Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2017shares | |
Document And Entity Information [Abstract] | |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Sep. 30, 2017 |
Document Fiscal Year Focus | 2,017 |
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, 2017 | Dec. 31, 2016 |
ASSETS | ||
Due from brokers | $ 4,193,201 | $ 5,162,711 |
Unrealized appreciation on open forward contracts | 25,475 | |
Unrealized gain on futures contracts purchased | 176,135 | 254,994 |
Unrealized gain on futures contracts sold | 57,912 | 164,986 |
Cash | 3,712,902 | 4,768,586 |
Other assets | 680 | |
Total assets | 8,140,830 | 10,376,752 |
LIABILITIES | ||
Unrealized depreciation on open forward contracts | 34,093 | |
Unrealized loss on futures contracts purchased | 78,351 | 211,351 |
Unrealized loss on futures contracts sold | 32,002 | 145,611 |
Redemptions payable | 85,605 | 1,180,571 |
Management fees payable | 12,421 | 15,439 |
Fees payable | 1,466 | 6,427 |
Total liabilities | 209,845 | 1,593,492 |
NET ASSETS | 7,930,985 | 8,783,260 |
SERIES A | ||
ASSETS | ||
Due from brokers | 1,244,177 | 2,149,632 |
Unrealized appreciation on open forward contracts | 4,792 | |
Unrealized gain on futures contracts purchased | 33,723 | 96,648 |
Unrealized gain on futures contracts sold | 17,392 | 69,382 |
Cash | 1,865,322 | 2,648,829 |
Other assets | 680 | |
Total assets | 3,161,294 | 4,969,283 |
LIABILITIES | ||
Unrealized depreciation on open forward contracts | 9,573 | |
Unrealized loss on futures contracts purchased | 15,809 | 84,541 |
Unrealized loss on futures contracts sold | 6,372 | 57,076 |
Redemptions payable | 28,223 | 1,150,674 |
Management fees payable | 4,856 | 7,448 |
Fees payable | 395 | 3,885 |
Total liabilities | 55,655 | 1,313,197 |
NET ASSETS | $ 3,105,639 | $ 3,656,086 |
Number of Units | 3,047.464 | 3,694.882 |
Net Asset Value per Unit | $ 1,019.09 | $ 989.50 |
SERIES B | ||
ASSETS | ||
Due from brokers | $ 2,949,024 | $ 3,013,079 |
Unrealized appreciation on open forward contracts | 20,683 | |
Unrealized gain on futures contracts purchased | 142,412 | 158,346 |
Unrealized gain on futures contracts sold | 40,520 | 95,604 |
Cash | 1,847,580 | 2,119,757 |
Total assets | 4,979,536 | 5,407,469 |
LIABILITIES | ||
Unrealized depreciation on open forward contracts | 24,520 | |
Unrealized loss on futures contracts purchased | 62,542 | 126,810 |
Unrealized loss on futures contracts sold | 25,630 | 88,535 |
Redemptions payable | 57,382 | 29,897 |
Management fees payable | 7,565 | 7,991 |
Fees payable | 1,071 | 2,542 |
Total liabilities | 154,190 | 280,295 |
NET ASSETS | $ 4,825,346 | $ 5,127,174 |
Number of Units | 4,171.202 | 4,887.522 |
Net Asset Value per Unit | $ 1,156.82 | $ 1,049.01 |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Investment Income | |||||
Interest income | $ 8,170 | $ 1,233 | $ 18,564 | $ 3,960 | |
Other income | 2 | 6,153 | |||
Total investment income | 8,172 | 1,233 | 24,717 | 3,960 | |
Expenses | |||||
Selling commission | 82,077 | 134,200 | 254,602 | 430,730 | |
Brokerage commissions | 24,960 | 47,937 | 99,226 | 185,223 | |
Management fee | 37,960 | 62,068 | 117,753 | 199,214 | |
Operating expenses | 3,078 | 5,032 | 9,548 | 16,152 | |
Other | 4,275 | 8,625 | 16,995 | 25,715 | |
Total expenses | 152,350 | 257,862 | 498,124 | 857,034 | |
Net investment loss | (144,178) | (256,629) | (473,407) | (853,074) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | 180,927 | 488,261 | 996,624 | (801,820) | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 330,726 | (339,674) | 69,294 | (60,414) | |
Net gain (loss) on investments | 511,653 | 148,587 | 1,065,918 | (862,234) | |
Net increase (decrease) in net assets from operations | 367,475 | (108,042) | 592,511 | (1,715,308) | |
SERIES A | |||||
Investment Income | |||||
Interest income | 2,952 | 516 | 7,099 | 1,675 | |
Other income | 3,500 | ||||
Total investment income | 2,952 | 516 | 10,599 | 1,675 | |
Expenses | |||||
Selling commission | 32,404 | 64,940 | 102,781 | 210,779 | |
Brokerage commissions | 6,961 | 18,229 | 29,103 | 72,245 | |
Management fee | 14,987 | 30,035 | 47,537 | 97,486 | |
Operating expenses | 1,215 | 2,435 | 3,854 | 7,904 | |
Other | 1,302 | 4,184 | 6,189 | 12,203 | |
Total expenses | 56,869 | 119,823 | 189,464 | 400,617 | |
Net investment loss | (53,917) | (119,307) | (178,865) | (398,942) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | 20,316 | 195,654 | 273,070 | (386,405) | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 96,810 | (135,928) | 9,301 | (32,557) | |
Net gain (loss) on investments | 117,126 | 59,726 | 282,371 | (418,962) | |
Net increase (decrease) in net assets from operations | $ 63,209 | $ (59,581) | $ 103,506 | $ (817,904) | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | [1] | $ 20.26 | $ (10.50) | $ 31.37 | $ (136.35) |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | [1] | $ 19.42 | $ (11.36) | $ 29.59 | $ (132.02) |
SERIES B | |||||
Investment Income | |||||
Interest income | $ 5,218 | $ 717 | $ 11,465 | $ 2,285 | |
Other income | 2 | 2,653 | |||
Total investment income | 5,220 | 717 | 14,118 | 2,285 | |
Expenses | |||||
Selling commission | 49,673 | 69,260 | 151,821 | 219,951 | |
Brokerage commissions | 17,999 | 29,708 | 70,123 | 112,978 | |
Management fee | 22,973 | 32,033 | 70,216 | 101,728 | |
Operating expenses | 1,863 | 2,597 | 5,694 | 8,248 | |
Other | 2,973 | 4,441 | 10,806 | 13,512 | |
Total expenses | 95,481 | 138,039 | 308,660 | 456,417 | |
Net investment loss | (90,261) | (137,322) | (294,542) | (454,132) | |
Realized and unrealized gain (loss) on investments | |||||
Net realized gain (loss) on futures and forward contracts | 160,611 | 292,607 | 723,554 | (415,415) | |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 233,916 | (203,746) | 59,993 | (27,857) | |
Net gain (loss) on investments | 394,527 | 88,861 | 783,547 | (443,272) | |
Net increase (decrease) in net assets from operations | $ 304,266 | $ (48,461) | $ 489,005 | $ (897,404) | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | [2] | $ 71.23 | $ (9.11) | $ 109.25 | $ (162.81) |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | [2] | $ 70.05 | $ (12.11) | $ 107.81 | $ (162.72) |
[1] | Weighted average number of Units outstanding for Series A for the three months ended September 30, 2017 and September 30, 2016: 3,120.43 and 5,673.76, respectively; and for the nine months ended September 30, 2017 and September 30, 2016: 3,299.02 and 5,998.73, respectively. | ||||
[2] | Weighted average number of Units outstanding for Series B for the three months ended September 30, 2017 and September 30, 2016: 4,271.66 and 5,316.77, respectively; and for the nine months ended September 30, 2017 and September 30, 2016: 4,475.83 and 5,511.87, respectively. |
STATEMENTS OF CASH FLOWS
STATEMENTS OF CASH FLOWS - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | $ 592,511 | $ (1,715,308) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 969,510 | 129,475 |
(Increase) decrease in futures contracts purchased | (54,141) | (227,285) |
(Increase) decrease in unrealized appreciation on open forward contracts | 25,475 | (31,250) |
Increase (decrease) in futures contracts sold | (6,535) | 293,694 |
Increase (decrease) in unrealized depreciation on open forward contracts | (34,093) | 25,255 |
Increase in other assets | (680) | |
Decrease in management fees payable | (3,018) | (5,673) |
Decrease in fees payable | (4,961) | (3,063) |
Net cash provided by (used in) operating activities | 1,484,068 | (1,534,155) |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 239,536 | 349,704 |
Redemptions, net of change in redemptions payable | (2,779,288) | (2,295,538) |
Net cash used in financing activities | (2,539,752) | (1,945,834) |
Net decrease in cash | (1,055,684) | (3,479,989) |
Cash, beginning of period | 4,768,586 | 9,619,391 |
Cash, end of period | 3,712,902 | 6,139,402 |
SERIES A | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | 103,506 | (817,904) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 905,455 | 56,622 |
(Increase) decrease in futures contracts purchased | (5,807) | (83,511) |
(Increase) decrease in unrealized appreciation on open forward contracts | 4,792 | (9,768) |
Increase (decrease) in futures contracts sold | 1,286 | 118,867 |
Increase (decrease) in unrealized depreciation on open forward contracts | (9,573) | 6,970 |
Increase in other assets | (680) | |
Decrease in management fees payable | (2,592) | (2,939) |
Decrease in fees payable | (3,490) | (1,800) |
Net cash provided by (used in) operating activities | 992,897 | (733,463) |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 97,830 | 158,812 |
Redemptions, net of change in redemptions payable | (1,874,234) | (1,237,449) |
Net cash used in financing activities | (1,776,404) | (1,078,637) |
Net decrease in cash | (783,507) | (1,812,100) |
Cash, beginning of period | 2,648,829 | 5,412,560 |
Cash, end of period | 1,865,322 | 3,600,460 |
SERIES B | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | 489,005 | (897,404) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 64,055 | 72,853 |
(Increase) decrease in futures contracts purchased | (48,334) | (143,774) |
(Increase) decrease in unrealized appreciation on open forward contracts | 20,683 | (21,482) |
Increase (decrease) in futures contracts sold | (7,821) | 174,827 |
Increase (decrease) in unrealized depreciation on open forward contracts | (24,520) | 18,285 |
Decrease in management fees payable | (426) | (2,734) |
Decrease in fees payable | (1,471) | (1,263) |
Net cash provided by (used in) operating activities | 491,171 | (800,692) |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 141,706 | 190,892 |
Redemptions, net of change in redemptions payable | (905,054) | (1,058,089) |
Net cash used in financing activities | (763,348) | (867,197) |
Net decrease in cash | (272,177) | (1,667,889) |
Cash, beginning of period | 2,119,757 | 4,206,831 |
Cash, end of period | $ 1,847,580 | $ 2,538,942 |
STATEMENTS OF OPERATIONS (Paren
STATEMENTS OF OPERATIONS (Parenthetical) - shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
SERIES A | ||||
Weighted average number of Units outstanding | 3,120.43 | 5,673.76 | 3,299.02 | 5,998.73 |
SERIES B | ||||
Weighted average number of Units outstanding | 4,271.66 | 5,316.77 | 4,475.83 | 5,511.87 |
Nature of operations
Nature of operations | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 | |
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 10-K 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 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 assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statements of operations. 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, 2017, the Fund had on deposit $1,354,999 at ADM Investor Services, Inc. and $2,838,202 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2017, Series A had on deposit $452,478 at ADM Investor Services, Inc. and $791,699 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2017, Series B had on deposit $902,520 at ADM Investor Services, Inc. and $2,046,504 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 Adopted and/or Issued Accounting Pronouncements ASU 2015-14 In August 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date 2015-14”), No. 2014-09, Revenue from Contracts with Customers (Topic 606) 2014-09”). 2014-09 ASU 2016-01 In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments – Overall (Suptopic 825-10) 2016-01”). 2016-01 2016-01 |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2017 | |
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. over-the-counter 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. The Fund’s forward positions are typically classified within Level 2 of the fair value hierarchy. 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, 2017 or December 31, 2016 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, 2017 and December 31, 2016: Superfund Green, L.P. Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 57,912 $ 57,912 $ — $ — Futures contracts purchased 176,135 176,135 — — Total Assets Measured at Fair Value $ 234,047 $ 234,047 $ — $ — LIABILITIES Futures contracts sold $ 32,002 $ 32,002 $ — $ — Futures contracts purchased 78,351 78,351 — — Total Liabilities Measured at Fair Value $ 110,353 $ 110,353 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 25,475 $ — $ 25,475 $ — Futures contracts sold 164,986 164,986 — Futures contracts purchased 254,994 254,994 — — Total Assets Measured at Fair Value $ 445,455 $ 419,980 $ 25,475 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 34,093 $ — $ 34,093 $ — Futures contracts sold 145,611 145,611 — Futures contracts purchased 211,351 211,351 — — Total Liabilities Measured at Fair Value $ 391,055 $ 356,962 $ 34,093 $ — Superfund Green, L.P. – Series A Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 17,392 $ 17,392 $ — $ — Futures contracts purchased 33,723 33,723 — — Total Assets Measured at Fair Value $ 51,115 $ 51,115 $ — $ — LIABILITIES Futures contracts sold $ 6,372 $ 6,372 $ — $ — Futures contracts purchased 15,809 15,809 — — Total Liabilities Measured at Fair Value $ 22,181 $ 22,181 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 4,792 $ — $ 4,792 $ — Futures contracts sold 69,382 69,382 — Futures contracts purchased 96,648 96,648 — — Total Assets Measured at Fair Value $ 170,822 $ 166,030 $ 4,792 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 9,573 $ — $ 9,573 $ — Futures contracts sold 57,076 57,076 — Futures contracts purchased 84,541 84,541 — — Total Liabilities Measured at Fair Value $ 151,190 $ 141,617 $ 9,573 $ — Superfund Green, L.P. – Series B Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 40,520 $ 40,520 $ — $ — Futures contracts purchased 142,412 142,412 — — Total Assets Measured at Fair Value $ 182,932 $ 182,932 $ — $ — LIABILITIES Futures contracts sold $ 25,630 $ 25,630 $ — $ — Futures contracts purchased 62,542 62,542 — — Total Liabilities Measured at Fair Value $ 88,172 $ 88,172 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 20,683 $ — $ 20,683 $ — Futures contracts sold 95,604 95,604 — Futures contracts purchased 158,346 158,346 — — Total Assets Measured at Fair Value $ 274,633 $ 253,950 $ 20,683 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 24,520 $ — $ 24,520 $ — Futures contracts sold 88,535 88,535 — Futures contracts purchased 126,810 126,810 — — Total Liabilities Measured at Fair Value $ 239,865 $ 215,345 $ 24,520 $ — |
