Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2022 shares | |
Document And Entity Information [Abstract] | |
Document Type | 10-Q |
Document Quarterly Report | true |
Current Fiscal Year End Date | --12-31 |
Document Period End Date | Jun. 30, 2022 |
Document Transition Report | false |
Entity File Number | 000-50725 |
Entity Registrant Name | NESTOR PARTNERS |
Entity Incorporation, State or Country Code | NJ |
Entity Tax Identification Number | 22-2149317 |
Entity Address, Address Line One | c/o MILLBURN RIDGEFIELD CORPORATION |
Entity Address, Address Line Two | 55 West 46th Street |
Entity Address, Address Line Three | 31st Floor |
Entity Address, City or Town | New York |
Entity Address, State or Province | NY |
Entity Address, Postal Zip Code | 10036 |
City Area Code | 212 |
Local Phone Number | 332-7300 |
Title of 12(b) Security | 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 |
Document Fiscal Year Focus | 2022 |
Document Fiscal Period Focus | Q2 |
Amendment Flag | false |
Entity Central Index Key | 0000888471 |
Statements Of Financial Conditi
Statements Of Financial Condition - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
EQUITY IN TRADING ACCOUNTS: | ||
Investments in U.S. Treasury notes − at fair value (amortized cost $20,623,146 and $19,568,494) | $ 20,490,580 | $ 19,563,280 |
Net unrealized appreciation on open futures and forward currency contracts | 5,056,961 | 481,160 |
Due from brokers, net | 5,605,257 | 3,826,824 |
Cash denominated in foreign currencies (cost $56,480 and $1,080,882) | 41,968 | 1,072,270 |
Total equity in trading accounts | 31,194,766 | 24,943,534 |
INVESTMENTS IN U.S. TREASURY NOTES − at fair value (amortized cost $94,136,397 and $85,727,554) | 93,699,882 | 85,711,769 |
CASH AND CASH EQUIVALENTS | 10,602,232 | 8,987,690 |
ACCRUED INTEREST RECEIVABLE | 512,733 | 676,077 |
TOTAL | 136,009,613 | 120,319,070 |
LIABILITIES: | ||
Capital contributions received in advance | 486,600 | |
Net unrealized depreciation on open futures and forward currency contracts | 306,670 | 766,206 |
Accrued brokerage fees | 192,367 | 187,123 |
Due to brokers, net | 93,087 | |
Cash denominated in foreign currencies (cost $144,876 and $177,683) | 143,575 | 177,244 |
Accrued expenses | 130,754 | 25,658 |
Capital withdrawals payable to Limited Partners | 598,953 | 458,676 |
Capital withdrawals payable to General Partner | 250,478 | |
Accrued profit share | 893,699 | |
Total liabilities | 2,752,618 | 1,958,472 |
PARTNERS' CAPITAL | 133,256,995 | 118,360,598 |
TOTAL | $ 136,009,613 | $ 120,319,070 |
Statements Of Financial Condi_2
Statements Of Financial Condition (Parenthetical) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Statements Of Financial Condition [Abstract] | ||
Investments in U.S. Treasury notes, amortized cost | $ 20,623,146 | $ 19,568,494 |
Cash denominated in foreign currencies, cost | 56,480 | 1,080,882 |
INVESTMENTS IN U.S. TREASURY NOTES, amortized cost | 94,136,397 | 85,727,554 |
Cash denominated in foreign currencies, cost | $ 144,876 | $ 177,683 |
Condensed Schedule Of Investmen
Condensed Schedule Of Investments (Futures And Forward Currency Contracts) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 3.57% | (0.24%) |
Net Unrealized Appreciation/(Depreciation) | $ 4,750,291 | $ (285,046) |
Futures Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 3.60% | 0.08% |
Net Unrealized Appreciation/(Depreciation) | $ 4,795,570 | $ 95,383 |
Forward Currency Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | (0.03%) | (0.32%) |
Net Unrealized Appreciation/(Depreciation) | $ (45,279) | $ (380,429) |
Long Contracts [Member] | Futures Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.43% | 0.82% |
Net Unrealized Appreciation/(Depreciation) | $ 577,706 | $ 969,830 |
Long Contracts [Member] | Currencies [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | 0% |
Net Unrealized Appreciation/(Depreciation) | $ (790) | $ 3,688 |
Long Contracts [Member] | Energies [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | (0.02%) | 0.42% |
Net Unrealized Appreciation/(Depreciation) | $ (22,121) | $ 492,605 |
Long Contracts [Member] | Grains [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.01% | |
Net Unrealized Appreciation/(Depreciation) | $ 12,662 | |
Long Contracts [Member] | Interest Rates [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 1.49% | (0.79%) |
Net Unrealized Appreciation/(Depreciation) | $ 1,978,886 | $ (939,443) |
Long Contracts [Member] | 2 Year U.S. Treasury Note [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.06% | |
Net Unrealized Appreciation/(Depreciation) | $ 76,930 | |
Long Contracts [Member] | 5 Year U.S. Treasury Note [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.08% | |
Net Unrealized Appreciation/(Depreciation) | $ 105,008 | |
Long Contracts [Member] | 10 Year U.S. Treasury Note [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.04% | |
Net Unrealized Appreciation/(Depreciation) | $ 48,094 | |
Long Contracts [Member] | 30 Year U.S. Treasury Bond [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.03% | |
Net Unrealized Appreciation/(Depreciation) | $ 34,500 | |
Long Contracts [Member] | Other [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 1.28% | |
Net Unrealized Appreciation/(Depreciation) | $ 1,714,354 | |
Long Contracts [Member] | Livestock [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | (0.01%) |
Net Unrealized Appreciation/(Depreciation) | $ (5,840) | $ (5,370) |
Long Contracts [Member] | Metals [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | (0.99%) | 1.01% |
Net Unrealized Appreciation/(Depreciation) | $ (1,307,620) | $ 1,197,013 |
Long Contracts [Member] | Softs [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | (0.01%) |
Net Unrealized Appreciation/(Depreciation) | $ 250 | $ (15,847) |
Long Contracts [Member] | Stock Indices [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | (0.05%) | 0.19% |
Net Unrealized Appreciation/(Depreciation) | $ (65,059) | $ 224,522 |
Long Contracts [Member] | Forward Currency Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | (1.30%) | 1.43% |
Net Unrealized Appreciation/(Depreciation) | $ (1,734,972) | $ 1,688,217 |
Short Contracts [Member] | Futures Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 3.17% | (0.74%) |
Net Unrealized Appreciation/(Depreciation) | $ 4,217,864 | $ (874,447) |
Short Contracts [Member] | Currencies [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | 0% |
Net Unrealized Appreciation/(Depreciation) | $ (1,468) | $ 1,398 |
Short Contracts [Member] | Energies [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.57% | 0.06% |
Net Unrealized Appreciation/(Depreciation) | $ 756,802 | $ 65,449 |
Short Contracts [Member] | Grains [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.53% | 0.01% |
Net Unrealized Appreciation/(Depreciation) | $ 706,688 | $ 6,149 |
Short Contracts [Member] | Interest Rates [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | 0.04% |
Net Unrealized Appreciation/(Depreciation) | $ (2,146) | $ 49,461 |
Short Contracts [Member] | Livestock [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0% | 0% |
Net Unrealized Appreciation/(Depreciation) | $ (150) | $ 5,170 |
Short Contracts [Member] | Metals [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 1.50% | (0.89%) |
Net Unrealized Appreciation/(Depreciation) | $ 1,999,591 | $ (1,047,948) |
Short Contracts [Member] | Softs [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.06% | 0.01% |
Net Unrealized Appreciation/(Depreciation) | $ 83,811 | $ 6,910 |
Short Contracts [Member] | Stock Indices [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 0.51% | 0.03% |
Net Unrealized Appreciation/(Depreciation) | $ 674,736 | $ 38,964 |
