☑ | 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 | ||
(Registrant’s telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Not applicable. | Not applicable. | Not applicable. |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Page | |||
PART I — FINANCIAL INFORMATION | |||
Item 1. | Financial Statements. | ||
Condensed Schedules of Investments as of | 1-6 | ||
Statements of Financial Condition as of | 7 | ||
Statements of Operations for the Three Months Ended March 31, 2023 and | 8 | ||
Statements of Cash Flows for the | 9 | ||
Statements of Changes in | 10 | ||
Financial Highlights for the Three Months Ended March 31, 2023 and | 11 | ||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 1. | |||
Item 1A. | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 5. | |||
Item 6. | |||
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 10,000,073 | 5.62 | % | |||||||
Equipment Loans | 1,126,175 | 0.63 | % | ||||||||
Total Asset Backed Securities (cost $11,226,986) | 11,126,248 | 6.25 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $2,217,923) | 2,208,721 | 1.24 | % | ||||||||
Commercial Paper | |||||||||||
France | |||||||||||
Financials (cost $2,143,404) | 2,142,099 | 1.20 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $839,701) | 839,498 | 0.47 | % | ||||||||
United States | |||||||||||
Communications | 3,028,184 | 1.70 | % | ||||||||
Consumer Discretionary | 9,483,873 | 5.33 | % | ||||||||
Consumer Staples | 2,080,988 | 1.17 | % | ||||||||
Energy | 369,893 | 0.21 | % | ||||||||
Financials | 21,392,326 | 12.01 | % | ||||||||
Industrials | 4,014,689 | 2.26 | % | ||||||||
Real estate | 6,946,315 | 3.90 | % | ||||||||
Technology | 4,783,256 | 2.69 | % | ||||||||
Utilities | 10,033,819 | 5.64 | % | ||||||||
Total United States (cost $62,151,839) | 62,133,343 | 34.91 | % | ||||||||
Total Commercial Paper (cost $65,134,944) | 65,114,940 | 36.58 | % |
Maturity | Fair | % of Net | |||||||||
Face Value | Description | Value ($) | Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 7,424,674 | 4.47 | % | |||||||
Equipment Loans | 1,522,410 | 0.92 | % | ||||||||
Total Asset Backed Securities (cost $9,005,529) | 8,947,084 | 5.39 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $2,426,736) | 2,420,398 | 1.46 | % | ||||||||
Total Bank Deposits (cost $2,426,736) | 2,420,398 | 1.46 | % | ||||||||
Commercial Paper | |||||||||||
Canada | |||||||||||
Financials (cost $979,869) | 979,603 | 0.59 | % | ||||||||
United States | |||||||||||
Consumer Discretionary | 6,879,058 | 4.14 | % | ||||||||
Financials | 17,327,579 | 10.43 | % | ||||||||
Real estate | 2,528,460 | 1.52 | % | ||||||||
Technology | 3,417,578 | 2.06 | % | ||||||||
Utilities | 17,622,654 | 10.61 | % | ||||||||
Total United States (cost $47,783,689) | 47,775,329 | 28.76 | % | ||||||||
Total Commercial Paper (cost $48,763,557) | $ | 48,754,932 | 29.35 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $1,909,997) | $ | 1,909,084 | 1.07 | % | |||||||
Canada | |||||||||||
Financials | 6,347,665 | 3.57 | % | ||||||||
Energy | 780,625 | 0.44 | % | ||||||||
Total Canada (cost $7,242,661) | 7,128,290 | 4.01 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary | 504,584 | 0.28 | % | ||||||||
Industrials | 772,970 | 0.43 | % | ||||||||
Total Germany (cost $1,280,227) | 1,277,554 | 0.71 | % | ||||||||
Spain | |||||||||||
Financials (cost $999,999) | 974,360 | 0.55 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $1,624,931) | 1,593,932 | 0.90 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $838,975) | 815,058 | 0.46 | % | ||||||||
United States | |||||||||||
Consumer Discretionary | 2,892,461 | 1.63 | % | ||||||||
Consumer Staples | 502,782 | 0.28 | % | ||||||||
Energy | 2,679,485 | 1.51 | % | ||||||||
Financials | 7,910,114 | 4.44 | % | ||||||||
Health care | 2,643,620 | 1.49 | % | ||||||||
Industrials | 3,175,675 | 1.78 | % | ||||||||
Technology | 1,602,986 | 0.90 | % | ||||||||
Materials | 1,162,688 | 0.65 | % | ||||||||
Real estate | 900,740 | 0.51 | % | ||||||||
Utilities | 2,994,185 | 1.68 | % | ||||||||
Total United States (cost $26,874,054) | 26,464,736 | 14.87 | % | ||||||||
Total Corporate Bonds (cost $40,770,844) | 40,163,014 | 22.57 | % | ||||||||
Government and Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 2,135,000 | U.S. Treasury Bills Due 10/13/2022 (1) | 2,133,480 | 1.20 | % | ||||||
$ | 6,300,000 | U.S. Treasury Bills Due 11/10/2022 (1) | 6,281,950 | 3.53 | % | ||||||
$ | 8,400,000 | U.S. Treasury Bills Due 12/15/2022 (1) | 8,352,322 | 4.69 | % | ||||||
Total Government and Agency Obligations (cost $16,761,027) | 16,767,752 | 9.42 | % | ||||||||
Total Fixed Income Securities (2) (cost $136,111,724) | 135,380,675 | 76.06 | % |
Maturity | Fair | % of Net | |||||||||
Face Value | Description | Value ($) | Asset Value | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $444,802) | $ | 448,138 | 0.27 | % | |||||||
Canada | |||||||||||
Financials | 4,988,121 | 3.00 | % | ||||||||
Energy | 1,243,384 | 0.75 | % | ||||||||
Total Canada (cost $6,297,685) | 6,231,505 | 3.75 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary | 501,878 | 0.30 | % | ||||||||
Industrials | 772,008 | 0.46 | % | ||||||||
Total Germany (cost $1,280,181) | 1,273,886 | 0.76 | % | ||||||||
Japan | |||||||||||
Financials (cost $440,000) | 433,393 | 0.26 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $1,624,984) | 1,575,597 | 0.95 | % | ||||||||
Spain | |||||||||||
Financials (cost $999,998) | 978,022 | 0.59 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $839,214) | 821,688 | 0.49 | % | ||||||||
United States | |||||||||||
Communications | 88,956 | 0.05 | % | ||||||||
Consumer Discretionary | 3,769,605 | 2.27 | % | ||||||||
Energy | 2,163,581 | 1.30 | % | ||||||||
Financials | 8,246,614 | 4.96 | % | ||||||||
Health care | 1,370,876 | 0.83 | % | ||||||||
Industrials | 3,368,091 | 2.03 | % | ||||||||
Information technology | 263,429 | 0.16 | % | ||||||||
Technology | 916,644 | 0.55 | % | ||||||||
Materials | 2,007,453 | 1.21 | % | ||||||||
Real estate | 900,894 | 0.54 | % | ||||||||
Utilities | 2,403,240 | 1.45 | % | ||||||||