Disclosure of derivative instru
Disclosure of derivative instruments and hedging activities | 9 Months Ended |
Sep. 30, 2017 | |
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 forward contracts in currency and 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 forward contracts and commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on open forward contracts and 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. 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives Liability Derivatives Net Futures contracts Futures contracts purchased $ 176,135 $ (78,351 ) $ 97,784 Futures contracts Futures contracts sold 57,912 (32,002 ) 25,910 Totals $ 234,047 $ (110,353 ) $ 123,694 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 25,475 $ — $ 25,475 Foreign exchange contracts Unrealized depreciation on open forward contracts — (34,093 ) (34,093 ) Futures contracts Futures contracts purchased 254,994 (211,351 ) 43,643 Futures contracts Futures contracts sold 164,986 (145,611 ) 19,375 Totals $ 445,455 $ (391,055 ) $ 54,400 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 51,459 $ — $ — $ 51,459 Merrill Lynch 72,235 — — 72,235 Totals $ 123,694 $ — $ — $ 123,694 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net ADMIS $ (62,704 ) $ — $ — $ (62,704 ) Merrill Lynch 117,104 — — 117,104 Totals $ 54,400 $ — $ — $ 54,400 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Statement of Operations Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,560 ) $ 5,313 Futures contracts Net realized/unrealized gain on futures and forward contracts 194,487 325,413 Total $ 180,927 $ 330,726 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,756 ) $ 8,619 Futures contracts Net realized/unrealized gain on futures and forward contracts 1,010,380 60,675 Total $ 996,624 $ 69,294 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Derivatives in Statement of Operations Net Change in Unrealized Appreciation Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,194 ) $ 5,995 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 501,455 (345,669 ) Total $ 488,261 $ (339,674 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Loss on Derivatives in Statement of Operations Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (1,056 ) $ 5,995 Futures contracts Net realized/unrealized loss on futures and forward contracts (800,764 ) (66,409 ) Total $ (801,820 ) $ (60,414 ) Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 5,100 0.1 $ (22,723 ) (0.3 ) $ 10,257 0.1 $ (1,220 ) (0.0 )* $ (8,586 ) Financial 3,286 0.0 * (23,591 ) (0.3 ) 11,535 0.1 (874 ) (0.0 )* (9,644 ) Food & Fiber 5,055 0.1 (4,957 ) (0.1 ) 9,500 0.1 (19,764 ) (0.2 ) (10,166 ) Indices 103,142 1.3 (2,917 ) (0.0 )* 6,105 0.1 (6,673 ) (0.1 ) 99,657 Metals 14,983 0.2 (13,975 ) (0.2 ) 10,275 0.1 (3,091 ) (0.0 )* 8,192 Energy 44,348 0.6 (10,188 ) (0.1 ) 10,240 0.1 (380 ) (0.0 )* 44,020 Livestock 221 0.0 * — — — — — — 221 Totals $ 176,135 2.3 $ (78,351 ) (1.0 ) $ 57,912 0.6 $ (32,002 ) (0.3 ) $ 123,694 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Foreign Exchange $ 13,481 0.2 $ (14,738 ) (0.2 ) $ 11,994 0.1 $ (19,355 ) (0.2 ) $ (8,618 ) Currency 2,976 0.0 * (38,947 ) (0.4 ) 20,015 0.2 (3,555 ) (0.0 )* (19,511 ) Financial 105,659 1.2 (12,113 ) (0.1 ) 1,789 0.0 * (28,765 ) (0.3 ) 66,570 Food & Fiber 13,543 0.2 (30,833 ) (0.4 ) 28,124 0.3 (20,480 ) (0.2 ) (9,646 ) Indices 92,375 1.1 (49,313 ) (0.6 ) 8,350 0.1 (28,427 ) (0.3 ) 22,985 Metals 5,640 0.1 (80,118 ) (0.9 ) 106,709 1.2 (4,885 ) (0.1 ) 27,346 Livestock — — — — — — (45,580 ) (0.5 ) (45,580 ) Energy 34,799 0.4 (25 ) (0.0 )* — — (13,920 ) (0.2 ) 20,854 Totals $ 268,473 3.2 $ (226,087 ) (2.6 ) $ 176,981 1.9 $ (164,967 ) (1.8 ) $ 54,400 * Due to rounding – amount is less than 0.05% Superfund Green L.P. monthly contract volume: For the three months ended September 30, 2017, the monthly average futures and forward contracts bought was 1,209 and the monthly average futures and forward contracts sold was 259. For the nine months ended September 30, 2017, the monthly average futures and forward contracts bought was 1,534 and the monthly average futures and forward contracts sold was 442. For the three months ended September 30, 2016, the monthly average futures and forward contracts bought was 1,865 and the monthly average futures and forward contracts sold was 1,025. For the nine months ended September 30, 2016, the monthly average futures and forward contracts bought was 1,954 and the monthly average futures and forward contracts sold was 2,083. Superfund Green, L.P. trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,560 ) $ 5,313 $ (8,247 ) Currency 118,747 (50,341 ) 68,406 Financial (18,462 ) 97,338 78,876 Food & Fiber (20,038 ) 20,394 356 Indices 49,370 189,166 238,536 Metals 59,839 (8,286 ) 51,553 Livestock (37,820 ) (2,930 ) (40,750 ) Energy 42,851 80,072 122,923 Total net trading gains in Statement of Operations $ 180,927 $ 330,726 $ 511,653 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,756 ) $ 8,619 $ (5,137 ) Currency (70,930 ) 10,925 (60,005 ) Financial (2,639 ) (76,213 ) (78,852 ) Food & Fiber (51,799 ) (523 ) (52,322 ) Indices 1,469,637 76,671 1,546,308 Metals (16,160 ) (19,155 ) (35,315 ) Livestock (53,000 ) 45,800 (7,200 ) Energy (264,729 ) 23,170 (241,559 ) Total net trading gains in Statement of Operations $ 996,624 $ 69,294 $ 1,065,918 For the Three Months Ended September 30, 2016 Net Gains Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,194 ) $ 5,995 $ (7,199 ) Currency (137,156 ) 108,463 (28,693 ) Financial 270,122 (166,743 ) 103,379 Food & Fiber 91,936 (164,610 ) (72,674 ) Indices 215,396 85,895 301,291 Metals 188,585 (265,523 ) (76,938 ) Livestock 14,290 48,380 62,670 Energy (141,718 ) 8,469 (133,249 ) Total net trading gains (losses) in Statement of Operations $ 488,261 $ (339,674 ) $ 148,587 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (1,056 ) $ 5,995 $ 4,939 Currency (619,658 ) 156,837 (462,821 ) Financial 540,279 54,497 594,776 Food & Fiber 120,141 (50,329 ) 69,812 Indices 52,853 (80,334 ) (27,481 ) Metals (493,751 ) (53,962 ) (547,713 ) Livestock (16,810 ) 45,740 28,930 Energy (383,818 ) (138,858 ) (522,676 ) Total net trading losses in Statement of Operations $ (801,820 ) $ (60,414 ) $ (862,234 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 33,723 $ (15,809 ) $ 17,914 Futures contracts Futures contracts sold 17,392 (6,372 ) 11,020 Totals $ 51,115 $ (22,181 ) $ 28,934 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives at Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 4,792 $ — $ 4,792 Foreign exchange contracts Unrealized depreciation on open forward contracts — (9,573 ) (9,573 ) Futures contracts Futures contracts purchased 96,648 (84,541 ) 12,107 Futures contracts Futures contracts sold 69,382 (57,076 ) 12,306 Totals $ 170,822 $ (151,190 ) $ 19,632 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net ADMIS $ 8,543 $ — $ — $ 8,543 Merrill Lynch 20,391 — — 20,391 Totals $ 28,934 $ — $ — $ 28,934 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (25,285 ) $ — $ — $ (25,285 ) Merrill Lynch 44,917 — — 44,917 Totals $ 19,632 $ — $ — $ 19,632 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (5,288 ) $ 1,762 Futures contracts Net realized/unrealized gain on futures and forward contracts 25,604 95,048 Total $ 20,316 $ 96,810 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (2,778 ) $ 4,781 Futures contracts Net realized/unrealized gain on futures and forward contracts 275,848 4,520 Total $ 273,070 $ 9,301 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain on Net Change in Unrealized Appreciation Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 595 $ 2,798 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 195,059 (138,726 ) Total $ 195,654 $ (135,928 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 4,162 $ 2,798 Futures contracts Net realized/unrealized loss on futures and forward contracts (390,567 ) (35,355 ) Total $ (386,405 ) $ (32,557 ) Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Gain (Loss) on Currency $ — — $ (3,453 ) (0.1 ) $ 1,175 0.0 * $ — — $ (2,278 ) Financial 750 0.0 * (6,802 ) (0.2 ) 3,464 0.1 (409 ) (0.0 )* (2,997 ) Food & Fiber 1,740 0.1 (1,552 ) (0.0 )* 658 0.0 * (5,160 ) (0.2 ) (4,314 ) Indices 23,470 0.8 (689 ) (0.0 )* 1,250 0.0 * (803 ) (0.0 )* 23,228 Metals 2,313 0.1 (533 ) (0.0 )* 9,025 0.3 — — 10,805 Energy 5,450 0.2 (2,780 ) (0.1 ) 1,820 0.1 — — 4,490 Totals $ 33,723 1.2 $ (15,809 ) (0.4 ) $ 17,392 0.5 $ (6,372 ) (0.2 ) $ 28,934 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Gain (Loss) on Foreign Exchange $ 1,557 0.0 * $ (4,187 ) (0.1 ) $ 3,235 0.1 $ (5,386 ) (0.1 ) $ (4,781 ) Currency 1,288 0.0 * (14,968 ) (0.4 ) 7,389 0.2 (2,370 ) (0.1 ) (8,661 ) Financial 37,316 1.0 (2,489 ) (0.1 ) 750 0.0 * (10,516 ) (0.3 ) 25,061 Food & Fiber 5,428 0.1 (11,755 ) (0.3 ) 11,771 0.3 (7,241 ) (0.2 ) (1,797 ) Indices 40,361 1.1 (15,743 ) (0.4 ) 2,693 0.1 (11,094 ) (0.3 ) 16,217 Metals 1,874 0.1 (39,585 ) (1.1 ) 46,779 1.3 (1,985 ) (0.1 ) 7,083 Livestock — — — — — — (18,160 ) (0.5 ) (18,160 ) Energy 10,380 0.3 — — — — (5,710 ) (0.2 ) 4,670 Totals $ 98,204 2.6 $ (88,727 ) (2.4 ) $ 72,617 2.0 $ (62,462 ) (1.8 ) $ 19,632 * Due to rounding – amount is less than 0.05% Series A monthly contract volume: For the three months ended September 30, 2017, the monthly average futures and forward contracts bought was 341 and the monthly average futures and forward contracts sold was 68. For the nine months ended September 30, 2017, the monthly average futures and forward contracts bought was 450 and the monthly average futures and forward contracts sold was 133. Series A monthly contract volume: For the three months ended September 30, 2016, the monthly average futures and forward contracts bought was 708 and the monthly average futures and forward contracts sold was 396. For the nine months ended September 30, 2016, the monthly average futures and forward contracts bought was 758 and the monthly average futures and forward contracts sold was 687. Series A trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,288 ) $ 1,762 $ (3,526 ) Currency 26,426 (11,112 ) 15,314 Financial (2,945 ) 26,117 23,172 Food & Fiber (8,944 ) 9,083 139 Indices 2,802 47,511 50,313 Metals 6,969 9,052 16,021 Livestock (8,920 ) (730 ) (9,650 ) Energy 10,216 15,127 25,343 Total net trading gains in Statement of Operations $ 20,316 $ 96,810 $ 117,126 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (2,778 ) $ 4,781 $ 2,003 Currency (32,049 ) 6,383 (25,666 ) Financial (1,861 ) (28,057 ) (29,918 ) Food & Fiber (18,382 ) (2,521 ) (20,903 ) Indices 402,617 7,011 409,628 Metals (16,218 ) 3,721 (12,497 ) Livestock (16,490 ) 18,160 1,670 Energy (41,769 ) (177 ) (41,946 ) Total net trading gains in Statement of Operations $ 273,070 $ 9,301 $ 282,371 For the Three Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 595 $ 2,798 $ 3,393 Currency (52,810 ) 44,003 (8,807 ) Financial 91,195 (50,962 ) 40,233 Food & Fiber 37,813 (67,648 ) (29,835 ) Indices 80,549 22,888 103,437 Metals 83,778 (105,869 ) (22,091 ) Livestock 9,320 15,800 25,120 Energy (54,786 ) 3,062 (51,724 ) Total net trading gains (losses) in Statement of Operations $ 195,654 $ (135,928 ) $ 59,726 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 4,162 $ 2,798 $ 6,960 Currency (243,667 ) 64,241 (179,426 ) Financial 202,918 18,599 221,517 Food & Fiber 36,229 (20,511 ) 15,718 Indices (30,670 ) (39,127 ) (69,797 ) Metals (182,251 ) (24,618 ) (206,869 ) Livestock (660 ) 14,760 14,100 Energy (172,466 ) (48,699 ) (221,165 ) Total net trading losses in Statement of Operations $ (386,405 ) $ (32,557 ) $ (418,962 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 142,412 $ (62,542 ) $ 79,870 Futures contracts Futures contracts sold 40,520 (25,630 ) 14,890 Totals $ 182,932 $ (88,172 ) $ 94,760 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 20,683 $ — $ 20,683 Foreign exchange contracts Unrealized depreciation on open forward contracts — (24,520) (24,520 ) Futures contracts Futures contracts purchased 158,346 (126,810) 31,536 Futures contracts Futures contracts sold 95,604 (88,535) 7,069 Totals $ 274,633 $ (239,865 ) $ 34,768 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 42,916 $ — $ — $ 42,916 Merrill Lynch 51,844 — — 51,844 Totals $ 94,760 $ — $ — $ 94,760 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (37,419 ) $ — $ — $ (37,419 ) Merrill Lynch 72,187 — — 72,187 Totals $ 34,768 $ — $ — $ 34,768 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (8,272 ) $ 3,551 Futures contracts Net realized/unrealized gain on futures and forward contracts 168,883 230,365 Total $ 160,611 $ 233,916 