Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2015shares | |
Document And Entity Information [Abstract] | |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Sep. 30, 2015 |
Document Fiscal Year Focus | 2,015 |
Document Fiscal Period Focus | Q3 |
Trading Symbol | CK0001168990 |
Entity Registrant Name | SUPERFUND GREEN, L.P. |
Entity Central Index Key | 1,168,990 |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Smaller Reporting Company |
Entity Common Stock, Shares Outstanding | 0 |
STATEMENTS OF ASSETS AND LIABIL
STATEMENTS OF ASSETS AND LIABILITIES - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Due from brokers | $ 4,974,607 | $ 8,221,595 |
Unrealized gain on futures contracts purchased | 328,261 | 927,412 |
Unrealized gain on futures contracts sold | 624,838 | 627,584 |
Cash | 11,180,939 | 12,702,894 |
Total assets | 17,108,645 | 22,479,485 |
LIABILITIES | ||
Unrealized loss on futures contracts purchased | 705,164 | 681,201 |
Unrealized loss on futures contracts sold | 220,553 | 154,403 |
Redemptions payable | 218,574 | 991,842 |
Management fees payable | 25,017 | 33,459 |
Fees payable | 12,291 | 16,069 |
Total liabilities | 1,181,599 | 1,876,974 |
NET ASSETS | 15,927,046 | 20,602,511 |
SERIES A | ||
ASSETS | ||
Due from brokers | 1,735,413 | 3,032,505 |
Unrealized gain on futures contracts purchased | 133,774 | 341,117 |
Unrealized gain on futures contracts sold | 247,437 | 237,325 |
Cash | 6,211,776 | 7,217,637 |
Total assets | 8,328,400 | 10,828,584 |
LIABILITIES | ||
Unrealized loss on futures contracts purchased | 277,158 | 251,096 |
Unrealized loss on futures contracts sold | 94,240 | 58,750 |
Redemptions payable | 49,512 | 591,594 |
Management fees payable | 12,298 | 16,258 |
Fees payable | 7,620 | 9,450 |
Total liabilities | 440,828 | 927,148 |
NET ASSETS | $ 7,887,572 | $ 9,901,436 |
Number of Units outstanding | 6,822.628 | 7,713.806 |
Net Asset Value per Unit | $ 1,156.09 | $ 1,283.60 |
SERIES B | ||
ASSETS | ||
Due from brokers | $ 3,239,194 | $ 5,189,090 |
Unrealized gain on futures contracts purchased | 194,487 | 586,295 |
Unrealized gain on futures contracts sold | 377,401 | 390,259 |
Cash | 4,969,163 | 5,485,257 |
Total assets | 8,780,245 | 11,650,901 |
LIABILITIES | ||
Unrealized loss on futures contracts purchased | 428,006 | 430,105 |
Unrealized loss on futures contracts sold | 126,313 | 95,653 |
Redemptions payable | 169,062 | 400,248 |
Management fees payable | 12,719 | 17,201 |
Fees payable | 4,671 | 6,619 |
Total liabilities | 740,771 | 949,826 |
NET ASSETS | $ 8,039,474 | $ 10,701,075 |
Number of Units outstanding | 6,278.839 | 7,316.097 |
Net Asset Value per Unit | $ 1,280.41 | $ 1,462.68 |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Investment Income | |||||
Interest income | $ 340 | $ 576 | $ 1,115 | $ 2,114 | |
Other income | 7 | 14 | |||
Total investment income | 340 | 583 | 1,115 | 2,128 | |
Expenses | |||||
Selling commission | 169,657 | 222,965 | 574,617 | 735,446 | |
Brokerage commissions | 66,393 | 110,951 | 202,812 | 436,376 | |
Management fee | 78,466 | 103,122 | 265,760 | 340,144 | |
Ongoing offering expenses | 66,809 | ||||
Operating expenses | 6,362 | 8,361 | 21,549 | 27,581 | |
Other | 7,883 | 5,807 | 27,550 | 10,478 | |
Total expenses | 328,761 | 451,206 | 1,092,288 | 1,616,834 | |
Net investment loss | (328,421) | (450,623) | (1,091,173) | (1,614,706) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | (835,551) | 1,645,756 | (191,439) | 2,895,900 | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 140,109 | 164,519 | (692,007) | (420,301) | |
Net gain (loss) on investments | (695,442) | 1,810,275 | (883,446) | 2,475,599 | |
Net increase (decrease) in net assets from operations | (1,023,863) | 1,359,652 | (1,974,619) | 860,893 | |
SERIES A | |||||
Investment Income | |||||
Interest income | 101 | 207 | 379 | 801 | |
Other income | 3 | ||||
Total investment income | 101 | 207 | 379 | 804 | |
Expenses | |||||
Selling commission | 82,960 | 107,380 | 276,904 | 351,673 | |
Brokerage commissions | 25,570 | 42,697 | 73,604 | 167,583 | |
Management fee | 38,369 | 49,664 | 128,068 | 162,649 | |
Ongoing offering expenses | 31,599 | ||||
Operating expenses | 3,111 | 4,027 | 10,384 | 13,189 | |
Other | 3,545 | 2,372 | 11,387 | 4,297 | |
Total expenses | 153,555 | 206,140 | 500,347 | 730,990 | |
Net investment loss | (153,454) | (205,933) | (499,968) | (730,186) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | (297,557) | 671,825 | (116,203) | 1,105,499 | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 34,114 | 32,570 | (258,781) | (163,064) | |
Net gain (loss) on investments | (263,443) | 704,395 | (374,984) | 942,435 | |
Net increase (decrease) in net assets from operations | $ (416,897) | $ 498,462 | $ (874,952) | $ 212,249 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | [1] | $ (61.92) | $ 58.06 | $ (122.06) | $ 22.56 |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | [1] | $ (59.92) | $ 57.83 | $ (127.51) | $ 29.80 |
SERIES B | |||||
Investment Income | |||||
Interest income | $ 239 | $ 369 | $ 736 | $ 1,313 | |
Other income | 7 | 11 | |||
Total investment income | 239 | 376 | 736 | 1,324 | |
Expenses | |||||
Selling commission | 86,697 | 115,585 | 297,713 | 383,773 | |
Brokerage commissions | 40,823 | 68,254 | 129,208 | 268,793 | |
Management fee | 40,097 | 53,458 | 137,692 | 177,495 | |
Ongoing offering expenses | 35,210 | ||||
Operating expenses | 3,251 | 4,334 | 11,165 | 14,392 | |
Other | 4,338 | 3,435 | 16,163 | 6,181 | |
Total expenses | 175,206 | 245,066 | 591,941 | 885,844 | |
Net investment loss | (174,967) | (244,690) | (591,205) | (884,520) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | (537,994) | 973,931 | (75,236) | 1,790,401 | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 105,995 | 131,949 | (433,226) | (257,237) | |
Net gain (loss) on investments | (431,999) | 1,105,880 | (508,462) | 1,533,164 | |
Net increase (decrease) in net assets from operations | $ (606,966) | $ 861,190 | $ (1,099,667) | $ 648,644 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | [2] | $ (97.38) | $ 104.22 | $ (165.82) | $ 69.02 |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | [2] | $ (94.77) | $ 102.68 | $ (182.27) | $ 83.73 |
[1] | Weighted average number of Units outstanding for Series A for the three months ended September 30, 2015 and September 30, 2014: 6,732.97 and 8,585.77, respectively; and for the nine months ended September 30, 2015 and September 30, 2014: 7,168.34 and 9,408.27, respectively. | ||||
[2] | Weighted average number of Units outstanding for Series B for the three months ended September 30, 2015 and September 30, 2014: 6,233.22 and 8,262.87, respectively; and for the nine months ended September 30, 2015 and September 30, 2014: 6,631.60 and 9,397.93, respectively. |
STATEMENTS OF CASH FLOWS
STATEMENTS OF CASH FLOWS - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | $ (1,974,619) | $ 860,893 |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 3,246,988 | 7,844,221 |
Decrease in futures contracts purchased | 623,114 | 820,453 |
Decrease in unrealized depreciation on open forward contracts | (44) | |
Increase (decrease) in futures contracts sold | 68,896 | (400,108) |
Decrease in management fees payable | (8,442) | (10,449) |
Decrease in fees payable | (3,778) | (33,516) |
Net cash provided by operating activities | 1,952,159 | 9,081,450 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 460,968 | 811,597 |
Redemptions, net of change in redemptions payable | (3,935,082) | (8,391,758) |
Net cash used in financing activities | (3,474,114) | (7,580,161) |
Net increase (decrease) in cash | (1,521,955) | 1,501,289 |
Cash, beginning of period | 12,702,894 | 11,990,898 |
Cash, end of period | 11,180,939 | 13,492,187 |
SERIES A | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | (874,952) | 212,249 |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 1,297,092 | 3,441,359 |
Decrease in futures contracts purchased | 233,405 | 301,087 |
Decrease in unrealized depreciation on open forward contracts | (12) | |
Increase (decrease) in futures contracts sold | 25,378 | (138,011) |
Decrease in management fees payable | (3,960) | (4,345) |
Decrease in fees payable | (1,830) | (15,494) |
Net cash provided by operating activities | 675,133 | 3,796,833 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 206,542 | 501,619 |
Redemptions, net of change in redemptions payable | (1,887,536) | (3,506,505) |
Net cash used in financing activities | (1,680,994) | (3,004,886) |
Net increase (decrease) in cash | (1,005,861) | 791,947 |
Cash, beginning of period | 7,217,637 | 6,593,319 |
Cash, end of period | 6,211,776 | 7,385,266 |
SERIES B | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | (1,099,667) | 648,644 |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 1,949,896 | 4,402,862 |
Decrease in futures contracts purchased | 389,709 | 519,366 |
Decrease in unrealized depreciation on open forward contracts | (32) | |
Increase (decrease) in futures contracts sold | 43,518 | (262,097) |
Decrease in management fees payable | (4,482) | (6,104) |
Decrease in fees payable | (1,948) | (18,022) |
Net cash provided by operating activities | 1,277,026 | 5,284,617 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 254,426 | 309,978 |
Redemptions, net of change in redemptions payable | (2,047,546) | (4,885,253) |
Net cash used in financing activities | (1,793,120) | (4,575,275) |
Net increase (decrease) in cash | (516,094) | 709,342 |
Cash, beginning of period | 5,485,257 | 5,397,579 |
Cash, end of period | $ 4,969,163 | $ 6,106,921 |
STATEMENTS OF OPERATIONS (Paren
STATEMENTS OF OPERATIONS (Parenthetical) - shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
SERIES A | ||||
Weighted average number of Units outstanding | 6,732.97 | 8,585.77 | 7,168.34 | 9,408.27 |
SERIES B | ||||
Weighted average number of Units outstanding | 6,233.22 | 8,262.87 | 6,631.60 | 9,397.93 |
Nature of operations
Nature of operations | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Nature of operations | 1. Nature of operations Organization and Business Superfund Green, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States (“U.S.”) and international commodity futures and forward markets using a fully-automated computerized trading system. The Fund has issued two classes of units (“Units”), Series A and Series B (each, a “Series”). The two Series are traded and managed the same way except for the degree of leverage. The terms of Series A and Series B each shall continue until December 31, 2050, unless the applicable Series is terminated earlier by the Fund’s general partner, Superfund Capital Management, Inc. (“Superfund Capital Management”) or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000. |
Basis of presentation and signi
Basis of presentation and significant accounting policies | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of presentation and significant accounting policies | 2. Basis of presentation and significant accounting policies Basis of Presentation The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2014. Valuation of Investments in Futures Contracts and Forward Contracts All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes. Translation of Foreign Currency Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations. Investment Transactions, Investment Income and Expenses Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet Set forth herein are instruments and transactions eligible for offset in the statements of assets and liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of September 30, 2015, the Fund had on deposit $2,254,391 at ADM Investor Services, Inc. and $2,720,216 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2015, Series A had on deposit $718,045 at ADM Investor Services, Inc. and $1,017,368 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2015, Series B had on deposit $1,536,346 at ADM Investor Services, Inc. and $1,702,848 at Merrill Lynch, Pierce, Fenner & Smith Inc. Income Taxes The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital Management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Recently Issued Accounting Pronouncements ASU 2011-11 In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s financial statements. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 3. Fair Value Measurements The Fund follows ASC 820, Fair Value Measurements and Disclosures Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2: Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly; Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Derivative Contracts. OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. There were no forward or spot foreign currency contracts held by the Fund at June 30, 2015 or December 31, 2014. Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at September 30, 2015 or December 31, 2014 or during the periods then ended. The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2015 and December 31, 2014: Superfund Green, L.P. Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 624,838 $ 624,838 $ — $ — Futures contracts purchased 328,261 328,261 — — Total Assets Measured at Fair Value $ 953,099 $ 953,099 $ — $ — LIABILITIES Futures contracts sold $ 220,553 $ 220,553 $ — $ — Futures contracts purchased 705,164 705,164 — — Total Liabilities Measured at Fair Value $ 925,717 $ 925,717 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 627,584 $ 627,584 $ — $ — Futures contracts purchased 927,412 927,412 — — Total Assets Measured at Fair Value $ 1,554,996 $ 1,554,996 $ — $ — LIABILITIES Futures contracts sold $ 154,403 $ 154,403 $ — $ — Futures contracts purchased 681,201 681,201 — — Total Liabilities Measured at Fair Value $ 835,604 $ 835,604 $ — $ — Superfund Green, L.P. – Series A Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 247,437 $ 247,437 $ — $ — Futures contracts purchased 133,774 133,774 — — Total Assets Measured at Fair Value $ 381,211 $ 381,211 $ — $ — LIABILITIES Futures contracts sold $ 94,240 $ 94,240 $ — $ — Futures contracts purchased 277,158 277,158 — — Total Liabilities Measured at Fair Value $ 371,398 $ 371,398 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 237,325 $ 237,325 $ — $ — Futures contracts purchased 341,117 341,117 — — Total Assets Measured at Fair Value $ 578,442 $ 578,442 $ — $ — LIABILITIES Futures contracts sold $ 58,750 $ 58,750 $ — $ — Futures contracts purchased 251,096 251,096 — — Total Liabilities Measured at Fair Value $ 309,846 $ 309,846 $ — $ — Superfund Green, L.P. – Series B Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 377,401 $ 377,401 $ — $ — Futures contracts purchased 194,487 194,487 — — Total Assets Measured at Fair Value $ 571,888 $ 571,888 $ — $ — LIABILITIES Futures contracts sold $ 126,313 $ 126,313 $ — $ — Futures contracts purchased 428,006 428,006 — — Total Liabilities Measured at Fair Value $ 554,319 $ 554,319 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 390,259 $ 390,259 $ — $ — Futures contracts purchased 586,295 586,295 — — Total Assets Measured at Fair Value $ 976,554 $ 976,554 $ — $ — LIABILITIES Futures contracts sold $ 95,653 $ 95,653 $ — $ — Futures contracts purchased 430,105 430,105 — — Total Liabilities Measured at Fair Value $ 525,758 $ 525,758 $ — $ — |
