☑ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 52-1823554 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification Number) |
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) |
(410) 413-2600 | ||
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Not applicable. | Not applicable. | Not applicable. |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Page | |||
PART I — FINANCIAL INFORMATION | |||
Item 1. | Financial Statements. | ||
1-6 | |||
7 | |||
8 | |||
9 | |||
10 | |||
11 | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 1. | |||
Item 1A. | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 5. | |||
Item 6. | |||
Maturity | Maturity | Fair | % of Net | Maturity | Fair | % of Net | ||||||||||||||||
Face Value | Face Value | Description | Value ($) | Asset Value | Face Value | Description | Value ($) | Asset Value | ||||||||||||||
Asset Backed Securities | Asset Backed Securities | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
Auto Loans | $ | 5,522,348 | 3.87 | % | Auto Loans | $ | 6,853,227 | 4.51 | % | |||||||||||||
Credit Cards | 542,317 | 0.38 | % | Equipment Loans | 570,975 | 0.38 | % | |||||||||||||||
Equipment Loans | 494,660 | 0.35 | % | Total Asset Backed Securities (cost $7,472,501) | 7,424,202 | 4.89 | % | |||||||||||||||
Total Asset Backed Securities (cost $6,571,025) | 6,559,325 | 4.60 | % | |||||||||||||||||||
Bank Deposits | ||||||||||||||||||||||
Bank Deposits | Singapore | |||||||||||||||||||||
Australia | Financials (cost $820,000) | 819,705 | 0.54 | % | ||||||||||||||||||
Financials (cost $799,936) | 800,065 | 0.56 | % | United States | ||||||||||||||||||
Singapore | Financials (cost $870,000) | 868,964 | 0.57 | % | ||||||||||||||||||
Financials (cost $775,000) | 775,056 | 0.54 | % | Total Bank Deposits (cost $1,690,000) | 1,688,669 | 1.11 | % | |||||||||||||||
United States | ||||||||||||||||||||||
Financials (cost $870,000) | 869,479 | 0.61 | % | Commercial Paper | ||||||||||||||||||
Total Bank Deposits (cost $2,444,936) | 2,444,600 | 1.71 | % | United Kingdom | ||||||||||||||||||
Financials (cost $914,320) | 914,282 | 0.60 | % | |||||||||||||||||||
Commercial Paper | United States | |||||||||||||||||||||
France | Communications | 3,499,444 | 2.30 | % | ||||||||||||||||||
Financials (cost $774,290) | 774,482 | 0.54 | % | Consumer Discretionary | 1,739,037 | 1.14 | % | |||||||||||||||
United Kingdom | Consumer Staples | 699,642 | 0.46 | % | ||||||||||||||||||
Financials (cost $3,504,395) | 3,504,492 | 2.46 | % | Financials | 22,296,086 | 14.66 | % | |||||||||||||||
United States | Industrials | 1,279,532 | 0.84 | % | ||||||||||||||||||
Communications | 499,722 | 0.35 | % | Real estate | 4,133,522 | 2.72 | % | |||||||||||||||
Consumer Discretionary | 7,667,908 | 5.38 | % | Technology | 3,232,519 | 2.13 | % | |||||||||||||||
Consumer Staples | 1,749,463 | 1.23 | % | Utilities | 8,696,605 | 5.72 | % | |||||||||||||||
Financials | 6,325,165 | 4.44 | % | Total United States (cost $45,583,141) | 45,576,387 | 29.97 | % | |||||||||||||||
Industrials | 639,962 | 0.45 | % | Total Commercial Paper (cost $46,497,461) | $ | 46,490,669 | 30.57 | % | ||||||||||||||
Real estate | 5,234,646 | 3.67 | % | |||||||||||||||||||
Utilities | 11,363,722 | 7.97 | % | |||||||||||||||||||
Total United States (cost $33,482,005) | 33,480,588 | 23.49 | % | |||||||||||||||||||
Total Commercial Paper (cost $37,760,690) | $ | 37,759,562 | $ | 26.48 | % |
Maturity | Maturity | Fair | % of Net | Maturity | Fair | % of Net | ||||||||||||||||
Face Value | Face Value | Description | Value ($) | Asset Value | Face Value | Description | Value ($) | Asset Value | ||||||||||||||
Corporate Bonds | ||||||||||||||||||||||
Australia | ||||||||||||||||||||||
Financials (cost $1,910,000) | $ | 1,912,512 | 1.26 | % | ||||||||||||||||||
Canada | ||||||||||||||||||||||
Financials | 5,919,975 | 3.89 | % | |||||||||||||||||||
Corporate Bonds | Energy | 638,944 | 0.42 | % | ||||||||||||||||||
Australia | Total Canada (cost $6,618,367) | 6,558,919 | 4.31 | % | ||||||||||||||||||
Financials (cost $1,910,000) | $ | 1,920,729 | 1.35 | % | Germany | |||||||||||||||||
Canada | Consumer Discretionary | 1,945,715 | 1.28 | % | ||||||||||||||||||
Financials | 3,418,333 | 2.40 | % | Industrials | 775,000 | 0.51 | % | |||||||||||||||
Energy | 240,591 | 0.17 | % | Total Germany (cost $2,720,000) | 2,720,715 | 1.79 | % | |||||||||||||||
Total Canada (cost $3,650,279) | 3,658,924 | 2.57 | % | Japan | ||||||||||||||||||
Germany | Financials (cost $392,471) | 391,655 | 0.26 | % | ||||||||||||||||||
Consumer Discretionary (cost $2,144,897) | 2,153,530 | 1.51 | % | Switzerland | ||||||||||||||||||
Japan | Financials (cost $1,044,877) | 1,037,711 | 0.68 | % | ||||||||||||||||||
Financials (cost $1,193,313) | 1,193,765 | 0.84 | % | United Kingdom | ||||||||||||||||||
Switzerland | Health care | 650,929 | 0.42 | % | ||||||||||||||||||
Financials (cost $2,019,647) | 2,031,908 | 1.43 | % | Financials | 633,780 | 0.42 | % | |||||||||||||||
United States | Total United Kingdom (cost $1,292,901) | 1,284,709 | 0.84 | % | ||||||||||||||||||
Communications | 777,247 | 0.55 | % | United States | ||||||||||||||||||
Consumer Discretionary | 2,313,896 | 1.62 | % | Consumer Discretionary | 2,591,313 | 1.70 | % | |||||||||||||||
Consumer Staples | 2,277,246 | 1.60 | % | Consumer Staples | 759,439 | 0.50 | % | |||||||||||||||
Energy | 2,517,855 | 1.77 | % | Energy | 3,028,337 | 1.99 | % | |||||||||||||||
Financials | 6,421,220 | 4.50 | % | Financials | 4,419,890 | 2.91 | % | |||||||||||||||
Health care | 1,178,102 | 0.83 | % | Health care | 2,003,756 | 1.32 | % | |||||||||||||||
Industrials | 2,673,437 | 1.88 | % | Industrials | 2,483,662 | 1.63 | % | |||||||||||||||
Technology | 945,456 | 0.66 | % | Technology | 1,793,738 | 1.18 | % | |||||||||||||||
Real estate | 796,240 | 0.56 | % | Materials | 485,358 | 0.32 | % | |||||||||||||||
Utilities | 1,313,685 | 0.92 | % | Real estate | 795,065 | 0.52 | % | |||||||||||||||
Total United States (cost $21,154,191) | 21,214,384 | 14.89 | % | Utilities | 2,032,172 | 1.34 | % | |||||||||||||||
Total Corporate Bonds (cost $32,072,327) | 32,173,240 | 22.59 | % | Total United States (cost $20,549,518) | 20,392,730 | 13.41 | % | |||||||||||||||
Total Corporate Bonds (cost $34,528,134) | 34,298,951 | 22.55 | % | |||||||||||||||||||
Government and Agency Obligations | Government and Agency Obligations | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