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (10,978 ) $ 3,838 Futures contracts Net realized/unrealized gain on futures and forward contracts 734,532 56,155 Total $ 723,554 $ 59,993 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (13,789 ) $ 3,197 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 306,396 (206,943 ) Total $ 292,607 $ (203,746 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Net Realized Loss Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (5,218 ) $ 3,197 Futures contracts Net realized/unrealized loss on futures and forward contracts (410,197 ) (31,054 ) Total $ (415,415 ) $ (27,857 ) Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 5,100 0.1 $ (19,270 ) (0.4 ) $ 9,082 0.2 $ (1,220 ) (0.0 )* $ (6,308 ) Financial 2,536 0.1 (16,789 ) (0.3 ) 8,071 0.2 (465 ) (0.0 )* (6,647 ) Food & Fiber 3,315 0.1 (3,405 ) (0.1 ) 8,842 0.2 (14,604 ) (0.3 ) (5,852 ) Indices 79,672 1.7 (2,228 ) (0.0 )* 4,855 0.1 (5,870 ) (0.1 ) 76,429 Metals 12,670 0.3 (13,442 ) (0.3 ) 1,250 0.0 * (3,091 ) (0.1 ) (2,613 ) Energy 38,898 0.8 (7,408 ) (0.2 ) 8,420 0.2 (380 ) (0.0 )* 39,530 Livestock 221 0.0 * — — — — — — 221 Totals $ 142,412 3.1 $ (62,542 ) (1.3 ) $ 40,520 0.9 $ (25,630 ) (0.5 ) $ 94,760 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contacts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Foreign Exchange $ 11,924 0.2 $ (10,551 ) (0.2 ) $ 8,759 0.2 $ (13,969 ) (0.3 ) $ (3,837 ) Currency 1,688 0.0 * (23,979 ) (0.5 ) 12,626 0.2 (1,185 ) (0.0 )* (10,850 ) Financial 68,343 1.3 (9,624 ) (0.2 ) 1,039 0.0 * (18,249 ) (0.4 ) 41,509 Food & Fiber 8,115 0.2 (19,078 ) (0.4 ) 16,353 0.3 (13,239 ) (0.3 ) (7,849 ) Indices 52,014 1.0 (33,570 ) (0.7 ) 5,657 0.1 (17,333 ) (0.3 ) 6,768 Metals 3,766 0.1 (40,533 ) (0.8 ) 59,930 1.2 (2,900 ) (0.1 ) 20,263 Livestock — — — — — — (27,420 ) (0.5 ) (27,420 ) Energy 24,419 0.5 (25 ) (0.0 )* — — (8,210 ) (0.2 ) 16,184 Totals $ 170,269 3.3 $ (137,360 ) (2.8 ) $ 104,364 2.0 $ (102,505 ) (2.1 ) $ 34,768 * Due to rounding – amount is less than 0.05% Series B monthly contract volume: For the three months ended September 30, 2017, the monthly average futures and forward contracts bought was 867 and the monthly average futures and forward contracts sold was 191. For the nine months ended September 30, 2017, the monthly average futures and forward contracts bought was 1,083 and the monthly average futures and forward contracts sold was 309. For the three months ended September 30, 2016, the monthly average futures and forward contracts bought was 1,157 and the monthly average futures and forward contracts sold was 629. For the nine months ended September 30, 2016, the monthly average futures and forward contracts bought was 1,196 and the monthly average futures and forward contracts sold was 1,063. Series B trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (8,272 ) $ 3,551 $ (4,721 ) Currency 92,321 (39,229 ) 53,092 Financial (15,517 ) 71,221 55,704 Food & Fiber (11,094 ) 11,311 217 Indices 46,568 141,655 188,223 Metals 52,870 (17,338 ) 35,532 Livestock (28,900 ) (2,200 ) (31,100 ) Energy 32,635 64,945 97,580 Total net trading gains in Statement of Operations $ 160,611 $ 233,916 $ 394,527 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (10,978 ) $ 3,838 $ (7,140 ) Currency (38,881 ) 4,542 (34,339 ) Financial (778 ) (48,156 ) (48,934 ) Food & Fiber (33,417 ) 1,998 (31,419 ) Indices 1,067,020 69,660 1,136,680 Metals 58 (22,876 ) (22,818 ) Livestock (36,510 ) 27,640 (8,870 ) Energy (222,960 ) 23,347 (199,613 ) Total net trading gains in Statement of Operations $ 723,554 $ 59,993 $ 783,547 For the Three Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,789 ) $ 3,197 $ (10,592 ) Currency (84,346 ) 64,460 (19,886 ) Financial 178,927 (115,781 ) 63,146 Food & Fiber 54,123 (96,962 ) (42,839 ) Indices 134,847 63,007 197,854 Metals 104,807 (159,654 ) (54,847 ) Livestock 4,970 32,580 37,550 Energy (86,932 ) 5,407 (81,525 ) Total net trading gains (losses) in Statement of Operations $ 292,607 $ (203,746 ) $ 88,861 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,218 ) $ 3,197 $ (2,021 ) Currency (375,991 ) 92,596 (283,395 ) Financial 337,361 35,898 373,259 Food & Fiber 83,912 (29,818 ) 54,094 Indices 83,523 (41,207 ) 42,316 Metals (311,500 ) (29,344 ) (340,844 ) Livestock (16,150 ) 30,980 14,830 Energy (211,352 ) (90,159 ) (301,511 ) Total net trading losses in Statement of Operations $ (415,415 ) $ (27,857 ) $ (443,272 ) |
Due from_to brokers
Due from/to brokers | 9 Months Ended |
Sep. 30, 2017 | |
Brokers and Dealers [Abstract] | |
Due from/to brokers | 5. Due from/to brokers Due from brokers consists of cash held at broker. 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, 2017 and December 31, 2016, 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, 2017 | |
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, 2017 | |
Related Party Transactions [Abstract] | |
Related party transactions | 7. Related party transactions Superfund Capital Management shall be paid a management fee equal to one-twelfth month-end one-twelfth month-end one-twelfth month-end one-twelfth month-end month-end, month-end, |
Financial highlights
Financial highlights | 9 Months Ended |
Sep. 30, 2017 | |
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: 2017 2016 Series A Series B Series A Series B Total Return* Total return before incentive fees 3.1 % 10.5 % (11.1 )% (11.9 )% Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees 3.1 % 10.5 % (11.1 )% (11.9 )% Ratios to average partners’ capital Operating expenses before incentive fees 5.6 % 6.2 % 5.8 % 6.3 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 5.6 % 6.2 % 5.8 % 6.3 % Net investment loss (5.3 )% (5.9 )% (5.7 )% (6.2 )% Net asset value per unit, beginning of period $ 989.50 $ 1,049.01 $ 1,222.26 $ 1,392.13 Net investment loss (53.75 ) (65.43 ) (66.25 ) (82.22 ) Net gain (loss) on investments 83.34 173.24 (65.77 ) (80.50 ) Total income (loss) from operations 29.59 107.81 (132.02 ) (162.72 ) Net asset value per unit, end of period $ 1,019.09 $ 1,156.82 $ 1,090.24 $ 1,229.41 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) $ 31.37 $ 109.25 $ (136.35 ) $ (162.81 ) Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) $ 29.59 $ 107.81 $ (132.02 ) $ (162.72 ) Financial highlights for the period July 1 through September 30 are as follows: 2017 2016 Series A Series B Series A Series B Total Return* Total return before incentive fees 2.0 % 6.6 % (1.2 )% (1.1 )% Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees 2.0 % 6.6 % (1.2 )% (1.1 )% Ratios to average partners’ capital Operating expenses before incentive fees 1.8 % 2.0 % 1.9 % 2.0 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 1.8 % 2.0 % 1.9 % 2.0 % Net investment loss (1.7 )% (1.9 )% (1.9 )% (2.0 )% Net asset value per unit, beginning of period $ 999.67 $ 1,086.77 $ 1,101.60 $ 1,241.52 Net investment loss (17.23 ) (21.23 ) (21.04 ) (25.80 ) Net gain on investments 36.65 91.28 9.68 13.69 Total income (loss) from operations 19.42 70.05 (11.36 ) (12.11 ) Net asset value per unit, end of period $ 1,019.09 $ 1,156.82 $ 1,090.24 $ 1,229.41 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) $ 20.26 $ 71.23 $ (10.50 ) $ (9.11 ) Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) $ 19.42 $ 70.05 $ (11.36 ) $ (12.11 ) * 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, 2017 | |
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 “off-balance For the Fund, gross unrealized gains and losses related to exchange-traded futures were $234,047 and $110,353, respectively at September 30, 2017. For the Fund, gross unrealized gains and losses related to exchange-traded futures were $657,205 and $553,188, respectively at September 30, 2016. For the Fund, gross unrealized gains and losses related to non-exchange For Series A, gross unrealized gains and losses related to exchange-traded futures were $51,115 and $22,181, respectively at September 30, 2017. For Series A, gross unrealized gains and losses related to exchange-traded futures were $245,786 and $220,215, respectively at September 30, 2016. For Series A, gross unrealized gains and losses related to non-exchange For Series B, gross unrealized gains and losses related to exchange-traded futures were $182,932 and $88,172, respectively at September 30, 2017. For Series B, gross unrealized gains and losses related to exchange-traded futures were $411,419 and $332,973, respectively at September 30, 2016. For Series B, gross unrealized gains and losses related to non-exchange 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 The majority of these futures and forwards mature within one year of September 30, 2017. 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, 2017 | |
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 month-end |
Indemnification
Indemnification | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 | |
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, 2017 | |
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 10-K |
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 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 assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statements of operations. 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, 2017, the Fund had on deposit $1,354,999 at ADM Investor Services, Inc. and $2,838,202 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2017, Series A had on deposit $452,478 at ADM Investor Services, Inc. and $791,699 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2017, Series B had on deposit $902,520 at ADM Investor Services, Inc. and $2,046,504 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 Adopted and/or Issued Accounting Pronouncements | Recently Adopted and/or Issued Accounting Pronouncements ASU 2015-14 In August 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date 2015-14”), No. 2014-09, Revenue from Contracts with Customers (Topic 606) 2014-09”). 2014-09 ASU 2016-01 In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments – Overall (Suptopic 825-10) 2016-01”). 2016-01 2016-01 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017 and December 31, 2016: Superfund Green, L.P. Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 57,912 $ 57,912 $ — $ — Futures contracts purchased 176,135 176,135 — — Total Assets Measured at Fair Value $ 234,047 $ 234,047 $ — $ — LIABILITIES Futures contracts sold $ 32,002 $ 32,002 $ — $ — Futures contracts purchased 78,351 78,351 — — Total Liabilities Measured at Fair Value $ 110,353 $ 110,353 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 25,475 $ — $ 25,475 $ — Futures contracts sold 164,986 164,986 — Futures contracts purchased 254,994 254,994 — — Total Assets Measured at Fair Value $ 445,455 $ 419,980 $ 25,475 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 34,093 $ — $ 34,093 $ — Futures contracts sold 145,611 145,611 — Futures contracts purchased 211,351 211,351 — — Total Liabilities Measured at Fair Value $ 391,055 $ 356,962 $ 34,093 $ — Superfund Green, L.P. – Series A Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 17,392 $ 17,392 $ — $ — Futures contracts purchased 33,723 33,723 — — Total Assets Measured at Fair Value $ 51,115 $ 51,115 $ — $ — LIABILITIES Futures contracts sold $ 6,372 $ 6,372 $ — $ — Futures contracts purchased 15,809 15,809 — — Total Liabilities Measured at Fair Value $ 22,181 $ 22,181 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 4,792 $ — $ 4,792 $ — Futures contracts sold 69,382 69,382 — Futures contracts purchased 96,648 96,648 — — Total Assets Measured at Fair Value $ 170,822 $ 166,030 $ 4,792 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 9,573 $ — $ 9,573 $ — Futures contracts sold 57,076 57,076 — Futures contracts purchased 84,541 84,541 — — Total Liabilities Measured at Fair Value $ 151,190 $ 141,617 $ 9,573 $ — Superfund Green, L.P. – Series B Balance September 30, Level 1 Level 2 Level 3 ASSETS Futures contracts sold $ 40,520 $ 40,520 $ — $ — Futures contracts purchased 142,412 142,412 — — Total Assets Measured at Fair Value $ 182,932 $ 182,932 $ — $ — LIABILITIES Futures contracts sold $ 25,630 $ 25,630 $ — $ — Futures contracts purchased 62,542 62,542 — — Total Liabilities Measured at Fair Value $ 88,172 $ 88,172 $ — $ — Balance December 31, Level 1 Level 2 Level 3 ASSETS Unrealized appreciation on open forward contracts $ 20,683 $ — $ 20,683 $ — Futures contracts sold 95,604 95,604 — Futures contracts purchased 158,346 158,346 — — Total Assets Measured at Fair Value $ 274,633 $ 253,950 $ 20,683 $ — LIABILITIES Unrealized depreciation on open forward contracts $ 24,520 $ — $ 24,520 $ — Futures contracts sold 88,535 88,535 — Futures contracts purchased 126,810 126,810 — — Total Liabilities Measured at Fair Value $ 239,865 $ 215,345 $ 24,520 $ — |
Disclosure of derivative inst20