Total United States (cost $25,713,886) | 25,499,383 | 15.35 | % | ||||||||
Total Corporate Bonds (cost $37,640,750) | 37,261,612 | 22.42 | % | ||||||||
Government and Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 3,935,000 | U.S. Treasury Bills Due 04/13/2023 (1) | 3,930,093 | 2.37 | % | ||||||
$ | 6,300,000 | U.S. Treasury Bills Due 05/04/2023 (1) | 6,274,939 | 3.78 | % | ||||||
$ | 8,400,000 | U.S. Treasury Bills Due 06/20/2023 (1) | 8,315,664 | 5.00 | % | ||||||
Total Government and Agency Obligations (cost $18,511,870) | 18,520,696 | 11.15 | % | ||||||||
Total Fixed Income Securities (2) (cost $116,348,442) | $ | 115,904,722 | 69.77 | % |
(1) | Pledged as collateral for the trading of futures positions. |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Money Market Funds | ||||||||||||||||
United States | ||||||||||||||||
Money Market Funds (cost $33,609) | $ | 33,609 | 0.02 | % | ||||||||||||
Total Short Term Investments (cost $33,609) | $ | 33,609 | 0.02 | % | ||||||||||||
Money Market Funds (cost $2,002,880) | $ | 2,002,880 | 1.21 | % | ||||||||||||
Total Short Term Investments (cost $2,002,880) | $ | 2,002,880 | 1.21 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Agriculture | $ | (1,247,518 | ) | (0.70 | )% | $ | 1,496,985 | 0.90 | % | |||||||
Energy | (84,861 | ) | (0.05 | )% | 292,867 | 0.18 | % | |||||||||
Metals | (3,560,969 | ) | (2.00 | )% | 1,152,247 | 0.69 | % | |||||||||
Stock indices | (84,944 | ) | (0.05 | )% | 1,999,489 | 1.20 | % | |||||||||
Short-term interest rates | 26,477 | 0.01 | % | 29,672 | 0.02 | % | ||||||||||
Long-term interest rates | (163,115 | ) | (0.09 | )% | 175,406 | 0.11 | % | |||||||||
Net unrealized gain (loss) on long futures contracts | (5,114,930 | ) | (2.88 | )% | 5,146,666 | 3.10 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Agriculture | (565,237 | ) | (0.32 | )% | (968,895 | ) | (0.58 | )% | ||||||||
Energy | 259,570 | 0.15 | % | 193,550 | 0.12 | % | ||||||||||
Metals | 3,561,126 | 2.00 | % | (15,877 | ) | (0.01 | )% | |||||||||
Stock indices | 1,921,937 | 1.08 | % | (719,096 | ) | (0.43 | )% | |||||||||
Short-term interest rates | 1,429,127 | 0.80 | % | 224,933 | 0.14 | % | ||||||||||
Long-term interest rates | 577,752 | 0.32 | % | (166,156 | ) | (0.10 | )% | |||||||||
Net unrealized gain (loss) on short futures contracts | 7,184,275 | 4.03 | % | (1,451,541 | ) | (0.86 | )% | |||||||||
Net unrealized gain (loss) on open futures contracts | $ | 2,069,345 | 1.15 | % | $ | 3,695,125 | 2.24 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Various long forward currency contracts | $ | (15,704,695 | ) | (8.82 | )% | $ | 11,899,561 | 7.16 | % | |||||||
Various short forward currency contracts | 22,023,342 | 12.37 | % | (11,446,419 | ) | (6.89 | )% | |||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 6,318,647 | 3.55 | % | $ | 453,142 | 0.27 | % |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Centrally cleared credit default index swaps - Buy protection (net cost $44,199) (3) | $ | (58,518 | ) | (0.03 | )% | |||||||||||
Centrally cleared credit default index swaps - Buy protection (net proceeds $1,035,080) (3) | $ | (501,544 | ) | (0.30 | )% |
Fair | % of Net | Fair | % of Net | |||||||||||||
Description | Value ($) | Asset Value | Value ($) | Asset Value | ||||||||||||
Centrally cleared interest rate swaps - Pay fixed (net proceeds $468,616) (4) | $ | (36,376 | ) | (0.02 | )% | |||||||||||
Centrally cleared interest rate swaps - Pay fixed (net proceeds $567,868) (4) | $ | (1,127,618 | ) | (0.68 | )% |
(3) | Includes |
(4) | Includes |
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 | Fair | % of Net | |||||||||
Face Value | Description | Value ($) | Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 8,896,385 | 5.42 | % | |||||||
Equipment Loans | 1,014,667 | 0.62 | % | ||||||||
Total Asset Backed Securities (cost $10,001,258) | 9,911,052 | 6.04 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials (cost $2,542,582) | 2,531,201 | 1.54 | % | ||||||||
Total Bank Deposits (cost $2,542,582) | 2,531,201 | 1.54 | % | ||||||||
Commercial Paper | |||||||||||
Ireland | |||||||||||
Financials (cost $1,004,402) | 1,004,149 | 0.61 | % | ||||||||
United States | |||||||||||
Communications | 3,720,079 | 2.27 | % | ||||||||
Consumer Discretionary | 2,850,275 | 1.74 | % | ||||||||
Consumer Staples | 1,203,496 | 0.73 | % | ||||||||
Financials | 14,670,169 | 8.93 | % | ||||||||
Industrials | 5,309,319 | 3.23 | % | ||||||||
Materials | 1,179,213 | 0.72 | % | ||||||||
Real estate | 2,402,248 | 1.46 | % | ||||||||
Technology | 6,148,913 | 3.75 | % | ||||||||
Utilities | 7,217,566 | 4.40 | % | ||||||||
Total United States (cost $44,714,882) | 44,701,278 | 27.23 | % | ||||||||
Total Commercial Paper (cost $45,719,284) | $ | 45,705,427 | 27.84 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||||||||||||||
Maturity | Maturity | Fair | % of Net | |||||||||||||||||||
Face Value | Face Value | Description | Value ($) | Asset Value | ||||||||||||||||||
Corporate Bonds | ||||||||||||||||||||||
Corporate Bonds | Australia | |||||||||||||||||||||
Australia | Financials (cost $1,514,771) | $ | 1,519,292 | 0.93 | % | |||||||||||||||||
Financials (cost $1,910,000) | $ | 1,916,961 | 1.47 | % | Canada | |||||||||||||||||
Canada | Energy | 6,363,970 | 3.88 | % | ||||||||||||||||||
Energy | 701,726 | 0.54 | % | Financials | 787,932 | 0.48 | % | |||||||||||||||
Financials | 5,127,444 | 3.92 | % | Total Canada (cost $7,241,749) | 7,151,902 | 4.36 | % | |||||||||||||||
Total Canada (cost $5,836,218) | 5,829,170 | 4.46 | % | Germany | ||||||||||||||||||
Germany | Consumer Discretionary | 501,966 | 0.31 | % | ||||||||||||||||||
Consumer Discretionary (cost $1,550,000) | 1,552,240 | 1.19 | % | Industrials | 772,352 | 0.47 | % | |||||||||||||||
Japan | Total Germany (cost $1,280,204) | 1,274,318 | 0.78 | % | ||||||||||||||||||
Financials (cost $1,177,638) | 1,177,652 | 0.90 | % | Spain | ||||||||||||||||||
Switzerland | Financials (cost $999,999) | 979,847 | 0.60 | % | ||||||||||||||||||
Financials (cost $2,019,793) | 2,021,376 | 1.55 | % | Switzerland | ||||||||||||||||||
United Kingdom | Financials (cost $1,624,958) | 1,553,116 | 0.95 | % | ||||||||||||||||||