U.S. Treasury Bills | U.S. Treasury Bills | |||||||||||||||||||||
$ | 2,135,000 | U.S. Treasury Bills Due 07/15/2021 (1) | 2,134,964 | 1.50 | % | 2,135,000 | U.S. Treasury Bills Due 04/14/2022 (1) | 2,134,872 | 1.40 | % | ||||||||||||
$ | 5,300,000 | U.S. Treasury Bills Due 08/12/2021 (1) | 5,299,676 | 3.72 | % | 6,300,000 | U.S. Treasury Bills Due 05/12/2022 (1) | 6,298,563 | 4.14 | % | ||||||||||||
$ | 10,000,000 | U.S. Treasury Bills Due 09/16/2021 (1) | 9,999,090 | 7.01 | % | 5,000,000 | U.S. Treasury Bills Due 06/16/2022 (1) | 4,995,635 | 3.29 | % | ||||||||||||
Total Government and Agency Obligations (cost $17,434,819) | 17,433,730 | 12.23 | % | Total Government and Agency Obligations (cost $13,429,957) | 13,429,070 | 8.83 | % | |||||||||||||||
Total Fixed Income Securities (cost $96,283,797) (2) | $ | 96,370,457 | 67.61 | % | Total Fixed Income Securities (cost $103,618,053) (2) | $ | 103,331,561 | 67.95 | % |
(1) | Pledged as collateral for the trading of |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Money Market Funds | ||||||||||||||||
United States | ||||||||||||||||
Money Market Funds (cost $3,088,504) | $ | 3,088,504 | 2.17 | % | ||||||||||||
Total Short Term Investments (cost $3,088,504) | $ | 3,088,504 | 2.17 | % | ||||||||||||
Money Market Funds (cost $12,301,399) | $ | 12,301,399 | 8.09 | % | ||||||||||||
Total Short Term Investments (cost $12,301,399) | $ | 12,301,399 | 8.09 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Agriculture | $ | 260,279 | 0.17 | % | $ | 617,857 | 0.41 | % | ||||||||
Energy | 692,518 | 0.49 | % | (976,635 | ) | (0.64 | )% | |||||||||
Metals | (1,532,294 | ) | (1.07 | )% | 6,325,249 | 4.16 | % | |||||||||
Stock indices | 290,012 | 0.20 | % | 511,861 | 0.34 | % | ||||||||||
Short-term interest rates | (606,279 | ) | (0.43 | )% | 3,795 | 0.00 | % | |||||||||
Long-term interest rates | 146,780 | 0.10 | % | (1,092,535 | ) | (0.72 | )% | |||||||||
Net unrealized gain (loss) on long futures contracts | (748,984 | ) | (0.54 | )% | 5,389,592 | 3.55 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Agriculture | (30,114 | ) | (0.02 | )% | (103,261 | ) | (0.07 | )% | ||||||||
Energy | 17,728 | 0.01 | % | (15,070 | ) | (0.01 | )% | |||||||||
Metals | 1,424,795 | 1.00 | % | (4,534,317 | ) | (2.98 | )% | |||||||||
Stock indices | 173,877 | 0.12 | % | (128,252 | ) | (0.08 | )% | |||||||||
Short-term interest rates | �� | 216,709 | 0.15 | % | 945,300 | 0.62 | % | |||||||||
Long-term interest rates | (645,796 | ) | (0.45 | )% | 1,285,643 | 0.85 | % | |||||||||
Net unrealized gain (loss) on short futures contracts | 1,157,199 | 0.81 | % | (2,549,957 | ) | (1.67 | )% | |||||||||
Net unrealized gain (loss) on open futures contracts | $ | 408,215 | 0.27 | % | $ | 2,839,635 | 1.88 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Various long forward currency contracts | $ | (16,753,564 | ) | (11.75 | )% | $ | 5,282,563 | 3.47 | % | |||||||
Various short forward currency contracts | 15,326,659 | 10.75 | % | (1,779,499 | ) | (1.17 | )% | |||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (1,426,905 | ) | (1.00 | )% | $ | 3,503,064 | 2.30 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,474,832) (3) | $ | 1,790,748 | 1.26 | % | ||||||||||||
Centrally cleared credit default index swaps - Sell protection (net cost $498,141) (3) | $ | 566,884 | 0.37 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $603,242) (4) | $ | 509,118 | 0.36 | % | ||||||||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $492,277) (4) | $ | 908,203 | 0.60 | % |
(3) | Includes |
(4) | Includes |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 5,362,418 | 3.97 | % | |||||||
Credit Cards | 548,406 | 0.41 | % | ||||||||
Equipment Loans | 610,982 | 0.45 | % | ||||||||
Total Asset Backed Securities (cost $6,496,521) | 6,521,806 | 4.83 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials | 874,999 | 0.65 | % | ||||||||
Total Bank Deposits (cost $875,109) | 874,999 | 0.65 | % | ||||||||
Commercial Paper | |||||||||||
Switzerland | |||||||||||
Financials (cost $1,063,200) | 1,064,733 | 0.79 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $729,469) | 729,374 | 0.55 | % | ||||||||
United States | |||||||||||
Consumer Discretionary | 2,394,214 | 1.78 | % | ||||||||
Consumer Staples | 1,464,908 | 1.08 | % | ||||||||
Energy | 1,364,790 | 1.01 | % | ||||||||
Financials | 8,276,221 | 6.12 | % | ||||||||
Industrials | 2,434,867 | 1.80 | % | ||||||||
Utilities | 9,903,470 | 7.33 | % | ||||||||
Total United States (cost $25,835,969) | 25,838,470 | 19.12 | % | ||||||||
Total Commercial Paper (cost $27,628,638) | $ | 27,632,577 | 20.45 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 6,309,574 | 4.83 | % | |||||||
Equipment Loans | 700,893 | 0.54 | % | ||||||||
Total Asset Backed Securities (cost $7,025,355) | 7,010,467 | 5.37 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $870,000) | 869,530 | 0.67 | % | ||||||||
Total Bank Deposits (cost $870,000) | 869,530 | 0.67 | % | ||||||||
Commercial Paper | |||||||||||
United States | |||||||||||
Communications | 584,926 | 0.45 | % | ||||||||
Consumer Discretionary | 2,619,659 | 2.00 | % | ||||||||
Financials | 7,620,623 | 5.83 | % | ||||||||
Industrials | 4,894,819 | 3.74 | % | ||||||||
Materials | 2,894,711 | 2.21 | % | ||||||||
Real estate | 5,311,670 | 4.06 | % | ||||||||
Technology | 964,975 | 0.73 | % | ||||||||
Utilities | 10,368,925 | 7.93 | % | ||||||||
Total United States (cost $35,265,102) | 35,260,308 | 26.95 | % | ||||||||
Total Commercial Paper (cost $35,265,102) | $ | 35,260,308 | 26.95 | % |
Maturity Face Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||||||||
Corporate Bonds | ||||||||||||||||||||||
Australia | ||||||||||||||||||||||
Financials (cost $1,910,000) | $ | 1,916,961 | 1.47 | % | ||||||||||||||||||
Canada | ||||||||||||||||||||||
Energy | 701,726 | 0.54 | % | |||||||||||||||||||
Financials | 5,127,444 | 3.92 | % | |||||||||||||||||||
Total Canada (cost $5,836,218) | 5,829,170 | 4.46 | % | |||||||||||||||||||
Germany | ||||||||||||||||||||||
Consumer Discretionary (cost $1,550,000) | 1,552,240 | 1.19 | % | |||||||||||||||||||
Corporate Bonds | Japan | |||||||||||||||||||||
Australia | Financials (cost $1,177,638) | 1,177,652 | 0.90 | % | ||||||||||||||||||
Financials (cost $1,910,000) | $ | 1,918,395 | 1.42 | % | Switzerland | |||||||||||||||||
Canada | Financials (cost $2,019,793) | 2,021,376 | 1.55 | % | ||||||||||||||||||