Disclosure of derivative instruments and hedging activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives Liability Derivatives Net Futures contracts Futures contracts purchased $ 176,135 $ (78,351 ) $ 97,784 Futures contracts Futures contracts sold 57,912 (32,002 ) 25,910 Totals $ 234,047 $ (110,353 ) $ 123,694 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 25,475 $ — $ 25,475 Foreign exchange contracts Unrealized depreciation on open forward contracts — (34,093 ) (34,093 ) Futures contracts Futures contracts purchased 254,994 (211,351 ) 43,643 Futures contracts Futures contracts sold 164,986 (145,611 ) 19,375 Totals $ 445,455 $ (391,055 ) $ 54,400 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 51,459 $ — $ — $ 51,459 Merrill Lynch 72,235 — — 72,235 Totals $ 123,694 $ — $ — $ 123,694 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net ADMIS $ (62,704 ) $ — $ — $ (62,704 ) Merrill Lynch 117,104 — — 117,104 Totals $ 54,400 $ — $ — $ 54,400 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Statement of Operations Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,560 ) $ 5,313 Futures contracts Net realized/unrealized gain on futures and forward contracts 194,487 325,413 Total $ 180,927 $ 330,726 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,756 ) $ 8,619 Futures contracts Net realized/unrealized gain on futures and forward contracts 1,010,380 60,675 Total $ 996,624 $ 69,294 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Gain (Loss) on Derivatives in Statement of Operations Net Change in Unrealized Appreciation Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (13,194 ) $ 5,995 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 501,455 (345,669 ) Total $ 488,261 $ (339,674 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement of Operations Net Realized Loss on Derivatives in Statement of Operations Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (1,056 ) $ 5,995 Futures contracts Net realized/unrealized loss on futures and forward contracts (800,764 ) (66,409 ) Total $ (801,820 ) $ (60,414 ) |
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, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 5,100 0.1 $ (22,723 ) (0.3 ) $ 10,257 0.1 $ (1,220 ) (0.0 )* $ (8,586 ) Financial 3,286 0.0 * (23,591 ) (0.3 ) 11,535 0.1 (874 ) (0.0 )* (9,644 ) Food & Fiber 5,055 0.1 (4,957 ) (0.1 ) 9,500 0.1 (19,764 ) (0.2 ) (10,166 ) Indices 103,142 1.3 (2,917 ) (0.0 )* 6,105 0.1 (6,673 ) (0.1 ) 99,657 Metals 14,983 0.2 (13,975 ) (0.2 ) 10,275 0.1 (3,091 ) (0.0 )* 8,192 Energy 44,348 0.6 (10,188 ) (0.1 ) 10,240 0.1 (380 ) (0.0 )* 44,020 Livestock 221 0.0 * — — — — — — 221 Totals $ 176,135 2.3 $ (78,351 ) (1.0 ) $ 57,912 0.6 $ (32,002 ) (0.3 ) $ 123,694 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Foreign Exchange $ 13,481 0.2 $ (14,738 ) (0.2 ) $ 11,994 0.1 $ (19,355 ) (0.2 ) $ (8,618 ) Currency 2,976 0.0 * (38,947 ) (0.4 ) 20,015 0.2 (3,555 ) (0.0 )* (19,511 ) Financial 105,659 1.2 (12,113 ) (0.1 ) 1,789 0.0 * (28,765 ) (0.3 ) 66,570 Food & Fiber 13,543 0.2 (30,833 ) (0.4 ) 28,124 0.3 (20,480 ) (0.2 ) (9,646 ) Indices 92,375 1.1 (49,313 ) (0.6 ) 8,350 0.1 (28,427 ) (0.3 ) 22,985 Metals 5,640 0.1 (80,118 ) (0.9 ) 106,709 1.2 (4,885 ) (0.1 ) 27,346 Livestock — — — — — — (45,580 ) (0.5 ) (45,580 ) Energy 34,799 0.4 (25 ) (0.0 )* — — (13,920 ) (0.2 ) 20,854 Totals $ 268,473 3.2 $ (226,087 ) (2.6 ) $ 176,981 1.9 $ (164,967 ) (1.8 ) $ 54,400 * Due to rounding – amount is less than 0.05% |
Funds Trading Results by Market Sector | Superfund Green, L.P. trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,560 ) $ 5,313 $ (8,247 ) Currency 118,747 (50,341 ) 68,406 Financial (18,462 ) 97,338 78,876 Food & Fiber (20,038 ) 20,394 356 Indices 49,370 189,166 238,536 Metals 59,839 (8,286 ) 51,553 Livestock (37,820 ) (2,930 ) (40,750 ) Energy 42,851 80,072 122,923 Total net trading gains in Statement of Operations $ 180,927 $ 330,726 $ 511,653 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,756 ) $ 8,619 $ (5,137 ) Currency (70,930 ) 10,925 (60,005 ) Financial (2,639 ) (76,213 ) (78,852 ) Food & Fiber (51,799 ) (523 ) (52,322 ) Indices 1,469,637 76,671 1,546,308 Metals (16,160 ) (19,155 ) (35,315 ) Livestock (53,000 ) 45,800 (7,200 ) Energy (264,729 ) 23,170 (241,559 ) Total net trading gains in Statement of Operations $ 996,624 $ 69,294 $ 1,065,918 For the Three Months Ended September 30, 2016 Net Gains Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,194 ) $ 5,995 $ (7,199 ) Currency (137,156 ) 108,463 (28,693 ) Financial 270,122 (166,743 ) 103,379 Food & Fiber 91,936 (164,610 ) (72,674 ) Indices 215,396 85,895 301,291 Metals 188,585 (265,523 ) (76,938 ) Livestock 14,290 48,380 62,670 Energy (141,718 ) 8,469 (133,249 ) Total net trading gains (losses) in Statement of Operations $ 488,261 $ (339,674 ) $ 148,587 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (1,056 ) $ 5,995 $ 4,939 Currency (619,658 ) 156,837 (462,821 ) Financial 540,279 54,497 594,776 Food & Fiber 120,141 (50,329 ) 69,812 Indices 52,853 (80,334 ) (27,481 ) Metals (493,751 ) (53,962 ) (547,713 ) Livestock (16,810 ) 45,740 28,930 Energy (383,818 ) (138,858 ) (522,676 ) Total net trading losses in Statement of Operations $ (801,820 ) $ (60,414 ) $ (862,234 ) |
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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 33,723 $ (15,809 ) $ 17,914 Futures contracts Futures contracts sold 17,392 (6,372 ) 11,020 Totals $ 51,115 $ (22,181 ) $ 28,934 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives at Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 4,792 $ — $ 4,792 Foreign exchange contracts Unrealized depreciation on open forward contracts — (9,573 ) (9,573 ) Futures contracts Futures contracts purchased 96,648 (84,541 ) 12,107 Futures contracts Futures contracts sold 69,382 (57,076 ) 12,306 Totals $ 170,822 $ (151,190 ) $ 19,632 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net ADMIS $ 8,543 $ — $ — $ 8,543 Merrill Lynch 20,391 — — 20,391 Totals $ 28,934 $ — $ — $ 28,934 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (25,285 ) $ — $ — $ (25,285 ) Merrill Lynch 44,917 — — 44,917 Totals $ 19,632 $ — $ — $ 19,632 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (5,288 ) $ 1,762 Futures contracts Net realized/unrealized gain on futures and forward contracts 25,604 95,048 Total $ 20,316 $ 96,810 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (2,778 ) $ 4,781 Futures contracts Net realized/unrealized gain on futures and forward contracts 275,848 4,520 Total $ 273,070 $ 9,301 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain on Net Change in Unrealized Appreciation Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 595 $ 2,798 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 195,059 (138,726 ) Total $ 195,654 $ (135,928 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 4,162 $ 2,798 Futures contracts Net realized/unrealized loss on futures and forward contracts (390,567 ) (35,355 ) Total $ (386,405 ) $ (32,557 ) |
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, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Gain (Loss) on Currency $ — — $ (3,453 ) (0.1 ) $ 1,175 0.0 * $ — — $ (2,278 ) Financial 750 0.0 * (6,802 ) (0.2 ) 3,464 0.1 (409 ) (0.0 )* (2,997 ) Food & Fiber 1,740 0.1 (1,552 ) (0.0 )* 658 0.0 * (5,160 ) (0.2 ) (4,314 ) Indices 23,470 0.8 (689 ) (0.0 )* 1,250 0.0 * (803 ) (0.0 )* 23,228 Metals 2,313 0.1 (533 ) (0.0 )* 9,025 0.3 — — 10,805 Energy 5,450 0.2 (2,780 ) (0.1 ) 1,820 0.1 — — 4,490 Totals $ 33,723 1.2 $ (15,809 ) (0.4 ) $ 17,392 0.5 $ (6,372 ) (0.2 ) $ 28,934 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Gain (Loss) on Foreign Exchange $ 1,557 0.0 * $ (4,187 ) (0.1 ) $ 3,235 0.1 $ (5,386 ) (0.1 ) $ (4,781 ) Currency 1,288 0.0 * (14,968 ) (0.4 ) 7,389 0.2 (2,370 ) (0.1 ) (8,661 ) Financial 37,316 1.0 (2,489 ) (0.1 ) 750 0.0 * (10,516 ) (0.3 ) 25,061 Food & Fiber 5,428 0.1 (11,755 ) (0.3 ) 11,771 0.3 (7,241 ) (0.2 ) (1,797 ) Indices 40,361 1.1 (15,743 ) (0.4 ) 2,693 0.1 (11,094 ) (0.3 ) 16,217 Metals 1,874 0.1 (39,585 ) (1.1 ) 46,779 1.3 (1,985 ) (0.1 ) 7,083 Livestock — — — — — — (18,160 ) (0.5 ) (18,160 ) Energy 10,380 0.3 — — — — (5,710 ) (0.2 ) 4,670 Totals $ 98,204 2.6 $ (88,727 ) (2.4 ) $ 72,617 2.0 $ (62,462 ) (1.8 ) $ 19,632 * Due to rounding – amount is less than 0.05% |
Funds Trading Results by Market Sector | Series A trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,288 ) $ 1,762 $ (3,526 ) Currency 26,426 (11,112 ) 15,314 Financial (2,945 ) 26,117 23,172 Food & Fiber (8,944 ) 9,083 139 Indices 2,802 47,511 50,313 Metals 6,969 9,052 16,021 Livestock (8,920 ) (730 ) (9,650 ) Energy 10,216 15,127 25,343 Total net trading gains in Statement of Operations $ 20,316 $ 96,810 $ 117,126 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (2,778 ) $ 4,781 $ 2,003 Currency (32,049 ) 6,383 (25,666 ) Financial (1,861 ) (28,057 ) (29,918 ) Food & Fiber (18,382 ) (2,521 ) (20,903 ) Indices 402,617 7,011 409,628 Metals (16,218 ) 3,721 (12,497 ) Livestock (16,490 ) 18,160 1,670 Energy (41,769 ) (177 ) (41,946 ) Total net trading gains in Statement of Operations $ 273,070 $ 9,301 $ 282,371 For the Three Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 595 $ 2,798 $ 3,393 Currency (52,810 ) 44,003 (8,807 ) Financial 91,195 (50,962 ) 40,233 Food & Fiber 37,813 (67,648 ) (29,835 ) Indices 80,549 22,888 103,437 Metals 83,778 (105,869 ) (22,091 ) Livestock 9,320 15,800 25,120 Energy (54,786 ) 3,062 (51,724 ) Total net trading gains (losses) in Statement of Operations $ 195,654 $ (135,928 ) $ 59,726 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 4,162 $ 2,798 $ 6,960 Currency (243,667 ) 64,241 (179,426 ) Financial 202,918 18,599 221,517 Food & Fiber 36,229 (20,511 ) 15,718 Indices (30,670 ) (39,127 ) (69,797 ) Metals (182,251 ) (24,618 ) (206,869 ) Livestock (660 ) 14,760 14,100 Energy (172,466 ) (48,699 ) (221,165 ) Total net trading losses in Statement of Operations $ (386,405 ) $ (32,557 ) $ (418,962 ) |
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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 142,412 $ (62,542 ) $ 79,870 Futures contracts Futures contracts sold 40,520 (25,630 ) 14,890 Totals $ 182,932 $ (88,172 ) $ 94,760 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 20,683 $ — $ 20,683 Foreign exchange contracts Unrealized depreciation on open forward contracts — (24,520) (24,520 ) Futures contracts Futures contracts purchased 158,346 (126,810) 31,536 Futures contracts Futures contracts sold 95,604 (88,535) 7,069 Totals $ 274,633 $ (239,865 ) $ 34,768 |
Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2017 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 42,916 $ — $ — $ 42,916 Merrill Lynch 51,844 — — 51,844 Totals $ 94,760 $ — $ — $ 94,760 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (37,419 ) $ — $ — $ (37,419 ) Merrill Lynch 72,187 — — 72,187 Totals $ 34,768 $ — $ — $ 34,768 |
Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the statement of operations for the three months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (8,272 ) $ 3,551 Futures contracts Net realized/unrealized gain on futures and forward contracts 168,883 230,365 Total $ 160,611 $ 233,916 Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (10,978 ) $ 3,838 Futures contracts Net realized/unrealized gain on futures and forward contracts 734,532 56,155 Total $ 723,554 $ 59,993 Effects of derivative instruments on the statement of operations for the three months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 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 $ (13,789 ) $ 3,197 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 306,396 (206,943 ) Total $ 292,607 $ (203,746 ) Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Net Realized Loss Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ (5,218 ) $ 3,197 Futures contracts Net realized/unrealized loss on futures and forward contracts (410,197 ) (31,054 ) Total $ (415,415 ) $ (27,857 ) |
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, 2017 and December 31, 2016: As of September 30, 2017 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Currency $ 5,100 0.1 $ (19,270 ) (0.4 ) $ 9,082 0.2 $ (1,220 ) (0.0 )* $ (6,308 ) Financial 2,536 0.1 (16,789 ) (0.3 ) 8,071 0.2 (465 ) (0.0 )* (6,647 ) Food & Fiber 3,315 0.1 (3,405 ) (0.1 ) 8,842 0.2 (14,604 ) (0.3 ) (5,852 ) Indices 79,672 1.7 (2,228 ) (0.0 )* 4,855 0.1 (5,870 ) (0.1 ) 76,429 Metals 12,670 0.3 (13,442 ) (0.3 ) 1,250 0.0 * (3,091 ) (0.1 ) (2,613 ) Energy 38,898 0.8 (7,408 ) (0.2 ) 8,420 0.2 (380 ) (0.0 )* 39,530 Livestock 221 0.0 * — — — — — — 221 Totals $ 142,412 3.1 $ (62,542 ) (1.3 ) $ 40,520 0.9 $ (25,630 ) (0.5 ) $ 94,760 * Due to rounding – amount is less than 0.05% As of December 31, 2016 Futures Contracts Purchased Futures Contacts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Foreign Exchange $ 11,924 0.2 $ (10,551 ) (0.2 ) $ 8,759 0.2 $ (13,969 ) (0.3 ) $ (3,837 ) Currency 1,688 0.0 * (23,979 ) (0.5 ) 12,626 0.2 (1,185 ) (0.0 )* (10,850 ) Financial 68,343 1.3 (9,624 ) (0.2 ) 1,039 0.0 * (18,249 ) (0.4 ) 41,509 Food & Fiber 8,115 0.2 (19,078 ) (0.4 ) 16,353 0.3 (13,239 ) (0.3 ) (7,849 ) Indices 52,014 1.0 (33,570 ) (0.7 ) 5,657 0.1 (17,333 ) (0.3 ) 6,768 Metals 3,766 0.1 (40,533 ) (0.8 ) 59,930 1.2 (2,900 ) (0.1 ) 20,263 Livestock — — — — — — (27,420 ) (0.5 ) (27,420 ) Energy 24,419 0.5 (25 ) (0.0 )* — — (8,210 ) (0.2 ) 16,184 Totals $ 170,269 3.3 $ (137,360 ) (2.8 ) $ 104,364 2.0 $ (102,505 ) (2.1 ) $ 34,768 * Due to rounding – amount is less than 0.05% |