Short Contracts [Member] | Forward Currency Contracts [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Net Unrealized Appreciation/(Depreciation) as a % of Partners' Capital | 1.27% | (1.75%) |
Net Unrealized Appreciation/(Depreciation) | $ 1,689,693 | $ (2,068,646) |
Condensed Schedule Of Investm_2
Condensed Schedule Of Investments (Futures And Forward Currency Contracts) (Parenthetical) - Long Contracts [Member] | 6 Months Ended |
Jun. 30, 2022 contract | |
2 Year U.S. Treasury Note [Member] | |
Summary of Investment Holdings [Line Items] | |
Investment Term | 2 years |
Contracts | 97 |
5 Year U.S. Treasury Note [Member] | |
Summary of Investment Holdings [Line Items] | |
Investment Term | 5 years |
Contracts | 90 |
10 Year U.S. Treasury Note [Member] | |
Summary of Investment Holdings [Line Items] | |
Investment Term | 10 years |
Contracts | 26 |
30 Year U.S. Treasury Bond [Member] | |
Summary of Investment Holdings [Line Items] | |
Investment Term | 30 years |
Contracts | 11 |
Condensed Schedule Of Investm_3
Condensed Schedule Of Investments (U.S. Treasury Notes) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Summary of Investment Holdings [Line Items] | ||
Fair Value as a % of Partners' Capital | 3.57% | (0.24%) |
U.S. Treasury notes, 1.625%, 08/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 31,170,000 | |
Fair Value as a % of Partners' Capital | 23.39% | |
Fair Value | $ 31,175,479 | |
U.S. Treasury notes, 1.625%, 11/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 31,000,000 | |
Fair Value as a % of Partners' Capital | 23.21% | |
Fair Value | $ 30,927,949 | |
U.S. Treasury notes, 2.000%, 02/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 25,570,000 | |
Fair Value as a % of Partners' Capital | 19.12% | |
Fair Value | $ 25,472,614 | |
U.S. Treasury notes, 1.750%, 05/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 26,870,000 | |
Fair Value as a % of Partners' Capital | 19.97% | |
Fair Value | $ 26,614,420 | |
U.S. Treasury notes, 2.500%, 02/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 30,700,000 | |
Fair Value as a % of Partners' Capital | 26.01% | |
Fair Value | $ 30,788,742 | |
U.S. Treasury notes, 2.375%, 03/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 47,840,000 | |
Fair Value as a % of Partners' Capital | 40.61% | |
Fair Value | $ 48,062,381 | |
U.S. Treasury notes, 1.750%, 05/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Face Amount | $ 26,270,000 | |
Fair Value as a % of Partners' Capital | 22.32% | |
Fair Value | $ 26,423,926 | |
U.S. Treasury Notes [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Fair Value as a % of Partners' Capital | 85.69% | 88.94% |
Fair Value | $ 114,190,462 | $ 105,275,049 |
Condensed Schedule Of Investm_4
Condensed Schedule Of Investments (U.S. Treasury Notes) (Parenthetical) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
U.S. Treasury notes, 2.500%, 02/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2.50% | |
Investment Maturity Date | Feb. 15, 2022 | |
U.S. Treasury notes, 2.375%, 03/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2.375% | |
Investment Maturity Date | Mar. 15, 2022 | |
U.S. Treasury notes, 1.750%, 05/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.75% | |
Investment Maturity Date | May 15, 2022 | |
U.S. Treasury notes, 1.625%, 08/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.625% | |
Investment Maturity Date | Aug. 15, 2022 | |
U.S. Treasury notes, 1.625%, 11/15/2022 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.625% | |
Investment Maturity Date | Nov. 15, 2022 | |
U.S. Treasury notes, 2.000%, 02/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 2% | |
Investment Maturity Date | Feb. 15, 2023 | |
U.S. Treasury notes, 1.750%, 05/15/2023 [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Investment Interest Rate | 1.75% | |
Investment Maturity Date | May 15, 2023 | |
U.S. Treasury Notes [Member] | ||
Summary of Investment Holdings [Line Items] | ||
Amortized Cost of U.S. Treasury Notes | $ 114,759,543 | $ 105,296,048 |
Statements Of Operations
Statements Of Operations - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
INVESTMENT INCOME: | ||||
Interest income ,net | $ 300,824 | $ 11,778 | $ 360,436 | $ 20,428 |
EXPENSES: | ||||
Brokerage fees | 690,231 | 714,130 | 1,334,796 | 1,393,392 |
Administrative expenses | 80,440 | 76,412 | 153,154 | 149,943 |
Custody fees and other expenses | 5,787 | 5,185 | 11,035 | 10,412 |
Total expenses | 776,458 | 795,727 | 1,498,985 | 1,553,747 |
NET INVESTMENT LOSS | (475,634) | (783,949) | (1,138,549) | (1,533,319) |
Net realized gains (losses) on closed positions: | ||||
Futures and forward currency contracts | 9,263,995 | 12,636,224 | 14,408,117 | 20,287,284 |
Foreign exchange transaction | (59,221) | 39,568 | (109,699) | 87,708 |
Net change in unrealized: | ||||
Futures and forward currency contracts | 2,178,345 | (2,830,943) | 5,035,337 | (6,187,703) |
Foreign exchange translation | (29,316) | (32,715) | (5,038) | (241,275) |
Net losses from U.S. Treasury notes: | ||||
Realized | (12,795) | (13,482) | (366) | |
Net change in unrealized | (415,427) | (21,535) | (548,082) | 7,065 |
Total net realized and unrealized gains | 10,925,581 | 9,790,599 | 18,767,153 | 13,952,713 |
NET INCOME | 10,449,947 | 9,006,650 | 17,628,604 | 12,419,394 |
LESS PROFIT SHARE TO GENERAL PARTNER | 785,510 | 9,140 | 895,285 | 9,377 |
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER | $ 9,664,437 | $ 8,997,510 | $ 16,733,319 | $ 12,410,017 |
Statements Of Changes In Partne
Statements Of Changes In Partners' Capital - USD ($) | Limited Partners [Member] | Special Limited Partners [Member] | New Profit Memo Account [Member] | General Partner [Member] | Total | |
PARTNERS' CAPITAL at Dec. 31, 2020 | $ 59,408,722 | $ 56,659,557 | $ 2,480,650 | $ 118,548,929 | ||
Contributions | ||||||
Withdrawals | (4,899,410) | (285,336) | (5,184,746) | |||
Reclass | [1] | 138,837 | (138,837) | |||
Net income | 5,610,025 | 6,518,721 | 290,648 | 12,419,394 | ||
General Partner's allocation -- profit share | 9,377 | |||||
General Partner's allocation: | ||||||
New Profit-Accrued | (9,377) | (9,377) | ||||
PARTNERS' CAPITAL at Jun. 30, 2021 | 60,248,797 | 62,754,105 | 2,771,298 | 125,774,200 | ||
PARTNERS' CAPITAL at Dec. 31, 2021 | 56,461,012 | 59,453,090 | 2,446,496 | 118,360,598 | ||
Contributions | 1,586 | 1,586 | ||||
Withdrawals | (1,508,956) | (329,552) | (1,838,508) | |||
Net income | 7,895,436 | 9,342,291 | 59 | 390,818 | 17,628,604 | |
General Partner's allocation -- profit share | 895,285 | |||||
General Partner's allocation: | ||||||
New Profit-Accrued | (849,389) | (45,896) | (895,285) | |||
PARTNERS' CAPITAL at Jun. 30, 2022 | $ 61,998,103 | $ 68,419,933 | $ 1,645 | $ 2,837,314 | $ 133,256,995 | |
[1] Partner reclass from Special Limited Partner to Limited Partner |
Statements Of Financial Highlig
Statements Of Financial Highlights | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Limited Partners [Member] | ||||
Ratios to average capital- | ||||
Net investment income loss | (2.99%) | (3.95%) | (3.35%) | (3.95%) |
Total expenses | 3.90% | 3.99% | 3.92% | 3.99% |
Profit share allocation | 1.20% | 0.02% | 1.44% | 0.02% |
Total expenses and profit share allocation | 5.10% | 4.01% | 5.36% | 4.01% |
Total return before profit share allocation | 7.96% | 7.25% | 14.06% | 9.94% |
Less: profit share allocation | 1.20% | 0.02% | 1.44% | 0.02% |
Total return after profit share allocation | 6.76% | 7.23% | 12.62% | 9.92% |
Special Limited Partners [Member] | ||||
Ratios to average capital- | ||||
Net investment income loss | (0.11%) | (1.18%) | (0.49%) | (1.14%) |
Total expenses | 1.01% | 1.22% | 1.06% | 1.18% |
Profit share allocation | 0.07% | 0% | 0.07% | 0% |
Total expenses and profit share allocation | 1.08% | 1.22% | 1.13% | 1.18% |