Financials (cost $3,752,648) | 3,759,657 | 2.78 | % | United Kingdom | ||||||||||||||||||
Germany | Financials (cost $300,000) | 299,958 | 0.23 | % | ||||||||||||||||||
Consumer Discretionary (cost $2,144,696) | 2,158,878 | 1.60 | % | Health care (cost $656,356) | 655,377 | 0.50 | % | |||||||||||||||
Switzerland | Total United Kingdom (cost $956,356) | 955,335 | 0.73 | % | ||||||||||||||||||
Financials (cost $1,304,759) | 1,322,027 | 0.98 | % | United States | ||||||||||||||||||
United Kingdom | Consumer Discretionary | 2,389,928 | 1.83 | % | ||||||||||||||||||
Financials (cost $1,880,000) | 1,883,519 | 1.38 | % | Consumer Staples | 1,367,745 | 1.05 | % | |||||||||||||||
United States | Energy | 2,649,366 | 2.02 | % | ||||||||||||||||||
Communications | 545,680 | 0.40 | % | Financials | 4,870,526 | 3.72 | % | |||||||||||||||
Consumer Discretionary | 6,017,125 | 4.46 | % | Health care | 1,987,364 | 1.52 | % | |||||||||||||||
Consumer Staples | 909,534 | 0.67 | % | Industrials | 2,360,179 | 1.81 | % | |||||||||||||||
Energy | 2,551,362 | 1.89 | % | Technology | 1,815,102 | 1.39 | % | |||||||||||||||
Financials | 10,134,257 | 7.50 | % | Materials | 496,422 | 0.38 | % | |||||||||||||||
Industrials | 2,475,189 | 1.83 | % | Real estate | 794,270 | 0.61 | % | |||||||||||||||
Technology | 3,041,520 | 2.25 | % | Utilities | 1,276,319 | 0.98 | % | |||||||||||||||
Total United States (cost $25,556,403) | 25,674,667 | 19.00 | % | Total United States (cost $20,022,816) | 20,007,221 | 15.31 | % | |||||||||||||||
Total Corporate Bonds (cost $36,548,506) | 36,717,143 | 27.16 | % | Total Corporate Bonds (cost $33,472,821) | 33,459,955 | 25.61 | % | |||||||||||||||
Government and Agency Obligations | Government and Agency Obligations | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
U.S. Treasury Bills | U.S. Treasury Bills | |||||||||||||||||||||
$ | 2,135,000 | U.S. Treasury Bills Due 01/14/2021 (1) | 2,134,972 | 1.58 | % | 2,135,000 | U.S. Treasury Bills Due 01/20/2022 (1) | 2,134,987 | 1.63 | % | ||||||||||||
$ | 7,675,000 | U.S. Treasury Bills Due 02/11/2021 (1) | 7,674,517 | 5.68 | % | 5,000,000 | U.S. Treasury Bills Due 03/17/2022 (1) | 4,999,440 | 3.82 | % | ||||||||||||
$ | 12,085,000 | U.S. Treasury Bills Due 03/11/2021 (1) | 12,083,332 | 8.94 | % | 6,300,000 | U.S. Treasury Bills Due 05/12/2022 (1) | 6,297,965 | 4.82 | % | ||||||||||||
Total Government and Agency Obligations (cost $21,892,544) | 21,892,821 | 16.20 | % | Total Government and Agency Obligations (cost $13,433,291) | 13,432,392 | 10.27 | % | |||||||||||||||
Total Fixed Income Securities (cost $93,441,318) (2) | $ | 93,639,346 | 69.29 | % | Total Fixed Income Securities (cost $90,066,569) (2) | $ | 90,032,652 | 68.87 | % |
(1) | Pledged as collateral for the trading of |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Money Market Funds | ||||||||||||||||
United States | ||||||||||||||||
Money Market Funds (cost $8,053,123) | $ | 8,053,123 | 5.96 | % | ||||||||||||
Total Short Term Investments (cost $8,053,123) | $ | 8,053,123 | 5.96 | % | ||||||||||||
Money Market Funds (cost $5,214,406) | $ | 5,214,406 | 3.99 | % | ||||||||||||
Total Short Term Investments (cost $5,214,406) | $ | 5,214,406 | 3.99 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Agriculture | $ | 1,420,040 | 1.05 | % | $ | (50,364 | ) | (0.04 | )% | |||||||
Energy | 233,562 | 0.17 | % | 251,020 | 0.19 | % | ||||||||||
Metals | 2,030,713 | 1.50 | % | 2,598,920 | 2.00 | % | ||||||||||
Stock indices | 946,270 | 0.70 | % | 732,644 | 0.56 | % | ||||||||||
Short-term interest rates | 163,439 | 0.12 | % | (176,978 | ) | (0.14 | )% | |||||||||
Long-term interest rates | 971,543 | 0.72 | % | (1,033,100 | ) | (0.79 | )% | |||||||||
Net unrealized gain (loss) on long futures contracts | 5,765,567 | 4.26 | % | 2,322,142 | 1.78 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Agriculture | (132,206 | ) | (0.10 | )% | 382,119 | 0.29 | % | |||||||||
Energy | 53,644 | 0.04 | % | (228,728 | ) | (0.17 | )% | |||||||||
Metals | (860,760 | ) | (0.64 | )% | (2,987,719 | ) | (2.29 | )% | ||||||||
Stock indices | 9,072 | 0.01 | % | (25,447 | ) | (0.02 | )% | |||||||||
Short-term interest rates | 33,161 | 0.02 | % | 162,008 | 0.12 | % | ||||||||||
Long-term interest rates | (107,424 | ) | (0.08 | )% | 569,626 | 0.44 | % | |||||||||
Net unrealized gain (loss) on short futures contracts | (1,004,513 | ) | (0.75 | )% | (2,128,141 | ) | (1.63 | )% | ||||||||
Net unrealized gain (loss) on open futures contracts | $ | 4,761,054 | 3.51 | % | $ | 194,001 | 0.15 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Various long forward currency contracts | $ | 4,948,421 | 3.66 | % | $ | 3,836,008 | 2.93 | % | ||||||||
Various short forward currency contracts | (3,823,010 | ) | (2.83 | )% | (4,630,557 | ) | (3.54 | )% | ||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 1,125,411 | 0.83 | % | $ | (794,549 | ) | (0.61 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared credit default index swaps - Sell protection (net cost $817,091) (3) | $ | 1,265,353 | 0.94 | % |
Description | Fair Value ($) | % of Net Asset Value | Fair Value ($) | % of Net Asset Value | ||||||||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $111,176) (4) | $ | 392,904 | 0.29 | % | ||||||||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,419,925) (3) | $ | 1,432,745 | 1.10 | % |
(3) | Includes |
June 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
ASSETS | ||||||||||||||||
Equity in futures brokers trading accounts | ||||||||||||||||
Cash | $ | 14,664,319 | $ | 7,921,729 | $ | 16,755,465 | $ | 14,702,234 | ||||||||
Restricted cash | 2,253,752 | 0 | 0 | 542,373 | ||||||||||||
Fixed income securities (cost $17,434,819 and $21,892,544, respectively) | 17,433,730 | 21,892,821 | ||||||||||||||
Fixed income securities (cost $13,429,957 and $13,433,291, respectively) | 13,429,070 | 13,432,392 | ||||||||||||||
Net unrealized gain (loss) on open futures contracts | 408,215 | 4,761,054 | 2,839,635 | 194,001 | ||||||||||||
Total equity in futures brokers trading accounts | 34,760,016 | 34,575,604 | 33,024,170 | 28,871,000 | ||||||||||||
Cash and cash equivalents | 570,528 | 530,925 | 442,664 | 477,204 | ||||||||||||
Cash at interbank market maker | 3,301,939 | 6,016,235 | 2,024,870 | 5,720,106 | ||||||||||||
Restricted cash at interbank market makers | 20,122,283 | 9,501,426 | 10,215,114 | 11,728,326 | ||||||||||||