Funds Trading Results by Market Sector | Series B trading results by market sector: For the Three Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (8,272 ) $ 3,551 $ (4,721 ) Currency 92,321 (39,229 ) 53,092 Financial (15,517 ) 71,221 55,704 Food & Fiber (11,094 ) 11,311 217 Indices 46,568 141,655 188,223 Metals 52,870 (17,338 ) 35,532 Livestock (28,900 ) (2,200 ) (31,100 ) Energy 32,635 64,945 97,580 Total net trading gains in Statement of Operations $ 160,611 $ 233,916 $ 394,527 For the Nine Months Ended September 30, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (10,978 ) $ 3,838 $ (7,140 ) Currency (38,881 ) 4,542 (34,339 ) Financial (778 ) (48,156 ) (48,934 ) Food & Fiber (33,417 ) 1,998 (31,419 ) Indices 1,067,020 69,660 1,136,680 Metals 58 (22,876 ) (22,818 ) Livestock (36,510 ) 27,640 (8,870 ) Energy (222,960 ) 23,347 (199,613 ) Total net trading gains in Statement of Operations $ 723,554 $ 59,993 $ 783,547 For the Three Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (13,789 ) $ 3,197 $ (10,592 ) Currency (84,346 ) 64,460 (19,886 ) Financial 178,927 (115,781 ) 63,146 Food & Fiber 54,123 (96,962 ) (42,839 ) Indices 134,847 63,007 197,854 Metals 104,807 (159,654 ) (54,847 ) Livestock 4,970 32,580 37,550 Energy (86,932 ) 5,407 (81,525 ) Total net trading gains (losses) in Statement of Operations $ 292,607 $ (203,746 ) $ 88,861 For the Nine Months Ended September 30, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (5,218 ) $ 3,197 $ (2,021 ) Currency (375,991 ) 92,596 (283,395 ) Financial 337,361 35,898 373,259 Food & Fiber 83,912 (29,818 ) 54,094 Indices 83,523 (41,207 ) 42,316 Metals (311,500 ) (29,344 ) (340,844 ) Livestock (16,150 ) 30,980 14,830 Energy (211,352 ) (90,159 ) (301,511 ) Total net trading losses in Statement of Operations $ (415,415 ) $ (27,857 ) $ (443,272 ) |
Financial highlights (Tables)
Financial highlights (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Financial highlights | Financial highlights for the period January 1 through September 30 are as follows: 2017 2016 Series A Series B Series A Series B Total Return* Total return before incentive fees 3.1 % 10.5 % (11.1 )% (11.9 )% Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees 3.1 % 10.5 % (11.1 )% (11.9 )% Ratios to average partners’ capital Operating expenses before incentive fees 5.6 % 6.2 % 5.8 % 6.3 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 5.6 % 6.2 % 5.8 % 6.3 % Net investment loss (5.3 )% (5.9 )% (5.7 )% (6.2 )% Net asset value per unit, beginning of period $ 989.50 $ 1,049.01 $ 1,222.26 $ 1,392.13 Net investment loss (53.75 ) (65.43 ) (66.25 ) (82.22 ) Net gain (loss) on investments 83.34 173.24 (65.77 ) (80.50 ) Total income (loss) from operations 29.59 107.81 (132.02 ) (162.72 ) Net asset value per unit, end of period $ 1,019.09 $ 1,156.82 $ 1,090.24 $ 1,229.41 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) $ 31.37 $ 109.25 $ (136.35 ) $ (162.81 ) Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) $ 29.59 $ 107.81 $ (132.02 ) $ (162.72 ) Financial highlights for the period July 1 through September 30 are as follows: 2017 2016 Series A Series B Series A Series B Total Return* Total return before incentive fees 2.0 % 6.6 % (1.2 )% (1.1 )% Incentive fees 0.0 0.0 0.0 0.0 Total return after incentive fees 2.0 % 6.6 % (1.2 )% (1.1 )% Ratios to average partners’ capital Operating expenses before incentive fees 1.8 % 2.0 % 1.9 % 2.0 % Incentive fees 0.0 0.0 0.0 0.0 Total expenses 1.8 % 2.0 % 1.9 % 2.0 % Net investment loss (1.7 )% (1.9 )% (1.9 )% (2.0 )% Net asset value per unit, beginning of period $ 999.67 $ 1,086.77 $ 1,101.60 $ 1,241.52 Net investment loss (17.23 ) (21.23 ) (21.04 ) (25.80 ) Net gain on investments 36.65 91.28 9.68 13.69 Total income (loss) from operations 19.42 70.05 (11.36 ) (12.11 ) Net asset value per unit, end of period $ 1,019.09 $ 1,156.82 $ 1,090.24 $ 1,229.41 Other per Unit information: Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) $ 20.26 $ 71.23 $ (10.50 ) $ (9.11 ) Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) $ 19.42 $ 70.05 $ (11.36 ) $ (12.11 ) * 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, 2017 | Dec. 31, 2016 | |||
Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.50% | 0.90% | |||
Fair Value | $ 123,694 | $ 63,018 | |||
Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.20% | 0.60% | |||
Fair Value | $ 97,784 | $ 43,643 | |||
Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | (0.40%) | |||
Fair Value | $ (17,623) | $ (35,971) | |||
Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | 0.40% | |||
Fair Value | $ 34,162 | $ 34,774 | |||
Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | 1.10% | [1] | ||
Fair Value | $ (20,305) | $ 93,546 | |||
Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ 98 | $ (17,290) | |||
Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.30% | [1] | 0.50% | ||
Fair Value | $ 100,225 | $ 43,062 | |||
Futures Contract Purchased | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 220 | ||||
Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.80%) | ||
Fair Value | $ 1,007 | $ (74,478) | |||
Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 0.30% | |||
Fair Value | $ 25,910 | $ 19,375 | |||
Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.20% | |||
Fair Value | $ 9,037 | $ 16,460 | |||
Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (0.20%) | |||
Fair Value | $ 9,862 | $ (13,920) | |||
Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (0.30%) | |||
Fair Value | $ 10,661 | $ (26,976) | |||
Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.10% | |||
Fair Value | $ (10,266) | $ 7,644 | |||
Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ (568) | $ (20,077) | |||
Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | ||||
Fair Value | $ (45,580) | ||||
Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 1.20% | [1] | ||
Fair Value | $ 7,184 | $ 101,824 | |||
Futures contracts by country composition | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.50% | ||||
Fair Value | $ 123,694 | ||||
Futures contracts by country composition | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 6,272 | ||||
Futures contracts by country composition | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 2,494 | ||||
Futures contracts by country composition | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | ||||
Fair Value | $ 19,979 | ||||
Futures contracts by country composition | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 3,673 | ||||
Futures contracts by country composition | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | ||||
Fair Value | $ 15,621 | ||||
Futures contracts by country composition | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.00% | ||||
Fair Value | $ 79,713 | ||||
Futures contracts by country composition | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (4,058) | ||||
Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (8,618) | ||||
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | ||||
Fair Value | $ 25,475 | ||||
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | ||||
Fair Value | $ 25,475 | ||||
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | ||||
Fair Value | $ (34,093) | ||||
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | ||||
Fair Value | $ (34,093) | ||||
Futures and Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.80% | ||||
Fair Value | $ 54,400 | ||||
Futures and Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 1,745 | ||||
Futures and Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (5,425) | ||||
Futures and Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 10,712 | ||||
Futures and Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (12,941) | ||||
Futures and Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | ||||
Fair Value | $ 41,942 | ||||
Futures and Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.70%) | ||||
Fair Value | $ (64,154) | ||||
Futures and Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.10% | ||||
Fair Value | $ 82,521 | ||||
SERIES A | Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.90% | 0.70% | |||
Fair Value | $ 28,934 | $ 24,413 | |||
SERIES A | Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | 0.40% | |||
Fair Value | $ 17,914 | $ 12,107 | |||
SERIES A | Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | (0.40%) | |||
Fair Value | $ (3,453) | $ (13,680) | |||
SERIES A | Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.30% | |||
Fair Value | $ 2,671 | $ 10,380 | |||
SERIES A | Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | 1.00% | [1] | ||
Fair Value | $ (6,052) | $ 34,827 | |||
SERIES A | Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ 188 | $ (6,327) | |||
SERIES A | Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.60% | 0.70% | |||
Fair Value | $ 22,781 | $ 24,618 | |||
SERIES A | Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (1.00%) | [1] | ||
Fair Value | $ 1,779 | $ (37,711) | |||
SERIES A | Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | 0.30% | |||
Fair Value | $ 11,020 | $ 12,306 | |||
SERIES A | Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | 0.10% | ||
Fair Value | $ 1,175 | $ 5,019 | |||
SERIES A | Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (0.20%) | |||
Fair Value | $ 1,822 | $ (5,710) | |||
SERIES A | Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (0.30%) | |||
Fair Value | $ 3,055 | $ (9,766) | |||
SERIES A | Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.10% | |||
Fair Value | $ (4,504) | $ 4,530 | |||
SERIES A | Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ 447 | $ (8,401) | |||
SERIES A | Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.40%) | ||||
Fair Value | $ (18,160) | ||||
SERIES A | Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 1.20% | [1] | ||
Fair Value | $ 9,025 | $ 44,794 | |||
SERIES A | Futures contracts by country composition | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.90% | ||||
Fair Value | $ 28,934 | ||||
SERIES A | Futures contracts by country composition | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 2,519 | ||||
SERIES A | Futures contracts by country composition | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ (409) | ||||
SERIES A | Futures contracts by country composition | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 4,631 | ||||
SERIES A | Futures contracts by country composition | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 2,724 | ||||
SERIES A | Futures contracts by country composition | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.70% | ||||
Fair Value | $ 21,359 | ||||
SERIES A | Futures contracts by country composition | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (1,890) | ||||
SERIES A | Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (4,781) | ||||
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 4,792 | ||||
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 4,792 | ||||
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | ||||
Fair Value | $ (9,573) | ||||
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.20%) | ||||
Fair Value | $ (9,573) | ||||
SERIES A | Futures and Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | ||||
Fair Value | $ 19,632 | ||||
SERIES A | Futures and Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ (801) | ||||
SERIES A | Futures and Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 290 | ||||
SERIES A | Futures and Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 3,300 | ||||
SERIES A | Futures and Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (5,471) | ||||
SERIES A | Futures and Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.50% | ||||
Fair Value | $ 22,931 | ||||
SERIES A | Futures and Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.80%) | ||||
Fair Value | $ (28,600) | ||||
SERIES A | Futures and Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.80% | ||||
Fair Value | $ 27,983 | ||||
SERIES B | Futures Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 2.00% | 0.80% | |||
Fair Value | $ 94,760 | $ 38,605 | |||
SERIES B | Futures Contract Purchased | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.70% | 0.70% | |||
Fair Value | $ 79,870 | $ 31,536 | |||
SERIES B | Futures Contract Purchased | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | (0.40%) | |||
Fair Value | $ (14,170) | $ (22,291) | |||
SERIES B | Futures Contract Purchased | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.70% | 0.50% | |||
Fair Value | $ 31,491 | $ 24,394 | |||
SERIES B | Futures Contract Purchased | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.30%) | 1.10% | [1] | ||
Fair Value | $ (14,253) | $ 58,719 | |||
SERIES B | Futures Contract Purchased | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ (90) | $ (10,963) | |||
SERIES B | Futures Contract Purchased | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.60% | [1] | 0.40% | ||
Fair Value | $ 77,444 | $ 18,444 | |||
SERIES B | Futures Contract Purchased | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 220 | ||||
SERIES B | Futures Contract Purchased | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.70%) | ||
Fair Value | $ (772) | $ (36,767) | |||
SERIES B | Futures Contracts Sold | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | 0.10% | |||
Fair Value | $ 14,890 | $ 7,069 | |||
SERIES B | Futures Contracts Sold | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | 0.20% | |||
Fair Value | $ 7,862 | $ 11,441 | |||
SERIES B | Futures Contracts Sold | Energy | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | (0.20%) | |||
Fair Value | $ 8,040 | $ (8,210) | |||
SERIES B | Futures Contracts Sold | Financial | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | (0.30%) | |||
Fair Value | $ 7,606 | $ (17,210) | |||
SERIES B | Futures Contracts Sold | Food & Fiber | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | 0.10% | |||
Fair Value | $ (5,762) | $ 3,114 | |||
SERIES B | Futures Contracts Sold | Indices | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | (0.20%) | ||
Fair Value | $ (1,015) | $ (11,676) | |||
SERIES B | Futures Contracts Sold | Livestock | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.60%) | ||||
Fair Value | $ (27,420) | ||||