Total return before profit share allocation | 8.79% | 7.99% | 15.77% | 11.49% |
Less: profit share allocation | 0.07% | 0% | 0.07% | 0% |
Total return after profit share allocation | 8.72% | 7.99% | 15.70% | 11.49% |
Basis Of Presentation And Summa
Basis Of Presentation And Summary Of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2022 | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Abstract] | |
Basis Of Presentation And Summary Of Significant Accounting Policies | 1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at June 30, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2021. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates. The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements. Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required. Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies . There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2021. |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value [Abstract] | |
Fair Value | 2. FAIR VALUE Fair Value Measurements (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below: Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts. Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price. Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy. Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy. During the three and six months ended June 30, 2022 and 2021, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of June 30, 2022 and December 31, 2021 in valuing the Partnership’s investments at fair value. During the six and twelve months ended June 30, 2022 and December 31, 2021, respectively, the Partnership held no assets or liabilities in Level 3. At June 30, 2022 and December 31, 2021, the Partnership held no assets or liabilities in Level 3. Financial assets and liabilities at fair value as of June 30, 2022 Level 1 Level 2 Total U.S. Treasury Notes (1) $ 114,190,462 $ - $ 114,190,462 Short-Term Money Market Fund* 10,352,232 - 10,352,232 Exchange-Traded Futures Contracts Currencies ( 2,258 ) - ( 2,258 ) Energies 734,681 - 734,681 Grains 706,688 - 706,688 Interest rates 1,976,740 - 1,976,740 Livestock ( 5,990 ) - ( 5,990 ) Metals 691,971 - 691,971 Softs 84,061 - 84,061 Stock indices 609,677 - 609,677 Total exchange-traded futures contracts 4,795,570 - 4,795,570 Over-the-Counter Forward Currency Contracts - ( 45,279 ) ( 45,279 ) Total futures and forward currency contracts (2) 4,795,570 ( 45,279 ) 4,750,291 Total financial assets and liabilities at fair value $ 129,338,264 $ ( 45,279 ) $ 129,292,985 Per line item in the Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 20,490,580 Investments in U.S. Treasury notes 93,699,882 Total investments in U.S. Treasury notes $ 114,190,462 (2) Net unrealized appreciation on open futures and forward currency contracts $ 5,056,961 Net unrealized depreciation on open futures and forward currency contracts ( 306,670 ) Total net unrealized appreciation on open futures and forward currency contracts $ 4,750,291 *The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. Financial assets and liabilities at fair value as of December 31, 2021 Level 1 Level 2 Total U.S. Treasury Notes (1) $ 105,275,049 $ - $ 105,275,049 Short-Term Money Market Fund* 8,737,690 - 8,737,690 Exchange-Traded Futures Contracts Currencies 5,086 - 5,086 Energies 558,054 - 558,054 Grains 18,811 - 18,811 Interest rates ( 889,982 ) - ( 889,982 ) Livestock ( 200 ) - ( 200 ) Metals 149,065 - 149,065 Softs ( 8,937 ) - ( 8,937 ) Stock indices 263,486 - 263,486 Total exchange-traded futures contracts 95,383 - 95,383 Over-the-Counter Forward Currency Contracts - ( 380,429 ) ( 380,429 ) Total futures and forward currency contracts (2) 95,383 ( 380,429 ) ( 285,046 ) Total financial assets and liabilities at fair value $ 114,108,122 $ ( 380,429 ) $ 113,727,693 Per line item in Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 19,563,280 Investments in U.S. Treasury notes 85,711,769 Total investments in U.S. Treasury notes $ 105,275,049 (2) Net unrealized appreciation on open futures and forward currency contracts $ 481,160 Net unrealized depreciation on open futures and forward currency contracts ( 766,206 ) Total net unrealized depreciation on open futures and forward currency contracts $ ( 285,046 ) *The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Instruments [Abstract] | |
Derivative Instruments | 3. DERIVATIVE INSTRUMENTS Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure 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. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions, and the liquidity of the markets in which it trades. The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at June 30, 2022, by market sector: Agricultural (grains, livestock and softs) – The Partnership’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors. Currencies – Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar. Energies – The Partnership’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market. Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions, including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S., and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Partnership for the foreseeable future. Metals – The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc. Stock indices – The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries. Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein. Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations. The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at June 30, 2022 and December 31, 2021. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition. Fair Value of Futures and Forward Currency Contracts at June 30, 2022 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Gain (Loss) on Sector Gains Losses Gains Losses Open Positions Futures contracts: Currencies $ 1,080 $ ( 1,870 ) $ 6,923 $ ( 8,391 ) $ ( 2,258 ) Energies 46,776 ( 68,897 ) 758,027 ( 1,225 ) 734,681 Grains - - 789,417 ( 82,729 ) 706,688 Interest rates 1,982,674 ( 3,788 ) 796 ( 2,942 ) 1,976,740 Livestock 80 ( 5,920 ) 30 ( 180 ) ( 5,990 ) Metals 1,399 ( 1,309,019 ) 2,005,338 ( 5,747 ) 691,971 Softs 7,050 ( 6,800 ) 117,151 ( 33,340 ) 84,061 Stock indices 112 ( 65,171 ) 824,069 ( 149,333 ) 609,677 Total futures contracts 2,039,171 ( 1,461,465 ) 4,501,751 ( 283,887 ) 4,795,570 Forward currency contracts 586,628 ( 2,321,600 ) 3,059,337 ( 1,369,644 ) ( 45,279 ) Total futures and forward currency contracts $ 2,625,799 $ ( 3,783,065 ) $ 7,561,088 $ ( 1,653,531 ) $ 4,750,291 Fair Value of Futures and Forward Currency Contracts at December 31, 2021 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Gain (Loss) on Sector Gains Losses Gains Losses Open Positions Futures contracts: Currencies $ 3,688 $ - $ 4,631 $ ( 3,233 ) $ 5,086 Energies 616,692 ( 124,087 ) 102,240 ( 36,791 ) 558,054 Grains 87,400 ( 74,738 ) 63,535 ( 57,386 ) 18,811 Interest rates 198,306 ( 1,137,749 ) 55,062 ( 5,601 ) ( 889,982 ) Livestock - ( 5,370 ) 5,220 ( 50 ) ( 200 ) Metals 1,260,221 ( 63,208 ) 39,297 ( 1,087,245 ) 149,065 Softs 5,098 ( 20,945 ) 21,123 ( 14,213 ) ( 8,937 ) Stock indices 471,298 ( 246,776 ) 181,224 ( 142,260 ) 263,486 Total futures contracts 2,642,703 ( 1,672,873 ) 472,332 ( 1,346,779 ) 95,383 Forward currency contracts 2,370,139 ( 681,922 ) 698,770 ( 2,767,416 ) ( 380,429 ) Total futures and forward currency contracts $ 5,012,842 $ ( 2,354,795 ) $ 1,171,102 $ ( 4,114,195 ) $ ( 285,046 ) The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and six months ended June 30, 2022 and 2021 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below. Trading gains (losses) of futures and forward currency contracts for the three and six months ended June 30, 2022 and 2021 Sector Three months ended: June 30, 2022 Three months ended: June 30, 2021 Six months ended: June 30, 2022 