Short term investments (cost $3,088,504 and $8,053,123, respectively) | 3,088,504 | 8,053,123 | ||||||||||||||
Short term investments (cost $12,301,399 and $5,214,406, respectively) | 12,301,399 | 5,214,406 | ||||||||||||||
Cash at swaps broker | 3,187,753 | 3,252,089 | 4,172,703 | 4,268,767 | ||||||||||||
Restricted cash at swaps broker | 1,793,189 | 4,035,982 | 834,754 | 440,326 | ||||||||||||
Fixed income securities (cost $78,848,978 and $71,548,774, respectively) | 78,936,727 | 71,746,525 | ||||||||||||||
Fixed income securities (cost $90,188,096 and $76,633,278, respectively) | 89,902,491 | 76,600,260 | ||||||||||||||
Credit default index swaps | 17,473 | 3,920 | 0 | 8,749 | ||||||||||||
Interest rate swaps | 76,535 | 0 | ||||||||||||||
Due from swaps broker | 25,929 | 22,431 | 18,501 | 28,825 | ||||||||||||
Net unrealized gain on open forward currency contracts | 0 | 1,125,411 | 3,503,064 | 0 | ||||||||||||
Interest receivable | 102,768 | 109,689 | 87,596 | 79,494 | ||||||||||||
Total assets | $ | 145,983,644 | $ | 138,973,360 | $ | 156,527,326 | $ | 133,437,463 | ||||||||
LIABILITIES | ||||||||||||||||
Accounts payable | $ | 100,706 | $ | 143,714 | $ | 157,276 | $ | 117,350 | ||||||||
Brokerage fee payable | 842,142 | 808,965 | 901,748 | 772,725 | ||||||||||||
Net unrealized loss on open forward currency contracts | 1,426,905 | 0 | 0 | 794,549 | ||||||||||||
Payable for securities purchased | 1,610,060 | 0 | ||||||||||||||
Interest rate swaps | 0 | 72,230 | 100,562 | 0 | ||||||||||||
Credit default index swaps | 8,886 | 0 | ||||||||||||||
Accrued commissions and other trading fees on open contracts | 39,208 | 32,264 | 19,154 | 16,851 | ||||||||||||
Offering costs payable | 49,709 | 45,477 | 46,015 | 41,532 | ||||||||||||
Redemptions payable | 965,302 | 2,725,737 | 1,630,917 | 975,086 | ||||||||||||
Total liabilities | 3,423,972 | 3,828,387 | 4,474,618 | 2,718,093 | ||||||||||||
PARTNERS’ CAPITAL (Net Asset Value) | ||||||||||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2021 and December 31, 2020 | 0 | 0 | ||||||||||||||
Limited Partners - 59,584.483 and 63,149.651 redeemable units outstanding at June 30, 2021 and December 31, 2020 | 142,559,672 | 135,144,973 | ||||||||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2022 and December 31, 2021 | 0 | 0 | ||||||||||||||
Limited Partners - 54,407.590 and 55,906.286 redeemable units outstanding at March 31, 2022 and December 31, 2021 | 152,052,708 | 130,719,370 | ||||||||||||||
Total partners’ capital (Net Asset Value) | 142,559,672 | 135,144,973 | 152,052,708 | 130,719,370 | ||||||||||||
Total liabilities and partners’ capital (Net Asset Value) | $ | 145,983,644 | $ | 138,973,360 | $ | 156,527,326 | $ | 133,437,463 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | |||||||||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||||||||||
Realized | $ | 11,949,966 | $ | 492 | $ | 20,889,416 | $ | (8,731,667 | ) | $ | 18,034,874 | $ | 8,939,450 | |||||||||||
Change in unrealized | (641,912 | ) | (2,060,886 | ) | (4,352,839 | ) | 4,944,133 | 2,645,634 | (3,710,927 | ) | ||||||||||||||
Brokerage commissions | (288,003 | ) | (233,874 | ) | (568,269 | ) | (539,980 | ) | (144,955 | ) | (280,266 | ) | ||||||||||||
Net gain (loss) from futures trading | 11,020,051 | (2,294,268 | ) | 15,968,308 | (4,327,514 | ) | 20,535,553 | 4,948,257 | ||||||||||||||||
Forward currency trading gains (losses) | ||||||||||||||||||||||||
Realized | 6,694,081 | 3,984,032 | 9,572,951 | 6,707,819 | 3,212,003 | 2,878,870 | ||||||||||||||||||
Change in unrealized | (6,986,943 | ) | (10,902,056 | ) | (2,552,316 | ) | (474,466 | ) | 4,297,613 | 4,434,627 | ||||||||||||||
Brokerage commissions | (43,354 | ) | (22,309 | ) | (71,696 | ) | (48,150 | ) | (27,390 | ) | (28,342 | ) | ||||||||||||
Net gain (loss) from forward currency trading | (336,216 | ) | (6,940,333 | ) | 6,948,939 | 6,185,203 | 7,482,226 | 7,285,155 | ||||||||||||||||
Swap trading gains (losses) | ||||||||||||||||||||||||
Realized | 29,899 | 0 | (1,745,470 | ) | 0 | (279,046 | ) | (1,775,371 | ) | |||||||||||||||
Change in unrealized | 169,571 | 0 | (508,198 | ) | 0 | 471,849 | (677,769 | ) | ||||||||||||||||
Net gain (loss) from swap trading | 199,470 | 0 | (2,253,668 | ) | 0 | 192,803 | (2,453,140 | ) | ||||||||||||||||
Total net trading gain (loss) | 10,883,305 | (9,234,601 | ) | 20,663,579 | 1,857,689 | 28,210,582 | 9,780,272 | |||||||||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 102,856 | 466,758 | 230,821 | 1,221,139 | 100,758 | 127,968 | ||||||||||||||||||
Realized gain (loss) on fixed income securities | (13,034 | ) | 8,735 | (16,788 | ) | 19,726 | (7,992 | ) | (3,755 | ) | ||||||||||||||
Change in unrealized gain (loss) on fixed income securities | (32,450 | ) | 1,194,182 | (111,368 | ) | 197,698 | (252,575 | ) | (78,918 | ) | ||||||||||||||
Total investment income | 57,372 | 1,669,675 | 102,665 | 1,438,563 | ||||||||||||||||||||
Total investment income (loss) | (159,809 | ) | 45,295 | |||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Brokerage fee | 2,527,891 | 2,810,739 | 4,879,296 | 5,826,964 | 2,527,021 | 2,351,405 | ||||||||||||||||||
Operating expenses | 128,970 | 165,917 | 256,582 | 332,011 | 121,469 | 127,612 | ||||||||||||||||||
Total expenses | 2,656,861 | 2,976,656 | 5,135,878 | 6,158,975 | 2,648,490 | 2,479,017 | ||||||||||||||||||
Net investment income (loss) | (2,599,489 | ) | (1,306,981 | ) | (5,033,213 | ) | (4,720,412 | ) | (2,808,299 | ) | (2,433,722 | ) | ||||||||||||
NET INCOME (LOSS) | $ | 8,283,816 | $ | (10,541,582 | ) | $ | 15,630,366 | $ | (2,862,723 | ) | $ | 25,402,283 | $ | 7,346,550 | ||||||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT | ||||||||||||||||||||||||
(based on weighted average number of units outstanding during the period) | $ | 137.19 | $ | (146.16 | ) | $ | 254.86 | $ | (39.17 | ) | $ | 457.54 | $ | 117.97 | ||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | 134.09 | $ | (148.93 | ) | $ | 252.49 | $ | (49.60 | ) | $ | 456.51 | $ | 118.40 | ||||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 60,381.403 | 72,124.503 | 61,329.242 | 73,080.768 | 55,519.516 | 62,277.082 |
Three Months Ended June 30, | Three Months Ended March 31, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income (loss) | $ | 15,630,366 | $ | (2,862,723 | ) | $ | 25,402,283 | $ | 7,346,550 | |||||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||||||||||