Disclosure of Derivative Instru
Disclosure of Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Disclosure of Derivative Instruments and Hedging Activities | 4. Disclosure of derivative instruments and hedging activities The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the statements of operations. The Fund engages in the speculative trading of futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock, and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on futures contracts purchased and futures contracts sold. Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and unrealized gain (loss) on investments in the statements of operations. Superfund Capital Management believes futures trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows: Superfund Green, L.P. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 328,261 $ (705,164 ) $ (376,903 ) Futures contracts Futures contracts sold 624,838 (220,553 ) 404,285 Totals $ 953,099 $ (925,717 ) $ 27,382 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 927,412 $ (681,201 ) $ 246,211 Futures contracts Futures contracts sold 627,584 (154,403 ) 473,181 Totals $ 1,554,996 $ (835,604 ) $ 719,392 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Gross Amounts Not Offset in the Statement of Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ (86,082 ) $ — $ — $ (86,082 ) Merrill Lynch 113,464 — — 113,464 Totals $ 27,382 $ — $ — $ 27,382 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ 74,729 $ — $ — $ 74,729 Barclays Capital 594,459 — — 594,459 Merrill Lynch 50,204 — — 50,204 Totals $ 719,392 $ — $ — $ 719,392 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (11,841 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (823,710 ) 140,109 Total $ (835,551 ) $ 140,109 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 32,932 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (224,371 ) (692,008 ) Total $ (191,439 ) $ (692,008 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Recognized in Income Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (38,258 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 1,684,014 164,519 Total $ 1,645,756 $ 164,519 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (217,135 ) $ 44 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 3,113,035 (420,345 ) Total $ 2,895,900 $ (420,301 ) Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (62,962 ) (0.4 ) $ 41,983 0.3 $ (20,819 ) (0.1 ) $ (41,798 ) Financial 121,428 0.8 (44,420 ) (0.3 ) 30 0.0 * (34,230 ) (0.2 ) 42,808 Food & Fiber 80,285 0.5 (129,023 ) (0.8 ) 163,816 1.0 (98,766 ) (0.6 ) 16,312 Indices 101,827 0.6 (238,926 ) (1.5 ) 90,891 0.6 (27,172 ) (0.2 ) (73,380 ) Metals 21,210 0.1 (86,880 ) (0.5 ) 56,614 0.4 (36,320 ) (0.2 ) (45,376 ) Energy 3,141 0.0 * (68,593 ) (0.4 ) 201,155 1.3 (3,247 ) (0.0 )* 132,456 Livestock 370 0.0 * (74,360 ) (0.5 ) 70,350 0.4 — — (3,640 ) Totals $ 328,261 2.0 $ (705,164 ) (4.4 ) $ 624,839 4.0 $ (220,554 ) (1.3 ) $ 27,382 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 2,110 0.0 * $ — — $ 79,895 0.4 $ (256 ) (0.0 )* $ 81,749 Financial 516,998 2.4 (25,961 ) (0.1 ) — — (12,202 ) (0.1 ) 478,835 Food & Fiber 36,790 0.2 (89,576 ) (0.4 ) 107,005 0.5 (32,364 ) (0.1 ) 21,855 Indices 312,438 1.4 (18,098 ) (0.1 ) 3,206 0.0 * (104,507 ) (0.5 ) 193,039 Metals 55,851 0.3 (174,000 ) (0.8 ) 219,636 1.0 (5,075 ) (0.0 )* 96,412 Livestock 3,090 0.0 * (213,200 ) (1.0 ) — — — — (210,110 ) Energy 134 0.0 * (160,365 ) (0.7 ) 217,843 1.0 — — 57,612 Totals $ 927,411 4.3 $ (681,200 ) (3.1 ) $ 627,585 2.9 $ (154,404 ) (0.7 ) $ 719,392 * Due to rounding – amount is less than 0.05% Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 41 255 Financial 629 273 Food & Fiber 233 230 Indices 566 757 Metals 242 322 Energy 144 256 Livestock 115 13 Total 1,970 2,106 * Based on quarterly holdings Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 683 469 Financial 3,082 364 Food & Fiber 52 175 Indices 1,502 147 Metals 613 199 Energy 267 216 Livestock 73 6 Total 6,272 1,576 * Based on quarterly holdings Superfund Green, L.P. trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (11,841 ) $ — $ (11,841 ) Currency 98,969 (89,406 ) 9,563 Financial 106,471 12,993 119,464 Food & Fiber (156,185 ) (58,007 ) (214,192 ) Indices (766,950 ) 27,147 (739,803 ) Metals 211,325 5,483 216,808 Livestock (295,070 ) 80,900 (214,170 ) Energy (22,270 ) 160,999 138,729 Total net trading gains (losses) $ (835,551 ) $ 140,109 $ (695,442 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 32,932 $ — $ 32,932 Currency 449,176 (123,547 ) 325,629 Financial (313,939 ) (436,026 ) (749,965 ) Food & Fiber (251,813 ) (5,543 ) (257,356 ) Indices 315,853 (266,420 ) 49,433 Metals 486,407 (141,788 ) 344,619 Livestock (907,080 ) 206,470 (700,610 ) Energy (2,975 ) 74,844 71,869 Total net trading losses $ (191,439 ) $ (692,010 ) $ (883,449 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (38,258 ) $ — $ (38,258 ) Currency 287,964 33,719 321,683 Financial 718,490 10,280 728,770 Food & Fiber 521,021 64,986 586,007 Indices 536,075 (115,333 ) 420,742 Metals (187,031 ) 129,088 (57,943 ) Livestock 1,900 (25,380 ) (23,480 ) Energy (194,405 ) 67,159 (127,246 ) Total net trading gains $ 1,645,756 $ 164,519 $ 1,810,275 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (217,135 ) $ 44 $ (217,091 ) Currency (137,125 ) (61,407 ) (198,532 ) Financial 1,904,319 (74,366 ) 1,829,953 Food & Fiber 1,086,607 73,652 1,160,259 Indices 1,130,234 (691,362 ) 438,872 Metals (687,418 ) 98,701 (588,717 ) Livestock 492,230 60,140 552,370 Energy (675,812 ) 174,297 (501,515 ) Total net trading gains (losses) $ 2,895,900 $ (420,301 ) $ 2,475,599 Superfund Green, L.P. – Series A The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 133,774 $ (277,158 ) $ (143,384 ) Futures contracts Futures contracts sold 247,437 (94,240 ) 153,197 Totals $ 381,211 $ (371,398 ) $ 9,813 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 341,117 $ (251,096 ) $ 90,021 Futures contracts Futures contracts sold 237,325 (58,750 ) 178,575 Totals $ 578,442 $ (309,846 ) $ 268,596 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ (38,142 ) $ — $ — $ (38,142 ) Merrill Lynch 47,954 — — 47,954 Totals $ 9,812 $ — $ — $ 9,812 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ 29,364 $ — $ — $ 29,364 Barclays Capital 221,708 — — 221,708 Merrill Lynch 17,524 — — 17,524 Totals $ 268,596 $ — $ — $ 268,596 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (5,259 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (292,298 ) 34,114 Total $ (297,557 ) $ 34,114 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 10,552 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (126,755 ) (258,781 ) Total $ (116,203 ) $ (258,781 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (14,345 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 686,170 32,570 Total $ 671,825 $ 32,570 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (82,436 ) $ 12 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 1,187,935 (163,076 ) Total $ 1,105,499 $ (163,064 ) Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (25,081 ) (0.3 ) $ 16,744 0.2 $ (7,330 ) (0.1 ) $ (15,667 ) Financial 46,490 0.6 (16,065 ) (0.2 ) — — (17,240 ) (0.2 ) 13,185 Food & Fiber 31,937 0.4 (52,552 ) (0.7 ) 62,175 0.8 (40,195 ) (0.5 ) 1,365 Indices 37,192 0.5 (91,400 ) (1.2 ) 34,493 0.4 (10,570 ) (0.1 ) (30,285 ) Metals 16,893 0.2 (32,683 ) (0.4 ) 24,352 0.3 (17,445 ) (0.2 ) (8,883 ) Energy 1,062 0.0 * (28,147 ) (0.4 ) 82,733 1.0 (1,460 ) (0.0 )* 54,188 Livestock 200 0.0 * (31,230 ) (0.4 ) 26,940 0.3 — — (4,090 ) Totals $ 133,774 1.7 $ (277,158 ) (3.6 ) $ 247,437 3.0 $ (94,240 ) (1.1 ) $ 9,813 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ — — $ 29,064 0.3 $ (256 ) (0.0 )* $ 28,808 Financial 194,235 1.9 (9,820 ) (0.1 ) — — (4,331 ) (0.0 )* 180,084 Food & Fiber 15,355 0.1 (28,710 ) (0.3 ) 41,104 0.4 (13,563 ) (0.1 ) 14,186 Indices 108,901 1.0 (6,751 ) (0.1 ) 735 0.0 * (38,485 ) (0.4 ) 64,400 Metals 20,662 0.2 (67,465 ) (0.6 ) 85,212 0.8 (2,115 ) (0.0 )* 36,294 Livestock 1,830 0.0 * (80,300 ) (0.8 ) — — — — (78,470 ) Energy 134 0.0 * (58,050 ) (0.6 ) 81,210 0.8 — — 23,294 Totals $ 341,117 3.2 $ (251,096 ) (2.5 ) $ 237,325 2.3 $ (58,750 ) (0.5 ) $ 268,596 * Due to rounding – amount is less than 0.05% Series A average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 15 100 Financial 239 109 Food & Fiber 87 88 Indices 221 292 Metals 92 127 Energy 51 101 Livestock 45 5 Total 750 822 * Based on quarterly holdings Series A average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 265 181 Financial 1,197 146 Food & Fiber 21 63 Indices 568 58 Metals 238 71 Energy 98 80 Livestock 29 3 Total 2,416 602 * Based on quarterly holdings Series A trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,259 ) $ — $ (5,259 ) Currency 23,999 (32,926 ) (8,927 ) Financial 48,056 (2,049 ) 46,007 Food & Fiber (60,891 ) (28,889 ) (89,780 ) Indices (273,138 ) (2,964 ) (276,102 ) Metals 82,291 7,285 89,576 Livestock (111,390 ) 28,280 (83,110 ) Energy (1,225 ) 65,377 64,152 Total net trading gains (losses) $ (297,557 ) $ 34,114 $ (263,443 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 10,552 $ — $ 10,552 Currency 159,527 (44,475 ) 115,052 Financial (273,280 ) (166,898 ) (440,178 ) Food & Fiber (82,944 ) (12,821 ) (95,765 ) Indices (57,165 ) (94,685 ) (151,850 ) Metals 460,497 (45,175 ) 415,322 Livestock (343,320 ) 74,380 (268,940 ) Energy 9,930 30,893 40,823 Total net trading losses $ (116,203 ) $ (258,781 ) $ (374,984 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (14,345 ) $ — $ (14,345 ) Currency 106,204 3,973 110,177 Financial 270,608 4,789 275,397 Food & Fiber 197,423 24,438 221,861 Indices 209,090 (40,715 ) 168,375 Metals (67,265 ) 41,019 (26,246 ) Livestock 4,740 (12,380 ) (7,640 ) Energy (34,630 ) 11,446 (23,184 ) Total net trading gains $ 671,825 $ 32,570 $ 704,395 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (82,436 ) $ 12 $ (82,424 ) Currency (49,642 ) (29,340 ) (78,982 ) Financial 696,706 (37,076 ) 659,630 Food & Fiber 412,237 25,806 438,043 Indices 464,100 (251,062 ) 213,038 Metals (235,236 ) 40,996 (194,240 ) Livestock 173,510 23,100 196,610 Energy (273,740 ) 64,500 (209,240 ) Total net trading gains (losses) $ 1,105,499 $ (163,064 ) $ 942,435 Superfund Green, L.P. – Series B The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 194,487 $ (428,006 ) $ (233,519 ) Futures contracts Futures contracts sold 377,401 (126,313 ) 251,088 Totals $ 571,888 $ (554,319 ) $ 17,569 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statements of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 586,295 $ (430,105 ) $ 156,190 Futures contracts Futures contracts sold 390,259 (95,653 ) 294,606 Totals $ 976,554 $ (525,758 ) $ 450,796 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ (47,940 ) $ — $ — $ (47,940 ) Merrill Lynch 65,510 — — 65,510 Totals $ 17,570 $ — $ — $ 17,570 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ 45,365 $ — $ — $ 45,365 Barclays Capital 372,751 — — 372,751 Merrill Lynch 32,680 — — 32,680 Totals $ 450,796 $ — $ — $ 450,796 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (6,582 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (531,412 ) 105,995 Total $ (537,994 ) $ 105,995 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 22,380 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (97,616 ) (433,226 ) Total $ (75,236 ) $ (433,226 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (23,913 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 997,844 131,949 Total $ 973,931 $ 131,949 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (134,699 ) $ 32 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 1,925,100 (257,269 ) Total $ 1,790,401 $ (257,237 ) Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (37,881 ) (0.5 ) $ 25,239 0.3 $ (13,489 ) (0.2 ) $ (26,131 ) Financial 74,938 0.9 (28,355 ) (0.4 ) 30 0.0 * (16,990 ) (0.2 ) 29,623 Food & Fiber 48,348 0.6 (76,471 ) (1.0 ) 101,641 1.3 (58,571 ) (0.7 ) 14,947 Indices 64,635 0.8 (147,526 ) (1.8 ) 56,397 0.7 (16,602 ) (0.2 ) (43,096 ) Metals 4,317 0.1 (54,197 ) (0.7 ) 32,262 0.4 (18,875 ) (0.2 ) (36,493 ) Energy 2,079 0.0 * (40,446 ) (0.5 ) 118,422 1.5 (1,786 ) (0.0 )* 78,269 Livestock 170 0.0 * (43,130 ) (0.5 ) 43,410 0.5 — — 450 Totals $ 194,487 2.4 $ (428,006 ) (5.4 ) $ 377,401 4.7 $ (126,313 ) (1.5 ) $ 17,569 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 2,110 0.0 * $ — — $ 50,831 0.5 $ — — $ 52,941 Financial 322,763 2.9 (16,141 ) (0.1 ) — — (7,871 ) (0.1 ) 298,751 Food & Fiber 21,435 0.2 (60,866 ) (0.5 ) 65,901 0.6 (18,801 ) (0.2 ) 7,669 Indices 203,537 1.8 (11,347 ) (0.1 ) 2,471 0.0 * (66,022 ) (0.6 ) 128,639 Metals 35,189 0.3 (106,535 ) (1.0 ) 134,424 1.2 (2,960 ) (0.0 )* 60,118 Livestock 1,260 0.0 * (132,900 ) (1.2 ) — — — — (131,640 ) Energy — — (102,315 ) (0.9 ) 136,633 1.2 — — 