Six months ended: June 30, 2021 Futures contracts: Currencies $ 356,598 $ - $ 434,697 $ - Energies 4,452,897 3,534,999 12,217,254 4,564,877 Grains 1,051,742 ( 691,533 ) 597,580 319,229 Interest rates ( 5,425,572 ) 3,465,186 ( 5,254,002 ) 431,615 Livestock 53,140 7,680 40,770 ( 105,040 ) Metals 1,791,859 1,519,098 ( 510,501 ) 1,200,347 Softs 46,407 ( 567,633 ) 211,900 ( 516,691 ) Stock indices 5,808,705 3,851,614 7,129,770 10,560,865 Total futures contracts 8,135,776 11,119,411 14,867,468 16,455,202 Forward currency contracts 3,306,564 ( 1,314,130 ) 4,575,986 ( 2,355,621 ) Total futures and forward currency contracts $ 11,442,340 $ 9,805,281 $ 19,443,454 $ 14,099,581 The following table presents average notional value by sector of open futures and forward currency contracts for the six months ended June 30, 2022 and 2021 in U.S. dollars. The Partnership’s average net asset value for the six months ended June 30, 2022 and 2021 was approximately $ 125,000,000 and $ 122,000,000 , respectively. Average notional value by sector of futures and forward currency contracts for the six months ended June 30, 2022 and 2021 2022 2021 Sector Long positions Short positions Long positions Short positions Futures contracts: Currencies $ 863,141 $ 4,177,463 $ - $ - Energies 14,107,547 3,676,532 20,338,456 1,169,006 Grains 6,910,035 6,398,509 8,114,246 6,951,938 Interest rates 138,321,001 38,383,060 307,020,576 18,831,771 Livestock 579,133 541,003 294,540 486,967 Metals 7,986,318 6,221,672 19,085,489 258,457 Softs 2,418,497 2,157,447 1,321,607 1,778,462 Stock indices 40,506,549 41,515,357 73,103,215 13,333,986 Total futures contracts 211,692,221 103,071,043 429,278,129 42,810,587 Forward currency contracts 29,843,790 54,614,427 59,599,455 30,328,063 Total futures and forward currency contracts $ 241,536,011 $ 157,685,470 $ 488,877,584 $ 73,138,650 Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10 -year equivalent fixed income instruments and translated to U.S. dollars at June 30, 2022 and 2021. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions. The averages have been calculated based on the amounts outstanding at the end of each quarter during the calculation period. The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under Balance Sheet (Topic 210) of the codification were met. The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of June 30, 2022 and December 31, 2021. Offsetting derivative assets and liabilities at June 30, 2022 Assets Gross amounts of recognized assets Gross amounts offset in the Statement of Financial Condition Net amounts of assets presented in the Statement of Financial Condition Futures contracts Counterparty C $ 1,553,106 $ ( 211,164 ) $ 1,341,942 Counterparty J 1,224,974 ( 43,189 ) 1,181,785 Counterparty L 3,762,842 ( 1,490,999 ) 2,271,843 Total futures contracts 6,540,922 ( 1,745,352 ) 4,795,570 ` Forward currency contracts Counterparty K 2,006,183 ( 1,744,792 ) 261,391 Total assets $ 8,547,105 $ ( 3,490,144 ) $ 5,056,961 Liabilities Gross amounts of recognized liabilities Gross amounts offset in the Statement of Financial Condition Net amounts of liabilities presented in the Statement of Financial Condition Forward currency contracts Counterparty G $ 1,946,452 $ ( 1,639,782 ) $ 306,670 Total liabilities $ 1,946,452 $ ( 1,639,782 ) $ 306,670 Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of assets presented in the Statement of Financial Condition Financial Instruments Collateral Received (1)(2) Net Amount (3) Counterparty C $ 1,341,942 $ - $ ( 1,341,942 ) $ - Counterparty J 1,181,785 - ( 1,181,785 ) - Counterparty K 261,391 - - 261,391 Counterparty L 2,271,843 - ( 2,271,843 ) - Total $ 5,056,961 $ - $ ( 4,795,570 ) $ 261,391 Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of liabilities presented in the Statement of Financial Condition Financial Instruments Collateral Pledged (1)(2) Net Amount (4) Counterparty G $ 306,670 $ - $ ( 306,670 ) $ - Total $ 306,670 $ - $ ( 306,670 ) $ - (1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. (2) Collateral disclosed is limited to an amount not to exceed 100 % of the net amount of assets and liabilities presented in the Statement of Financial Condition for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2022. (4) Net amount represents the amounts owed by the Partnership to each counterparty as of June 30, 2022. Offsetting derivative assets and liabilities at December 31, 2021 Assets Gross amounts of recognized assets Gross amounts offset in the Statement of Financial Condition Net amounts of assets presented in the Statement of Financial Condition Futures contracts Counterparty J $ 767,838 $ ( 354,289 ) $ 413,549 Counterparty L 1,859,710 ( 1,792,099 ) 67,611 Total assets $ 2,627,548 $ ( 2,146,388 ) $ 481,160 (Continued) Liabilities Gross amounts of recognized liabilities Gross amounts offset in the Statement of Financial Condition Net amounts of liabilities presented in the Statement of Financial Condition Futures contracts Counterparty C $ 873,264 $ ( 487,487 ) $ 385,777 Total futures contracts 873,264 ( 487,487 ) 385,777 Forward currency contracts Counterparty G 1,536,772 ( 1,191,819 ) 344,953 Counterparty K 1,912,566 ( 1,877,090 ) 35,476 Total forward currency contracts 3,449,338 ( 3,068,909 ) 380,429 Total liabilities $ 4,322,602 $ ( 3,556,396 ) $ 766,206 (Concluded) Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of assets presented in the Statement of Financial Condition Financial Instruments Collateral Received (1)(2) Net Amount (3) Counterparty J $ 413,549 $ - $ ( 413,549 ) $ - Counterparty L 67,611 - ( 67,611 ) - Total $ 481,160 $ - $ ( 481,160 ) $ - Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of liabilities presented in the Statement of Financial Condition Financial Instruments Collateral Pledged (1)(2) Net Amount (4) Counterparty C $ 385,777 $ - $ ( 385,777 ) $ - Counterparty G 344,953 - ( 344,953 ) - Counterparty K 35,476 - ( 35,476 ) - Total $ 766,206 $ - $ ( 766,206 ) $ - (1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. (2) Collateral disclosed is limited to an amount not to exceed 100 % of the net amount of assets presented in the Statement of Financial Condition for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2021. (4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2021. CONCENTRATION OF CREDIT RISK Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange. The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes. The Partnership’s forward currency trading activities are cleared through DB and BA. The Partnership’s concentration of credit risk associated with DB or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and BA. The amount of such credit risk was $ 10,387,866 and $ 8,359,643 at June 30, 2022 and December 31, 2021, respectively. |
Profit Share
Profit Share | 6 Months Ended |
Jun. 30, 2022 | |
Profit Share [Abstract] | |
Profit Share | 4. PROFIT SHARE The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2022 and 2021. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership. Three months ended: June 30, June 30, 2022 2021 Profit share earned $ 1,586 $ - Reversal of profit share (1) ( 109,775 ) ( 237 ) Profit share accrued 893,699 9,377 Total profit share $ 785,510 $ 9,140 Six months ended: June 30, June 30, 2022 2021 Profit share earned $ 1,586 $ - Profit share accrued 893,699 9,377 Total profit share $ 895,285 $ 9,377 (1) on April 1 st |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | 5. RELATED PARTY TRANSACTIONS Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5 % redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At June 30, 2022 and December 31, 2021, $ 0 was owed to the General Partner. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | 6. SUBSEQUENT EVENTS During the period from July 1, 2022 to August 12, 2022, withdrawals of $400,000 were made from the Partnership. The General Partner has performed its evaluation of subsequent events through August 12, 2022, the date the Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the Financial Statements. |