Financials (cost $300,000) | 299,958 | 0.23 | % | United Kingdom | ||||||||||||||||||
Health care (cost $656,356) | 655,377 | 0.50 | % | Financials (cost $839,094) | 820,564 | 0.50 | % | |||||||||||||||
Total United Kingdom (cost $956,356) | 955,335 | 0.73 | % | United States | ||||||||||||||||||
United States | Communications | 88,707 | 0.05 | % | ||||||||||||||||||
Consumer Discretionary | 2,389,928 | 1.83 | % | Consumer Discretionary | 3,030,661 | 1.85 | % | |||||||||||||||
Consumer Staples | 1,367,745 | 1.05 | % | Consumer Staples | 507,408 | 0.31 | % | |||||||||||||||
Energy | 2,649,366 | 2.02 | % | Energy | 2,683,592 | 1.63 | % | |||||||||||||||
Financials | 4,870,526 | 3.72 | % | Financials | 9,039,581 | 5.51 | % | |||||||||||||||
Health care | 1,987,364 | 1.52 | % | Health care | 2,825,284 | 1.72 | % | |||||||||||||||
Industrials | 2,360,179 | 1.81 | % | Industrials | 3,558,616 | 2.17 | % | |||||||||||||||
Technology | 1,815,102 | 1.39 | % | Technology | 1,616,391 | 0.98 | % | |||||||||||||||
Materials | 496,422 | 0.38 | % | Materials | 2,001,082 | 1.22 | % | |||||||||||||||
Real estate | 794,270 | 0.61 | % | Real estate | 898,776 | 0.55 | % | |||||||||||||||
Utilities | 1,276,319 | 0.98 | % | Utilities | 1,996,982 | 1.22 | % | |||||||||||||||
Total United States (cost $20,022,816) | 20,007,221 | 15.31 | % | Total United States (cost $28,568,112) | 28,247,080 | 17.21 | % | |||||||||||||||
Total Corporate Bonds (cost $33,472,821) | 33,459,955 | 25.61 | % | Total Corporate Bonds (cost $42,068,887) | 41,546,119 | 25.33 | % | |||||||||||||||
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 01/20/2022 (1) | 2,134,987 | 1.63 | % | 3,935,000 | U.S. Treasury Bills Due 01/19/2023 (1) | 3,928,669 | 2.39 | % | ||||||||||||
$ | 5,000,000 | U.S. Treasury Bills Due 03/17/2022 (1) | 4,999,440 | 3.82 | % | 6,300,000 | U.S. Treasury Bills Due 02/09/2023 (1) | 6,274,869 | 3.82 | % | ||||||||||||
$ | 6,300,000 | U.S. Treasury Bills Due 05/12/2022 (1) | 6,297,965 | 4.82 | % | 8,400,000 | U.S. Treasury Bills Due 03/09/2023 (1) | 8,335,648 | 5.08 | % | ||||||||||||
Total Government and Agency Obligations (cost $13,433,291) | 13,432,392 | 10.27 | % | Total Government and Agency Obligations (cost $18,535,963) | 18,539,186 | 11.29 | % | |||||||||||||||
Total Fixed Income Securities (cost $90,066,569) (2) | $ | 90,032,652 | 68.87 | % | Total Fixed Income Securities (2) (cost $118,867,974) | $ | 118,232,985 | 72.04 | % |
(1) | Pledged as collateral for the trading of futures positions. |
(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Fair | % of Net | |||||||
Description | Value ($) | Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $3,863,320) | $ | 3,863,320 | 2.35 | % | ||||
Total Short Term Investments (cost $3,863,320) | $ | 3,863,320 | 2.35 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
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 | % |
Fair | % of Net | |||||||
Description | Value ($) | Asset Value | ||||||
Agriculture | $ | (75,916 | ) | (0.05 | )% | |||
Energy | 956,963 | 0.58 | % | |||||
Metals | 1,097,625 | 0.67 | % | |||||
Stock indices | (1,130,118 | ) | (0.69 | )% | ||||
Long-term interest rates | (1,920,597 | ) | (1.17 | )% | ||||
Net unrealized gain (loss) on long futures contracts | (1,072,043 | ) | (0.66 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (50,364 | ) | (0.04 | )% | |||
Energy | 251,020 | 0.19 | % | |||||
Metals | 2,598,920 | 2.00 | % | |||||
Stock indices | 732,644 | 0.56 | % | |||||
Short-term interest rates | (176,978 | ) | (0.14 | )% | ||||
Long-term interest rates | (1,033,100 | ) | (0.79 | )% | ||||
Net unrealized gain (loss) on long futures contracts | 2,322,142 | 1.78 | % |
Fair | % of Net | |||||||||||||||
Description | Fair Value ($) | % of Net Asset Value | Value ($) | Asset Value | ||||||||||||
Agriculture | 382,119 | 0.29 | % | (674,635 | ) | (0.41 | )% | |||||||||
Energy | (228,728 | ) | (0.17 | )% | (74,520 | ) | (0.05 | )% | ||||||||
Metals | (2,987,719 | ) | (2.29 | )% | (396,908 | ) | (0.24 | )% | ||||||||
Stock indices | (25,447 | ) | (0.02 | )% | 375,315 | 0.23 | % | |||||||||
Short-term interest rates | 162,008 | 0.12 | % | 644,312 | 0.39 | % | ||||||||||
Long-term interest rates | 569,626 | 0.44 | % | 2,157,133 | 1.31 | % | ||||||||||
Net unrealized gain (loss) on short futures contracts | (2,128,141 | ) | (1.63 | )% | 2,030,697 | 1.23 | % | |||||||||
Net unrealized gain (loss) on open futures contracts | $ | 194,001 | 0.15 | % | $ | 958,654 | 0.57 | % |
Fair | % of Net | |||||||||||||||
Description | Fair Value ($) | % of Net Asset Value | Value ($) | Asset Value | ||||||||||||
Various long forward currency contracts | $ | 3,836,008 | 2.93 | % | $ | 5,242,293 | 3.19 | % | ||||||||
Various short forward currency contracts | (4,630,557 | ) | (3.54 | )% | (4,550,859 | ) | (2.77 | )% | ||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (794,549 | ) | (0.61 | )% | $ | 691,434 | 0.42 | % |
Fair | % of Net | |||||||
Description | Value ($) | Asset Value | ||||||
Centrally cleared credit default index swaps - Sell protection (net cost $96,224) (3) | $ | 133,926 | 0.08 | % |
Fair | % of Net | |||||||||||||||
Description | Fair Value ($) | % of Net Asset Value | Value ($) | Asset Value | ||||||||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,419,925) (3) | $ | 1,432,745 | 1.10 | % | ||||||||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $183,962) (4) | $ | 1,151,025 | 0.70 | % |
(3) | Includes |
(4) | Includes $147,398 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
September 30, 2022 | December 31, 2021 | March 31, 2023 | December 31, 2022 | |||||||||||||
ASSETS | ||||||||||||||||
Equity in futures brokers trading accounts | ||||||||||||||||
Cash | $ | 17,866,685 | $ | 14,702,234 | $ | 15,319,485 | $ | 9,866,931 | ||||||||
Restricted cash | 0 | 542,373 | 1,751,715 | 3,893,726 | ||||||||||||
Fixed income securities (cost $16,761,026 and $13,433,291, respectively) | 16,767,752 | 13,432,392 | ||||||||||||||
Fixed income securities (cost $18,511,870 and $18,535,963, respectively) | 18,520,696 | 18,539,186 | ||||||||||||||