34,318 Totals $ 586,294 5.2 $ (430,104 ) (3.8 ) $ 390,260 3.5 $ (95,654 ) (0.9 ) $ 450,796 * Due to rounding – amount is less than 0.05% Series B average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 26 155 Financial 390 164 Food & Fiber 146 142 Indices 345 465 Metals 150 195 Energy 93 155 Livestock 70 8 Total 1,220 1,284 * Based on quarterly holdings Series B average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 418 288 Financial 1,885 218 Food & Fiber 31 112 Indices 934 89 Metals 375 128 Energy 169 136 Livestock 44 3 Total 3,856 974 * Based on quarterly holdings Series B trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (6,582 ) $ — $ (6,582 ) Currency 74,970 (56,480 ) 18,490 Financial 58,415 15,042 73,457 Food & Fiber (95,294 ) (29,118 ) (124,412 ) Indices (493,812 ) 30,111 (463,701 ) Metals 129,034 (1,802 ) 127,232 Livestock (183,680 ) 52,620 (131,060 ) Energy (21,045 ) 95,622 74,577 Total net trading gains (losses) $ (537,994 ) $ 105,995 $ (431,999 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 22,380 $ — $ 22,380 Currency 289,649 (79,072 ) 210,577 Financial (40,659 ) (269,128 ) (309,787 ) Food & Fiber (168,869 ) 7,278 (161,591 ) Indices 373,018 (171,735 ) 201,283 Metals 25,910 (96,611 ) (70,701 ) Livestock (563,760 ) 132,090 (431,670 ) Energy (12,905 ) 43,951 31,046 Total net trading losses $ (75,236 ) $ (433,227 ) $ (508,463 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (23,913 ) $ — $ (23,913 ) Currency 181,760 29,746 211,506 Financial 447,882 5,491 453,373 Food & Fiber 323,598 40,548 364,146 Indices 326,985 (74,618 ) 252,367 Metals (119,766 ) 88,069 (31,697 ) Livestock (2,840 ) (13,000 ) (15,840 ) Energy (159,775 ) 55,713 (104,062 ) Total net trading gains $ 973,931 $ 131,949 $ 1,105,880 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (134,699 ) $ 32 $ (134,667 ) Currency (87,483 ) (32,067 ) (119,550 ) Financial 1,207,613 (37,290 ) 1,170,323 Food & Fiber 674,370 47,846 722,216 Indices 666,134 (440,300 ) 225,834 Metals (452,182 ) 57,705 (394,477 ) Livestock 318,720 37,040 355,760 Energy (402,072 ) 109,797 (292,275 ) Total net trading gains (losses) $ 1,790,401 $ (257,237 ) $ 1,533,164 |
Due from_to brokers
Due from/to brokers | 9 Months Ended |
Sep. 30, 2015 | |
Brokers and Dealers [Abstract] | |
Due from/to brokers | 5. Due from/to brokers Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of September 30, 2015 and December 31, 2014, there were no amounts due to brokers. In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. |
Allocation of net profits and l
Allocation of net profits and losses | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Allocation of net profits and losses | 6. Allocation of net profits and losses In accordance with the Fund’s Sixth Amended and Restated Limited Partnership Agreement, net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month. Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month. |
Related party transactions
Related party transactions | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related party transactions | 7. Related party transactions Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum), ongoing offering expenses equal to one-twelfth of 1% of month-end net assets (1% per annum), not to exceed the amount of actual expenses incurred, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, LLC, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fund as of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a “Limited Partner”) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units as of such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statements of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund. |
Financial highlights
Financial highlights | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial highlights | 8. Financial highlights Financial highlights for the period January 1 through September 30 are as follows: 2015 2014 Series A Series B Series A Series B Total Return* Total return before incentive fees (10.1 )% (12.4 )% 2.5 % 6.4 % Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees (10.1 )% (12.4 )% 2.5 % 6.4 % Ratios to average partners’ capital Operating expenses before incentive fees 5.5 % 6.1 % 6.2 % 6.9 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 5.5 % 6.1 % 6.2 % 6.9 % Net investment loss (5.5 )% (6.1 )% (6.2 )% (6.9 )% Net asset value per unit, beginning of period $ 1,283.60 $ 1,462.68 $ 1,215.27 $ 1,300.97 Net investment loss (69.45 ) (88.53 ) (74.48 ) (88.82 ) Net gain (loss) on investments (58.06 ) (93.74 ) 104.28 172.55 Net asset value per unit, end of period $ 1,156.09 $ 1,280.41 $ 1,245.07 $ 1,384.70 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) $ (122.06 ) $ (165.82 ) $ 22.56 $ 69.02 Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) $ (127.51 ) $ (182.27 ) $ 29.80 $ 83.73 Financial highlights for the period July 1 through September 30 are as follows: 2015 2014 Series A Series B Series A Series B Total Return* Total return before incentive fees (5.0 )% (6.9 )% 4.9 % 8.0 % Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees (5.0 )% (6.9 )% 4.9 % 8.0 % Ratios to average partners’ capital Operating expenses before incentive fees 1.9 % 2.0 % 1.9 % 2.1 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 1.9 % 2.0 % 1.9 % 2.1 % Net investment loss (1.9 )% (2.0 )% (1.9 )% (2.1 )% Net asset value per unit, beginning of period $ 1,216.01 $ 1,375.18 $ 1,187.24 $ 1,282.02 Net investment loss (22.19 ) (27.31 ) (23.29 ) (27.98 ) Net gain (loss) on investments (37.73 ) (67.46 ) 81.12 130.66 Net asset value per unit, end of period $ 1,156.09 $ 1,280.41 $ 1,245.07 $ 1,384.70 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) $ (61.92 ) $ (97.38 ) $ 58.06 $ 104.22 Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) $ (59.92 ) $ (94.77 ) $ 57.83 $ 102.68 * Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions. Financial highlights are calculated for each series taken as a whole. An individual partner’s return, per unit data, and ratios may vary based on the timing of capital transactions. |
Financial instrument risk
Financial instrument risk | 9 Months Ended |
Sep. 30, 2015 | |
Investments, All Other Investments [Abstract] | |
Financial instrument risk | 9. Financial instrument risk In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. For the Fund, gross unrealized gains and losses related to exchange-traded futures were $953,099 and $925,717, respectively, at September 30, 2015. For the Fund, gross unrealized gains and losses related to exchange-traded futures were $789,304 and $391,805, respectively at September 30, 2014. For Series A, gross unrealized gains and losses related to exchange-traded futures were $381,211 and $371,398, respectively, at September 30, 2015. For Series A, gross unrealized gains and losses related to exchange-traded futures were $274,841 and $144,854, respectively at September 30, 2014. For Series B, gross unrealized gains and losses related to exchange-traded futures were $571,888 and $554,319, respectively, at September 30, 2015. For Series B, gross unrealized gains and losses related to exchange-traded futures were $514,463 and $246,951, respectively at September 30, 2014. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc. Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit, and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions. The majority of these futures mature within one year of September 30, 2015 or September 30, 2014, respectively. However, due to the nature of the Fund’s business, these instruments may not be held to maturity. |
Subscriptions and redemptions
Subscriptions and redemptions | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Subscriptions and redemptions | 10. Subscriptions and redemptions Effective May 1, 2014, the Fund no longer accepts subscriptions. A Limited Partner may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $10,000. Limited Partners must transmit a written request of such redemption to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which the redemption is to be effective. Redemptions will generally be paid within twenty days after the effective date of the redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are subject of such default or delay. As provided in the Partnership Agreement, if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period. |
Indemnification
Indemnification | 9 Months Ended |
Sep. 30, 2015 | |
Text Block [Abstract] | |
Indemnification | 11. Indemnification In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote. |
Subsequent events
Subsequent events | 9 Months Ended |
Sep. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent events | 12. Subsequent events Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
Basis of presentation and sig18
Basis of presentation and significant accounting policies (Policies) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2014. |
Valuation of Investments in Futures Contracts and Forward Contracts | Valuation of Investments in Futures Contracts and Forward Contracts All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes. |
Translation of Foreign Currency | Translation of Foreign Currency Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations. |
Investment Transactions, Investment Income and Expenses | Investment Transactions, Investment Income and Expenses Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet Set forth herein are instruments and transactions eligible for offset in the statements of assets and liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of September 30, 2015, the Fund had on deposit $2,254,391 at ADM Investor Services, Inc. and $2,720,216 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2015, Series A had on deposit $718,045 at ADM Investor Services, Inc. and $1,017,368 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2015, Series B had on deposit $1,536,346 at ADM Investor Services, Inc. and $1,702,848 at Merrill Lynch, Pierce, Fenner & Smith Inc. |
Income Taxes | Income Taxes The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital Management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
Recently Issued Accounting Pronouncements | Recently Issued Accounting Pronouncements ASU 2011-11 In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-11, Disclosures about Offsetting Assets and Liabilities In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s financial statements. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Summary of Valuation of Fund's Assets and Liabilities | The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2015 and December 31, 2014: Superfund Green, L.P. Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 624,838 $ 624,838 $ — $ — Futures contracts purchased 328,261 328,261 — — Total Assets Measured at Fair Value $ 953,099 $ 953,099 $ — $ — LIABILITIES Futures contracts sold $ 220,553 $ 220,553 $ — $ — Futures contracts purchased 705,164 705,164 — — Total Liabilities Measured at Fair Value $ 925,717 $ 925,717 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 627,584 $ 627,584 $ — $ — Futures contracts purchased 927,412 927,412 — — Total Assets Measured at Fair Value $ 1,554,996 $ 1,554,996 $ — $ — LIABILITIES Futures contracts sold $ 154,403 $ 154,403 $ — $ — Futures contracts purchased 681,201 681,201 — — Total Liabilities Measured at Fair Value $ 835,604 $ 835,604 $ — $ — Superfund Green, L.P. – Series A Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 247,437 $ 247,437 $ — $ — Futures contracts purchased 133,774 133,774 — — Total Assets Measured at Fair Value $ 381,211 $ 381,211 $ — $ — LIABILITIES Futures contracts sold $ 94,240 $ 94,240 $ — $ — Futures contracts purchased 277,158 277,158 — — Total Liabilities Measured at Fair Value $ 371,398 $ 371,398 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 237,325 $ 237,325 $ — $ — Futures contracts purchased 341,117 341,117 — — Total Assets Measured at Fair Value $ 578,442 $ 578,442 $ — $ — LIABILITIES Futures contracts sold $ 58,750 $ 58,750 $ — $ — Futures contracts purchased 251,096 251,096 — — Total Liabilities Measured at Fair Value $ 309,846 $ 309,846 $ — $ — Superfund Green, L.P. – Series B Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 377,401 $ 377,401 $ — $ — Futures contracts purchased 194,487 194,487 — — Total Assets Measured at Fair Value $ 571,888 $ 571,888 $ — $ — LIABILITIES Futures contracts sold $ 126,313 $ 126,313 $ — $ — Futures contracts purchased 428,006 428,006 — — Total Liabilities Measured at Fair Value $ 554,319 $ 554,319 $ — $ — Balance Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 390,259 $ 390,259 $ — $ — Futures contracts purchased 586,295 586,295 — — Total Assets Measured at Fair Value $ 976,554 $ 976,554 $ — $ — LIABILITIES Futures contracts sold $ 95,653 $ 95,653 $ — $ — Futures contracts purchased 430,105 430,105 — — Total Liabilities Measured at Fair Value $ 525,758 $ 525,758 $ — $ — |
Disclosure of Derivative Inst20
Disclosure of Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 328,261 $ (705,164 ) $ (376,903 ) Futures contracts Futures contracts sold 624,838 (220,553 ) 404,285 Totals $ 953,099 $ (925,717 ) $ 27,382 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 927,412 $ (681,201 ) $ 246,211 Futures contracts Futures contracts sold 627,584 (154,403 ) 473,181 Totals $ 1,554,996 $ (835,604 ) $ 719,392 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Gross Amounts Not Offset in the Statement of Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ (86,082 ) $ — $ — $ (86,082 ) Merrill Lynch 113,464 — — 113,464 Totals $ 27,382 $ — $ — $ 27,382 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ 74,729 $ — $ — $ 74,729 Barclays Capital 594,459 — — 594,459 Merrill Lynch 50,204 — — 50,204 Totals $ 719,392 $ — $ — $ 719,392 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (11,841 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (823,710 ) 140,109 Total $ (835,551 ) $ 140,109 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 32,932 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (224,371 ) (692,008 ) Total $ (191,439 ) $ (692,008 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Recognized in Income Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (38,258 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 1,684,014 164,519 Total $ 1,645,756 $ 164,519 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) on Derivatives Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (217,135 ) $ 44 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 3,113,035 (420,345 ) Total $ 2,895,900 $ (420,301 ) |