Basis Of Presentation And Sum_2
Basis Of Presentation And Summary Of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2022 | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Abstract] | |
Basis Of Presentation | The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates. |
Income Taxes | Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2018 to 2021, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required. |
Investment Company Status | Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies . |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Fair Value [Abstract] | |
Schedule Of Financial Assets And Liabilities At Fair Value | Financial assets and liabilities at fair value as of June 30, 2022 Level 1 Level 2 Total U.S. Treasury Notes (1) $ 114,190,462 $ - $ 114,190,462 Short-Term Money Market Fund* 10,352,232 - 10,352,232 Exchange-Traded Futures Contracts Currencies ( 2,258 ) - ( 2,258 ) Energies 734,681 - 734,681 Grains 706,688 - 706,688 Interest rates 1,976,740 - 1,976,740 Livestock ( 5,990 ) - ( 5,990 ) Metals 691,971 - 691,971 Softs 84,061 - 84,061 Stock indices 609,677 - 609,677 Total exchange-traded futures contracts 4,795,570 - 4,795,570 Over-the-Counter Forward Currency Contracts - ( 45,279 ) ( 45,279 ) Total futures and forward currency contracts (2) 4,795,570 ( 45,279 ) 4,750,291 Total financial assets and liabilities at fair value $ 129,338,264 $ ( 45,279 ) $ 129,292,985 Per line item in the Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 20,490,580 Investments in U.S. Treasury notes 93,699,882 Total investments in U.S. Treasury notes $ 114,190,462 (2) Net unrealized appreciation on open futures and forward currency contracts $ 5,056,961 Net unrealized depreciation on open futures and forward currency contracts ( 306,670 ) Total net unrealized appreciation on open futures and forward currency contracts $ 4,750,291 *The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition. Financial assets and liabilities at fair value as of December 31, 2021 Level 1 Level 2 Total U.S. Treasury Notes (1) $ 105,275,049 $ - $ 105,275,049 Short-Term Money Market Fund* 8,737,690 - 8,737,690 Exchange-Traded Futures Contracts Currencies 5,086 - 5,086 Energies 558,054 - 558,054 Grains 18,811 - 18,811 Interest rates ( 889,982 ) - ( 889,982 ) Livestock ( 200 ) - ( 200 ) Metals 149,065 - 149,065 Softs ( 8,937 ) - ( 8,937 ) Stock indices 263,486 - 263,486 Total exchange-traded futures contracts 95,383 - 95,383 Over-the-Counter Forward Currency Contracts - ( 380,429 ) ( 380,429 ) Total futures and forward currency contracts (2) 95,383 ( 380,429 ) ( 285,046 ) Total financial assets and liabilities at fair value $ 114,108,122 $ ( 380,429 ) $ 113,727,693 Per line item in Statements of Financial Condition (1) Investments in U.S. Treasury notes held in equity trading accounts as collateral $ 19,563,280 Investments in U.S. Treasury notes 85,711,769 Total investments in U.S. Treasury notes $ 105,275,049 (2) Net unrealized appreciation on open futures and forward currency contracts $ 481,160 Net unrealized depreciation on open futures and forward currency contracts ( 766,206 ) Total net unrealized depreciation on open futures and forward currency contracts $ ( 285,046 ) *The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Derivative Instruments [Abstract] | |
Schedule Of Fair Value Of Futures And Forward Currency Contracts | Fair Value of Futures and Forward Currency Contracts at June 30, 2022 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Gain (Loss) on Sector Gains Losses Gains Losses Open Positions Futures contracts: Currencies $ 1,080 $ ( 1,870 ) $ 6,923 $ ( 8,391 ) $ ( 2,258 ) Energies 46,776 ( 68,897 ) 758,027 ( 1,225 ) 734,681 Grains - - 789,417 ( 82,729 ) 706,688 Interest rates 1,982,674 ( 3,788 ) 796 ( 2,942 ) 1,976,740 Livestock 80 ( 5,920 ) 30 ( 180 ) ( 5,990 ) Metals 1,399 ( 1,309,019 ) 2,005,338 ( 5,747 ) 691,971 Softs 7,050 ( 6,800 ) 117,151 ( 33,340 ) 84,061 Stock indices 112 ( 65,171 ) 824,069 ( 149,333 ) 609,677 Total futures contracts 2,039,171 ( 1,461,465 ) 4,501,751 ( 283,887 ) 4,795,570 Forward currency contracts 586,628 ( 2,321,600 ) 3,059,337 ( 1,369,644 ) ( 45,279 ) Total futures and forward currency contracts $ 2,625,799 $ ( 3,783,065 ) $ 7,561,088 $ ( 1,653,531 ) $ 4,750,291 Fair Value of Futures and Forward Currency Contracts at December 31, 2021 Net Unrealized Fair Value - Long Positions Fair Value - Short Positions Gain (Loss) on Sector Gains Losses Gains Losses Open Positions Futures contracts: Currencies $ 3,688 $ - $ 4,631 $ ( 3,233 ) $ 5,086 Energies 616,692 ( 124,087 ) 102,240 ( 36,791 ) 558,054 Grains 87,400 ( 74,738 ) 63,535 ( 57,386 ) 18,811 Interest rates 198,306 ( 1,137,749 ) 55,062 ( 5,601 ) ( 889,982 ) Livestock - ( 5,370 ) 5,220 ( 50 ) ( 200 ) Metals 1,260,221 ( 63,208 ) 39,297 ( 1,087,245 ) 149,065 Softs 5,098 ( 20,945 ) 21,123 ( 14,213 ) ( 8,937 ) Stock indices 471,298 ( 246,776 ) 181,224 ( 142,260 ) 263,486 Total futures contracts 2,642,703 ( 1,672,873 ) 472,332 ( 1,346,779 ) 95,383 Forward currency contracts 2,370,139 ( 681,922 ) 698,770 ( 2,767,416 ) ( 380,429 ) Total futures and forward currency contracts $ 5,012,842 $ ( 2,354,795 ) $ 1,171,102 $ ( 4,114,195 ) $ ( 285,046 ) |
Schedule Of Trading Gains (Losses) Of Futures And Forward Currency Contracts | Trading gains (losses) of futures and forward currency contracts for the three and six months ended June 30, 2022 and 2021 Sector Three months ended: June 30, 2022 Three months ended: June 30, 2021 Six months ended: June 30, 2022 Six months ended: June 30, 2021 Futures contracts: Currencies $ 356,598 $ - $ 434,697 $ - Energies 4,452,897 3,534,999 12,217,254 4,564,877 Grains 1,051,742 ( 691,533 ) 597,580 319,229 Interest rates ( 5,425,572 ) 3,465,186 ( 5,254,002 ) 431,615 Livestock 53,140 7,680 40,770 ( 105,040 ) Metals 1,791,859 1,519,098 ( 510,501 ) 1,200,347 Softs 46,407 ( 567,633 ) 211,900 ( 516,691 ) Stock indices 5,808,705 3,851,614 7,129,770 10,560,865 Total futures contracts 8,135,776 11,119,411 14,867,468 16,455,202 Forward currency contracts 3,306,564 ( 1,314,130 ) 4,575,986 ( 2,355,621 ) Total futures and forward currency contracts $ 11,442,340 $ 9,805,281 $ 19,443,454 $ 14,099,581 |
Schedule Of Average Notional Value By Sector Of Futures And Forward Currency Contracts | Average notional value by sector of futures and forward currency contracts for the six months ended June 30, 2022 and 2021 2022 2021 Sector Long positions Short positions Long positions Short positions Futures contracts: Currencies $ 863,141 $ 4,177,463 $ - $ - Energies 14,107,547 3,676,532 20,338,456 1,169,006 Grains 6,910,035 6,398,509 8,114,246 6,951,938 Interest rates 138,321,001 38,383,060 307,020,576 18,831,771 Livestock 579,133 541,003 294,540 486,967 Metals 7,986,318 6,221,672 19,085,489 258,457 Softs 2,418,497 2,157,447 1,321,607 1,778,462 Stock indices 40,506,549 41,515,357 73,103,215 13,333,986 Total futures contracts 211,692,221 103,071,043 429,278,129 42,810,587 Forward currency contracts 29,843,790 54,614,427 59,599,455 30,328,063 Total futures and forward currency contracts $ 241,536,011 $ 157,685,470 $ 488,877,584 $ 73,138,650 |