Net unrealized gain (loss) on open futures contracts | 2,069,345 | 194,001 | 3,695,125 | 958,654 | ||||||||||||
Total equity in futures brokers trading accounts | 36,703,782 | 28,871,000 | 39,287,021 | 33,258,497 | ||||||||||||
Cash and cash equivalents | 603,411 | 477,204 | 466,804 | 661,440 | ||||||||||||
Cash at interbank market maker | 7,862,770 | 5,720,106 | 3,337,204 | 2,982,070 | ||||||||||||
Restricted cash at interbank market makers | 2,953,843 | 11,728,326 | 18,696,392 | 17,758,973 | ||||||||||||
Short term investments (cost $33,609 and $5,214,406, respectively) | 33,609 | 5,214,406 | ||||||||||||||
Short term investments (cost $2,002,880 and $3,863,320, respectively) | 2,002,880 | 3,863,320 | ||||||||||||||
Cash at swaps broker | 4,966,224 | 4,268,767 | 0 | 3,755,252 | ||||||||||||
Restricted cash at swaps broker | 2,071,641 | 440,326 | 7,713,046 | 2,601,614 | ||||||||||||
Fixed income securities (cost $119,350,698 and $76,633,278, respectively) | 118,612,923 | 76,600,260 | ||||||||||||||
Fixed income securities (cost $97,836,572 and $100,332,011, respectively) | 97,384,026 | 99,693,799 | ||||||||||||||
Credit default index swaps | 2,112 | 8,749 | 128,009 | 12,678 | ||||||||||||
Interest rate swaps | 0 | 1,003,627 | ||||||||||||||
Due from swaps broker | 11,774 | 28,825 | 64,297 | 39,053 | ||||||||||||
Net unrealized gain on open forward currency contracts | 6,318,647 | 0 | 453,142 | 691,434 | ||||||||||||
Interest receivable | 283,608 | 79,494 | 507,270 | 378,790 | ||||||||||||
Total assets | $ | 180,424,344 | $ | 133,437,463 | $ | 170,040,091 | $ | 166,700,547 | ||||||||
LIABILITIES | ||||||||||||||||
Cash deficit at swaps broker | $ | 205,297 | $ | 0 | ||||||||||||
Accounts payable | $ | 106,278 | $ | 117,350 | 195,158 | 157,426 | ||||||||||
Brokerage fee payable | 1,051,169 | 772,725 | 988,040 | 971,207 | ||||||||||||
Net unrealized loss on open forward currency contracts | 0 | 794,549 | ||||||||||||||
Interest rate swaps | 74,736 | 0 | 190,688 | 0 | ||||||||||||
Accrued commissions and other trading fees on open contracts | 14,063 | 16,851 | 40,622 | 23,572 | ||||||||||||
Offering costs payable | 28,746 | 41,532 | 29,994 | 26,937 | ||||||||||||
Redemptions payable | 1,162,991 | 975,086 | 2,224,184 | 1,373,833 | ||||||||||||
Total liabilities | 2,437,983 | 2,718,093 | 3,873,983 | 2,552,975 | ||||||||||||
PARTNERS’ CAPITAL (Net Asset Value) | ||||||||||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2022 and December 31, 2021 | 0 | 0 | ||||||||||||||
Limited Partners - 51,337.594 and 55,906.286 redeemable units outstanding at September 30, 2022 and December 31, 2021 | 177,986,361 | 130,719,370 | ||||||||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2023 and December 31, 2022 | 0 | 0 | ||||||||||||||
Limited Partners - 48,509.633 and 49,498.151 redeemable units outstanding at March 31, 2023 and December 31, 2022 | 166,166,108 | 164,147,572 | ||||||||||||||
Total partners’ capital (Net Asset Value) | 177,986,361 | 130,719,370 | 166,166,108 | 164,147,572 | ||||||||||||
Total liabilities and partners’ capital (Net Asset Value) | $ | 180,424,344 | $ | 133,437,463 | $ | 170,040,091 | $ | 166,700,547 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2023 | 2022 | |||||||||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||||||||||
Realized | $ | 4,779,742 | $ | 2,163,490 | $ | 36,584,227 | $ | 23,052,906 | $ | (160,765) | $ | 18,034,874 | ||||||||||||
Change in unrealized | 1,914,037 | (2,117,326 | ) | 1,875,344 | (6,470,165 | ) | 2,736,471 | 2,645,634 | ||||||||||||||||
Brokerage commissions | (142,358 | ) | (287,104 | ) | (425,570 | ) | (855,373 | ) | (207,259 | ) | (144,955 | ) | ||||||||||||
Net gain (loss) from futures trading | 6,551,421 | (240,940) | 38,034,001 | 15,727,368 | 2,368,447 | 20,535,553 | ||||||||||||||||||
Forward currency trading gains (losses) | ||||||||||||||||||||||||
Realized | 7,975,523 | (3,908,213) | 22,570,322 | 5,664,738 | 4,834,358 | 3,212,003 | ||||||||||||||||||
Change in unrealized | 1,723,045 | 3,386,296 | 7,113,196 | 833,980 | (238,292) | 4,297,613 | ||||||||||||||||||
Brokerage commissions | (29,028 | ) | (52,899 | ) | (77,349 | ) | (124,595 | ) | (51,928 | ) | (27,390 | ) | ||||||||||||
Net gain (loss) from forward currency trading | 9,669,540 | (574,816 | ) | 29,606,169 | 6,374,123 | 4,544,138 | 7,482,226 | |||||||||||||||||
Swap trading gains (losses) | ||||||||||||||||||||||||
Realized | 706,189 | 345,151 | 1,392,044 | (1,400,319 | ) | 1,050,410 | (279,046 | ) | ||||||||||||||||
Change in unrealized | 201,723 | 168,685 | 405,101 | (339,513 | ) | (1,223,427) | 471,849 | |||||||||||||||||
Net gain (loss) from swap trading | 907,912 | 513,836 | 1,797,145 | (1,739,832 | ) | (173,017) | 192,803 | |||||||||||||||||
Total net trading gain (loss) | 17,128,873 | (301,920) | 69,437,315 | 20,361,659 | 6,739,568 | 28,210,582 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 903,538 | 90,257 | 1,372,298 | 321,078 | 2,310,307 | 100,758 | ||||||||||||||||||
Realized gain (loss) on fixed income securities | (5,911 | ) | (25,243 | ) | (19,371 | ) | (42,031 | ) | (594,284 | ) | (7,992 | ) | ||||||||||||
Change in unrealized gain (loss) on fixed income securities | (135,047 | ) | (9,154 | ) | (697,132 | ) | (120,522 | ) | 191,269 | (252,575 | ) | |||||||||||||
Total investment income (loss) | 762,580 | 55,860 | 655,795 | 158,525 | 1,907,292 | (159,809) | ||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Brokerage fee | 3,018,666 | 2,458,876 | 8,460,642 | 7,338,172 | 2,989,015 | 2,527,021 | ||||||||||||||||||
Operating expenses | 153,189 | 144,367 | 418,860 | 400,949 | 150,417 | 121,469 | ||||||||||||||||||
Total expenses | 3,171,855 | 2,603,243 | 8,879,502 | 7,739,121 | 3,139,432 | 2,648,490 | ||||||||||||||||||
Net investment income (loss) | (2,409,275 | ) | (2,547,383 | ) | (8,223,707 | ) | (7,580,596 | ) | (1,232,140 | ) | (2,808,299 | ) | ||||||||||||
NET INCOME (LOSS) | $ | 14,719,598 | $ | (2,849,303) | $ | 61,213,608 | $ | 12,781,063 | $ | 5,507,428 | $ | 25,402,283 | ||||||||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT | ||||||||||||||||||||||||