Gross and Net Unrealized Gains and Losses by Long and Short Positions | Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (62,962 ) (0.4 ) $ 41,983 0.3 $ (20,819 ) (0.1 ) $ (41,798 ) Financial 121,428 0.8 (44,420 ) (0.3 ) 30 0.0 * (34,230 ) (0.2 ) 42,808 Food & Fiber 80,285 0.5 (129,023 ) (0.8 ) 163,816 1.0 (98,766 ) (0.6 ) 16,312 Indices 101,827 0.6 (238,926 ) (1.5 ) 90,891 0.6 (27,172 ) (0.2 ) (73,380 ) Metals 21,210 0.1 (86,880 ) (0.5 ) 56,614 0.4 (36,320 ) (0.2 ) (45,376 ) Energy 3,141 0.0 * (68,593 ) (0.4 ) 201,155 1.3 (3,247 ) (0.0 )* 132,456 Livestock 370 0.0 * (74,360 ) (0.5 ) 70,350 0.4 — — (3,640 ) Totals $ 328,261 2.0 $ (705,164 ) (4.4 ) $ 624,839 4.0 $ (220,554 ) (1.3 ) $ 27,382 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 2,110 0.0 * $ — — $ 79,895 0.4 $ (256 ) (0.0 )* $ 81,749 Financial 516,998 2.4 (25,961 ) (0.1 ) — — (12,202 ) (0.1 ) 478,835 Food & Fiber 36,790 0.2 (89,576 ) (0.4 ) 107,005 0.5 (32,364 ) (0.1 ) 21,855 Indices 312,438 1.4 (18,098 ) (0.1 ) 3,206 0.0 * (104,507 ) (0.5 ) 193,039 Metals 55,851 0.3 (174,000 ) (0.8 ) 219,636 1.0 (5,075 ) (0.0 )* 96,412 Livestock 3,090 0.0 * (213,200 ) (1.0 ) — — — — (210,110 ) Energy 134 0.0 * (160,365 ) (0.7 ) 217,843 1.0 — — 57,612 Totals $ 927,411 4.3 $ (681,200 ) (3.1 ) $ 627,585 2.9 $ (154,404 ) (0.7 ) $ 719,392 * Due to rounding – amount is less than 0.05% |
Average Contract Volume by Market Sector | Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 41 255 Financial 629 273 Food & Fiber 233 230 Indices 566 757 Metals 242 322 Energy 144 256 Livestock 115 13 Total 1,970 2,106 * Based on quarterly holdings Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 683 469 Financial 3,082 364 Food & Fiber 52 175 Indices 1,502 147 Metals 613 199 Energy 267 216 Livestock 73 6 Total 6,272 1,576 * Based on quarterly holdings |
Funds Trading Results by Market Sector | Superfund Green, L.P. trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (11,841 ) $ — $ (11,841 ) Currency 98,969 (89,406 ) 9,563 Financial 106,471 12,993 119,464 Food & Fiber (156,185 ) (58,007 ) (214,192 ) Indices (766,950 ) 27,147 (739,803 ) Metals 211,325 5,483 216,808 Livestock (295,070 ) 80,900 (214,170 ) Energy (22,270 ) 160,999 138,729 Total net trading gains (losses) $ (835,551 ) $ 140,109 $ (695,442 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 32,932 $ — $ 32,932 Currency 449,176 (123,547 ) 325,629 Financial (313,939 ) (436,026 ) (749,965 ) Food & Fiber (251,813 ) (5,543 ) (257,356 ) Indices 315,853 (266,420 ) 49,433 Metals 486,407 (141,788 ) 344,619 Livestock (907,080 ) 206,470 (700,610 ) Energy (2,975 ) 74,844 71,869 Total net trading losses $ (191,439 ) $ (692,010 ) $ (883,449 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (38,258 ) $ — $ (38,258 ) Currency 287,964 33,719 321,683 Financial 718,490 10,280 728,770 Food & Fiber 521,021 64,986 586,007 Indices 536,075 (115,333 ) 420,742 Metals (187,031 ) 129,088 (57,943 ) Livestock 1,900 (25,380 ) (23,480 ) Energy (194,405 ) 67,159 (127,246 ) Total net trading gains $ 1,645,756 $ 164,519 $ 1,810,275 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (217,135 ) $ 44 $ (217,091 ) Currency (137,125 ) (61,407 ) (198,532 ) Financial 1,904,319 (74,366 ) 1,829,953 Food & Fiber 1,086,607 73,652 1,160,259 Indices 1,130,234 (691,362 ) 438,872 Metals (687,418 ) 98,701 (588,717 ) Livestock 492,230 60,140 552,370 Energy (675,812 ) 174,297 (501,515 ) Total net trading gains (losses) $ 2,895,900 $ (420,301 ) $ 2,475,599 |
SERIES A | |
Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 133,774 $ (277,158 ) $ (143,384 ) Futures contracts Futures contracts sold 247,437 (94,240 ) 153,197 Totals $ 381,211 $ (371,398 ) $ 9,813 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 341,117 $ (251,096 ) $ 90,021 Futures contracts Futures contracts sold 237,325 (58,750 ) 178,575 Totals $ 578,442 $ (309,846 ) $ 268,596 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Net Amount of Assets in Counterparty the Statement of Assets Financial Instruments Cash Collateral Net Amount ADMIS $ (38,142 ) $ — $ — $ (38,142 ) Merrill Lynch 47,954 — — 47,954 Totals $ 9,812 $ — $ — $ 9,812 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ 29,364 $ — $ — $ 29,364 Barclays Capital 221,708 — — 221,708 Merrill Lynch 17,524 — — 17,524 Totals $ 268,596 $ — $ — $ 268,596 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (5,259 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (292,298 ) 34,114 Total $ (297,557 ) $ 34,114 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 10,552 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (126,755 ) (258,781 ) Total $ (116,203 ) $ (258,781 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (14,345 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 686,170 32,570 Total $ 671,825 $ 32,570 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (82,436 ) $ 12 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 1,187,935 (163,076 ) Total $ 1,105,499 $ (163,064 ) |
Gross and Net Unrealized Gains and Losses by Long and Short Positions | Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (25,081 ) (0.3 ) $ 16,744 0.2 $ (7,330 ) (0.1 ) $ (15,667 ) Financial 46,490 0.6 (16,065 ) (0.2 ) — — (17,240 ) (0.2 ) 13,185 Food & Fiber 31,937 0.4 (52,552 ) (0.7 ) 62,175 0.8 (40,195 ) (0.5 ) 1,365 Indices 37,192 0.5 (91,400 ) (1.2 ) 34,493 0.4 (10,570 ) (0.1 ) (30,285 ) Metals 16,893 0.2 (32,683 ) (0.4 ) 24,352 0.3 (17,445 ) (0.2 ) (8,883 ) Energy 1,062 0.0 * (28,147 ) (0.4 ) 82,733 1.0 (1,460 ) (0.0 )* 54,188 Livestock 200 0.0 * (31,230 ) (0.4 ) 26,940 0.3 — — (4,090 ) Totals $ 133,774 1.7 $ (277,158 ) (3.6 ) $ 247,437 3.0 $ (94,240 ) (1.1 ) $ 9,813 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ — — $ 29,064 0.3 $ (256 ) (0.0 )* $ 28,808 Financial 194,235 1.9 (9,820 ) (0.1 ) — — (4,331 ) (0.0 )* 180,084 Food & Fiber 15,355 0.1 (28,710 ) (0.3 ) 41,104 0.4 (13,563 ) (0.1 ) 14,186 Indices 108,901 1.0 (6,751 ) (0.1 ) 735 0.0 * (38,485 ) (0.4 ) 64,400 Metals 20,662 0.2 (67,465 ) (0.6 ) 85,212 0.8 (2,115 ) (0.0 )* 36,294 Livestock 1,830 0.0 * (80,300 ) (0.8 ) — — — — (78,470 ) Energy 134 0.0 * (58,050 ) (0.6 ) 81,210 0.8 — — 23,294 Totals $ 341,117 3.2 $ (251,096 ) (2.5 ) $ 237,325 2.3 $ (58,750 ) (0.5 ) $ 268,596 * Due to rounding – amount is less than 0.05% |
Average Contract Volume by Market Sector | Series A average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 15 100 Financial 239 109 Food & Fiber 87 88 Indices 221 292 Metals 92 127 Energy 51 101 Livestock 45 5 Total 750 822 * Based on quarterly holdings Series A average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 265 181 Financial 1,197 146 Food & Fiber 21 63 Indices 568 58 Metals 238 71 Energy 98 80 Livestock 29 3 Total 2,416 602 * Based on quarterly holdings |
Funds Trading Results by Market Sector | Series A trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,259 ) $ — $ (5,259 ) Currency 23,999 (32,926 ) (8,927 ) Financial 48,056 (2,049 ) 46,007 Food & Fiber (60,891 ) (28,889 ) (89,780 ) Indices (273,138 ) (2,964 ) (276,102 ) Metals 82,291 7,285 89,576 Livestock (111,390 ) 28,280 (83,110 ) Energy (1,225 ) 65,377 64,152 Total net trading gains (losses) $ (297,557 ) $ 34,114 $ (263,443 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 10,552 $ — $ 10,552 Currency 159,527 (44,475 ) 115,052 Financial (273,280 ) (166,898 ) (440,178 ) Food & Fiber (82,944 ) (12,821 ) (95,765 ) Indices (57,165 ) (94,685 ) (151,850 ) Metals 460,497 (45,175 ) 415,322 Livestock (343,320 ) 74,380 (268,940 ) Energy 9,930 30,893 40,823 Total net trading losses $ (116,203 ) $ (258,781 ) $ (374,984 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (14,345 ) $ — $ (14,345 ) Currency 106,204 3,973 110,177 Financial 270,608 4,789 275,397 Food & Fiber 197,423 24,438 221,861 Indices 209,090 (40,715 ) 168,375 Metals (67,265 ) 41,019 (26,246 ) Livestock 4,740 (12,380 ) (7,640 ) Energy (34,630 ) 11,446 (23,184 ) Total net trading gains $ 671,825 $ 32,570 $ 704,395 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (82,436 ) $ 12 $ (82,424 ) Currency (49,642 ) (29,340 ) (78,982 ) Financial 696,706 (37,076 ) 659,630 Food & Fiber 412,237 25,806 438,043 Indices 464,100 (251,062 ) 213,038 Metals (235,236 ) 40,996 (194,240 ) Livestock 173,510 23,100 196,610 Energy (273,740 ) 64,500 (209,240 ) Total net trading gains (losses) $ 1,105,499 $ (163,064 ) $ 942,435 |
SERIES B | |
Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2015, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 194,487 $ (428,006 ) $ (233,519 ) Futures contracts Futures contracts sold 377,401 (126,313 ) 251,088 Totals $ 571,888 $ (554,319 ) $ 17,569 The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statements of assets and liabilities, as of December 31, 2014, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 586,295 $ (430,105 ) $ 156,190 Futures contracts Futures contracts sold 390,259 (95,653 ) 294,606 Totals $ 976,554 $ (525,758 ) $ 450,796 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2015 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ (47,940 ) $ — $ — $ (47,940 ) Merrill Lynch 65,510 — — 65,510 Totals $ 17,570 $ — $ — $ 17,570 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows: Net Amount of Assets in Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Financial Instruments Cash Collateral Net Amount ADMIS $ 45,365 $ — $ — $ 45,365 Barclays Capital 372,751 — — 372,751 Merrill Lynch 32,680 — — 32,680 Totals $ 450,796 $ — $ — $ 450,796 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (6,582 ) $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (531,412 ) 105,995 Total $ (537,994 ) $ 105,995 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2015: Derivatives not Designated as Hedging Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 22,380 $ — Futures contracts Net realized/unrealized loss on futures and forward contracts (97,616 ) (433,226 ) Total $ (75,236 ) $ (433,226 ) Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (23,913 ) $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 997,844 131,949 Total $ 973,931 $ 131,949 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014: Derivatives not Designated as Hedging Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (134,699 ) $ 32 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 1,925,100 (257,269 ) Total $ 1,790,401 $ (257,237 ) |
Gross and Net Unrealized Gains and Losses by Long and Short Positions | Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2015 and December 31, 2014: As of September 30, 2015 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ — — $ (37,881 ) (0.5 ) $ 25,239 0.3 $ (13,489 ) (0.2 ) $ (26,131 ) Financial 74,938 0.9 (28,355 ) (0.4 ) 30 0.0 * (16,990 ) (0.2 ) 29,623 Food & Fiber 48,348 0.6 (76,471 ) (1.0 ) 101,641 1.3 (58,571 ) (0.7 ) 14,947 Indices 64,635 0.8 (147,526 ) (1.8 ) 56,397 0.7 (16,602 ) (0.2 ) (43,096 ) Metals 4,317 0.1 (54,197 ) (0.7 ) 32,262 0.4 (18,875 ) (0.2 ) (36,493 ) Energy 2,079 0.0 * (40,446 ) (0.5 ) 118,422 1.5 (1,786 ) (0.0 )* 78,269 Livestock 170 0.0 * (43,130 ) (0.5 ) 43,410 0.5 — — 450 Totals $ 194,487 2.4 $ (428,006 ) (5.4 ) $ 377,401 4.7 $ (126,313 ) (1.5 ) $ 17,569 * Due to rounding – amount is less than 0.05% As of December 31, 2014 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 2,110 0.0 * $ — — $ 50,831 0.5 $ — — $ 52,941 Financial 322,763 2.9 (16,141 ) (0.1 ) — — (7,871 ) (0.1 ) 298,751 Food & Fiber 21,435 0.2 (60,866 ) (0.5 ) 65,901 0.6 (18,801 ) (0.2 ) 7,669 Indices 203,537 1.8 (11,347 ) (0.1 ) 2,471 0.0 * (66,022 ) (0.6 ) 128,639 Metals 35,189 0.3 (106,535 ) (1.0 ) 134,424 1.2 (2,960 ) (0.0 )* 60,118 Livestock 1,260 0.0 * (132,900 ) (1.2 ) — — — — (131,640 ) Energy — — (102,315 ) (0.9 ) 136,633 1.2 — — 34,318 Totals $ 586,294 5.2 $ (430,104 ) (3.8 ) $ 390,260 3.5 $ (95,654 ) (0.9 ) $ 450,796 * Due to rounding – amount is less than 0.05% |
Average Contract Volume by Market Sector | Series B average* monthly contract volume by market sector as of quarter ended September 30, 2015: Average Number Average Number Currency 26 155 Financial 390 164 Food & Fiber 146 142 Indices 345 465 Metals 150 195 Energy 93 155 Livestock 70 8 Total 1,220 1,284 * Based on quarterly holdings Series B average* monthly contract volume by market sector as of quarter ended September 30, 2014: Average Number Average Number Currency 418 288 Financial 1,885 218 Food & Fiber 31 112 Indices 934 89 Metals 375 128 Energy 169 136 Livestock 44 3 Total 3,856 974 * Based on quarterly holdings |
Funds Trading Results by Market Sector | Series B trading results by market sector: For the Three Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (6,582 ) $ — $ (6,582 ) Currency 74,970 (56,480 ) 18,490 Financial 58,415 15,042 73,457 Food & Fiber (95,294 ) (29,118 ) (124,412 ) Indices (493,812 ) 30,111 (463,701 ) Metals 129,034 (1,802 ) 127,232 Livestock (183,680 ) 52,620 (131,060 ) Energy (21,045 ) 95,622 74,577 Total net trading gains (losses) $ (537,994 ) $ 105,995 $ (431,999 ) For the Nine Months Ended September 30, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 22,380 $ — $ 22,380 Currency 289,649 (79,072 ) 210,577 Financial (40,659 ) (269,128 ) (309,787 ) Food & Fiber (168,869 ) 7,278 (161,591 ) Indices 373,018 (171,735 ) 201,283 Metals 25,910 (96,611 ) (70,701 ) Livestock (563,760 ) 132,090 (431,670 ) Energy (12,905 ) 43,951 31,046 Total net trading losses $ (75,236 ) $ (433,227 ) $ (508,463 ) For the Three Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (23,913 ) $ — $ (23,913 ) Currency 181,760 29,746 211,506 Financial 447,882 5,491 453,373 Food & Fiber 323,598 40,548 364,146 Indices 326,985 (74,618 ) 252,367 Metals (119,766 ) 88,069 (31,697 ) Livestock (2,840 ) (13,000 ) (15,840 ) Energy (159,775 ) 55,713 (104,062 ) Total net trading gains $ 973,931 $ 131,949 $ 1,105,880 For the Nine Months Ended September 30, 2014 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ (134,699 ) $ 32 $ (134,667 ) Currency (87,483 ) (32,067 ) (119,550 ) Financial 1,207,613 (37,290 ) 1,170,323 Food & Fiber 674,370 47,846 722,216 Indices 666,134 (440,300 ) 225,834 Metals (452,182 ) 57,705 (394,477 ) Livestock 318,720 37,040 355,760 Energy (402,072 ) 109,797 (292,275 ) Total net trading gains (losses) $ 1,790,401 $ (257,237 ) $ 1,533,164 |