Offsetting Of Derivative Assets And Liabilities | Offsetting derivative assets and liabilities at June 30, 2022 Assets Gross amounts of recognized assets Gross amounts offset in the Statement of Financial Condition Net amounts of assets presented in the Statement of Financial Condition Futures contracts Counterparty C $ 1,553,106 $ ( 211,164 ) $ 1,341,942 Counterparty J 1,224,974 ( 43,189 ) 1,181,785 Counterparty L 3,762,842 ( 1,490,999 ) 2,271,843 Total futures contracts 6,540,922 ( 1,745,352 ) 4,795,570 ` Forward currency contracts Counterparty K 2,006,183 ( 1,744,792 ) 261,391 Total assets $ 8,547,105 $ ( 3,490,144 ) $ 5,056,961 Liabilities Gross amounts of recognized liabilities Gross amounts offset in the Statement of Financial Condition Net amounts of liabilities presented in the Statement of Financial Condition Forward currency contracts Counterparty G $ 1,946,452 $ ( 1,639,782 ) $ 306,670 Total liabilities $ 1,946,452 $ ( 1,639,782 ) $ 306,670 Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of assets presented in the Statement of Financial Condition Financial Instruments Collateral Received (1)(2) Net Amount (3) Counterparty C $ 1,341,942 $ - $ ( 1,341,942 ) $ - Counterparty J 1,181,785 - ( 1,181,785 ) - Counterparty K 261,391 - - 261,391 Counterparty L 2,271,843 - ( 2,271,843 ) - Total $ 5,056,961 $ - $ ( 4,795,570 ) $ 261,391 Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of liabilities presented in the Statement of Financial Condition Financial Instruments Collateral Pledged (1)(2) Net Amount (4) Counterparty G $ 306,670 $ - $ ( 306,670 ) $ - Total $ 306,670 $ - $ ( 306,670 ) $ - (1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. (2) Collateral disclosed is limited to an amount not to exceed 100 % of the net amount of assets and liabilities presented in the Statement of Financial Condition for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2022. (4) Net amount represents the amounts owed by the Partnership to each counterparty as of June 30, 2022. Offsetting derivative assets and liabilities at December 31, 2021 Assets Gross amounts of recognized assets Gross amounts offset in the Statement of Financial Condition Net amounts of assets presented in the Statement of Financial Condition Futures contracts Counterparty J $ 767,838 $ ( 354,289 ) $ 413,549 Counterparty L 1,859,710 ( 1,792,099 ) 67,611 Total assets $ 2,627,548 $ ( 2,146,388 ) $ 481,160 (Continued) Liabilities Gross amounts of recognized liabilities Gross amounts offset in the Statement of Financial Condition Net amounts of liabilities presented in the Statement of Financial Condition Futures contracts Counterparty C $ 873,264 $ ( 487,487 ) $ 385,777 Total futures contracts 873,264 ( 487,487 ) 385,777 Forward currency contracts Counterparty G 1,536,772 ( 1,191,819 ) 344,953 Counterparty K 1,912,566 ( 1,877,090 ) 35,476 Total forward currency contracts 3,449,338 ( 3,068,909 ) 380,429 Total liabilities $ 4,322,602 $ ( 3,556,396 ) $ 766,206 (Concluded) Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of assets presented in the Statement of Financial Condition Financial Instruments Collateral Received (1)(2) Net Amount (3) Counterparty J $ 413,549 $ - $ ( 413,549 ) $ - Counterparty L 67,611 - ( 67,611 ) - Total $ 481,160 $ - $ ( 481,160 ) $ - Amounts Not Offset in the Statement of Financial Condition Counterparty Net amounts of liabilities presented in the Statement of Financial Condition Financial Instruments Collateral Pledged (1)(2) Net Amount (4) Counterparty C $ 385,777 $ - $ ( 385,777 ) $ - Counterparty G 344,953 - ( 344,953 ) - Counterparty K 35,476 - ( 35,476 ) - Total $ 766,206 $ - $ ( 766,206 ) $ - (1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty. (2) Collateral disclosed is limited to an amount not to exceed 100 % of the net amount of assets presented in the Statement of Financial Condition for each respective counterparty. (3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2021. (4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2021. |
Profit Share (Tables)
Profit Share (Tables) | 6 Months Ended |
Jun. 30, 2022 | |
Profit Share [Abstract] | |
Schedule Of Profit Share Earned And Accrued | Three months ended: June 30, June 30, 2022 2021 Profit share earned $ 1,586 $ - Reversal of profit share (1) ( 109,775 ) ( 237 ) Profit share accrued 893,699 9,377 Total profit share $ 785,510 $ 9,140 Six months ended: June 30, June 30, 2022 2021 Profit share earned $ 1,586 $ - Profit share accrued 893,699 9,377 Total profit share $ 895,285 $ 9,377 (1) on April 1 st |
Basis Of Presentation And Sum_3
Basis Of Presentation And Summary Of Significant Accounting Policies (Narrative) (Details) | Jun. 30, 2022 USD ($) |
Basis Of Presentation And Summary Of Significant Accounting Policies [Abstract] | |
Reserves for uncertain tax positions | $ 0 |
Fair Value (Narrative) (Details
Fair Value (Narrative) (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Total financial assets and liabilities at fair value | $ 129,292,985 | $ 113,727,693 |
Level 3 [Member] | ||
Assets held-in-trust | 0 | 0 |
Liabilities held-in-trust | $ 0 | $ 0 |
Fair Value (Schedule Of Financi
Fair Value (Schedule Of Financial Assets And Liabilities At Fair Value) (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments in U.S. Treasury notes held in equity trading accounts as collateral | $ 20,490,580 | $ 19,563,280 |
Investments in U.S. Treasury notes | 93,699,882 | 85,711,769 |
Total investments in U.S. Treasury notes | 114,190,462 | 105,275,049 |
Short-term Money Market Fund | 10,352,232 | 8,737,690 |
Net unrealized appreciation on open futures and forward currency contracts | 5,056,961 | 481,160 |
Net unrealized depreciation on open futures and forward currency contracts | (306,670) | (766,206) |
Total net unrealized depreciation on open futures and forward currency contracts | 4,750,291 | (285,046) |
Total financial assets and liabilities at fair value | 129,292,985 | 113,727,693 |
Futures Contracts [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 4,795,570 | 95,383 |
Currencies [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (2,258) | 5,086 |
Energies [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 734,681 | 558,054 |
Grains [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 706,688 | 18,811 |
Interest Rates [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 1,976,740 | (889,982) |
Livestock [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (5,990) | (200) |
Metals [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 691,971 | 149,065 |
Softs [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 84,061 | (8,937) |
Stock Indices [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 609,677 | 263,486 |
Forward Currency Contracts [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (45,279) | (380,429) |
Level 1 [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total investments in U.S. Treasury notes | 114,190,462 | 105,275,049 |
Short-term Money Market Fund | 10,352,232 | 8,737,690 |
Total net unrealized depreciation on open futures and forward currency contracts | 4,795,570 | 95,383 |
Total financial assets and liabilities at fair value | 129,338,264 | 114,108,122 |
Level 1 [Member] | Futures Contracts [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 4,795,570 | 95,383 |
Level 1 [Member] | Currencies [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (2,258) | 5,086 |
Level 1 [Member] | Energies [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 734,681 | 558,054 |
Level 1 [Member] | Grains [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 706,688 | 18,811 |
Level 1 [Member] | Interest Rates [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 1,976,740 | (889,982) |
Level 1 [Member] | Livestock [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (5,990) | (200) |
Level 1 [Member] | Metals [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 691,971 | 149,065 |
Level 1 [Member] | Softs [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 84,061 | (8,937) |
Level 1 [Member] | Stock Indices [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | 609,677 | 263,486 |
Level 2 [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | (45,279) | (380,429) |