Net change in unrealized on futures, forwards, swaps and investments | 7,524,721 | (4,667,365 | ) | (7,162,521 | ) | 32,987 | ||||||||||
(Increase) decrease in interest receivable | 6,921 | 63,289 | (8,102 | ) | 1,061 | |||||||||||
(Increase) decrease in due from swaps broker | (3,498 | ) | 0 | 10,324 | 419 | |||||||||||
Increase (decrease) in payable for securities purchased | 1,610,060 | 0 | ||||||||||||||
Increase (decrease) in accounts payable and accrued expenses | (2,887 | ) | (184,340 | ) | 171,252 | 24,380 | ||||||||||
Net purchases from swap contracts | (670,517 | ) | 0 | |||||||||||||
Net purchases from swap broker | 590,046 | 0 | ||||||||||||||
Payments for swap contracts | 0 | (873,825 | ) | |||||||||||||
Purchases of investments | (706,654,831 | ) | (691,182,950 | ) | (325,253,862 | ) | (389,773,120 | ) | ||||||||
Sales/maturities of investments | 708,776,972 | 719,684,453 | 304,615,385 | 393,424,817 | ||||||||||||
Net cash from (for) operating activities | 24,607,247 | 20,850,364 | (25,135 | ) | 10,183,269 | |||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Redemption of units | (9,668,602 | ) | (9,199,571 | ) | (3,243,038 | ) | (6,184,737 | ) | ||||||||
Offering costs paid | (303,268 | ) | (386,376 | ) | (165,593 | ) | (149,636 | ) | ||||||||
Net cash from (for) financing activities | (9,971,870 | ) | (9,585,947 | ) | (3,408,631 | ) | (6,334,373 | ) | ||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash | 14,635,377 | 11,264,417 | (3,433,766 | ) | 3,848,896 | |||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 31,258,386 | 24,870,425 | 37,879,336 | 31,258,386 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 45,893,763 | $ | 36,134,842 | $ | 34,445,570 | $ | 35,107,282 |
June 30, 2021 | December 31,2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||||||||||
Equity in futures brokers trading accounts: | ||||||||||||||||
Cash | $ | 14,664,319 | $ | 7,921,729 | $ | 16,755,465 | $ | 14,702,234 | ||||||||
Restricted cash | 2,253,752 | 0 | 0 | 542,373 | ||||||||||||
Cash and cash equivalents | 570,528 | 530,925 | 442,664 | 477,204 | ||||||||||||
Cash at interbank market maker | 3,301,939 | 6,016,235 | 2,024,870 | 5,720,106 | ||||||||||||
Restricted cash at interbank market makers | 20,122,283 | 9,501,426 | 10,215,114 | 11,728,326 | ||||||||||||
Cash at swaps broker | 3,187,753 | 3,252,089 | 4,172,703 | 4,268,767 | ||||||||||||
Restricted cash at swaps broker | 1,793,189 | 4,035,982 | 834,754 | 440,326 | ||||||||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 45,893,763 | $ | 31,258,386 | $ | 34,445,570 | $ | 37,879,336 |
Partners’ Capital | Partners’ Capital | |||||||||||||||||||||||||||||||||||||||||||||||
General Partner | Limited Partners | Total | General Partner | Limited Partners | Total | |||||||||||||||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2021 | 0.000 | $ | 0 | 55,906.286 | $ | 130,719,370 | 55,906.286 | $ | 130,719,370 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2022 | 0 | 25,402,283 | 25,402,283 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,498.696 | ) | (3,898,869 | ) | (1,498.696 | ) | (3,898,869 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (170,076 | ) | (170,076 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2022 | 0.000 | $ | 0 | 54,407.590 | $ | 152,052,708 | 54,407.590 | $ | 152,052,708 | |||||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2020 | 0.000 | $ | 0 | 63,149.651 | $ | 135,144,973 | 63,149.651 | $ | 135,144,973 | 0.000 | $ | 0 | 63,149.651 | $ | 135,144,973 | 63,149.651 | $ | 135,144,973 | ||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2021 | 0 | 7,346,550 | 7,346,550 | |||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2021 | 0 | 7,346,550 | 7,346,550 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (2,389.505 | ) | (5,110,068 | ) | (2,389.505 | ) | (5,110,068 | ) | 0.000 | 0 | (2,389.505 | ) | (5,110,068 | ) | (2,389.505 | ) | (5,110,068 | ) | ||||||||||||||||||||||||||||
Offering costs | 0 | (156,766 | ) | (156,766 | ) | 0 | (156,766 | ) | (156,766 | ) | ||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2021 | 0.000 | $ | 0 | 60,760.146 | $ | 137,224,689 | 60,760.146 | $ | 137,224,689 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2021 | 0 | 8,283,816 | 8,283,816 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,175.663 | ) | (2,798,099 | ) | (1,175.663 | ) | (2,798,099 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (150,734 | ) | (150,734 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at June 30, 2021 | 0.000 | $ | 0 | 59,584.483 | $ | 142,559,672 | 59,584.483 | $ | 142,559,672 | |||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2020 | 0.000 | $ | 0 | 74,725.829 | $ | 163,853,523 | 74,725.829 | $ | 163,853,523 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2020 | 0 | 7,678,859 | $ | 7,678,859 | ||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (2,063.891 | ) | (4,780,012 | ) | (2,063.891 | ) | (4,780,012 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (206,947 | ) | (206,947 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2020 | 0.000 | $ | 0 | 72,661.938 | $ | 166,545,423 | 72,661.938 | $ | 166,545,423 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2020 | 0 | (10,541,582 | ) | (10,541,582 | ) | |||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,786.399 | ) | (3,943,483 | ) | (1,786.399 | ) | (3,943,484 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (164,543 | ) | (164,542 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at June 30, 2020 | 0.000 | $ | 0 | 70,875.539 | $ | 151,895,815 | 70,875.539 | $ | 151,895,815 | |||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2021 | 0.000 | $ | 0 | 60,760.146 | $ | 137,224,689 | 60,760.146 | $ | 137,224,689 |
June 30, 2021 | March 31, 2021 | December 31, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
March 31, 2022 | March 31, 2022 | December 31, 2021 | March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||
$ | 2,392.56 | $ | 2,258.47 | $ | 2,140.07 | $ | 2,143.13 | $ | 2,292.06 | $ | 2,192.73 | 2,794.70 | $ | 2,338.19 | $ | 2,258.47 | $ | 2,140.07 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,258.47 | $ | 2,292.06 | $ | 2,140.07 | $ | 2,192.73 | $ | 2,338.19 | $ | 2,140.07 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 179.64 | (128.53 | ) | 339.57 | 20.07 | 510.15 | 160.00 | |||||||||||||||||