Financial highlights (Tables)
Financial highlights (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial highlights | Financial highlights for the period January 1 through September 30 are as follows: 2015 2014 Series A Series B Series A Series B Total Return* Total return before incentive fees (10.1 )% (12.4 )% 2.5 % 6.4 % Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees (10.1 )% (12.4 )% 2.5 % 6.4 % Ratios to average partners’ capital Operating expenses before incentive fees 5.5 % 6.1 % 6.2 % 6.9 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 5.5 % 6.1 % 6.2 % 6.9 % Net investment loss (5.5 )% (6.1 )% (6.2 )% (6.9 )% Net asset value per unit, beginning of period $ 1,283.60 $ 1,462.68 $ 1,215.27 $ 1,300.97 Net investment loss (69.45 ) (88.53 ) (74.48 ) (88.82 ) Net gain (loss) on investments (58.06 ) (93.74 ) 104.28 172.55 Net asset value per unit, end of period $ 1,156.09 $ 1,280.41 $ 1,245.07 $ 1,384.70 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) $ (122.06 ) $ (165.82 ) $ 22.56 $ 69.02 Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) $ (127.51 ) $ (182.27 ) $ 29.80 $ 83.73 Financial highlights for the period July 1 through September 30 are as follows: 2015 2014 Series A Series B Series A Series B Total Return* Total return before incentive fees (5.0 )% (6.9 )% 4.9 % 8.0 % Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees (5.0 )% (6.9 )% 4.9 % 8.0 % Ratios to average partners’ capital Operating expenses before incentive fees 1.9 % 2.0 % 1.9 % 2.1 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 1.9 % 2.0 % 1.9 % 2.1 % Net investment loss (1.9 )% (2.0 )% (1.9 )% (2.1 )% Net asset value per unit, beginning of period $ 1,216.01 $ 1,375.18 $ 1,187.24 $ 1,282.02 Net investment loss (22.19 ) (27.31 ) (23.29 ) (27.98 ) Net gain (loss) on investments (37.73 ) (67.46 ) 81.12 130.66 Net asset value per unit, end of period $ 1,156.09 $ 1,280.41 $ 1,245.07 $ 1,384.70 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) $ (61.92 ) $ (97.38 ) $ 58.06 $ 104.22 Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) $ (59.92 ) $ (94.77 ) $ 57.83 $ 102.68 * Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions. |
Condensed Schedule of Investmen
Condensed Schedule of Investments (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 | |||
Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | 3.40% | |||
Fair Value | $ 27,382 | $ 719,392 | |||
Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (2.40%) | 1.30% | |||
Fair Value | $ (376,903) | $ 246,211 | |||
Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | 0.00% | [1] | ||
Fair Value | $ (62,962) | $ 2,110 | |||
Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | (0.70%) | |||
Fair Value | $ (65,452) | $ (160,231) | |||
Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | 2.30% | [2] | ||
Fair Value | $ 77,009 | $ 491,037 | |||
Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | (0.20%) | |||
Fair Value | $ (48,738) | $ (52,786) | |||
Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.90%) | 1.40% | [2] | ||
Fair Value | $ (137,099) | $ 294,340 | |||
Futures Contract Purchased | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | (1.00%) | [2] | ||
Fair Value | $ (73,990) | $ (210,110) | |||
Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | (0.50%) | |||
Fair Value | $ (65,671) | $ (118,149) | |||
Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 2.40% | 2.10% | |||
Fair Value | $ 404,285 | $ 473,181 | |||
Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.40% | |||
Fair Value | $ 21,164 | $ 79,639 | |||
Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 1.20% | 1.00% | ||
Fair Value | $ 197,908 | $ 217,842 | |||
Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | (0.10%) | |||
Fair Value | $ (34,200) | $ (12,202) | |||
Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | 0.30% | |||
Fair Value | $ 65,050 | $ 74,642 | |||
Futures Contracts Sold | Food & Fiber | Soybean Oil expiring December 2015 | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.00% | ||||
Fair Value | $ 162,774 | ||||
Futures Contracts Sold | Food & Fiber | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.60%) | ||||
Fair Value | $ (97,724) | ||||
Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | (0.50%) | |||
Fair Value | $ 63,719 | $ (101,301) | |||
Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | ||||
Fair Value | $ 70,350 | ||||
Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 1.00% | [2] | ||
Fair Value | $ 20,294 | $ 214,561 | |||
Futures And Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [1] | 3.30% | ||
Fair Value | $ 27,382 | $ 719,392 | |||
Futures And Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [1] | 0.20% | ||
Fair Value | $ 4,616 | $ 44,422 | |||
Futures And Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | 0.40% | |||
Fair Value | $ (29,412) | $ 90,868 | |||
Futures And Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.00% | [1] | ||
Fair Value | $ (18,291) | $ 353 | |||
Futures And Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 0.40% | |||
Fair Value | $ 38,516 | $ 77,698 | |||
Futures And Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 0.90% | |||
Fair Value | $ 49,808 | $ 188,896 | |||
Futures And Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.70%) | 0.30% | |||
Fair Value | $ (106,115) | $ 74,579 | |||
Futures And Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | 1.10% | [2] | ||
Fair Value | $ 88,260 | $ 242,576 | |||
SERIES A | Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 2.60% | |||
Fair Value | $ 9,813 | $ 268,596 | |||
SERIES A | Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (1.80%) | 0.90% | |||
Fair Value | $ (143,384) | $ 90,021 | |||
SERIES A | Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | ||||
Fair Value | $ (25,081) | ||||
SERIES A | Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | (0.60%) | |||
Fair Value | $ (27,085) | $ (57,916) | |||
SERIES A | Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | 1.80% | [2] | ||
Fair Value | $ 30,426 | $ 184,415 | |||
SERIES A | Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | (0.10%) | |||
Fair Value | $ (20,615) | $ (13,355) | |||
SERIES A | Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.70%) | 0.90% | |||
Fair Value | $ (54,208) | $ 102,150 | |||
SERIES A | Futures Contract Purchased | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | (0.70%) | |||
Fair Value | $ (31,030) | $ (78,470) | |||
SERIES A | Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | (0.40%) | |||
Fair Value | $ (15,791) | $ (46,803) | |||
SERIES A | Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.90% | 1.70% | |||
Fair Value | $ 153,197 | $ 178,575 | |||
SERIES A | Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.30% | |||
Fair Value | $ 9,414 | $ 28,808 | |||
SERIES A | Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.00% | [2] | 0.80% | ||
Fair Value | $ 81,272 | $ 81,210 | |||
SERIES A | Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | 0.00% | [1] | ||
Fair Value | $ (17,240) | $ (4,331) | |||
SERIES A | Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 0.20% | |||
Fair Value | $ 21,980 | $ 27,541 | |||
SERIES A | Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | (0.40%) | |||
Fair Value | $ 23,924 | $ (37,750) | |||
SERIES A | Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | ||||
Fair Value | $ 26,940 | ||||
SERIES A | Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.80% | |||
Fair Value | $ 6,907 | $ 83,097 | |||
SERIES A | Futures And Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 2.60% | |||
Fair Value | $ 9,813 | $ 268,596 | |||
SERIES A | Futures And Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [1] | 0.10% | ||
Fair Value | $ 2,180 | $ 12,933 | |||
SERIES A | Futures And Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | 0.30% | |||
Fair Value | $ (12,588) | $ 31,434 | |||
SERIES A | Futures And Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.00% | [1] | ||
Fair Value | $ (7,243) | $ (2,640) | |||
SERIES A | Futures And Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 0.20% | |||
Fair Value | $ 16,520 | $ 25,780 | |||
SERIES A | Futures And Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 0.60% | |||
Fair Value | $ 19,069 | $ 68,041 | |||
SERIES A | Futures And Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | 0.50% | |||
Fair Value | $ (40,175) | $ 37,619 | |||
SERIES A | Futures And Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | 0.90% | |||
Fair Value | $ 32,050 | $ 95,429 | |||
SERIES B | Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 4.10% | |||
Fair Value | $ 17,569 | $ 450,796 | |||
SERIES B | Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (2.90%) | 1.40% | |||
Fair Value | $ (233,519) | $ 156,190 | |||
SERIES B | Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | 0.00% | [1] | ||
Fair Value | $ (37,881) | $ 2,110 | |||
SERIES B | Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | (0.90%) | |||
Fair Value | $ (38,367) | $ (102,315) | |||
SERIES B | Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.60% | 2.80% | [2] | ||
Fair Value | $ 46,583 | $ 306,622 | |||
SERIES B | Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | (0.40%) | |||
Fair Value | $ (28,123) | $ (39,431) | |||
SERIES B | Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | (1.00%) | 1.70% | ||
Fair Value | $ (82,891) | $ 192,190 | |||
SERIES B | Futures Contract Purchased | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | (1.20%) | [2] | ||
Fair Value | $ (42,960) | $ (131,640) | |||
SERIES B | Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.60%) | (0.60%) | |||
Fair Value | $ (49,880) | $ (71,346) | |||
SERIES B | Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 3.10% | 2.70% | |||
Fair Value | $ 251,088 | $ 294,606 | |||
SERIES B | Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.60% | |||
Fair Value | $ 11,750 | $ 50,831 | |||
SERIES B | Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 1.50% | 1.20% | ||
Fair Value | $ 116,636 | $ 136,632 | |||
SERIES B | Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | (0.10%) | |||
Fair Value | $ (16,960) | $ (7,871) | |||
SERIES B | Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | 0.40% | |||
Fair Value | $ 43,070 | $ 47,101 | |||
SERIES B | Futures Contracts Sold | Food & Fiber | Soybean Oil expiring December 2015 | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.30% | ||||
Fair Value | $ 100,770 | ||||
SERIES B | Futures Contracts Sold | Food & Fiber | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.80%) | ||||
Fair Value | $ (57,700) | ||||
SERIES B | Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | (0.60%) | |||
Fair Value | $ 39,795 | $ (63,551) | |||
SERIES B | Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | ||||
Fair Value | $ 43,410 | ||||
SERIES B | Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 1.20% | [2] | ||
Fair Value | $ 13,387 | $ 131,464 | |||
SERIES B | Futures And Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | 4.10% | |||
Fair Value | $ 17,569 | $ 450,796 | |||
SERIES B | Futures And Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [1] | 0.30% | ||
Fair Value | $ 2,436 | $ 31,489 | |||
SERIES B | Futures And Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | 0.50% | |||
Fair Value | $ (16,824) | $ 59,434 | |||
SERIES B | Futures And Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.00% | [1] | ||
Fair Value | $ (11,048) | $ 2,993 | |||
SERIES B | Futures And Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 0.50% | |||
Fair Value | $ 21,996 | $ 51,918 | |||
SERIES B | Futures And Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | 1.10% | [2] | ||
Fair Value | $ 30,739 | $ 120,855 | |||
SERIES B | Futures And Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.80%) | 0.30% | |||
Fair Value | $ (65,940) | $ 36,960 | |||
SERIES B | Futures And Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.60% | 1.40% | [2] | ||
Fair Value | $ 56,210 | $ 147,147 | |||
[1] | Due to rounding - amount is less than 0.05% | ||||
[2] | No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented. |
Condensed Schedule of Investm23
Condensed Schedule of Investments (Parenthetical) (Detail) - Maximum | Sep. 30, 2015 | Dec. 31, 2014 |
Summary of Investment Holdings [Line Items] | ||
Percentage of Net Assets | 0.05% | 0.05% |
SERIES A | ||
Summary of Investment Holdings [Line Items] | ||
Percentage of Net Assets | 0.05% | 0.05% |
SERIES B | ||
Summary of Investment Holdings [Line Items] | ||
Percentage of Net Assets | 0.05% | 0.05% |
Statements of Changes in Net As
Statements of Changes in Net Assets (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Increase (decrease) in net assets from operations | ||||
Net investment loss | $ (328,421) | $ (450,623) | $ (1,091,173) | $ (1,614,706) |
Net realized gain (loss) on futures and forward contracts | (835,551) | 1,645,756 | (191,439) | 2,895,900 |
Net change in unrealized depreciation on futures and forward contracts | 140,109 | 164,519 | (692,007) | (420,301) |
Net increase (decrease) in net assets from operations | (1,023,863) | 1,359,652 | (1,974,619) | 860,893 |
Capital share transactions | ||||
Issuance of Units | 460,968 | 811,597 | ||
Redemption of Units | (3,161,814) | (7,823,479) | ||
Net decrease in net assets from capital share transactions | (2,700,846) | (7,011,882) | ||
Net decrease in net assets | (4,675,465) | (6,150,989) | ||
