prices for commodity futures, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded June 30, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 1,531,065 $ 1,531,065 $ - $ - Forwards 726,521 - 726,521 - Total assets $ 2,257,586 $ 1,531,065 $ 726,521 $ - Liabilities Futures $ 731,733 $ 731,733 $ - $ - Forwards 1,033,278 - 1,033,278 - Total liabilities $ 1,765,011 $ 731,733 $ 1,033,278 $ - December 31, 2017* Total Level 1 Level 2 Level 3 Assets Futures $ 2,377,628 $ 2,377,628 $ - $ - Forwards 1,275,513 - 1,275,513 - Total assets $ 3,653,141 $ 2,377,628 $ 1,275,513 $ - Liabilities Futures $ 639,577 $ 639,577 $ - $ - Forwards 789,082 - 789,082 - Total liabilities $ 1,428,659 $ 639,577 $ 789,082 $ - * $370,551 of assets and $534,709 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange forward contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements. |
Basis of Presentation and Sum14
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates |
Profit Allocation | Profit Allocation. |
Statement of Cash Flows | Statement of Cash Flows “Statement of Cash Flows.” |
Partnerships' Investments | Partnership’s Investments first-in, first-out |
Restricted and Unrestricted Cash | Restricted and Unrestricted Cash |
Investment Company Status | Investment Company Status 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements |
Income Taxes | Income Taxes. “Income Taxes,” “more-likely-than-not” more-likely-than-not |
Net Income (Loss) per Unit | Net Income (Loss) per Unit. “Financial Services – Investment Companies |
Financial Highlights (Tables)
Financial Highlights (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Investment Company [Abstract] | |
Financial Highlights | Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2018 and 2017 were as follows: For the Three Months Ended June 30, For the Six Months Ended June 30, 2018 2017 2018 2017 Per Unit Performance (for a unit outstanding throughout the period): * Net realized and unrealized gains (losses) $ (0.51) $ (0.68) $ (1.05) $ (0.96) Net investment loss (0.24) (0.29) (0.50) (0.60) Net increase (decrease) for the period (0.75) (0.97) (1.55) (1.56) Net asset value per Unit, beginning of period 23.02 22.95 23.82 23.54 Net asset value per Unit, end of period $ 22.27 $ 21.98 $ 22.27 $ 21.98 For the Three Months Ended June 30, For the Six Months Ended June 30, 2018 2017 2018 2017 Ratios to Average Limited Partners’ Capital: ** Net investment loss *** (4.3)% (5.2)% (4.4)% (5.3)% Operating expenses before incentive fees 5.6 % 5.8 % 5.6 % 5.8 % Incentive fees -% -% -% -% Operating expenses after incentive fees 5.6 % 5.8 % 5.6 % 5.8 % Total return: Total return before incentive fees (3.3)% (4.2)% (6.5)% (6.6)% Incentive fees -% -% -% -% Total return after incentive fees (3.3)% (4.2)% (6.5)% (6.6)% * Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. ** Annualized (except for incentive fees, if applicable). *** Interest income less total expenses. |
Trading Activities (Tables)
Trading Activities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Brokers and Dealers [Abstract] | |
Offsetting of Derivative Assets and Liabilities | The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting agreements or similar agreements as of June 30, 2018 and December 31, 2017, respectively. Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ June 30, 2018 Recognized Condition Condition Instruments Pledged* Net Amount Assets Futures $ 1,531,065 $ (731,733) $ 799,332 $ - $ - $ 799,332 Forwards 726,521 (726,521) - - - - Total assets $ 2,257,586 $ (1,458,254) $ 799,332 $ - $ - $ 799,332 Liabilities Futures $ (731,733) $ 731,733 $ - $ - $ - $ - Forwards (1,033,278) 726,521 (306,757) - - (306,757) Total liabilities $ (1,765,011) $ 1,458,254 $ (306,757) $ - $ - $ (306,757) Net fair value $ 492,575 * Gross Amounts Amounts Gross Amounts Not Offset in the Offset in the Presented in the Statements of Financial Condition Statements of Statements of Cash Collateral Gross Amounts Financial Financial Financial Received/ December 31, 2017 Recognized Condition Condition Instruments Pledged* Net Amount Assets Futures $ 2,377,628 $ (639,577) $ 1,738,051 $ - $ - $ 1,738,051 Forwards 1,275,513 (789,082) 486,431 - - 486,431 Total assets $ 3,653,141 $ (1,428,659) $ 2,224,482 $ - $ - $ 2,224,482 Liabilities Futures $ (639,577) $ 639,577 $ - $ - $ - $ - Forwards (789,082) 789,082 - - - - Total liabilities $ (1,428,659) $ 1,428,659 $ - $ - $ - $ - Net fair value $ 2,224,482 * * In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded |
Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities | The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2018 and December 31, 2017, respectively. June 30, 2018 Assets Futures Contracts Commodity $ 788,766 Equity 106,764 Currencies 283,873 Interest rates 351,662 Total unrealized appreciation on open futures contracts 1,531,065 Liabilities Futures Contracts Commodity (105,784) Equity (450,822) Currencies (39,245) Interest rates (135,882) Total unrealized depreciation on open futures contracts (731,733) Net unrealized appreciation on open futures contracts $ 799,332 * Assets Forward Contracts Commodity $ 452,379 Currencies 274,142 Total unrealized appreciation on open forward contracts 726,521 Liabilities Forward Contracts Commodity (892,877) Currencies (140,401) Total unrealized depreciation on open forward contracts (1,033,278) Net unrealized depreciation on open forward contracts $ (306,757) ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Statements of Financial Condition. December 31, 2017 Assets Futures Contracts Commodity $ 1,273,423 Equity 489,126 Currencies 196,144 Interest rates 418,935 Total unrealized appreciation on open futures contracts 2,377,628 Liabilities Futures Contracts Commodity (187,625) Equity (107,968) Currencies (3,001) Interest rates (340,983) Total unrealized depreciation on open futures contracts (639,577) Net unrealized appreciation on open futures contracts $ 1,738,051 * Assets Forward Contracts Commodity $ 897,185 Currencies 378,328 Total unrealized appreciation on open forward contracts 1,275,513 Liabilities Forward Contracts Commodity (385,217) Currencies (403,865) Total unrealized depreciation on open forward contracts (789,082) Net unrealized appreciation on open forward contracts $ 486,431 ** * This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition. |
Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following table indicates the Partnership’s trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2018 and 2017. Three Months Ended June 30, Six Months Ended June 30, Sector 2018 2017 2018 2017 Commodity $ (225,973) $ (548,754) $ (838,355) $ (2,866,174) Equity (121,211) 1,892,065 (118,610) 5,835,287 Currencies (682,457) (1,721,807) (681,655) (3,128,552) Interest rates 129,863 (1,144,304) (188,806) (2,033,183) Total $ (899,778) *** $ (1,522,800) *** $ (1,827,426) *** $ (2,192,622) *** *** This amount is in “Total trading results” in the Statements of Income and Expenses. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Summary of Assets and Liabilities Measured at Fair Value | June 30, 2018 Total Level 1 Level 2 Level 3 Assets Futures $ 1,531,065 $ 1,531,065 $ - $ - Forwards 726,521 - 726,521 - Total assets $ 2,257,586 $ 1,531,065 $ 726,521 $ - Liabilities Futures $ 731,733 $ 731,733 $ - $ - Forwards 1,033,278 - 1,033,278 - Total liabilities $ 1,765,011 $ 731,733 $ 1,033,278 $ - December 31, 2017* Total Level 1 Level 2 Level 3 Assets Futures $ 2,377,628 $ 2,377,628 $ - $ - Forwards 1,275,513 - 1,275,513 - Total assets $ 3,653,141 $ 2,377,628 $ 1,275,513 $ - Liabilities Futures $ 639,577 $ 639,577 $ - $ - Forwards 789,082 - 789,082 - Total liabilities $ 1,428,659 $ 639,577 $ 789,082 $ - * $370,551 of assets and $534,709 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange forward contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security. |
Basis of Presentation and Sum18
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
Accounting Policies [Abstract] | ||
Restricted cash | $ 6,776,588 | $ 8,683,095 |
Cash denominated in foreign currencies | (641,657) | 977,236 |
Cash denominated in foreign currencies, proceeds | 649,859 | |
Cash denominated in foreign currencies, cost | $ 984,412 | |
Provision for income tax | 0 | |
Uncertain tax position | $ 0 | |