Net investment income (loss) (1) | (43.05 | ) | (18.12 | ) | (82.07 | ) | (64.59 | ) | (50.58 | ) | (39.08 | ) | ||||||||||||
Total net income (loss) from operations | 136.59 | (146.65 | ) | 257.50 | (44.52 | ) | 459.57 | 120.92 | ||||||||||||||||
Offering costs (1) | (2.50 | ) | (2.28 | ) | (5.01 | ) | (5.08 | ) | (3.06 | ) | (2.52 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 2,392.56 | $ | 2,143.13 | $ | 2,392.56 | $ | 2,143.13 | $ | 2,794.70 | $ | 2,258.47 | ||||||||||||
Total Return (4) | 5.94 | % | (6.50 | )% | 11.80 | % | (2.26 | )% | 19.52 | % | 5.53 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 7.51 | % | 7.41 | % | 7.49 | % | 7.50 | % | 7.56 | % | 7.44 | % | ||||||||||||
Performance fee (4) | 0 | 0 | 0 | 0 | 0.00 | % | 0.00 | % | ||||||||||||||||
Total expenses | 7.51 | % | 7.41 | % | 7.49 | % | 7.50 | % | 7.56 | % | 7.44 | % | ||||||||||||
Net investment income (loss) (2) (3) | (7.35 | )% | (3.25 | )% | (7.34 | )% | (5.75 | )% | (8.04 | )% | (7.32 | )% |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized |
(4) | Not Annualized |
Fair Value at June 30, 2021 | Fair Value at March 31, 2022 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 3,088,504 | $ | 0 | $ | 0 | $ | 3,088,504 | $ | 12,301,399 | $ | 0 | $ | 0 | $ | 12,301,399 | ||||||||||||||||
Fixed income securities | 0 | 96,370,457 | 0 | 96,370,457 | 0 | 103,331,561 | 0 | 103,331,561 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 408,215 | 0 | 0 | 408,215 | 2,839,635 | 0 | 0 | 2,839,635 | ||||||||||||||||||||||||
Forward currency contracts | 0 | (1,426,905) | 0 | (1,426,905) | 0 | 3,503,064 | 0 | 3,503,064 | ||||||||||||||||||||||||
Credit default index swap contracts | 0 | 1,790,748 | 0 | 1,790,748 | 0 | 566,884 | 0 | 566,884 | ||||||||||||||||||||||||
Interest rate swap contracts | 0 | 509,118 | 0 | 509,118 | 0 | 908,203 | 0 | 908,203 | ||||||||||||||||||||||||
Total | $ | 3,496,719 | $ | 97,243,418 | $ | 0 | $ | 100,740,137 | $ | 15,141,034 | $ | 108,309,712 | $ | 0 | $ | 123,450,746 |
Fair Value at December 31, 2020 | Fair Value at December 31, 2021 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 8,053,123 | $ | 0 | $ | 0 | $ | 8,053,123 | $ | 5,214,406 | $ | 0 | $ | 0 | $ | 5,214,406 | ||||||||||||||||
Fixed income securities | 0 | 93,639,346 | 0 | 93,639,346 | 0 | 90,032,652 | 0 | 90,032,652 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 4,761,054 | 0 | 0 | 4,761,054 | 194,001 | 0 | 0 | 194,001 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 1,125,411 | 0 | 1,125,411 | 0 | (794,549 | ) | 0 | (794,549 | ) | ||||||||||||||||||||||
Credit default index swap contracts | 0 | 1,265,353 | 0 | 1,265,353 | 0 | 1,432,745 | 0 | 1,432,745 | ||||||||||||||||||||||||
Interest rate swap contracts | 0 | 392,904 | 0 | 392,904 | ||||||||||||||||||||||||||||
Total | $ | 12,814,177 | $ | 96,423,014 | $ | 0 | $ | 109,237,191 | $ | 5,408,407 | $ | 90,670,848 | $ | 0 | $ | 96,079,255 |
June 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Credit Default Index Swaps | Maturity Date: June 2026 | Maturity Date: December 2025 | Maturity Date: June 2027 | Maturity Date: December 2026 | ||||||||||||
Investment grade | $ | 21,223,471 | $ | 19,273,236 | $ | 22,328,478 | $ | 19,078,137 | ||||||||
Non-investment grade | 20,399,992 | 16,235,572 | 6,068,553 | 16,769,930 | ||||||||||||
Total | $ | 41,623,463 | $ | 35,508,808 | $ | 28,397,031 | $ | 35,848,067 |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at June 30, 2021 Fair Value | Liability Derivatives at June 30, 2021 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at March 31, 2022 Fair Value | Liability Derivatives at March 31, 2022 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 675,516 | $ | (445,351 | ) | $ | 230,165 | Net unrealized gain (loss) on open futures contracts | $ | 1,324,939 | $ | (810,343 | ) | $ | 514,596 | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 761,441 | (51,195 | ) | 710,246 | Net unrealized gain (loss) on open futures contracts | 71,532 | (1,063,237 | ) | (991,705 | ) | |||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 3,282,890 | (3,390,389 | ) | (107,499 | ) | Net unrealized gain (loss) on open futures contracts | 6,758,827 | (4,967,895 | ) | 1,790,932 | |||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 1,016,473 | (552,584 | ) | 463,889 | Net unrealized gain (loss) on open futures contracts | 867,497 | (483,888 | ) | 383,609 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 329,050 | (718,620 | ) | (389,570 | ) | Net unrealized gain (loss) on open futures contracts | 972,137 | (23,042 | ) | 949,095 | |||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 197,506 | (696,522 | ) | (499,016 | ) | Net unrealized gain (loss) on open futures contracts | 1,552,323 | (1,359,215 | ) | 193,108 | |||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 16,830,387 | (18,257,292 | ) | (1,426,905 | ) | Net unrealized gain (loss) on open forward currency contracts | 14,185,895 | (10,682,831 | ) | 3,503,064 | |||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 1,985,948 | (195,200 | ) | 1,790,748 | Credit default index swaps | 613,323 | (46,439 | ) | 566,884 | ||||||||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | 597,845 | (88,727 | ) | 509,118 | Interest rate swaps | 937,903 | (29,700 | ) | 908,203 | ||||||||||||||||
Total | $ | 25,677,056 | $ | (24,395,880 | ) | $ | 1,281,176 | $ | 27,284,376 | $ | (19,466,590 | ) | $ | 7,817,786 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | Amount of centrally cleared swap contracts |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2020 Fair Value | Liability Derivatives at December 31, 2020 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at December 31, 2021 Fair Value | Liability Derivatives at December 31, 2021 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 1,448,359 | $ | (160,525 | ) | $ | 1,287,834 | Net unrealized gain (loss) on open futures contracts | $ | 670,890 | $ | (339,135 | ) | $ | 331,755 | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 476,936 | (189,730 | ) | 287,206 | Net unrealized gain (loss) on open futures contracts | 374,147 | (351,855 | ) | 22,292 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 2,607,512 | (1,437,559 | ) | 1,169,953 | Net unrealized gain (loss) on open futures contracts | 2,649,310 | (3,038,109 | ) | (388,799) | ||||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 1,286,506 | (331,164 | ) | 955,342 | Net unrealized gain (loss) on open futures contracts | 875,863 | (168,666 | ) | 707,197 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 196,631 | (31 | ) | 196,600 | Net unrealized gain (loss) on open futures contracts | 175,142 | (190,112 | ) | (14,970) | ||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,048,732 | (184,613 | ) | 864,119 | Net unrealized gain (loss) on open futures contracts | 887,576 | (1,351,050 | ) | (463,474) | ||||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 5,879,307 | (4,753,896 | ) | 1,125,411 | Net unrealized gain (loss) on open forward currency contracts | 6,779,979 | (7,574,528 | ) | (794,549) | ||||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 1,427,593 | (162,240 | ) | 1,265,353 | Credit default index swaps | 1,649,303 | (216,558 | ) | 1,432,745 | ||||||||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | 552,793 | (159,889 | ) | 392,904 | |||||||||||||||||||||