Net assets, beginning of period | 20,602,511 | 27,758,351 | ||
Net assets, end of period | 15,927,046 | 21,607,362 | 15,927,046 | 21,607,362 |
SERIES A | ||||
Increase (decrease) in net assets from operations | ||||
Net investment loss | (153,454) | (205,933) | (499,968) | (730,186) |
Net realized gain (loss) on futures and forward contracts | (297,557) | 671,825 | (116,203) | 1,105,499 |
Net change in unrealized depreciation on futures and forward contracts | 34,114 | 32,570 | (258,781) | (163,064) |
Net increase (decrease) in net assets from operations | (416,897) | 498,462 | (874,952) | 212,249 |
Capital share transactions | ||||
Issuance of Units | 206,542 | 501,619 | ||
Redemption of Units | (1,345,454) | (3,148,421) | ||
Net decrease in net assets from capital share transactions | (1,138,912) | (2,646,802) | ||
Net decrease in net assets | (2,013,864) | (2,434,553) | ||
Net assets, beginning of period | 9,901,436 | 12,974,396 | ||
Net assets, end of period | $ 7,887,572 | $ 10,539,843 | $ 7,887,572 | $ 10,539,843 |
Units, beginning of period | 7,713.806 | 10,676.154 | ||
Issuance of Units | 161.490 | 421.664 | ||
Redemption of Units | (1,052.668) | (2,632.586) | ||
Units, end of period | 6,822.628 | 8,465.232 | 6,822.628 | 8,465.232 |
SERIES B | ||||
Increase (decrease) in net assets from operations | ||||
Net investment loss | $ (174,967) | $ (244,690) | $ (591,205) | $ (884,520) |
Net realized gain (loss) on futures and forward contracts | (537,994) | 973,931 | (75,236) | 1,790,401 |
Net change in unrealized depreciation on futures and forward contracts | 105,995 | 131,949 | (433,226) | (257,237) |
Net increase (decrease) in net assets from operations | (606,966) | 861,190 | (1,099,667) | 648,644 |
Capital share transactions | ||||
Issuance of Units | 254,426 | 309,978 | ||
Redemption of Units | (1,816,360) | (4,675,058) | ||
Net decrease in net assets from capital share transactions | (1,561,934) | (4,365,080) | ||
Net decrease in net assets | (2,661,601) | (3,716,436) | ||
Net assets, beginning of period | 10,701,075 | 14,783,955 | ||
Net assets, end of period | $ 8,039,474 | $ 11,067,519 | $ 8,039,474 | $ 11,067,519 |
Units, beginning of period | 7,316.097 | 11,363.782 | ||
Issuance of Units | 171.606 | 240.191 | ||
Redemption of Units | (1,208.864) | (3,611.239) | ||
Units, end of period | 6,278.839 | 7,992.734 | 6,278.839 | 7,992.734 |
Nature of Operations - Addition
Nature of Operations - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2015USD ($)Unit | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Classes | Unit | 2 |
Aggregate Net Assets | $ 500,000 |
Basis of Presentation and Sig26
Basis of Presentation and Significant Accounting Policies - Additional Information (Detail) | Sep. 30, 2015USD ($) |
ADMIS | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 2,254,391 |
ADMIS | SERIES A | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 718,045 |
ADMIS | SERIES B | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 1,536,346 |
Merrill Lynch | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 2,720,216 |
Merrill Lynch | SERIES A | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 1,017,368 |
Merrill Lynch | SERIES B | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 1,702,848 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Fair Value Disclosures [Abstract] | ||
Derivative Contracts Valued Using Level 3 Inputs During Period | $ 0 | $ 0 |
Summary of Valuation of Funds A
Summary of Valuation of Funds Assets and Liabilities (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | $ 953,099 | $ 1,554,996 |
Total Liabilities Measured at Fair Value | 925,717 | 835,604 |
Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 624,838 | 627,584 |
Total Liabilities Measured at Fair Value | 220,553 | 154,403 |
Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 328,261 | 927,412 |
Total Liabilities Measured at Fair Value | 705,164 | 681,201 |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 953,099 | 1,554,996 |
Total Liabilities Measured at Fair Value | 925,717 | 835,604 |
Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 624,838 | 627,584 |
Total Liabilities Measured at Fair Value | 220,553 | 154,403 |
Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 328,261 | 927,412 |
Total Liabilities Measured at Fair Value | 705,164 | 681,201 |
SERIES A | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 381,211 | 578,442 |
Total Liabilities Measured at Fair Value | 371,398 | 309,846 |
SERIES A | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 247,437 | 237,325 |
Total Liabilities Measured at Fair Value | 94,240 | 58,750 |
SERIES A | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 133,774 | 341,117 |
Total Liabilities Measured at Fair Value | 277,158 | 251,096 |
SERIES A | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 381,211 | 578,442 |
Total Liabilities Measured at Fair Value | 371,398 | 309,846 |
SERIES A | Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 247,437 | 237,325 |
Total Liabilities Measured at Fair Value | 94,240 | 58,750 |
SERIES A | Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 133,774 | 341,117 |
Total Liabilities Measured at Fair Value | 277,158 | 251,096 |
SERIES B | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 571,888 | 976,554 |
Total Liabilities Measured at Fair Value | 554,319 | 525,758 |
SERIES B | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 377,401 | 390,259 |
Total Liabilities Measured at Fair Value | 126,313 | 95,653 |
SERIES B | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 194,487 | 586,295 |
Total Liabilities Measured at Fair Value | 428,006 | 430,105 |
SERIES B | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 571,888 | 976,554 |
Total Liabilities Measured at Fair Value | 554,319 | 525,758 |
SERIES B | Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 377,401 | 390,259 |
Total Liabilities Measured at Fair Value | 126,313 | 95,653 |
SERIES B | Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 194,487 | 586,295 |
Total Liabilities Measured at Fair Value | $ 428,006 | $ 430,105 |
Fair Value of Funds Derivatives
Fair Value of Funds Derivatives by Instrument Type (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | $ 953,099 | $ 1,554,996 |
Derivative Liabilities | (925,717) | (835,604) |
Derivative Assets and Liabilities | 27,382 | 719,392 |
Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 328,261 | 927,412 |
Derivative Liabilities | (705,164) | (681,201) |
Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 624,838 | 627,584 |
Derivative Liabilities | (220,553) | (154,403) |
SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 381,211 | 578,442 |
Derivative Liabilities | (371,398) | (309,846) |
Derivative Assets and Liabilities | 9,813 | 268,596 |
SERIES A | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 133,774 | 341,117 |
Derivative Liabilities | (277,158) | (251,096) |
SERIES A | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 247,437 | 237,325 |
Derivative Liabilities | (94,240) | (58,750) |
SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 571,888 | 976,554 |
Derivative Liabilities | (554,319) | (525,758) |
Derivative Assets and Liabilities | 17,569 | 450,796 |
SERIES B | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 194,487 | 586,295 |
Derivative Liabilities | (428,006) | (430,105) |
SERIES B | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 377,401 | 390,259 |
Derivative Liabilities | (126,313) | (95,653) |
Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 328,261 | 927,412 |
Derivative Liabilities | (705,164) | (681,201) |
Derivative Assets and Liabilities | (376,903) | 246,211 |
Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 624,838 | 627,584 |
Derivative Liabilities | (220,553) | (154,403) |
Derivative Assets and Liabilities | 404,285 | 473,181 |
Futures Contracts | SERIES A | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 133,774 | 341,117 |
Derivative Liabilities | (277,158) | (251,096) |
Derivative Assets and Liabilities | (143,384) | 90,021 |
Futures Contracts | SERIES A | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 247,437 | 237,325 |
Derivative Liabilities | (94,240) | (58,750) |
Derivative Assets and Liabilities | 153,197 | 178,575 |
Futures Contracts | SERIES B | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 194,487 | 586,295 |
Derivative Liabilities | (428,006) | (430,105) |
Derivative Assets and Liabilities | (233,519) | 156,190 |
Futures Contracts | SERIES B | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 377,401 | 390,259 |
Derivative Liabilities | (126,313) | (95,653) |
Derivative Assets and Liabilities | $ 251,088 | $ 294,606 |
Disclosure of Derivative Inst30
Disclosure of Derivative Instruments and Hedging Activities - Offsetting Assets (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | $ 27,382 | $ 719,392 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 27,382 | 719,392 |
SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 9,812 | 268,596 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 9,812 | 268,596 |
SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 17,570 | 450,796 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 17,570 | 450,796 |
ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (86,082) | 74,729 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (86,082) | 74,729 |
ADMIS | SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (38,142) | 29,364 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (38,142) | 29,364 |
ADMIS | SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (47,940) | 45,365 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (47,940) | 45,365 |
Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 113,464 | 50,204 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 113,464 | 50,204 |
Merrill Lynch | SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 47,954 | 17,524 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 47,954 | 17,524 |
Merrill Lynch | SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 65,510 | 32,680 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | $ 65,510 | 32,680 |
Barclays Capital | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 594,459 | |
Financial Instruments Pledged | 0 | |
Cash Collateral Received | 0 | |
Net Amount | 594,459 | |
Barclays Capital | SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 221,708 | |
Financial Instruments Pledged | 0 | |
Cash Collateral Received | 0 | |
Net Amount | 221,708 | |
Barclays Capital | SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 372,751 | |
Financial Instruments Pledged | 0 | |
Cash Collateral Received | 0 | |
Net Amount | $ 372,751 |
Effects of Derivative Instrumen
Effects of Derivative Instruments on Statement of Operations (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | $ (835,551) | $ 1,645,756 | $ (191,439) | $ 2,895,900 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 140,109 | 164,519 | (692,007) | (420,301) |
Futures Contracts | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (823,710) | 1,684,014 | (224,371) | 3,113,035 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 140,109 | 164,519 | (692,007) | (420,345) |
SERIES A | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (297,557) | 671,825 | (116,203) | 1,105,499 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 34,114 | 32,570 | (258,781) | (163,064) |
SERIES A | Futures Contracts | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (292,298) | 686,170 | (126,755) | 1,187,935 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 34,114 | 32,570 | (258,781) | (163,076) |
SERIES B | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (537,994) | 973,931 | (75,236) | 1,790,401 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 105,995 | 131,949 | (433,226) | (257,237) |
SERIES B | Futures Contracts | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (531,412) | 997,844 | (97,616) | 1,925,100 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 105,995 | 131,949 | (433,226) | (257,269) |
Foreign Exchange Contracts | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (11,841) | (38,258) | 32,932 | (217,135) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 44 | |||
Foreign Exchange Contracts | SERIES A | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | (5,259) | (14,345) | 10,552 | (82,436) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | 12 | |||
Foreign Exchange Contracts | SERIES B | Net Realized and Unrealized Gain (Loss) on Futures and Forward Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives Recognized in Income | $ (6,582) | $ (23,913) | $ 22,380 | (134,699) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | $ 32 |
Gross and Net Unrealized Gains
Gross and Net Unrealized Gains and Losses by Long and Short Positions (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | $ 27,382 | $ 719,392 | ||
Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (41,798) | 81,749 | ||
Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 42,808 | 478,835 | ||
Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 16,312 | 21,855 | ||
Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (73,380) | 193,039 | ||
Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (45,376) | 96,412 | ||
Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (3,640) | (210,110) | ||
Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 132,456 | 57,612 | ||
Long Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 328,261 | $ 927,411 | ||
Gains percentage of net assets | 2.00% | 4.30% | ||
Losses | $ (705,164) | $ (681,200) | ||
Loss percentage of net assets | (4.40%) | (3.10%) | ||
Long Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 2,110 | |||
Gains percentage of net assets | [1] | 0.00% | ||
Losses | $ (62,962) | |||
Loss percentage of net assets | (0.40%) | |||
Long Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 121,428 | $ 516,998 | ||
Gains percentage of net assets | 0.80% | 2.40% | ||
Losses | $ (44,420) | $ (25,961) | ||