(based on weighted average number of units outstanding during the period) | $ | 281.87 | $ | (48.30) | $ | 1,136.64 | $ | 211.08 | $ | 111.64 | $ | 457.54 | ||||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | 283.52 | $ | (51.15) | $ | 1,128.79 | $ | 201.34 | $ | 109.19 | $ | 456.51 | ||||||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 52,220.480 | 58,991.393 | 53,855.007 | 60,549.959 | 49,332.122 | 55,519.516 |
Nine Months Ended September 30, | Three Months Ended March 31, | |||||||||||||||
2022 | 2021 | 2023 | 2022 | |||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income (loss) | $ | 61,213,608 | $ | 12,781,063 | $ | 5,507,428 | $ | 25,402,283 | ||||||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||||||||||
Net change in unrealized on futures, forwards, swaps and investments | (8,696,509 | ) | 6,096,220 | (1,466,021 | ) | (7,162,521 | ) | |||||||||
(Increase) decrease in interest receivable | (204,114 | ) | (1,885) | (128,480 | ) | (8,102 | ) | |||||||||
(Increase) decrease in due from swaps broker | 17,051 | (4,948 | ) | (25,244 | ) | 10,324 | ||||||||||
Increase (decrease) in payable for securities purchased | 0 | 465,081 | 0 | 1,610,060 | ||||||||||||
Increase (decrease) in accounts payable and accrued expenses | 264,584 | (36,741 | ) | 71,615 | 171,252 | |||||||||||
Net purchases from swap broker | 486,484 | (447,502 | ) | |||||||||||||
Increase in cash deficit from swaps broker | 205,297 | 0 | ||||||||||||||
Net purchases from swaps broker | (144,442 | ) | 590,046 | |||||||||||||
Purchases of investments | (1,212,246,328 | ) | (1,039,132,017 | ) | (309,158,356 | ) | (325,253,862 | ) | ||||||||
Sales/maturities of investments | 1,171,381,960 | 1,040,731,563 | 313,538,327 | 304,615,385 | ||||||||||||
Net cash from (for) operating activities | 12,216,736 | 20,450,834 | 8,400,124 | (25,135 | ) | |||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Redemption of units | (13,371,637 | ) | (13,156,179 | ) | (2,546,570 | ) | (3,243,038 | ) | ||||||||
Offering costs paid | (399,861 | ) | (453,478 | ) | (88,914 | ) | (165,593 | ) | ||||||||
Net cash from (for) financing activities | (13,771,498 | ) | (13,609,657 | ) | (2,635,484 | ) | (3,408,631 | ) | ||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash | (1,554,762 | ) | 6,841,177 | 5,764,640 | (3,433,766 | ) | ||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 37,879,336 | 31,258,386 | 41,520,006 | 37,879,336 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 36,324,574 | $ | 38,099,563 | $ | 47,284,646 | $ | 34,445,570 |
September 30, 2022 | December 31, 2021 | March 31, 2023 | December 31, 2022 | |||||||||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||||||||||
Equity in futures brokers trading accounts: | ||||||||||||||||
Cash | $ | 17,866,685 | $ | 14,702,234 | $ | 15,319,485 | $ | 9,866,931 | ||||||||
Restricted cash | 0 | 542,373 | 1,751,715 | 3,893,726 | ||||||||||||
Cash and cash equivalents | 603,411 | 477,204 | 466,804 | 661,440 | ||||||||||||
Cash at interbank market maker | 7,862,770 | 5,720,106 | 3,337,204 | 2,982,070 | ||||||||||||
Restricted cash at interbank market makers | 2,953,843 | 11,728,326 | 18,696,392 | 17,758,973 | ||||||||||||
Cash at swaps broker | 4,966,224 | 4,268,767 | 0 | 3,755,252 | ||||||||||||
Restricted cash at swaps broker | 2,071,641 | 440,326 | 7,713,046 | 2,601,614 | ||||||||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 36,324,574 | $ | 37,879,336 | $ | 47,284,646 | $ | 41,520,006 |
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 | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2022 | 0.000 | $ | 0 | 49,498.151 | $ | 164,147,572 | 49,498.151 | $ | 164,147,572 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2023 | 0 | 5,507,428 | 5,507,428 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (988.518 | ) | (3,396,921 | ) | (988.518 | ) | (3,396,921 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (91,971 | ) | (91,971 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2023 | 0.000 | $ | 0 | 48,509.633 | $ | 166,166,108 | 48,509.633 | $ | 166,166,108 | |||||||||||||||||||||||||||||||||||||||
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 | 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 | |||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2022 | 0 | 25,402,283 | 25,402,283 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,498.700 | ) | (3,898,869 | ) | (1,498.700 | ) | (3,898,869 | ) | 0.000 | 0 | (1,498.696 | ) | (3,898,869 | ) | (1,498.696 | ) | (3,898,869 | ) | ||||||||||||||||||||||||||||
Offering costs | 0 | (170,076 | ) | (170,076 | ) | 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 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2022 | 0 | 21,091,727 | 21,091,727 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,517.000 | ) | (4,643,358 | ) | (1,517.000 | ) | (4,643,358 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (124,923 | ) | (124,923 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at June 30, 2022 | 0.000 | $ | 0 | 52,890.590 | $ | 168,376,154 | 52,890.590 | $ | 168,376,154 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2022 | 0 | 14,719,598 | 14,719,598 | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,553.000 | ) | (5,017,315 | ) | (1,553.000 | ) | (5,017,315 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (92,076 | ) | (92,076 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at September 30, 2022 | 0.000 | $ | 0 | 51,337.594 | $ | 177,986,361 | 51,337.594 | $ | 177,986,361 | |||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2020 | 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 | ||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (2,389.510 | ) | (5,110,068 | ) | (2,389.510 | ) | (5,110,068 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 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 | (1,175.660 | ) | (2,798,099 | ) | (1,175.660 | ) | (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 | |||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2021 | 0 | (2,849,303) | (2,849,303) | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (1,784.870 | ) | (4,230,482 | ) | (1,784.870 | ) | (4,230,482 | ) | ||||||||||||||||||||||||||||||||||||||