Total | $ | 14,924,369 | $ | (7,379,647 | ) | $ | 7,544,722 | $ | 14,062,210 | $ | (13,230,013 | ) | $ | 832,197 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | Amount of centrally cleared swap contracts |
Type of Instrument | Trading Gains/(Losses) for the Three Months Ended | Trading Gains/(Losses) for the Three Months Ended | Trading Gains (Losses) for the Three Months Ended | Trading Gains (Losses) for the Three Months Ended | ||||||||||||
Agriculture Contracts | $ | 4,311,266 | $ | (1,747,859 | ) | $ | 2,265,300 | $ | 2,568,907 | |||||||
Energy Contracts | 4,376,545 | (783,897 | ) | 8,349,202 | 2,453,676 | |||||||||||
Metal Contracts | 1,407,195 | (700,063 | ) | 2,888,176 | (313,410 | ) | ||||||||||
Stock Indices Contracts | 3,907,952 | 390,867 | 428,964 | 5,312,135 | ||||||||||||
Short-Term Interest Rate Contracts | (398,843 | ) | 439,171 | 2,079,017 | (1,336,157 | ) | ||||||||||
Long-Term Interest Rate Contracts | (2,296,061 | ) | 341,387 | 4,669,849 | (3,456,628 | ) | ||||||||||
Forward Currency Contracts | (292,862 | ) | (6,918,024 | ) | 7,509,616 | 7,313,497 | ||||||||||
Credit Default Index Swap Contracts | 471,639 | 0 | (611,673 | ) | 3,965 | |||||||||||
Interest Rate Swap Contracts | (272,169 | ) | 0 | 804,476 | (2,457,105 | ) | ||||||||||
Total | $ | 11,214,662 | $ | (8,978,418 | ) | $ | 28,382,927 | $ | 10,088,880 |
Type of Instrument | Trading Gains/(Losses) for the Six Months Ended | Trading Gains/(Losses) for the Six Months Ended | ||||||
Agriculture Contracts | $ | 6,880,173 | $ | 175,246 | ||||
Energy Contracts | 6,830,221 | 4,442,386 | ||||||
Metal Contracts | 1,093,785 | 3,786,710 | ||||||
Stock Indices Contracts | 9,220,087 | (23,176,345 | ) | |||||
Short-Term Interest Rate Contracts | (1,735,000 | ) | 8,448,354 | |||||
Long-Term Interest Rate Contracts | (5,752,689 | ) | 2,536,115 | |||||
Forward Currency Contracts | 7,020,635 | 6,233,353 | ||||||
Credit Default Index Swap Contracts | 475,604 | 0 | ||||||
Interest Rate Swap Contracts | (2,729,272 | ) | 0 | |||||
Total | $ | 21,303,544 | $ | 2,445,819 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended | Trading Gains/(Losses) for the Three Months Ended | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | 11,949,966 | $ | 492 | ||||
Change in unrealized | (641,912 | ) | (2,060,886 | ) | ||||
Forward currency trading gains (losses): | ||||||||
Realized** | 6,694,081 | 3,984,032 | ||||||
Change in unrealized | (6,986,943 | ) | (10,902,056 | ) | ||||
Swap trading gains (losses): | ||||||||
Realized | 29,899 | 0 | ||||||
Change in unrealized | 169,571 | 0 | ||||||
Total | $ | 11,214,662 | $ | (8,978,418 | ) |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Six Months Ended | Trading Gains/(Losses) for the Six Months Ended | Trading Gains (Losses) for the Three Months Ended | Trading Gains (Losses) for the Three Months Ended | ||||||||||||
Futures trading gains (losses): | ||||||||||||||||
Realized*** | $ | 20,889,416 | $ | (8,731,667 | ) | |||||||||||
Realized** | $ | 18,034,874 | $ | 8,939,450 | ||||||||||||
Change in unrealized | (4,352,839 | ) | 4,944,133 | 2,645,634 | (3,710,927 | ) | ||||||||||
Forward currency trading gains (losses): | ||||||||||||||||
Realized*** | 9,572,951 | 6,707,819 | ||||||||||||||
Realized** | 3,212,003 | 2,878,870 | ||||||||||||||
Change in unrealized | (2,552,316 | ) | (474,466 | ) | 4,297,613 | 4,434,627 | ||||||||||
Swap trading gains (losses): | ||||||||||||||||
Realized | (1,745,470 | ) | 0 | (279,046 | ) | (1,775,371 | ) | |||||||||
Change in unrealized | (508,198 | ) | 0 | 471,849 | (677,769 | ) | ||||||||||
Total | $ | 21,303,544 | $ | 2,445,819 | $ | 28,382,927 | $ | 10,088,880 |
** | For the three months ended |
Offsetting of Derivative Assets by Counterparty |
As of |
Type of Instrument | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | ||||||||||||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 6,262,876 | $ | (5,854,661 | ) | $ | 408,215 | Goldman, Sachs & Co. | $ | 11,547,255 | $ | (8,707,620 | ) | $ | 2,839,635 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 16,830,387 | (16,830,387 | ) | 0 | NatWest Markets Plc | 14,185,895 | (10,682,831 | ) | 3,503,064 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 2,583,793 | (283,927 | ) | 2,299,866 | Centrally Cleared | 1,551,226 | (76,139 | ) | 1,475,087 | ||||||||||||||||
Total derivatives | $ | 25,677,056 | $ | (22,968,975 | ) | $ | 2,708,081 | $ | 27,284,376 | $ | (19,466,590 | ) | $ | 7,817,786 |
* | Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
Derivative Assets and Collateral Received by Counterparty | |||||||||
As of |
Net Amounts of Unrealized Gain Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||||||||||
Counterparty | Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||||||||
Goldman, Sachs & Co. | $ | 408,215 | $ | 0 | $ | 0 | $ | 408,215 | $ | 2,839,635 | $ | 0 | $ | 0 | $ | 2,839,635 | ||||||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | 3,503,064 | 0 | 0 | 3,503,064 | ||||||||||||||||||||||||
Centrally Cleared | 2,299,866 | 0 | 0 | 2,299,866 | 1,475,087 | 0 | 0 | 1,475,087 | ||||||||||||||||||||||||
Total | $ | 2,708,081 | $ | 0 | $ | 0 | $ | 2,708,081 | $ | 7,817,786 | $ | 0 | $ | 0 | $ | 7,817,786 |
Offsetting of Derivative Liabilities by Counterparty |
As of |