SERIES B | Futures Contracts Sold | Metals | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.00% | [2] | 1.10% | [1] | |
Fair Value | $ (1,841) | $ 57,030 | |||
SERIES B | Futures contracts by country composition | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 2.00% | ||||
Fair Value | $ 94,760 | ||||
SERIES B | Futures contracts by country composition | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 3,753 | ||||
SERIES B | Futures contracts by country composition | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 2,903 | ||||
SERIES B | Futures contracts by country composition | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.20% | ||||
Fair Value | $ 15,348 | ||||
SERIES B | Futures contracts by country composition | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 3,673 | ||||
SERIES B | Futures contracts by country composition | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.30% | ||||
Fair Value | $ 12,897 | ||||
SERIES B | Futures contracts by country composition | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 1.20% | ||||
Fair Value | $ 58,354 | ||||
SERIES B | Futures contracts by country composition | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ (2,168) | ||||
SERIES B | Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (3,837) | ||||
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | ||||
Fair Value | $ 20,683 | ||||
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | ||||
Fair Value | $ 20,683 | ||||
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | ||||
Fair Value | $ (24,520) | ||||
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.50%) | ||||
Fair Value | $ (24,520) | ||||
SERIES B | Futures and Forward Contracts | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.70% | ||||
Fair Value | $ 34,768 | ||||
SERIES B | Futures and Forward Contracts | Australia | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [2] | 0.00% | |||
Fair Value | $ 2,546 | ||||
SERIES B | Futures and Forward Contracts | Canada | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (5,715) | ||||
SERIES B | Futures and Forward Contracts | European Monetary Union | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.10% | ||||
Fair Value | $ 7,412 | ||||
SERIES B | Futures and Forward Contracts | Great Britain | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.10%) | ||||
Fair Value | $ (7,470) | ||||
SERIES B | Futures and Forward Contracts | Japan | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | 0.40% | ||||
Fair Value | $ 19,011 | ||||
SERIES B | Futures and Forward Contracts | United States | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | (0.70%) | ||||
Fair Value | $ (35,554) | ||||
SERIES B | Futures and Forward Contracts | Other | |||||
Summary of Investment Holdings [Line Items] | |||||
Percentage of Net Assets | [1] | 1.10% | |||
Fair Value | $ 54,538 | ||||
[1] | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. | ||||
[2] | Due to rounding - amount is less than 0.05% |
Condensed Schedule of Investm23
Condensed Schedule of Investments (Parenthetical) (Detail) - Maximum | Sep. 30, 2017 | Dec. 31, 2016 |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Decrease in net assets from operations | ||||
Net investment loss | $ (144,178) | $ (256,629) | $ (473,407) | $ (853,074) |
Net realized gain (loss) on futures and forward contracts | 180,927 | 488,261 | 996,624 | (801,820) |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 330,726 | (339,674) | 69,294 | (60,414) |
Net increase (decrease) in net assets from operations | 367,475 | (108,042) | 592,511 | (1,715,308) |
Capital share transactions | ||||
Issuance of Units | 239,536 | 349,704 | ||
Redemption of Units | (1,684,322) | (2,424,637) | ||
Net decrease in net assets from capital share transactions | (1,444,786) | (2,074,933) | ||
Net decrease in net assets | (852,275) | (3,790,241) | ||
Net assets, beginning of period | 8,783,260 | 15,940,740 | ||
Net assets, end of period | 7,930,985 | 12,150,499 | 7,930,985 | 12,150,499 |
SERIES A | ||||
Decrease in net assets from operations | ||||
Net investment loss | (53,917) | (119,307) | (178,865) | (398,942) |
Net realized gain (loss) on futures and forward contracts | 20,316 | 195,654 | 273,070 | (386,405) |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 96,810 | (135,928) | 9,301 | (32,557) |
Net increase (decrease) in net assets from operations | 63,209 | (59,581) | 103,506 | (817,904) |
Capital share transactions | ||||
Issuance of Units | 97,830 | 158,812 | ||
Redemption of Units | (751,783) | (1,348,921) | ||
Net decrease in net assets from capital share transactions | (653,953) | (1,190,109) | ||
Net decrease in net assets | (550,447) | (2,008,013) | ||
Net assets, beginning of period | 3,656,086 | 7,867,509 | ||
Net assets, end of period | $ 3,105,639 | $ 5,859,496 | $ 3,105,639 | $ 5,859,496 |
Units, beginning of period | 3,694.882 | 6,436.862 | ||
Issuance of Units | 96.993 | 136.965 | ||
Redemption of Units | (744.411) | (1,199.342) | ||
Units, end of period | 3,047.464 | 5,374.485 | 3,047.464 | 5,374.485 |
SERIES B | ||||
Decrease in net assets from operations | ||||
Net investment loss | $ (90,261) | $ (137,322) | $ (294,542) | $ (454,132) |
Net realized gain (loss) on futures and forward contracts | 160,611 | 292,607 | 723,554 | (415,415) |
Net change in unrealized appreciation (depreciation) on futures and forward contracts | 233,916 | (203,746) | 59,993 | (27,857) |
Net increase (decrease) in net assets from operations | 304,266 | (48,461) | 489,005 | (897,404) |
Capital share transactions | ||||
Issuance of Units | 141,706 | 190,892 | ||
Redemption of Units | (932,539) | (1,075,716) | ||
Net decrease in net assets from capital share transactions | (790,833) | (884,824) | ||
Net decrease in net assets | (301,828) | (1,782,228) | ||
Net assets, beginning of period | 5,127,174 | 8,073,231 | ||
Net assets, end of period | $ 4,825,346 | $ 6,291,003 | $ 4,825,346 | $ 6,291,003 |
Units, beginning of period | 4,887.522 | 5,799.188 | ||
Issuance of Units | 129.531 | 144.137 | ||
Redemption of Units | (845.851) | (826.242) | ||
Units, end of period | 4,171.202 | 5,117.083 | 4,171.202 | 5,117.083 |
Nature of Operations - Addition
Nature of Operations - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2017USD ($)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, 2017USD ($) |
ADMIS | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 1,354,999 |
Merrill Lynch | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 2,838,202 |
SERIES A | ADMIS | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 452,478 |
SERIES A | Merrill Lynch | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 791,699 |
SERIES B | ADMIS | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | 902,520 |
SERIES B | Merrill Lynch | |
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | |
Margin on deposit | $ 2,046,504 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value Disclosures [Abstract] | ||
Derivative Contracts Valued Using Level 3 Holdings During Period | $ 0 | $ 0 |
Summary of Valuation of Fund's
Summary of Valuation of Fund's Assets and Liabilities (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | $ 234,047 | $ 445,455 |
Total Liabilities Measured at Fair Value | 110,353 | 391,055 |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 25,475 | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 34,093 | |
Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 57,912 | 164,986 |
Total Liabilities Measured at Fair Value | 32,002 | 145,611 |
Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 176,135 | 254,994 |
Total Liabilities Measured at Fair Value | 78,351 | 211,351 |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 234,047 | 419,980 |
Total Liabilities Measured at Fair Value | 110,353 | 356,962 |
Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 57,912 | 164,986 |
Total Liabilities Measured at Fair Value | 32,002 | 145,611 |
Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 176,135 | 254,994 |
Total Liabilities Measured at Fair Value | 78,351 | 211,351 |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 25,475 |
Total Liabilities Measured at Fair Value | 0 | 34,093 |
Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 25,475 | |
Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 34,093 | |
Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES A | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 51,115 | 170,822 |
Total Liabilities Measured at Fair Value | 22,181 | 151,190 |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 4,792 | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 9,573 | |
SERIES A | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 17,392 | 69,382 |
Total Liabilities Measured at Fair Value | 6,372 | 57,076 |
SERIES A | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 33,723 | 96,648 |
Total Liabilities Measured at Fair Value | 15,809 | 84,541 |
SERIES A | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 51,115 | 166,030 |
Total Liabilities Measured at Fair Value | 22,181 | 141,617 |
SERIES A | Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES A | Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
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 | 17,392 | 69,382 |
Total Liabilities Measured at Fair Value | 6,372 | 57,076 |
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 | 33,723 | 96,648 |
Total Liabilities Measured at Fair Value | 15,809 | 84,541 |
SERIES A | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 4,792 |
Total Liabilities Measured at Fair Value | 0 | 9,573 |
SERIES A | Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 4,792 | |
SERIES A | Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 9,573 | |
SERIES A | Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES A | Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES A | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES A | Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES A | Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES A | Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES B | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 182,932 | 274,633 |
Total Liabilities Measured at Fair Value | 88,172 | 239,865 |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 20,683 | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 24,520 | |
SERIES B | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 40,520 | 95,604 |
Total Liabilities Measured at Fair Value | 25,630 | 88,535 |
SERIES B | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 142,412 | 158,346 |
Total Liabilities Measured at Fair Value | 62,542 | 126,810 |
SERIES B | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 182,932 | 253,950 |
Total Liabilities Measured at Fair Value | 88,172 | 215,345 |
SERIES B | Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES B | Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
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 | 40,520 | 95,604 |
Total Liabilities Measured at Fair Value | 25,630 | 88,535 |
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 | 142,412 | 158,346 |
Total Liabilities Measured at Fair Value | 62,542 | 126,810 |
SERIES B | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 20,683 |
Total Liabilities Measured at Fair Value | 0 | 24,520 |
SERIES B | Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 20,683 | |
SERIES B | Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 24,520 | |
SERIES B | Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES B | Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES B | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES B | Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES B | Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
SERIES B | Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | 0 |
Total Liabilities Measured at Fair Value | $ 0 | $ 0 |
Fair Value of Funds Derivatives
Fair Value of Funds Derivatives by Instrument Type (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | $ 234,047 | $ 445,455 |
Derivative Liabilities | (110,353) | (391,055) |
Derivative Assets (Liabilities), Net | 123,694 | 54,400 |
Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 176,135 | 254,994 |
Derivative Liabilities | (78,351) | (211,351) |
Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 57,912 | 164,986 |
Derivative Liabilities | (32,002) | (145,611) |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 25,475 | |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 25,475 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 25,475 | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (34,093) | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (34,093) | |
Derivative Assets (Liabilities), Net | (34,093) | |
Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 176,135 | 254,994 |
Derivative Liabilities | (78,351) | (211,351) |
Derivative Assets (Liabilities), Net | 97,784 | 43,643 |
Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 57,912 | 164,986 |
Derivative Liabilities | (32,002) | (145,611) |
Derivative Assets (Liabilities), Net | 25,910 | 19,375 |
SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 51,115 | 170,822 |
Derivative Liabilities | (22,181) | (151,190) |
Derivative Assets (Liabilities), Net | 28,934 | 19,632 |
SERIES A | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 33,723 | 96,648 |
Derivative Liabilities | (15,809) | (84,541) |
SERIES A | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 17,392 | 69,382 |