Offering costs | 0 | (147,110 | ) | (147,110 | ) | |||||||||||||||||||||||||||||||||||||||||||
Balances at September 30, 2021 | 0.000 | $ | 0 | 57,799.609 | $ | 135,332,777 | 57,799.609 | $ | 135,332,777 | |||||||||||||||||||||||||||||||||||||||
Balances at March 31, 2022 | 0.000 | $ | 0 | 54,407.590 | $ | 152,052,708 | 54,407.590 | $ | 152,052,708 |
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||
$ | 3,466.98 | $ | 3,183.46 | $ | 2,794.70 | $ | 2,338.19 |
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
March 31, 2023 | March 31, 2023 | December 31, 2022 | March 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||
$ | 2,341.41 | $ | 2,392.56 | $ | 2,258.47 | $ | 2,140.07 | 3,425.43 | $ | 3,316.24 | $ | 2,794.70 | $ | 2,338.19 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2023 | 2022 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 3,183.46 | $ | 2,392.56 | $ | 2,338.19 | $ | 2,140.07 | $ | 3,316.24 | $ | 2,338.19 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 331.42 | (5.48) | 1,288.68 | 334.05 | 136.03 | 510.15 | ||||||||||||||||||
Net investment income (loss) (1) | (46.14 | ) | (43.18 | ) | (152.70 | ) | (125.20 | ) | (24.98 | ) | (50.58 | ) | ||||||||||||
Total net income (loss) from operations | 285.28 | (48.66) | 1,135.98 | 208.85 | 111.05 | 459.57 | ||||||||||||||||||
Offering costs (1) | (1.76 | ) | (2.49 | ) | (7.19 | ) | (7.51 | ) | (1.86 | ) | (3.06 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 3,466.98 | $ | 2,341.41 | $ | 3,466.98 | $ | 2,341.41 | $ | 3,425.43 | $ | 2,794.70 | ||||||||||||
Total Return (4) | 8.91 | % | (2.14 | )% | 48.28 | % | 9.41 | % | 3.29 | % | 19.52 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 7.48 | % | 7.44 | % | 7.59 | % | 7.51 | % | 7.48 | % | 7.56 | % | ||||||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Total expenses | 7.48 | % | 7.44 | % | 7.59 | % | 7.51 | % | 7.48 | % | 7.56 | % | ||||||||||||
Net investment income (loss) (2) (3) | (5.68 | )% | (7.28 | )% | (7.03 | )% | (7.35 | )% | (2.92 | )% | (8.04 | )% |
(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 September 30, 2022 | Fair Value at March 31, 2023 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 33,609 | $ | 0 | $ | 0 | $ | 33,609 | $ | 2,002,880 | $ | 0 | $ | 0 | $ | 2,002,880 | ||||||||||||||||
Fixed income securities | 0 | 135,380,675 | 0 | 135,380,675 | 0 | 115,904,722 | 0 | 115,904,722 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 2,069,345 | 0 | 0 | 2,069,345 | 3,695,125 | 0 | 0 | 3,695,125 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 6,318,647 | 0 | 6,318,647 | 0 | 453,142 | 0 | 453,142 | ||||||||||||||||||||||||
Credit default index swap contracts | 0 | (58,518) | 0 | (58,518) | 0 | (501,544) | 0 | (501,544) | ||||||||||||||||||||||||
Interest rate swap contracts | 0 | (36,376 | ) | 0 | (36,376 | ) | 0 | (1,127,618 | ) | 0 | (1,127,618 | ) | ||||||||||||||||||||
Total | $ | 2,102,954 | $ | 141,604,428 | $ | 0 | $ | 143,707,382 | $ | 5,698,005 | $ | 114,728,702 | $ | 0 | $ | 120,426,707 |
Fair Value at December 31, 2021 | Fair Value at December 31, 2022 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 5,214,406 | $ | 0 | $ | 0 | $ | 5,214,406 | $ | 3,863,320 | $ | 0 | $ | 0 | $ | 3,863,320 | ||||||||||||||||
Fixed income securities | 0 | 90,032,652 | 0 | 90,032,652 | 0 | 118,232,985 | 0 | 118,232,985 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 194,001 | 0 | 0 | 194,001 | 958,654 | 0 | 0 | 958,654 | ||||||||||||||||||||||||
Forward currency contracts | 0 | (794,549 | ) | 0 | (794,549 | ) | 0 | 691,434 | 0 | 691,434 | ||||||||||||||||||||||
Credit default index swap contracts | 0 | 1,432,745 | 0 | 1,432,745 | 0 | 133,926 | 0 | 133,926 | ||||||||||||||||||||||||
Interest rate swap contracts | 0 | 1,151,025 | 0 | 1,151,025 | ||||||||||||||||||||||||||||
Total | $ | 5,408,407 | $ | 90,670,848 | $ | 0 | $ | 96,079,255 | $ | 4,821,974 | $ | 120,209,370 | $ | 0 | $ | 125,031,344 |
September 30, 2022 | December 31, 2021 | March 31, 2023 | December 31, 2022 | |||||||||||||||
Credit Default Index Swaps | Maturity Date: December 2027 | Maturity Date: December 2026 | Maturity Date: June 2028 | Maturity Date: December 2026 | ||||||||||||||
Investment grade | $ | 1,645,250 | $ | 19,078,137 | $ | 19,456,761 | $ | 25,780,818 | ||||||||||
Non-investment grade | 844,490 | 16,769,930 | 27,678,739 | 8,813,377 | ||||||||||||||
Total | $ | 2,489,740 | $ | 35,848,067 | $ | 47,135,500 | $ | 34,594,195 |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at September 30, 2022 Fair Value | Liability Derivatives at September 30, 2022 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at March 31, 2023 Fair Value | Liability Derivatives at March 31, 2023 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 298,254 | $ | (2,111,009 | ) | $ | (1,812,755) | Net unrealized gain (loss) on open futures contracts | $ | 2,445,624 | $ | (1,917,534 | ) | $ | 528,090 | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 339,523 | (164,814 | ) | 174,709 | Net unrealized gain (loss) on open futures contracts | 769,953 | (283,536 | ) | 486,417 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 3,878,410 | (3,878,253 | ) | 157 | Net unrealized gain (loss) on open futures contracts | 2,697,924 | (1,561,554 | ) | 1,136,370 | ||||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 1,950,933 | (113,940 | ) | 1,836,993 | Net unrealized gain (loss) on open futures contracts | 2,104,552 | (824,159 | ) | 1,280,393 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,490,387 | (34,783 | ) | 1,455,604 | Net unrealized gain (loss) on open futures contracts | 318,823 | (64,218 | ) | 254,605 | ||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 657,440 | (242,803 | ) | 414,637 | Net unrealized gain (loss) on open futures contracts | 483,483 | (474,233 | ) | 9,250 | ||||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 24,369,684 | (18,051,037 | ) | 6,318,647 | Net unrealized gain (loss) on open forward currency contracts | 14,172,952 | (13,719,810 | ) | 453,142 | ||||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 0 | (58,518 | ) | (58,518) | Credit default index swaps | 502,035 | (1,003,579 | ) | (501,544) | ||||||||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | 943,438 | (979,814 | ) | (36,376 | ) | Interest rate swaps | 862,387 | (1,990,005 | ) | (1,127,618) | |||||||||||||||