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | ||||||||||||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 5,854,661 | $ | (5,854,661 | ) | $ | 0 | Goldman, Sachs & Co. | $ | 8,707,620 | $ | (8,707,620 | ) | $ | 0 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 18,257,292 | (16,830,387 | ) | 1,426,905 | NatWest Markets Plc | 10,682,831 | (10,682,831 | ) | 0 | ||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 283,927 | (283,927 | ) | 0 | Centrally Cleared | 76,139 | (76,139 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 24,395,880 | $ | (22,968,975 | ) | $ | 1,426,905 | $ | 19,466,590 | $ | (19,466,590 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty |
As of |
Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||||||||||
Counterparty | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||||||||
Goldman, Sachs & Co. | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
NatWest Markets Plc | 1,426,905 | 0 | (1,426,905) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 1,426,905 | $ | 0 | $ | (1,426,905) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Offsetting of Derivative Assets by Counterparty |
As of December 31, |
Type of Instrument | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | ||||||||||||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 7,064,676 | $ | (2,303,622 | ) | $ | 4,761,054 | Goldman, Sachs & Co. | $ | 5,632,928 | $ | (5,438,927 | ) | $ | 194,001 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 5,879,307 | (4,753,896 | ) | 1,125,411 | NatWest Markets Plc | 6,779,979 | (6,779,979 | ) | 0 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 1,980,386 | (322,129 | ) | 1,658,257 | Centrally Cleared | 1,649,303 | (216,558 | ) | 1,432,745 | ||||||||||||||||
Total derivatives | $ | 14,924,369 | $ | (7,379,647 | ) | $ | 7,544,722 | $ | 14,062,210 | $ | (12,435,464 | ) | $ | 1,626,746 |
* | Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
Derivative Assets and Collateral Received by Counterparty |
As of December 31, |
Net Amounts of Unrealized Gain Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||||||||||
Counterparty | Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||||||||
Goldman, Sachs & Co. | $ | 4,761,054 | $ | 0 | $ | 0 | $ | 4,761,054 | $ | 194,001 | $ | 0 | $ | 0 | $ | 194,001 | ||||||||||||||||
NatWest Markets Plc | 1,125,411 | 0 | 0 | 1,125,411 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Centrally Cleared | 1,658,257 | 0 | 0 | 1,658,257 | 1,432,745 | 0 | 0 | 1,432,745 | ||||||||||||||||||||||||
Total | $ | 7,544,722 | $ | 0 | $ | 0 | $ | 7,544,722 | $ | 1,626,746 | $ | 0 | $ | 0 | $ | 1,626,746 |
Offsetting of Derivative Liabilities by Counterparty |
As of December 31, |
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements ofFinancial Condition | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements ofFinancial Condition | ||||||||||||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 2,303,622 | $ | (2,303,622 | ) | $ | 0 | Goldman, Sachs & Co. | $ | 5,438,927 | $ | (5,438,927 | ) | $ | 0 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 4,753,896 | (4,753,896 | ) | 0 | NatWest Markets Plc | 7,574,528 | (6,779,979 | ) | 794,549 | ||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 322,129 | (322,129 | ) | 0 | Centrally Cleared | 216,558 | (216,558 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 7,379,647 | $ | (7,379,647 | ) | $ | 0 | $ | 13,230,013 | $ | (12,435,464 | ) | $ | 794,549 |
Derivative Liabilities and Collateral Pledged by Counterparty |
As of December 31, |
Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||||||||||
Counterparty | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||||||||
Goldman, Sachs & Co. | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | 794,549 | 0 | (794,549 | ) | 0 | |||||||||||||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 794,549 | $ | 0 | $ | (794,549 | ) | $ | 0 |
Sector | % Gain (Loss) | |||
Credit | % | |||
Commodities | % | |||
Foreign Exchange | % | |||
Interest Rates | % | |||
Equity Indices | % | |||
21.77 | % |
Sector | % Gain (Loss) | |||
Credit | (2.04 | )% | ||
Commodities | 3.52 | % | ||
Foreign Exchange | 5.53 | % | ||
Interest Rates | (3.48 | )% | ||
Equity Indices | 3.95 | % | ||
% |
June 30, 2021 | March 31, 2022 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.05 | % | (2.03 | )% | 0.07 | % | 0.00 | % | ||||||||
Commodities | 0.81 | % | 5.36 | % | 1.30 | % | 10.38 | % | ||||||||
Foreign Exchange | 0.52 | % | 10.85 | % | 0.84 | % | 5.87 | % | ||||||||
Interest Rates | 0.28 | % | (5.32 | )% | 1.12 | % | 5.27 | % | ||||||||
Equity Indices | 0.82 | % | 6.86 | % | 0.49 | % | 0.25 | % | ||||||||
Aggregate/Total | 1.69 | % | 15.72 | % | 2.27 | % | 21.77 | % |
* | The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Of the |
December 31, 2020 | December 31, 2021 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.11 | % | 0.08 | % | 0.07 | % | (0.61 | )% | ||||||||
Commodities | 0.71 | % | 10.47 | % | 0.91 | % | 10.99 | % | ||||||||
Foreign Exchange | 0.51 | % | 4.34 | % | 0.90 | % | 8.09 | % | ||||||||
Interest Rates | 0.87 | % | 2.73 | % | 0.58 | % | (10.04 | )% | ||||||||
Equity Indices | 0.63 | % | (12.41 | )% | 0.92 | % | 8.70 | % | ||||||||
Aggregate/Total | 1.43 | % | 5.21 | % | 2.09 | % | 17.12 | % |
* | The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Of the |
1) | Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; |
2) | Changes in portfolio value caused by market movements may differ from those of the VaR model; |
3) | VaR results reflect past trading positions while future risk depends on future positions; |
4) | VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and |
5) | The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements. |
Exhibit Number | Description of Document | |
3.01 | ||
3.02 | ||
4.01 | ||
10.01 | ||
10.02 | ||
10.03 | ||
Certification of | ||
Certification of | ||
Certification of | ||
Certification of | ||
101 | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of | |
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
(1) | Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010. |
(2) | Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011. |
(3) | Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017. |
(4) | Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014. |
Certification of | ||
Certification of | ||
Certification of | ||
Certification of | ||
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of | ||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. (Registrant) | |||
By: | Campbell & Company, LP | ||
General Partner | |||
Date: | By: | /s/ | |
Chief Executive Officer & Chief Investment Officer |