Derivative Liabilities | (6,372) | (57,076) |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 4,792 | |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 4,792 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 4,792 | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (9,573) | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (9,573) | |
Derivative Assets (Liabilities), Net | (9,573) | |
SERIES A | Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 33,723 | 96,648 |
Derivative Liabilities | (15,809) | (84,541) |
Derivative Assets (Liabilities), Net | 17,914 | 12,107 |
SERIES A | Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 17,392 | 69,382 |
Derivative Liabilities | (6,372) | (57,076) |
Derivative Assets (Liabilities), Net | 11,020 | 12,306 |
SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 182,932 | 274,633 |
Derivative Liabilities | (88,172) | (239,865) |
Derivative Assets (Liabilities), Net | 94,760 | 34,768 |
SERIES B | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 142,412 | 158,346 |
Derivative Liabilities | (62,542) | (126,810) |
SERIES B | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 40,520 | 95,604 |
Derivative Liabilities | (25,630) | (88,535) |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 20,683 | |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 20,683 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 20,683 | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (24,520) | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (24,520) | |
Derivative Assets (Liabilities), Net | (24,520) | |
SERIES B | Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 142,412 | 158,346 |
Derivative Liabilities | (62,542) | (126,810) |
Derivative Assets (Liabilities), Net | 79,870 | 31,536 |
SERIES B | Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 40,520 | 95,604 |
Derivative Liabilities | (25,630) | (88,535) |
Derivative Assets (Liabilities), Net | $ 14,890 | $ 7,069 |
Disclosure of Derivative Inst30
Disclosure of Derivative Instruments and Hedging Activities - Offsetting Assets (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | $ 123,694 | $ 54,400 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 123,694 | 54,400 |
ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 51,459 | (62,704) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 51,459 | (62,704) |
Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 72,235 | 117,104 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 72,235 | 117,104 |
SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 28,934 | 19,632 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 28,934 | 19,632 |
SERIES A | ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 8,543 | (25,285) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 8,543 | (25,285) |
SERIES A | Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 20,391 | 44,917 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 20,391 | 44,917 |
SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 94,760 | 34,768 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 94,760 | 34,768 |
SERIES B | ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 42,916 | (37,419) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 42,916 | (37,419) |
SERIES B | Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 51,844 | 72,187 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | $ 51,844 | $ 72,187 |
Effects of Derivative Instrumen
Effects of Derivative Instruments on Statement of Operations (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | $ 180,927 | $ 488,261 | $ 996,624 | $ (801,820) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 330,726 | (339,674) | 69,294 | (60,414) |
Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (13,560) | (13,194) | (13,756) | (1,056) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 5,313 | 5,995 | 8,619 | 5,995 |
Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | 194,487 | 501,455 | 1,010,380 | (800,764) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 325,413 | (345,669) | 60,675 | (66,409) |
SERIES A | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | 20,316 | 195,654 | 273,070 | (386,405) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 96,810 | (135,928) | 9,301 | (32,557) |
SERIES A | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (5,288) | 595 | (2,778) | 4,162 |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 1,762 | 2,798 | 4,781 | 2,798 |
SERIES A | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | 25,604 | 195,059 | 275,848 | (390,567) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 95,048 | (138,726) | 4,520 | (35,355) |
SERIES B | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | 160,611 | 292,607 | 723,554 | (415,415) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 233,916 | (203,746) | 59,993 | (27,857) |
SERIES B | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (8,272) | (13,789) | (10,978) | (5,218) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | 3,551 | 3,197 | 3,838 | 3,197 |
SERIES B | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | 168,883 | 306,396 | 734,532 | (410,197) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives in Statement of Operations | $ 230,365 | $ (206,943) | $ 56,155 | $ (31,054) |
Gross and Net Unrealized Gains
Gross and Net Unrealized Gains and Losses by Long and Short Positions (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 234,047 | $ 445,455 | |||
Liability Derivatives | (110,353) | (391,055) | |||
Net Unrealized Gain (Loss) on Open Positions | 123,694 | 54,400 | |||
Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (8,618) | ||||
Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (8,586) | (19,511) | |||
Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (9,644) | 66,570 | |||
Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (10,166) | (9,646) | |||
Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 99,657 | 22,985 | |||
Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 8,192 | 27,346 | |||
Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 221 | (45,580) | |||
Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 44,020 | 20,854 | |||
Long Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 176,135 | $ 268,473 | |||
Gains percentage of net assets | 2.30% | 3.20% | |||
Liability Derivatives | $ (78,351) | $ (226,087) | |||
Loss percentage of net assets | (1.00%) | (2.60%) | |||
Long Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 13,481 | ||||
Gains percentage of net assets | 0.20% | ||||
Liability Derivatives | $ (14,738) | ||||
Loss percentage of net assets | (0.20%) | ||||
Long Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 5,100 | $ 2,976 | |||
Gains percentage of net assets | 0.10% | 0.00% | [1] | ||
Liability Derivatives | $ (22,723) | $ (38,947) | |||
Loss percentage of net assets | (0.30%) | (0.40%) | |||
Long Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 3,286 | $ 105,659 | |||
Gains percentage of net assets | 0.00% | [1] | 1.20% | ||
Liability Derivatives | $ (23,591) | $ (12,113) | |||
Loss percentage of net assets | (0.30%) | (0.10%) | |||
Long Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 5,055 | $ 13,543 | |||
Gains percentage of net assets | 0.10% | 0.20% | |||
Liability Derivatives | $ (4,957) | $ (30,833) | |||
Loss percentage of net assets | (0.10%) | (0.40%) | |||
Long Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 103,142 | $ 92,375 | |||
Gains percentage of net assets | 1.30% | 1.10% | |||
Liability Derivatives | $ (2,917) | $ (49,313) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.60%) | ||
Long Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 14,983 | $ 5,640 | |||
Gains percentage of net assets | 0.20% | 0.10% | |||
Liability Derivatives | $ (13,975) | $ (80,118) | |||
Loss percentage of net assets | (0.20%) | (0.90%) | |||
Long Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 221 | $ 0 | |||
Gains percentage of net assets | 0.00% | [1] | 0.00% | ||
Liability Derivatives | $ 0 | $ 0 | |||
Loss percentage of net assets | (0.00%) | (0.00%) | |||
Long Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 44,348 | $ 34,799 | |||
Gains percentage of net assets | 0.60% | 0.40% | |||
Liability Derivatives | $ (10,188) | $ (25) | |||
Loss percentage of net assets | (0.10%) | (0.00%) | [1] | ||
Short Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 57,912 | $ 176,981 | |||
Gains percentage of net assets | 0.60% | 1.90% | |||
Liability Derivatives | $ (32,002) | $ (164,967) | |||
Loss percentage of net assets | (0.30%) | (1.80%) | |||
Short Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 11,994 | ||||
Gains percentage of net assets | 0.10% | ||||
Liability Derivatives | $ (19,355) | ||||
Loss percentage of net assets | (0.20%) | ||||
Short Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 10,257 | $ 20,015 | |||
Gains percentage of net assets | 0.10% | 0.20% | |||
Liability Derivatives | $ (1,220) | $ (3,555) | |||
Loss percentage of net assets | [1] | (0.00%) | (0.00%) | ||
Short Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 11,535 | $ 1,789 | |||
Gains percentage of net assets | 0.10% | 0.00% | [1] | ||
Liability Derivatives | $ (874) | $ (28,765) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.30%) | ||
Short Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 9,500 | $ 28,124 | |||
Gains percentage of net assets | 0.10% | 0.30% | |||
Liability Derivatives | $ (19,764) | $ (20,480) | |||
Loss percentage of net assets | (0.20%) | (0.20%) | |||
Short Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 6,105 | $ 8,350 | |||
Gains percentage of net assets | 0.10% | 0.10% | |||
Liability Derivatives | $ (6,673) | $ (28,427) | |||
Loss percentage of net assets | (0.10%) | (0.30%) | |||
Short Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 10,275 | $ 106,709 | |||
Gains percentage of net assets | 0.10% | 1.20% | |||
Liability Derivatives | $ (3,091) | $ (4,885) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.10%) | ||
Short Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 0 | $ 0 | |||
Gains percentage of net assets | 0.00% | 0.00% | |||
Liability Derivatives | $ 0 | $ (45,580) | |||
Loss percentage of net assets | (0.00%) | (0.50%) | |||
Short Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 10,240 | $ 0 | |||
Gains percentage of net assets | 0.10% | 0.00% | |||
Liability Derivatives | $ (380) | $ (13,920) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.20%) | ||
SERIES A | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 51,115 | $ 170,822 | |||
Liability Derivatives | (22,181) | (151,190) | |||
Net Unrealized Gain (Loss) on Open Positions | 28,934 | 19,632 | |||
SERIES A | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (4,781) | ||||
SERIES A | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (2,278) | (8,661) | |||
SERIES A | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (2,997) | 25,061 | |||
SERIES A | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (4,314) | (1,797) | |||
SERIES A | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 23,228 | 16,217 | |||
SERIES A | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 10,805 | 7,083 | |||
SERIES A | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (18,160) | ||||
SERIES A | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 4,490 | 4,670 | |||
SERIES A | Long Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 33,723 | $ 98,204 | |||
Gains percentage of net assets | 1.20% | 2.60% | |||
Liability Derivatives | $ (15,809) | $ (88,727) | |||
Loss percentage of net assets | (0.40%) | (2.40%) | |||
SERIES A | Long Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,557 | ||||
Gains percentage of net assets | [1] | 0.00% | |||
Liability Derivatives | $ (4,187) | ||||
Loss percentage of net assets | (0.10%) | ||||
SERIES A | Long Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 0 | $ 1,288 | |||
Gains percentage of net assets | 0.00% | 0.00% | [1] | ||
Liability Derivatives | $ (3,453) | $ (14,968) | |||
Loss percentage of net assets | (0.10%) | (0.40%) | |||
SERIES A | Long Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 750 | $ 37,316 | |||
Gains percentage of net assets | 0.00% | [1] | 1.00% | ||
Liability Derivatives | $ (6,802) | $ (2,489) | |||
Loss percentage of net assets | (0.20%) | (0.10%) | |||
SERIES A | Long Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,740 | $ 5,428 | |||
Gains percentage of net assets | 0.10% | 0.10% | |||
Liability Derivatives | $ (1,552) | $ (11,755) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.30%) | ||
SERIES A | Long Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 23,470 | $ 40,361 | |||
Gains percentage of net assets | 0.80% | 1.10% | |||
Liability Derivatives | $ (689) | $ (15,743) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.40%) | ||
SERIES A | Long Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 2,313 | $ 1,874 | |||
Gains percentage of net assets | 0.10% | 0.10% | |||
Liability Derivatives | $ (533) | $ (39,585) | |||
Loss percentage of net assets | (0.00%) | [1] | (1.10%) | ||
SERIES A | Long Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 0 | ||||
Gains percentage of net assets | 0.00% | ||||
Liability Derivatives | $ 0 | ||||
Loss percentage of net assets | (0.00%) | ||||
SERIES A | Long Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 5,450 | $ 10,380 | |||
Gains percentage of net assets | 0.20% | 0.30% | |||
Liability Derivatives | $ (2,780) | $ 0 | |||
Loss percentage of net assets | (0.10%) | (0.00%) | |||
SERIES A | Short Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 17,392 | $ 72,617 | |||