Total financial assets and liabilities at fair value | (45,279) | (380,429) |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Total net unrealized depreciation on open futures and forward currency contracts | $ (45,279) | $ (380,429) |
Derivative Instruments (Narrati
Derivative Instruments (Narrative) (Details) - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | |
Derivative [Line Items] | |||
Partnership's average net asset value | $ 125,000,000 | $ 122,000,000 | |
Open interest rate futures, maturity | 10 years | 10 years | |
Concentration of credit risk | $ 10,387,866 | $ 8,359,643 | |
Maximum [Member] | |||
Derivative [Line Items] | |||
Open interest rate futures, maturity | 10 years | 10 years |
Derivative Instruments (Schedul
Derivative Instruments (Schedule Of Fair Value Of Futures And Forward Currency Contracts) (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | $ 4,750,291 | $ (285,046) |
Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 4,795,570 | 95,383 |
Currencies [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | (2,258) | 5,086 |
Energies [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 734,681 | 558,054 |
Grains [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 706,688 | 18,811 |
Interest Rates [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 1,976,740 | (889,982) |
Livestock [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | (5,990) | (200) |
Metals [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 691,971 | 149,065 |
Softs [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 84,061 | (8,937) |
Stock Indices [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | 609,677 | 263,486 |
Forward Currency Contracts [Member] | ||
Derivative [Line Items] | ||
Net Unrealized Gain (Loss) on Open Positions | (45,279) | (380,429) |
Long Positions [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 2,625,799 | 5,012,842 |
Fair Value, Losses | (3,783,065) | (2,354,795) |
Long Positions [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 2,039,171 | 2,642,703 |
Fair Value, Losses | (1,461,465) | (1,672,873) |
Long Positions [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 1,080 | 3,688 |
Fair Value, Losses | (1,870) | |
Long Positions [Member] | Energies [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 46,776 | 616,692 |
Fair Value, Losses | (68,897) | (124,087) |
Long Positions [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 87,400 | |
Fair Value, Losses | (74,738) | |
Long Positions [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 1,982,674 | 198,306 |
Fair Value, Losses | (3,788) | (1,137,749) |
Long Positions [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 80 | |
Fair Value, Losses | (5,920) | (5,370) |
Long Positions [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 1,399 | 1,260,221 |
Fair Value, Losses | (1,309,019) | (63,208) |
Long Positions [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 7,050 | 5,098 |
Fair Value, Losses | (6,800) | (20,945) |
Long Positions [Member] | Stock Indices [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 112 | 471,298 |
Fair Value, Losses | (65,171) | (246,776) |
Long Positions [Member] | Forward Currency Contracts [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 586,628 | 2,370,139 |
Fair Value, Losses | (2,321,600) | (681,922) |
Short Positions [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 7,561,088 | 1,171,102 |
Fair Value, Losses | (1,653,531) | (4,114,195) |
Short Positions [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 4,501,751 | 472,332 |
Fair Value, Losses | (283,887) | (1,346,779) |
Short Positions [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 6,923 | 4,631 |
Fair Value, Losses | (8,391) | (3,233) |
Short Positions [Member] | Energies [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 758,027 | 102,240 |
Fair Value, Losses | (1,225) | (36,791) |
Short Positions [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 789,417 | 63,535 |
Fair Value, Losses | (82,729) | (57,386) |
Short Positions [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 796 | 55,062 |
Fair Value, Losses | (2,942) | (5,601) |
Short Positions [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 30 | 5,220 |
Fair Value, Losses | (180) | (50) |
Short Positions [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 2,005,338 | 39,297 |
Fair Value, Losses | (5,747) | (1,087,245) |
Short Positions [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 117,151 | 21,123 |
Fair Value, Losses | (33,340) | (14,213) |
Short Positions [Member] | Stock Indices [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 824,069 | 181,224 |
Fair Value, Losses | (149,333) | (142,260) |
Short Positions [Member] | Forward Currency Contracts [Member] | ||
Derivative [Line Items] | ||
Fair Value, Gains | 3,059,337 | 698,770 |
Fair Value, Losses | $ (1,369,644) | $ (2,767,416) |
Derivative Instruments (Sched_2
Derivative Instruments (Schedule Of Net Unrealized Appreciation (Depreciation) On Futures And Forward Currency Contracts By Settlement Currency Type) (Details) - USD ($) | Jun. 30, 2022 | Dec. 31, 2021 |
Derivative Instruments [Abstract] | ||
Total Net Unrealized Appreciation (Depreciation) | $ 4,750,291 | $ (285,046) |
Derivative Instruments (Sched_3
Derivative Instruments (Schedule Of Trading Gains (Losses) Of Futures And Forward Currency Contracts) (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | $ 11,442,340 | $ 9,805,281 | $ 19,443,454 | $ 14,099,581 |
Futures Contracts [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 8,135,776 | 11,119,411 | 14,867,468 | 16,455,202 |
Currencies [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 356,598 | 434,697 | ||
Energies [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 4,452,897 | 3,534,999 | 12,217,254 | 4,564,877 |
Grains [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 1,051,742 | (691,533) | 597,580 | 319,229 |
Interest Rates [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | (5,425,572) | 3,465,186 | (5,254,002) | 431,615 |
Livestock [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 53,140 | 7,680 | 40,770 | (105,040) |
Metals [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 1,791,859 | 1,519,098 | (510,501) | 1,200,347 |
Softs [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 46,407 | (567,633) | 211,900 | (516,691) |
Stock Indices [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | 5,808,705 | 3,851,614 | 7,129,770 | 10,560,865 |
Forward Currency Contracts [Member] | ||||
Derivative [Line Items] | ||||
Trading gains (losses) of futures and forward currency contracts | $ 3,306,564 | $ (1,314,130) | $ 4,575,986 | $ (2,355,621) |
Derivative Instruments (Sched_4
Derivative Instruments (Schedule Of Average Notional Value By Sector Of Futures And Forward Currency Contracts) (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
Long Positions [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | $ 241,536,011 | $ 488,877,584 |
Long Positions [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 211,692,221 | 429,278,129 |
Long Positions [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 863,141 | |
Long Positions [Member] | Energies [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 14,107,547 | 20,338,456 |
Long Positions [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 6,910,035 | 8,114,246 |
Long Positions [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 138,321,001 | 307,020,576 |
Long Positions [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 579,133 | 294,540 |
Long Positions [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 7,986,318 | 19,085,489 |
Long Positions [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 2,418,497 | 1,321,607 |