Loss percentage of net assets | (0.30%) | (0.10%) | ||
Long Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 80,285 | $ 36,790 | ||
Gains percentage of net assets | 0.50% | 0.20% | ||
Losses | $ (129,023) | $ (89,576) | ||
Loss percentage of net assets | (0.80%) | (0.40%) | ||
Long Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 101,827 | $ 312,438 | ||
Gains percentage of net assets | 0.60% | 1.40% | ||
Losses | $ (238,926) | $ (18,098) | ||
Loss percentage of net assets | (1.50%) | (0.10%) | ||
Long Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 21,210 | $ 55,851 | ||
Gains percentage of net assets | 0.10% | 0.30% | ||
Losses | $ (86,880) | $ (174,000) | ||
Loss percentage of net assets | (0.50%) | (0.80%) | ||
Long Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 370 | $ 3,090 | ||
Gains percentage of net assets | [1] | 0.00% | 0.00% | |
Losses | $ (74,360) | $ (213,200) | ||
Loss percentage of net assets | (0.50%) | (1.00%) | ||
Long Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 3,141 | $ 134 | ||
Gains percentage of net assets | [1] | 0.00% | 0.00% | |
Losses | $ (68,593) | $ (160,365) | ||
Loss percentage of net assets | (0.40%) | (0.70%) | ||
Short Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 624,839 | $ 627,585 | ||
Gains percentage of net assets | 4.00% | 2.90% | ||
Losses | $ (220,554) | $ (154,404) | ||
Loss percentage of net assets | (1.30%) | (0.70%) | ||
Short Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 41,983 | $ 79,895 | ||
Gains percentage of net assets | 0.30% | 0.40% | ||
Losses | $ (20,819) | $ (256) | ||
Loss percentage of net assets | (0.10%) | (0.00%) | [1] | |
Short Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 30 | |||
Gains percentage of net assets | [1] | 0.00% | ||
Losses | $ (34,230) | $ (12,202) | ||
Loss percentage of net assets | (0.20%) | (0.10%) | ||
Short Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 163,816 | $ 107,005 | ||
Gains percentage of net assets | 1.00% | 0.50% | ||
Losses | $ (98,766) | $ (32,364) | ||
Loss percentage of net assets | (0.60%) | (0.10%) | ||
Short Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 90,891 | $ 3,206 | ||
Gains percentage of net assets | 0.60% | 0.00% | [1] | |
Losses | $ (27,172) | $ (104,507) | ||
Loss percentage of net assets | (0.20%) | (0.50%) | ||
Short Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 56,614 | $ 219,636 | ||
Gains percentage of net assets | 0.40% | 1.00% | ||
Losses | $ (36,320) | $ (5,075) | ||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | |
Short Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 70,350 | |||
Gains percentage of net assets | 0.40% | |||
Short Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 201,155 | $ 217,843 | ||
Gains percentage of net assets | 1.30% | 1.00% | ||
Losses | $ (3,247) | |||
Loss percentage of net assets | [1] | (0.00%) | ||
SERIES B | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | $ 17,569 | $ 450,796 | ||
SERIES B | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (26,131) | 52,941 | ||
SERIES B | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 29,623 | 298,751 | ||
SERIES B | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 14,947 | 7,669 | ||
SERIES B | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (43,096) | 128,639 | ||
SERIES B | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (36,493) | 60,118 | ||
SERIES B | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 450 | (131,640) | ||
SERIES B | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 78,269 | 34,318 | ||
SERIES B | Long Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 194,487 | $ 586,294 | ||
Gains percentage of net assets | 2.40% | 5.20% | ||
Losses | $ (428,006) | $ (430,104) | ||
Loss percentage of net assets | (5.40%) | (3.80%) | ||
SERIES B | Long Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 2,110 | |||
Gains percentage of net assets | [1] | 0.00% | ||
Losses | $ (37,881) | |||
Loss percentage of net assets | (0.50%) | |||
SERIES B | Long Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 74,938 | $ 322,763 | ||
Gains percentage of net assets | 0.90% | 2.90% | ||
Losses | $ (28,355) | $ (16,141) | ||
Loss percentage of net assets | (0.40%) | (0.10%) | ||
SERIES B | Long Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 48,348 | $ 21,435 | ||
Gains percentage of net assets | 0.60% | 0.20% | ||
Losses | $ (76,471) | $ (60,866) | ||
Loss percentage of net assets | (1.00%) | (0.50%) | ||
SERIES B | Long Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 64,635 | $ 203,537 | ||
Gains percentage of net assets | 0.80% | 1.80% | ||
Losses | $ (147,526) | $ (11,347) | ||
Loss percentage of net assets | (1.80%) | (0.10%) | ||
SERIES B | Long Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 4,317 | $ 35,189 | ||
Gains percentage of net assets | 0.10% | 0.30% | ||
Losses | $ (54,197) | $ (106,535) | ||
Loss percentage of net assets | (0.70%) | (1.00%) | ||
SERIES B | Long Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 170 | $ 1,260 | ||
Gains percentage of net assets | [1] | 0.00% | 0.00% | |
Losses | $ (43,130) | $ (132,900) | ||
Loss percentage of net assets | (0.50%) | (1.20%) | ||
SERIES B | Long Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 2,079 | |||
Gains percentage of net assets | [1] | 0.00% | ||
Losses | $ (40,446) | $ (102,315) | ||
Loss percentage of net assets | (0.50%) | (0.90%) | ||
SERIES B | Short Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 377,401 | $ 390,260 | ||
Gains percentage of net assets | 4.70% | 3.50% | ||
Losses | $ (126,313) | $ (95,654) | ||
Loss percentage of net assets | (1.50%) | (0.90%) | ||
SERIES B | Short Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 25,239 | $ 50,831 | ||
Gains percentage of net assets | 0.30% | 0.50% | ||
Losses | $ (13,489) | |||
Loss percentage of net assets | (0.20%) | |||
SERIES B | Short Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 30 | |||
Gains percentage of net assets | [1] | 0.00% | ||
Losses | $ (16,990) | $ (7,871) | ||
Loss percentage of net assets | (0.20%) | (0.10%) | ||
SERIES B | Short Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 101,641 | $ 65,901 | ||
Gains percentage of net assets | 1.30% | 0.60% | ||
Losses | $ (58,571) | $ (18,801) | ||
Loss percentage of net assets | (0.70%) | (0.20%) | ||
SERIES B | Short Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 56,397 | $ 2,471 | ||
Gains percentage of net assets | 0.70% | 0.00% | [1] | |
Losses | $ (16,602) | $ (66,022) | ||
Loss percentage of net assets | (0.20%) | (0.60%) | ||
SERIES B | Short Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 32,262 | $ 134,424 | ||
Gains percentage of net assets | 0.40% | 1.20% | ||
Losses | $ (18,875) | $ (2,960) | ||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | |
SERIES B | Short Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 43,410 | |||
Gains percentage of net assets | 0.50% | |||
SERIES B | Short Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 118,422 | $ 136,633 | ||
Gains percentage of net assets | 1.50% | 1.20% | ||
Losses | $ (1,786) | |||
Loss percentage of net assets | [1] | (0.00%) | ||
SERIES A | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | $ 9,813 | $ 268,596 | ||
SERIES A | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (15,667) | 28,808 | ||
SERIES A | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 13,185 | 180,084 | ||
SERIES A | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 1,365 | 14,186 | ||
SERIES A | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (30,285) | 64,400 | ||
SERIES A | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (8,883) | 36,294 | ||
SERIES A | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | (4,090) | (78,470) | ||
SERIES A | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Unrealized Gain (Loss) on Open Positions | 54,188 | 23,294 | ||
SERIES A | Long Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 133,774 | $ 341,117 | ||
Gains percentage of net assets | 1.70% | 3.20% | ||
Losses | $ (277,158) | $ (251,096) | ||
Loss percentage of net assets | (3.60%) | (2.50%) | ||
SERIES A | Long Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Losses | $ (25,081) | |||
Loss percentage of net assets | (0.30%) | |||
SERIES A | Long Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 46,490 | $ 194,235 | ||
Gains percentage of net assets | 0.60% | 1.90% | ||
Losses | $ (16,065) | $ (9,820) | ||
Loss percentage of net assets | (0.20%) | (0.10%) | ||
SERIES A | Long Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 31,937 | $ 15,355 | ||
Gains percentage of net assets | 0.40% | 0.10% | ||
Losses | $ (52,552) | $ (28,710) | ||
Loss percentage of net assets | (0.70%) | (0.30%) | ||
SERIES A | Long Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 37,192 | $ 108,901 | ||
Gains percentage of net assets | 0.50% | 1.00% | ||
Losses | $ (91,400) | $ (6,751) | ||
Loss percentage of net assets | (1.20%) | (0.10%) | ||
SERIES A | Long Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 16,893 | $ 20,662 | ||
Gains percentage of net assets | 0.20% | 0.20% | ||
Losses | $ (32,683) | $ (67,465) | ||
Loss percentage of net assets | (0.40%) | (0.60%) | ||
SERIES A | Long Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 200 | $ 1,830 | ||
Gains percentage of net assets | [1] | 0.00% | 0.00% | |
Losses | $ (31,230) | $ (80,300) | ||
Loss percentage of net assets | (0.40%) | (0.80%) | ||
SERIES A | Long Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 1,062 | $ 134 | ||
Gains percentage of net assets | [1] | 0.00% | 0.00% | |
Losses | $ (28,147) | $ (58,050) | ||
Loss percentage of net assets | (0.40%) | (0.60%) | ||
SERIES A | Short Position | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 247,437 | $ 237,325 | ||
Gains percentage of net assets | 3.00% | 2.30% | ||
Losses | $ (94,240) | $ (58,750) | ||
Loss percentage of net assets | (1.10%) | (0.50%) | ||
SERIES A | Short Position | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 16,744 | $ 29,064 | ||
Gains percentage of net assets | 0.20% | 0.30% | ||
Losses | $ (7,330) | $ (256) | ||
Loss percentage of net assets | (0.10%) | (0.00%) | [1] | |
SERIES A | Short Position | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Losses | $ (17,240) | $ (4,331) | ||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | |
SERIES A | Short Position | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 62,175 | $ 41,104 | ||
Gains percentage of net assets | 0.80% | 0.40% | ||
Losses | $ (40,195) | $ (13,563) | ||
Loss percentage of net assets | (0.50%) | (0.10%) | ||
SERIES A | Short Position | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 34,493 | $ 735 | ||
Gains percentage of net assets | 0.40% | 0.00% | [1] | |
Losses | $ (10,570) | $ (38,485) | ||
Loss percentage of net assets | (0.10%) | (0.40%) | ||
SERIES A | Short Position | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 24,352 | $ 85,212 | ||
Gains percentage of net assets | 0.30% | 0.80% | ||
Losses | $ (17,445) | $ (2,115) | ||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | |
SERIES A | Short Position | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 26,940 | |||
Gains percentage of net assets | 0.30% | |||
SERIES A | Short Position | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains | $ 82,733 | $ 81,210 | ||
Gains percentage of net assets | 1.00% | 0.80% | ||
Losses | $ (1,460) | |||
Loss percentage of net assets | [1] | (0.00%) | ||
[1] | Due to rounding - amount is less than 0.05% |
Average Contract Volume by Mark
Average Contract Volume by Market Sector (Detail) - Contract | Sep. 30, 2015 | Sep. 30, 2014 | |
Long Position | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 1,970 | 6,272 |
Long Position | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 41 | 683 | |
Long Position | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 629 | 3,082 | |
Long Position | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 233 | 52 | |
Long Position | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 566 | 1,502 | |
Long Position | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 242 | 613 | |
Long Position | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 144 | 267 | |
Long Position | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 115 | 73 | |
Long Position | SERIES A | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 750 | 2,416 |
Long Position | SERIES A | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 15 | 265 | |
Long Position | SERIES A | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 239 | 1,197 | |
Long Position | SERIES A | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 87 | 21 | |
Long Position | SERIES A | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 221 | 568 | |
Long Position | SERIES A | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 92 | 238 | |
Long Position | SERIES A | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 51 | 98 | |
Long Position | SERIES A | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 45 | 29 | |
Long Position | SERIES B | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 1,220 | 3,856 |
Long Position | SERIES B | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 26 | 418 | |
Long Position | SERIES B | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 390 | 1,885 | |
Long Position | SERIES B | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 146 | 31 | |
Long Position | SERIES B | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 345 | 934 | |
Long Position | SERIES B | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 150 | 375 | |
Long Position | SERIES B | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 93 | 169 | |
Long Position | SERIES B | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 70 | 44 | |
Short Position | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 2,106 | 1,576 |
Short Position | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 255 | 469 | |
Short Position | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 273 | 364 | |