Open tax year | 2014 2015 2016 2017 |
Financial Highlights - Schedule
Financial Highlights - Schedule of Changes in Net Asset Value (Detail) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net asset value per Unit, beginning of period | $ 23.82 | |||
Net asset value per Unit, end of period | $ 22.27 | 22.27 | ||
Limited Partners [Member] | ||||
Per Unit Performance (for a unit outstanding throughout the period): | ||||
Net realized and unrealized gains (losses) | (0.51) | $ (0.68) | (1.05) | $ (0.96) |
Net investment loss | (0.24) | (0.29) | (0.50) | (0.60) |
Net increase (decrease) for the period | (0.75) | (0.97) | (1.55) | (1.56) |
Net asset value per Unit, beginning of period | 23.02 | 22.95 | 23.82 | 23.54 |
Net asset value per Unit, end of period | $ 22.27 | $ 21.98 | $ 22.27 | $ 21.98 |
Financial Highlights - Ratios t
Financial Highlights - Ratios to Average Limited Partners' Capital (Detail) - Limited Partners [Member] | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Ratios to Average Limited Partners' Capital: | ||||
Net investment loss | (4.30%) | (5.20%) | (4.40%) | (5.30%) |
Operating expenses before incentive fees | 5.60% | 5.80% | 5.60% | 5.80% |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Operating expenses after incentive fees | 5.60% | 5.80% | 5.60% | 5.80% |
Total return: | ||||
Total return before incentive fees | (3.30%) | (4.20%) | (6.50%) | (6.60%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | (3.30%) | (4.20%) | (6.50%) | (6.60%) |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - Weighted Average [Member] | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018USD ($)Contract | Jun. 30, 2017USD ($)Contract | Jun. 30, 2018USD ($)Contract | Jun. 30, 2017USD ($)Contract | |
Futures Contracts [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average number of derivative contracts traded | 2,967 | 4,688 | 3,209 | 4,689 |
Forward Contracts [Member] | Commodity [Member] | Metals [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average number of derivative contracts traded | 415 | 506 | 420 | 557 |
Forward Contracts [Member] | Currencies [Member] | ||||
Trading Activity, Gains and Losses, Net [Line Items] | ||||
Average notional value of derivative | $ | $ 89,299,031 | $ 162,758,395 | $ 111,022,823 | $ 143,084,513 |
Trading Activities - Offsetting
Trading Activities - Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 2,257,586 | $ 3,653,141 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (1,458,254) | (1,428,659) |
Amounts Presented in the Statements of Financial Condition, Assets | 799,332 | 2,224,482 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | 0 |
Net Amount, Assets | 799,332 | 2,224,482 |
Gross Amounts Recognized, Liabilities | (1,765,011) | (1,428,659) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 1,458,254 | 1,428,659 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (306,757) | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | (306,757) | |
Net fair value | 492,575 | 2,224,482 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 1,531,065 | 2,377,628 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (731,733) | (639,577) |
Amounts Presented in the Statements of Financial Condition, Assets | 799,332 | 1,738,051 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | 0 |
Net Amount, Assets | 799,332 | 1,738,051 |
Gross Amounts Recognized, Liabilities | (731,733) | (639,577) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 731,733 | 639,577 |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | 0 | 0 |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 726,521 | 1,275,513 |
Gross Amounts Offset in the Statements of Financial Condition, Assets | (726,521) | (789,082) |
Amounts Presented in the Statements of Financial Condition, Assets | 486,431 | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Assets | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Assets | 0 | 0 |
Net Amount, Assets | 486,431 | |
Gross Amounts Recognized, Liabilities | (1,033,278) | (789,082) |
Gross Amounts Offset in the Statements of Financial Condition, Liabilities | 726,521 | 789,082 |