Long Positions [Member] | Stock Indices [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 40,506,549 | 73,103,215 |
Long Positions [Member] | Forward Currency Contracts [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 29,843,790 | 59,599,455 |
Short Positions [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 157,685,470 | 73,138,650 |
Short Positions [Member] | Futures Contracts [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 103,071,043 | 42,810,587 |
Short Positions [Member] | Currencies [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 4,177,463 | |
Short Positions [Member] | Energies [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 3,676,532 | 1,169,006 |
Short Positions [Member] | Grains [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 6,398,509 | 6,951,938 |
Short Positions [Member] | Interest Rates [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 38,383,060 | 18,831,771 |
Short Positions [Member] | Livestock [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 541,003 | 486,967 |
Short Positions [Member] | Metals [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 6,221,672 | 258,457 |
Short Positions [Member] | Softs [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 2,157,447 | 1,778,462 |
Short Positions [Member] | Stock Indices [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | 41,515,357 | 13,333,986 |
Short Positions [Member] | Forward Currency Contracts [Member] | ||
Derivative [Line Items] | ||
Average notional amount of futures and forward currency contracts | $ 54,614,427 | $ 30,328,063 |
Derivative Instruments (Offsett
Derivative Instruments (Offsetting Derivative Assets) (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | $ 8,547,105 | $ 2,627,548 |
Gross amounts offset in the Statement of Financial Condition | (3,490,144) | (2,146,388) |
Net amounts of assets presented in the Statement of Financial Condition | 5,056,961 | 481,160 |
Financial Instruments | ||
Collateral Received | (4,795,570) | (481,160) |
Net Amount | $ 261,391 | |
Collateral disclosed as a percentage of net assets, maximum allowed | 100% | 100% |
Counterparty C [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the Statement of Financial Condition | $ 1,341,942 | |
Financial Instruments | ||
Collateral Received | (1,341,942) | |
Net Amount | ||
Counterparty K [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the Statement of Financial Condition | 261,391 | |
Financial Instruments | ||
Net Amount | 261,391 | |
Counterparty J [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the Statement of Financial Condition | 1,181,785 | $ 413,549 |
Financial Instruments | ||
Collateral Received | (1,181,785) | (413,549) |
Net Amount | ||
Counterparty L [Member] | ||
Offsetting Assets [Line Items] | ||
Net amounts of assets presented in the Statement of Financial Condition | 2,271,843 | 67,611 |
Financial Instruments | ||
Collateral Received | (2,271,843) | (67,611) |
Net Amount | ||
Futures Contracts [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 6,540,922 | |
Gross amounts offset in the Statement of Financial Condition | (1,745,352) | |
Net amounts of assets presented in the Statement of Financial Condition | 4,795,570 | |
Futures Contracts [Member] | Counterparty C [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,553,106 | |
Gross amounts offset in the Statement of Financial Condition | (211,164) | |
Net amounts of assets presented in the Statement of Financial Condition | 1,341,942 | |
Futures Contracts [Member] | Counterparty J [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 1,224,974 | 767,838 |
Gross amounts offset in the Statement of Financial Condition | (43,189) | (354,289) |
Net amounts of assets presented in the Statement of Financial Condition | 1,181,785 | 413,549 |
Futures Contracts [Member] | Counterparty L [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 3,762,842 | 1,859,710 |
Gross amounts offset in the Statement of Financial Condition | (1,490,999) | (1,792,099) |
Net amounts of assets presented in the Statement of Financial Condition | 2,271,843 | $ 67,611 |
Forward Currency Contracts [Member] | Counterparty K [Member] | ||
Offsetting Assets [Line Items] | ||
Gross amounts of recognized assets | 2,006,183 | |
Gross amounts offset in the Statement of Financial Condition | (1,744,792) | |
Net amounts of assets presented in the Statement of Financial Condition | $ 261,391 |
Derivative Instruments (Offse_2
Derivative Instruments (Offsetting Derivative Liabilities) (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | $ 1,946,452 | $ 4,322,602 |
Gross amounts offset in the Statement of Financial Condition | (1,639,782) | (3,556,396) |
Net amounts of liabilities presented in the Statement of Financial Condition | 306,670 | 766,206 |
Financial Instruments | ||
Collateral Pledged | (306,670) | (766,206) |
Net Amount | ||
Collateral disclosed as a percentage of net assets, maximum allowed | 100% | 100% |
Counterparty C [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amounts of liabilities presented in the Statement of Financial Condition | $ 385,777 | |
Financial Instruments | ||
Collateral Pledged | (385,777) | |
Net Amount | ||
Counterparty G [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amounts of liabilities presented in the Statement of Financial Condition | $ 306,670 | 344,953 |
Financial Instruments | ||
Collateral Pledged | (306,670) | (344,953) |
Net Amount | ||
Counterparty K [Member] | ||
Offsetting Liabilities [Line Items] | ||
Net amounts of liabilities presented in the Statement of Financial Condition | 35,476 | |
Financial Instruments | ||
Collateral Pledged | (35,476) | |
Net Amount | ||
Futures Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 873,264 | |
Gross amounts offset in the Statement of Financial Condition | (487,487) | |
Net amounts of liabilities presented in the Statement of Financial Condition | 385,777 | |
Futures Contracts [Member] | Counterparty C [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 873,264 | |
Gross amounts offset in the Statement of Financial Condition | (487,487) | |
Net amounts of liabilities presented in the Statement of Financial Condition | 385,777 | |
Forward Currency Contracts [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 3,449,338 | |
Gross amounts offset in the Statement of Financial Condition | (3,068,909) | |
Net amounts of liabilities presented in the Statement of Financial Condition | 380,429 | |
Forward Currency Contracts [Member] | Counterparty G [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,946,452 | 1,536,772 |
Gross amounts offset in the Statement of Financial Condition | (1,639,782) | (1,191,819) |
Net amounts of liabilities presented in the Statement of Financial Condition | $ 306,670 | 344,953 |
Forward Currency Contracts [Member] | Counterparty K [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross amounts of recognized liabilities | 1,912,566 | |
Gross amounts offset in the Statement of Financial Condition | (1,877,090) | |
Net amounts of liabilities presented in the Statement of Financial Condition | $ 35,476 |
Profit Share (Schedule Of Profi
Profit Share (Schedule Of Profit Share Earned And Accrued) (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Profit Share [Abstract] | ||||
Profit share earned | $ 1,586 | $ 1,586 | ||
Reversal of profit share | (109,775) | $ (237) | ||
Profit share accrued | 893,699 | 9,377 | 893,699 | $ 9,377 |
Total profit share | $ 785,510 | $ 9,140 | $ 895,285 | $ 9,377 |
Related Party Transactions (Nar
Related Party Transactions (Narrative) (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | ||
Redemption amount owed to general partner | $ 0 | $ 0 |
General Partner [Member] | ||
Related Party Transaction [Line Items] | ||
Redemption charge for redemptions, percentage | 2.50% |