Total | $ | 33,928,069 | $ | (25,634,971 | ) | $ | 8,293,098 | $ | 24,357,733 | $ | (21,838,628 | ) | $ | 2,519,105 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | 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. |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2021 Fair Value | Liability Derivatives at December 31, 2021 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at December 31, 2022 Fair Value | Liability Derivatives at December 31, 2022 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 670,890 | $ | (339,135 | ) | $ | 331,755 | Net unrealized gain (loss) on open futures contracts | $ | 834,397 | $ | (1,584,948 | ) | $ | (750,551) | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 374,147 | (351,855 | ) | 22,292 | Net unrealized gain (loss) on open futures contracts | 979,387 | (96,944 | ) | 882,443 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 2,649,310 | (3,038,109 | ) | (388,799 | ) | Net unrealized gain (loss) on open futures contracts | 2,320,449 | (1,619,732 | ) | 700,717 | |||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 875,863 | (168,666 | ) | 707,197 | Net unrealized gain (loss) on open futures contracts | 648,552 | (1,403,355 | ) | (754,803) | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 175,142 | (190,112 | ) | (14,970 | ) | Net unrealized gain (loss) on open futures contracts | 777,755 | (133,443 | ) | 644,312 | |||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 887,576 | (1,351,050 | ) | (463,474 | ) | Net unrealized gain (loss) on open futures contracts | 2,190,165 | (1,953,629 | ) | 236,536 | |||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 6,779,979 | (7,574,528 | ) | (794,549 | ) | Net unrealized gain (loss) on open forward currency contracts | 8,245,050 | (7,553,616 | ) | 691,434 | |||||||||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | 1,649,303 | (216,558 | ) | 1,432,745 | Credit default index swaps | 178,418 | (44,492 | ) | 133,926 | ||||||||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | 1,745,960 | (594,935) | 1,151,025 | ||||||||||||||||||||||
Total | $ | 14,062,210 | $ | (13,230,013 | ) | $ | 832,197 | $ | 17,920,133 | $ | (14,985,094 | ) | $ | 2,935,039 |
* | Derivatives not designated as hedging instruments under ASC 815 |
** | Amount of centrally cleared swap contracts is not reconciled |
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 | $ | (711,523) | $ | (1,014,661) | $ | (162,878) | $ | 2,265,300 | ||||||||
Energy Contracts | (2,403,337) | 1,433,207 | 184,505 | 8,349,202 | ||||||||||||
Metal Contracts | 1,152,211 | 178,310 | 1,527,509 | 2,888,176 | ||||||||||||
Stock Indices Contracts | 1,926,144 | 362,692 | 185,728 | 428,964 | ||||||||||||
Short-Term Interest Rate Contracts | 4,771,243 | 3,917 | 397,258 | 2,079,017 | ||||||||||||
Long-Term Interest Rate Contracts | 1,959,041 | (917,301 | ) | 443,584 | 4,669,849 | |||||||||||
Forward Currency Contracts | 9,698,568 | (521,917 | ) | 4,596,066 | 7,509,616 | |||||||||||
Credit Default Index Swap Contracts | (190,696 | ) | 849 | (84,998 | ) | (611,673) | ||||||||||
Interest Rate Swap Contracts | 1,098,608 | 512,987 | (88,019) | 804,476 | ||||||||||||
Total | $ | 17,300,259 | $ | 38,083 | $ | 6,998,755 | $ | 28,382,927 |
Type of Instrument | Trading Gains (Losses) for the Nine Months Ended | Trading Gains (Losses) for the Nine Months Ended | ||||||
Agriculture Contracts | $ | 2,833,045 | $ | 5,865,512 | ||||
Energy Contracts | 7,541,792 | 8,263,428 | ||||||
Metal Contracts | 3,539,853 | 1,272,095 | ||||||
Stock Indices Contracts | 3,597,137 | 9,582,779 | ||||||
Short-Term Interest Rate Contracts | 6,671,292 | (1,731,083 | ) | |||||
Long-Term Interest Rate Contracts | 14,276,452 | (6,669,990 | ) | |||||
Forward Currency Contracts | 29,683,518 | 6,498,718 | ||||||
Credit Default Index Swap Contracts | (1,926,863 | ) | 476,453 | |||||
Interest Rate Swap Contracts | 3,724,008 | (2,216,285 | ) | |||||
Total | $ | 69,940,234 | $ | 21,341,627 |
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** | $ | 4,779,742 | $ | 2,163,490 | ||||
Change in unrealized | 1,914,037 | (2,117,326 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized** | 7,975,523 | (3,908,213) | ||||||
Change in unrealized | 1,723,045 | 3,386,296 | ||||||
Swap trading gains (losses): | ||||||||
Realized | 706,189 | 345,151 | ||||||
Change in unrealized | 201,723 | 168,685 | ||||||
Total | $ | 17,300,259 | $ | 38,083 |
Line Item in the Statements of Operations | Trading Gains (Losses) for the Nine Months Ended | Trading Gains (Losses) for the Nine Months Ended | Trading Gains (Losses) for the Three Months Ended | Trading Gains (Losses) for the Three Months Ended | ||||||||||||
Futures trading gains (losses): | ||||||||||||||||
Realized*** | $ | 36,584,227 | $ | 23,052,906 | ||||||||||||
Realized** | $ | (160,765) | $ | 18,034,874 | ||||||||||||
Change in unrealized | 1,875,344 | (6,470,165 | ) | 2,736,471 | 2,645,634 | |||||||||||
Forward currency trading gains (losses): | ||||||||||||||||
Realized*** | 22,570,322 | 5,664,738 | ||||||||||||||
Realized** | 4,834,358 | 3,212,003 | ||||||||||||||
Change in unrealized | 7,113,196 | 833,980 | (238,292) | 4,297,613 | ||||||||||||
Swap trading gains (losses): | ||||||||||||||||
Realized | 1,392,044 | (1,400,319 | ) | 1,050,410 | (279,046 | ) | ||||||||||
Change in unrealized | 405,101 | (339,513 | ) | (1,223,427) | 471,849 | |||||||||||
Total | $ | 69,940,234 | $ | 21,341,627 | $ | 6,998,755 | $ | 28,382,927 |
** | 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. | $ | 8,614,947 | $ | (6,545,602 | ) | $ | 2,069,345 | Goldman, Sachs & Co. | $ | 8,820,359 | $ | (5,125,234 | ) | $ | 3,695,125 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 24,369,684 | (18,051,037 | ) | 6,318,647 | NatWest Markets Plc | 14,172,952 | (13,719,810 | ) | 453,142 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 943,438 | (943,438 | ) | 0 | |||||||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 1,364,422 | (1,364,422 | ) | 0 | |||||||||||||||||||||
Total derivatives | $ | 33,928,069 | $ | (25,540,077 | ) | $ | 8,387,992 | $ | 24,357,733 | $ | (20,209,466 | ) | $ | 4,148,267 |