Amounts Presented in the Statements of Financial Condition, Liabilities | (306,757) | |
Gross Amounts Not Offset in the Statements of Financial Condition, Financial Instruments, Liabilities | 0 | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition, Cash Collateral Received/ Pledged, Liabilities | 0 | $ 0 |
Net Amount, Liabilities | $ (306,757) |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | $ 1,531,065 | $ 2,377,628 |
Total unrealized depreciation on open contracts | (731,733) | (639,577) |
Net unrealized appreciation (depreciation) on open contracts | 799,332 | 1,738,051 |
Futures Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 788,766 | 1,273,423 |
Total unrealized depreciation on open contracts | (105,784) | (187,625) |
Futures Contracts [Member] | Equity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 106,764 | 489,126 |
Total unrealized depreciation on open contracts | (450,822) | (107,968) |
Futures Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 283,873 | 196,144 |
Total unrealized depreciation on open contracts | (39,245) | (3,001) |
Futures Contracts [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 351,662 | 418,935 |
Total unrealized depreciation on open contracts | (135,882) | (340,983) |
Forward Contracts [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 726,521 | 1,275,513 |
Total unrealized depreciation on open contracts | (1,033,278) | (789,082) |
Net unrealized appreciation (depreciation) on open contracts | (306,757) | 486,431 |
Forward Contracts [Member] | Commodity [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 452,379 | 897,185 |
Total unrealized depreciation on open contracts | (892,877) | (385,217) |
Forward Contracts [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Total unrealized appreciation on open contracts | 274,142 | 378,328 |
Total unrealized depreciation on open contracts | $ (140,401) | $ (403,865) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative [Line Items] | ||||
Total trading results | $ (899,778) | $ (1,522,800) | $ (1,827,426) | $ (2,192,622) |
Commodity [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (225,973) | (548,754) | (838,355) | (2,866,174) |
Equity [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (121,211) | 1,892,065 | (118,610) | 5,835,287 |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | (682,457) | (1,721,807) | (681,655) | (3,128,552) |
Interest Rates [Member] | ||||
Derivative [Line Items] | ||||
Total trading results | $ 129,863 | $ (1,144,304) | $ (188,806) | $ (2,033,183) |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - DerivativeInstrument | Jun. 30, 2018 | Dec. 31, 2017 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative instruments held | 0 | 0 |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Assets and Liabilities Measured at Fair Value (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Assets | ||
Total assets | $ 2,257,586 | $ 3,653,141 |
Liabilities | ||
Total liabilities | 1,765,011 | 1,428,659 |
Futures Contracts [Member] | ||
Assets | ||
Total assets | 1,531,065 | 2,377,628 |
Liabilities | ||
Total liabilities | 731,733 | 639,577 |
Forward Contracts [Member] | ||
Assets | ||
Total assets | 726,521 | 1,275,513 |
Liabilities | ||
Total liabilities | 1,033,278 | 789,082 |
Level 1 [Member] | ||
Assets | ||
Total assets | 1,531,065 | 2,377,628 |
Liabilities | ||
Total liabilities | 731,733 | 639,577 |
Level 1 [Member] | Futures Contracts [Member] | ||
Assets | ||
Total assets | 1,531,065 | 2,377,628 |
Liabilities | ||
Total liabilities | 731,733 | 639,577 |
Level 2 [Member] | ||
Assets | ||
Total assets | 726,521 | 1,275,513 |
Liabilities | ||
Total liabilities | 1,033,278 | 789,082 |
Level 2 [Member] | Forward Contracts [Member] | ||
Assets | ||
Total assets | 726,521 | 1,275,513 |
Liabilities | ||
Total liabilities | $ 1,033,278 | $ 789,082 |
Fair Value Measurements - Sum27
Fair Value Measurements - Summary of Assets and Liabilities Measured at Fair Value (Parenthetical) (Detail) | Dec. 31, 2017USD ($) |
Fair Value Disclosures [Abstract] | |
Transfers of assets between Level 1 and Level 2 | $ 370,551 |
Transfers of liabilities between Level 1 and Level 2 | $ 534,709 |