Short Position | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 230 | 175 | |
Short Position | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 757 | 147 | |
Short Position | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 322 | 199 | |
Short Position | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 256 | 216 | |
Short Position | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 13 | 6 | |
Short Position | SERIES A | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 822 | 602 |
Short Position | SERIES A | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 100 | 181 | |
Short Position | SERIES A | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 109 | 146 | |
Short Position | SERIES A | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 88 | 63 | |
Short Position | SERIES A | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 292 | 58 | |
Short Position | SERIES A | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 127 | 71 | |
Short Position | SERIES A | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 101 | 80 | |
Short Position | SERIES A | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 5 | 3 | |
Short Position | SERIES B | |||
Derivative [Line Items] | |||
Average Number of Contracts | [1] | 1,284 | 974 |
Short Position | SERIES B | Currency | |||
Derivative [Line Items] | |||
Average Number of Contracts | 155 | 288 | |
Short Position | SERIES B | Financial | |||
Derivative [Line Items] | |||
Average Number of Contracts | 164 | 218 | |
Short Position | SERIES B | Food & Fiber | |||
Derivative [Line Items] | |||
Average Number of Contracts | 142 | 112 | |
Short Position | SERIES B | Indices | |||
Derivative [Line Items] | |||
Average Number of Contracts | 465 | 89 | |
Short Position | SERIES B | Metals | |||
Derivative [Line Items] | |||
Average Number of Contracts | 195 | 128 | |
Short Position | SERIES B | Energy | |||
Derivative [Line Items] | |||
Average Number of Contracts | 155 | 136 | |
Short Position | SERIES B | Livestock | |||
Derivative [Line Items] | |||
Average Number of Contracts | 8 | 3 | |
[1] | Based on quarterly holdings |
Funds Trading Results by Market
Funds Trading Results by Market Sector (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | $ (835,551) | $ 1,645,756 | $ (191,439) | $ 2,895,900 |
Change in Net Unrealized Gains (Losses) | 140,109 | 164,519 | (692,010) | (420,301) |
Net Trading Gains (Losses) | (695,442) | 1,810,275 | (883,449) | 2,475,599 |
Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (11,841) | (38,258) | 32,932 | (217,135) |
Change in Net Unrealized Gains (Losses) | 44 | |||
Net Trading Gains (Losses) | (11,841) | (38,258) | 32,932 | (217,091) |
Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 98,969 | 287,964 | 449,176 | (137,125) |
Change in Net Unrealized Gains (Losses) | (89,406) | 33,719 | (123,547) | (61,407) |
Net Trading Gains (Losses) | 9,563 | 321,683 | 325,629 | (198,532) |
Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 106,471 | 718,490 | (313,939) | 1,904,319 |
Change in Net Unrealized Gains (Losses) | 12,993 | 10,280 | (436,026) | (74,366) |
Net Trading Gains (Losses) | 119,464 | 728,770 | (749,965) | 1,829,953 |
Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (156,185) | 521,021 | (251,813) | 1,086,607 |
Change in Net Unrealized Gains (Losses) | (58,007) | 64,986 | (5,543) | 73,652 |
Net Trading Gains (Losses) | (214,192) | 586,007 | (257,356) | 1,160,259 |
Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (766,950) | 536,075 | 315,853 | 1,130,234 |
Change in Net Unrealized Gains (Losses) | 27,147 | (115,333) | (266,420) | (691,362) |
Net Trading Gains (Losses) | (739,803) | 420,742 | 49,433 | 438,872 |
Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 211,325 | (187,031) | 486,407 | (687,418) |
Change in Net Unrealized Gains (Losses) | 5,483 | 129,088 | (141,788) | 98,701 |
Net Trading Gains (Losses) | 216,808 | (57,943) | 344,619 | (588,717) |
Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (295,070) | 1,900 | (907,080) | 492,230 |
Change in Net Unrealized Gains (Losses) | 80,900 | (25,380) | 206,470 | 60,140 |
Net Trading Gains (Losses) | (214,170) | (23,480) | (700,610) | 552,370 |
Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (22,270) | (194,405) | (2,975) | (675,812) |
Change in Net Unrealized Gains (Losses) | 160,999 | 67,159 | 74,844 | 174,297 |
Net Trading Gains (Losses) | 138,729 | (127,246) | 71,869 | (501,515) |
SERIES B | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (537,994) | 973,931 | (75,236) | 1,790,401 |
Change in Net Unrealized Gains (Losses) | 105,995 | 131,949 | (433,227) | (257,237) |
Net Trading Gains (Losses) | (431,999) | 1,105,880 | (508,463) | 1,533,164 |
SERIES B | Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (6,582) | (23,913) | 22,380 | (134,699) |
Change in Net Unrealized Gains (Losses) | 32 | |||
Net Trading Gains (Losses) | (6,582) | (23,913) | 22,380 | (134,667) |
SERIES B | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 74,970 | 181,760 | 289,649 | (87,483) |
Change in Net Unrealized Gains (Losses) | (56,480) | 29,746 | (79,072) | (32,067) |
Net Trading Gains (Losses) | 18,490 | 211,506 | 210,577 | (119,550) |
SERIES B | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 58,415 | 447,882 | (40,659) | 1,207,613 |
Change in Net Unrealized Gains (Losses) | 15,042 | 5,491 | (269,128) | (37,290) |
Net Trading Gains (Losses) | 73,457 | 453,373 | (309,787) | 1,170,323 |
SERIES B | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (95,294) | 323,598 | (168,869) | 674,370 |
Change in Net Unrealized Gains (Losses) | (29,118) | 40,548 | 7,278 | 47,846 |
Net Trading Gains (Losses) | (124,412) | 364,146 | (161,591) | 722,216 |
SERIES B | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (493,812) | 326,985 | 373,018 | 666,134 |
Change in Net Unrealized Gains (Losses) | 30,111 | (74,618) | (171,735) | (440,300) |
Net Trading Gains (Losses) | (463,701) | 252,367 | 201,283 | 225,834 |
SERIES B | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 129,034 | (119,766) | 25,910 | (452,182) |
Change in Net Unrealized Gains (Losses) | (1,802) | 88,069 | (96,611) | 57,705 |
Net Trading Gains (Losses) | 127,232 | (31,697) | (70,701) | (394,477) |
SERIES B | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (183,680) | (2,840) | (563,760) | 318,720 |
Change in Net Unrealized Gains (Losses) | 52,620 | (13,000) | 132,090 | 37,040 |
Net Trading Gains (Losses) | (131,060) | (15,840) | (431,670) | 355,760 |
SERIES B | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (21,045) | (159,775) | (12,905) | (402,072) |
Change in Net Unrealized Gains (Losses) | 95,622 | 55,713 | 43,951 | 109,797 |
Net Trading Gains (Losses) | 74,577 | (104,062) | 31,046 | (292,275) |
SERIES A | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (297,557) | 671,825 | (116,203) | 1,105,499 |
Change in Net Unrealized Gains (Losses) | 34,114 | 32,570 | (258,781) | (163,064) |
Net Trading Gains (Losses) | (263,443) | 704,395 | (374,984) | 942,435 |
SERIES A | Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (5,259) | (14,345) | 10,552 | (82,436) |
Change in Net Unrealized Gains (Losses) | 12 | |||
Net Trading Gains (Losses) | (5,259) | (14,345) | 10,552 | (82,424) |
SERIES A | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 23,999 | 106,204 | 159,527 | (49,642) |
Change in Net Unrealized Gains (Losses) | (32,926) | 3,973 | (44,475) | (29,340) |
Net Trading Gains (Losses) | (8,927) | 110,177 | 115,052 | (78,982) |
SERIES A | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 48,056 | 270,608 | (273,280) | 696,706 |
Change in Net Unrealized Gains (Losses) | (2,049) | 4,789 | (166,898) | (37,076) |
Net Trading Gains (Losses) | 46,007 | 275,397 | (440,178) | 659,630 |
SERIES A | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (60,891) | 197,423 | (82,944) | 412,237 |
Change in Net Unrealized Gains (Losses) | (28,889) | 24,438 | (12,821) | 25,806 |
Net Trading Gains (Losses) | (89,780) | 221,861 | (95,765) | 438,043 |
SERIES A | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (273,138) | 209,090 | (57,165) | 464,100 |
Change in Net Unrealized Gains (Losses) | (2,964) | (40,715) | (94,685) | (251,062) |
Net Trading Gains (Losses) | (276,102) | 168,375 | (151,850) | 213,038 |
SERIES A | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 82,291 | (67,265) | 460,497 | (235,236) |
Change in Net Unrealized Gains (Losses) | 7,285 | 41,019 | (45,175) | 40,996 |
Net Trading Gains (Losses) | 89,576 | (26,246) | 415,322 | (194,240) |
SERIES A | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (111,390) | 4,740 | (343,320) | 173,510 |
Change in Net Unrealized Gains (Losses) | 28,280 | (12,380) | 74,380 | 23,100 |
Net Trading Gains (Losses) | (83,110) | (7,640) | (268,940) | 196,610 |
SERIES A | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (1,225) | (34,630) | 9,930 | (273,740) |
Change in Net Unrealized Gains (Losses) | 65,377 | 11,446 | 30,893 | 64,500 |
Net Trading Gains (Losses) | $ 64,152 | $ (23,184) | $ 40,823 | $ (209,240) |
Due From To Brokers - Additiona
Due From To Brokers - Additional Information (Detail) - USD ($) | Sep. 30, 2015 | Dec. 31, 2014 |
Due to and from Broker-Dealers and Clearing Organizations [Abstract] | ||
Due to Brokers | $ 0 | $ 0 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - Superfund Capital Management | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transaction [Line Items] | |
Management Fee | 1.85% |
Offering expenses percentage | 1.00% |
Operating expenses percentage | 0.15% |
Incentive fees | 25.00% |
Selling commissions percentage | 4.00% |
Maximum cumulative selling commission percentage | 10.00% |
Financial Highlights (Detail)
Financial Highlights (Detail) - $ / shares | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
SERIES A | |||||
Financial Highlights [Line Items] | |||||
Total return before incentive fees | [1] | (5.00%) | 4.90% | (10.10%) | 2.50% |
Incentive fees | [1] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | [1] | (5.00%) | 4.90% | (10.10%) | 2.50% |
Ratios to average partners' capital, Operating expenses before incentive fees | 1.90% | 1.90% | 5.50% | 6.20% | |
Ratios to average partners' capital, Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% | |
Ratios to average partners' capital, Total expenses | 1.90% | 1.90% | 5.50% | 6.20% | |
Net investment loss | (1.90%) | (1.90%) | (5.50%) | (6.20%) | |
Net asset value per unit, beginning of period | $ 1,216.01 | $ 1,187.24 | $ 1,283.60 | $ 1,215.27 | |
Net investment loss | (22.19) | (23.29) | (69.45) | (74.48) | |
Net gain (loss) on investments | (37.73) | 81.12 | (58.06) | 104.28 | |
Net asset value per unit, end of period | 1,156.09 | 1,245.07 | 1,156.09 | 1,245.07 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) | [2] | (61.92) | 58.06 | (122.06) | 22.56 |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) | [2] | $ (59.92) | $ 57.83 | $ (127.51) | $ 29.80 |
SERIES B | |||||
Financial Highlights [Line Items] | |||||
Total return before incentive fees | [1] | (6.90%) | 8.00% | (12.40%) | 6.40% |
Incentive fees | [1] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | [1] | (6.90%) | 8.00% | (12.40%) | 6.40% |
Ratios to average partners' capital, Operating expenses before incentive fees | 2.00% | 2.10% | 6.10% | 6.90% | |
Ratios to average partners' capital, Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% | |
Ratios to average partners' capital, Total expenses | 2.00% | 2.10% | 6.10% | 6.90% | |
Net investment loss | (2.00%) | (2.10%) | (6.10%) | (6.90%) | |
Net asset value per unit, beginning of period | $ 1,375.18 | $ 1,282.02 | $ 1,462.68 | $ 1,300.97 | |
Net investment loss | (27.31) | (27.98) | (88.53) | (88.82) | |
Net gain (loss) on investments | (67.46) | 130.66 | (93.74) | 172.55 | |
Net asset value per unit, end of period | 1,280.41 | 1,384.70 | 1,280.41 | 1,384.70 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) | [3] | (97.38) | 104.22 | (165.82) | 69.02 |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) | [3] | $ (94.77) | $ 102.68 | $ (182.27) | $ 83.73 |
[1] | Total return is calculated for each Series of the Fund taken as a whole. An individual's return may vary from these returns based on the timing of capital transactions. | ||||
[2] | Weighted average number of Units outstanding for Series A for the three months ended September 30, 2015 and September 30, 2014: 6,732.97 and 8,585.77, respectively; and for the nine months ended September 30, 2015 and September 30, 2014: 7,168.34 and 9,408.27, respectively. | ||||
[3] | Weighted average number of Units outstanding for Series B for the three months ended September 30, 2015 and September 30, 2014: 6,233.22 and 8,262.87, respectively; and for the nine months ended September 30, 2015 and September 30, 2014: 6,631.60 and 9,397.93, respectively. |
Financial Instrument Risk - Add
Financial Instrument Risk - Additional Information (Detail) - Exchange Traded Futures - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | $ 953,099 | $ 789,304 |
Loss On Derivative Instruments Pretax | 925,717 | 391,805 |
SERIES A | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 381,211 | 274,841 |
Loss On Derivative Instruments Pretax | 371,398 | 144,854 |
SERIES B | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 571,888 | 514,463 |
Loss On Derivative Instruments Pretax | $ 554,319 | $ 246,951 |
Subscriptions and Redemptions -
Subscriptions and Redemptions - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 3,161,814 | $ 7,823,479 |
Number of days for redemptions | 20 days | |
Net asset value per unit minimum decline rate | 50.00% | |
Minimum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 1,000 | |
Maximum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 10,000 | |
Partners capital account, number of days for a written request for redemptions | 5 days | |
Maximum | Special Redemption Period | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Partners capital account, maximum number of days to notify partners about special redemption event | 7 days |