Derivative Assets and Collateral Received by Counterparty | |||||||||
As of March 31, 2023 |
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 | ||||||||||||
Goldman, Sachs & Co. | $ | 3,695,125 | $ | 0 | $ | 0 | $ | 3,695,125 | ||||||||
NatWest Markets Plc | 453,142 | 0 | 0 | 453,142 | ||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 4,148,267 | $ | 0 | $ | 0 | $ | 4,148,267 |
Offsetting of Derivative Liabilities by Counterparty |
As of March 31, 2023 |
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 | |||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 5,125,234 | $ | (5,125,234 | ) | $ | 0 | |||||
Forward currency contracts | NatWest Markets Plc | 13,719,810 | (13,719,810 | ) | 0 | ||||||||
Centrally cleared swap contracts* | Centrally Cleared | 2,993,584 | (1,364,422 | ) | 1,629,162 | ||||||||
Total derivatives | $ | 21,838,628 | $ | (20,209,466 | ) | $ | 1,629,162 |
* | 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. |
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 | ||||||||||||
Goldman, Sachs & Co. | $ | 2,069,345 | $ | 0 | $ | 0 | $ | 2,069,345 | ||||||||
NatWest Markets Plc | 6,318,647 | 0 | 0 | 6,318,647 | ||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 8,387,992 | $ | 0 | $ | 0 | $ | 8,387,992 |
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 | |||||||||
Futures contracts | Goldman, Sachs & Co. | $ | 6,545,602 | $ | (6,545,602 | ) | $ | 0 | |||||
Forward currency contracts | NatWest Markets Plc | 18,051,037 | (18,051,037 | ) | 0 | ||||||||
Centrally cleared swap contracts | Centrally Cleared | 1,038,332 | (943,438 | ) | 94,894 | ||||||||
Total derivatives | $ | 25,634,971 | $ | (25,540,077 | ) | $ | 94,894 |
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 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Centrally Cleared | 94,894 | 0 | (94,894) | 0 | 1,629,162 | 0 | (1,629,162) | 0 | ||||||||||||||||||||||||
Total | $ | 94,894 | $ | 0 | $ | (94,894 | ) | $ | 0 | $ | 1,629,162 | $ | 0 | $ | (1,629,162) | $ | 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. | $ | 5,632,928 | $ | (5,438,927 | ) | $ | 194,001 | Goldman, Sachs & Co. | $ | 7,750,705 | $ | (6,792,051 | ) | $ | 958,654 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 6,779,979 | (6,779,979 | ) | 0 | NatWest Markets Plc | 8,245,050 | (7,553,616 | ) | 691,434 | ||||||||||||||||
Centrally cleared swap contracts* | Centrally Cleared | 1,649,303 | (216,558 | ) | 1,432,745 | Centrally Cleared | 1,924,378 | (639,427 | ) | 1,284,951 | ||||||||||||||||
Total derivatives | $ | 14,062,210 | $ | (12,435,464 | ) | $ | 1,626,746 | $ | 17,920,133 | $ | (14,985,094 | ) | $ | 2,935,039 |
* | 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. | $ | 194,001 | $ | 0 | $ | 0 | $ | 194,001 | $ | 958,654 | $ | 0 | $ | 0 | $ | 958,654 | ||||||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | 691,434 | 0 | 0 | 691,434 | ||||||||||||||||||||||||
Centrally Cleared | 1,432,745 | 0 | 0 | 1,432,745 | 1,284,951 | 0 | 0 | 1,284,951 | ||||||||||||||||||||||||
Total | $ | 1,626,746 | $ | 0 | $ | 0 | $ | 1,626,746 | $ | 2,935,039 | $ | 0 | $ | 0 | $ | 2,935,039 |
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. | $ | 5,438,927 | $ | (5,438,927 | ) | $ | 0 | Goldman, Sachs & Co. | $ | 6,792,051 | $ | (6,792,051 | ) | $ | 0 | ||||||||||
Forward currency contracts | NatWest Markets Plc | 7,574,528 | (6,779,979 | ) | 794,549 | NatWest Markets Plc | 7,553,616 | (7,553,616 | ) | 0 | ||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 216,558 | (216,558 | ) | 0 | Centrally Cleared | 639,427 | (639,427 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 13,230,013 | $ | (12,435,464 | ) | $ | 794,549 | $ | 14,985,094 | $ | (14,985,094 | ) | $ | 0 |
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 | 794,549 | 0 | (794,549) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 794,549 | $ | 0 | $ | (794,549) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Sector | % Gain (Loss) | |||
Credit | )% | |||
Foreign Exchange | 2.88 | % | ||
Commodities | % | |||
Interest Rates | 0.63 | % | ||
Equity Indices | 0.15 | % | ||
4.25 | % |
Sector | % Gain (Loss) | |||
Credit | 0.00 | % | ||
Commodities | 10.38 | % | ||
Foreign Exchange | % | |||
Interest Rates | % | |||
Equity Indices | % | |||
% |
September 30, 2022 | March 31, 2023 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.04 | % | 1.10 | % | 0.24 | % | (0.38 | )% | ||||||||
Commodities | 0.57 | % | 12.26 | % | 0.61 | % | 0.97 | % | ||||||||
Foreign Exchange | 1.00 | % | 22.47 | % | 0.67 | % | 2.88 | % | ||||||||
Interest Rates | 0.65 | % | 15.89 | % | 1.43 | % | 0.63 | % | ||||||||
Equity Indices | 0.37 | % | 2.41 | % | 0.66 | % | 0.15 | % | ||||||||
Aggregate/Total | 1.68 | % | 54.13 | % | 2.35 | % | 4.25 | % |
* | 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, 2021 | December 31, 2022 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.07 | % | (0.61 | )% | 0.09 | % | 1.52 | % | ||||||||
Commodities | 0.91 | % | 10.99 | % | 0.54 | % | 9.43 | % | ||||||||
Foreign Exchange | 0.90 | % | 8.09 | % | 1.15 | % | 20.25 | % | ||||||||
Interest Rates | 0.58 | % | (10.04 | )% | 0.98 | % | 16.46 | % | ||||||||
Equity Indices | 0.92 | % | 8.70 | % | 0.53 | % | 1.06 | % | ||||||||
Aggregate/Total | 2.09 | % | 17.12 | % | 1.66 | % | 48.72 | % |
* | 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 Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of | ||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
(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 Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of | ||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. (Registrant) | |||
By: | Campbell & Company, LP | ||
General Partner | |||
Date: | By: | /s/ Kevin D. Cole | |
Kevin D. Cole | |||
Chief Executive Officer & Chief Investment Officer |