Gains percentage of net assets | 0.50% | 2.00% | |||
Liability Derivatives | $ (6,372) | $ (62,462) | |||
Loss percentage of net assets | (0.20%) | (1.80%) | |||
SERIES A | Short Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 3,235 | ||||
Gains percentage of net assets | 0.10% | ||||
Liability Derivatives | $ (5,386) | ||||
Loss percentage of net assets | (0.10%) | ||||
SERIES A | Short Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,175 | $ 7,389 | |||
Gains percentage of net assets | 0.00% | [1] | 0.20% | ||
Liability Derivatives | $ 0 | $ (2,370) | |||
Loss percentage of net assets | (0.00%) | (0.10%) | |||
SERIES A | Short Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 3,464 | $ 750 | |||
Gains percentage of net assets | 0.10% | 0.00% | [1] | ||
Liability Derivatives | $ (409) | $ (10,516) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.30%) | ||
SERIES A | Short Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 658 | $ 11,771 | |||
Gains percentage of net assets | 0.00% | [1] | 0.30% | ||
Liability Derivatives | $ (5,160) | $ (7,241) | |||
Loss percentage of net assets | (0.20%) | (0.20%) | |||
SERIES A | Short Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,250 | $ 2,693 | |||
Gains percentage of net assets | 0.00% | [1] | 0.10% | ||
Liability Derivatives | $ (803) | $ (11,094) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.30%) | ||
SERIES A | Short Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 9,025 | $ 46,779 | |||
Gains percentage of net assets | 0.30% | 1.30% | |||
Liability Derivatives | $ 0 | $ (1,985) | |||
Loss percentage of net assets | (0.00%) | (0.10%) | |||
SERIES A | Short Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 0 | ||||
Gains percentage of net assets | 0.00% | ||||
Liability Derivatives | $ (18,160) | ||||
Loss percentage of net assets | (0.50%) | ||||
SERIES A | Short Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,820 | $ 0 | |||
Gains percentage of net assets | 0.10% | 0.00% | |||
Liability Derivatives | $ 0 | $ (5,710) | |||
Loss percentage of net assets | (0.00%) | (0.20%) | |||
SERIES B | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 182,932 | $ 274,633 | |||
Liability Derivatives | (88,172) | (239,865) | |||
Net Unrealized Gain (Loss) on Open Positions | 94,760 | 34,768 | |||
SERIES B | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (3,837) | ||||
SERIES B | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (6,308) | (10,850) | |||
SERIES B | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (6,647) | 41,509 | |||
SERIES B | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (5,852) | (7,849) | |||
SERIES B | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 76,429 | 6,768 | |||
SERIES B | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | (2,613) | 20,263 | |||
SERIES B | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 221 | (27,420) | |||
SERIES B | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Unrealized Gain (Loss) on Open Positions | 39,530 | 16,184 | |||
SERIES B | Long Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 142,412 | $ 170,269 | |||
Gains percentage of net assets | 3.10% | 3.30% | |||
Liability Derivatives | $ (62,542) | $ (137,360) | |||
Loss percentage of net assets | (1.30%) | (2.80%) | |||
SERIES B | Long Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 11,924 | ||||
Gains percentage of net assets | 0.20% | ||||
Liability Derivatives | $ (10,551) | ||||
Loss percentage of net assets | (0.20%) | ||||
SERIES B | Long Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 5,100 | $ 1,688 | |||
Gains percentage of net assets | 0.10% | 0.00% | [1] | ||
Liability Derivatives | $ (19,270) | $ (23,979) | |||
Loss percentage of net assets | (0.40%) | (0.50%) | |||
SERIES B | Long Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 2,536 | $ 68,343 | |||
Gains percentage of net assets | 0.10% | 1.30% | |||
Liability Derivatives | $ (16,789) | $ (9,624) | |||
Loss percentage of net assets | (0.30%) | (0.20%) | |||
SERIES B | Long Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 3,315 | $ 8,115 | |||
Gains percentage of net assets | 0.10% | 0.20% | |||
Liability Derivatives | $ (3,405) | $ (19,078) | |||
Loss percentage of net assets | (0.10%) | (0.40%) | |||
SERIES B | Long Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 79,672 | $ 52,014 | |||
Gains percentage of net assets | 1.70% | 1.00% | |||
Liability Derivatives | $ (2,228) | $ (33,570) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.70%) | ||
SERIES B | Long Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 12,670 | $ 3,766 | |||
Gains percentage of net assets | 0.30% | 0.10% | |||
Liability Derivatives | $ (13,442) | $ (40,533) | |||
Loss percentage of net assets | (0.30%) | (0.80%) | |||
SERIES B | Long Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 221 | $ 0 | |||
Gains percentage of net assets | 0.00% | [1] | 0.00% | ||
Liability Derivatives | $ 0 | $ 0 | |||
Loss percentage of net assets | (0.00%) | (0.00%) | |||
SERIES B | Long Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 38,898 | $ 24,419 | |||
Gains percentage of net assets | 0.80% | 0.50% | |||
Liability Derivatives | $ (7,408) | $ (25) | |||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | ||
SERIES B | Short Position | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 40,520 | $ 104,364 | |||
Gains percentage of net assets | 0.90% | 2.00% | |||
Liability Derivatives | $ (25,630) | $ (102,505) | |||
Loss percentage of net assets | (0.50%) | (2.10%) | |||
SERIES B | Short Position | Foreign Exchange | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 8,759 | ||||
Gains percentage of net assets | 0.20% | ||||
Liability Derivatives | $ (13,969) | ||||
Loss percentage of net assets | (0.30%) | ||||
SERIES B | Short Position | Currency | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 9,082 | $ 12,626 | |||
Gains percentage of net assets | 0.20% | 0.20% | |||
Liability Derivatives | $ (1,220) | $ (1,185) | |||
Loss percentage of net assets | [1] | (0.00%) | (0.00%) | ||
SERIES B | Short Position | Financial | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 8,071 | $ 1,039 | |||
Gains percentage of net assets | 0.20% | 0.00% | [1] | ||
Liability Derivatives | $ (465) | $ (18,249) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.40%) | ||
SERIES B | Short Position | Food & Fiber | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 8,842 | $ 16,353 | |||
Gains percentage of net assets | 0.20% | 0.30% | |||
Liability Derivatives | $ (14,604) | $ (13,239) | |||
Loss percentage of net assets | (0.30%) | (0.30%) | |||
SERIES B | Short Position | Indices | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 4,855 | $ 5,657 | |||
Gains percentage of net assets | 0.10% | 0.10% | |||
Liability Derivatives | $ (5,870) | $ (17,333) | |||
Loss percentage of net assets | (0.10%) | (0.30%) | |||
SERIES B | Short Position | Metals | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 1,250 | $ 59,930 | |||
Gains percentage of net assets | 0.00% | [1] | 1.20% | ||
Liability Derivatives | $ (3,091) | $ (2,900) | |||
Loss percentage of net assets | (0.10%) | (0.10%) | |||
SERIES B | Short Position | Livestock | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 0 | $ 0 | |||
Gains percentage of net assets | 0.00% | 0.00% | |||
Liability Derivatives | $ 0 | $ (27,420) | |||
Loss percentage of net assets | (0.00%) | (0.50%) | |||
SERIES B | Short Position | Energy | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Asset Derivatives | $ 8,420 | $ 0 | |||
Gains percentage of net assets | 0.20% | 0.00% | |||
Liability Derivatives | $ (380) | $ (8,210) | |||
Loss percentage of net assets | (0.00%) | [1] | (0.20%) | ||
[1] | Due to rounding - amount is less than 0.05% |
Disclosure of Derivative Inst33
Disclosure of Derivative Instruments and Hedging Activities - Additional Information (Detail) - Futures and Forward Contracts - Contract | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Long Position | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 1,209 | 1,865 | 1,534 | 1,954 |
Long Position | SERIES A | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 341 | 708 | 450 | 758 |
Long Position | SERIES B | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 867 | 1,157 | 1,083 | 1,196 |
Short Position | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 259 | 1,025 | 442 | 2,083 |
Short Position | SERIES A | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 68 | 396 | 133 | 687 |
Short Position | SERIES B | ||||
Derivatives, Fair Value [Line Items] | ||||
Average number of contracts | 191 | 629 | 309 | 1,063 |
Funds Trading Results by Market
Funds Trading Results by Market Sector (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | $ 180,927 | $ 488,261 | $ 996,624 | $ (801,820) |
Change in Net Unrealized Gains (Losses) | 330,726 | (339,674) | 69,294 | (60,414) |
Net Trading Gains (Losses) | 511,653 | 148,587 | 1,065,918 | (862,234) |
Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (13,560) | (13,194) | (13,756) | (1,056) |
Change in Net Unrealized Gains (Losses) | 5,313 | 5,995 | 8,619 | 5,995 |
Net Trading Gains (Losses) | (8,247) | (7,199) | (5,137) | 4,939 |
Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 118,747 | (137,156) | (70,930) | (619,658) |
Change in Net Unrealized Gains (Losses) | (50,341) | 108,463 | 10,925 | 156,837 |
Net Trading Gains (Losses) | 68,406 | (28,693) | (60,005) | (462,821) |
Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (18,462) | 270,122 | (2,639) | 540,279 |
Change in Net Unrealized Gains (Losses) | 97,338 | (166,743) | (76,213) | 54,497 |
Net Trading Gains (Losses) | 78,876 | 103,379 | (78,852) | 594,776 |
Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (20,038) | 91,936 | (51,799) | 120,141 |
Change in Net Unrealized Gains (Losses) | 20,394 | (164,610) | (523) | (50,329) |
Net Trading Gains (Losses) | 356 | (72,674) | (52,322) | 69,812 |
Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 49,370 | 215,396 | 1,469,637 | 52,853 |
Change in Net Unrealized Gains (Losses) | 189,166 | 85,895 | 76,671 | (80,334) |
Net Trading Gains (Losses) | 238,536 | 301,291 | 1,546,308 | (27,481) |
Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 59,839 | 188,585 | (16,160) | (493,751) |
Change in Net Unrealized Gains (Losses) | (8,286) | (265,523) | (19,155) | (53,962) |
Net Trading Gains (Losses) | 51,553 | (76,938) | (35,315) | (547,713) |
Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (37,820) | 14,290 | (53,000) | (16,810) |
Change in Net Unrealized Gains (Losses) | (2,930) | 48,380 | 45,800 | 45,740 |
Net Trading Gains (Losses) | (40,750) | 62,670 | (7,200) | 28,930 |
Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 42,851 | (141,718) | (264,729) | (383,818) |
Change in Net Unrealized Gains (Losses) | 80,072 | 8,469 | 23,170 | (138,858) |
Net Trading Gains (Losses) | 122,923 | (133,249) | (241,559) | (522,676) |
SERIES A | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 20,316 | 195,654 | 273,070 | (386,405) |
Change in Net Unrealized Gains (Losses) | 96,810 | (135,928) | 9,301 | (32,557) |
Net Trading Gains (Losses) | 117,126 | 59,726 | 282,371 | (418,962) |
SERIES A | Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (5,288) | 595 | (2,778) | 4,162 |
Change in Net Unrealized Gains (Losses) | 1,762 | 2,798 | 4,781 | 2,798 |
Net Trading Gains (Losses) | (3,526) | 3,393 | 2,003 | 6,960 |
SERIES A | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 26,426 | (52,810) | (32,049) | (243,667) |
Change in Net Unrealized Gains (Losses) | (11,112) | 44,003 | 6,383 | 64,241 |
Net Trading Gains (Losses) | 15,314 | (8,807) | (25,666) | (179,426) |
SERIES A | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (2,945) | 91,195 | (1,861) | 202,918 |
Change in Net Unrealized Gains (Losses) | 26,117 | (50,962) | (28,057) | 18,599 |
Net Trading Gains (Losses) | 23,172 | 40,233 | (29,918) | 221,517 |
SERIES A | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (8,944) | 37,813 | (18,382) | 36,229 |
Change in Net Unrealized Gains (Losses) | 9,083 | (67,648) | (2,521) | (20,511) |
Net Trading Gains (Losses) | 139 | (29,835) | (20,903) | 15,718 |
SERIES A | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 2,802 | 80,549 | 402,617 | (30,670) |
Change in Net Unrealized Gains (Losses) | 47,511 | 22,888 | 7,011 | (39,127) |
Net Trading Gains (Losses) | 50,313 | 103,437 | 409,628 | (69,797) |
SERIES A | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 6,969 | 83,778 | (16,218) | (182,251) |
Change in Net Unrealized Gains (Losses) | 9,052 | (105,869) | 3,721 | (24,618) |
Net Trading Gains (Losses) | 16,021 | (22,091) | (12,497) | (206,869) |
SERIES A | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (8,920) | 9,320 | (16,490) | (660) |
Change in Net Unrealized Gains (Losses) | (730) | 15,800 | 18,160 | 14,760 |
Net Trading Gains (Losses) | (9,650) | 25,120 | 1,670 | 14,100 |
SERIES A | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 10,216 | (54,786) | (41,769) | (172,466) |
Change in Net Unrealized Gains (Losses) | 15,127 | 3,062 | (177) | (48,699) |
Net Trading Gains (Losses) | 25,343 | (51,724) | (41,946) | (221,165) |
SERIES B | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 160,611 | 292,607 | 723,554 | (415,415) |
Change in Net Unrealized Gains (Losses) | 233,916 | (203,746) | 59,993 | (27,857) |
Net Trading Gains (Losses) | 394,527 | 88,861 | 783,547 | (443,272) |
SERIES B | Foreign Exchange | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (8,272) | (13,789) | (10,978) | (5,218) |
Change in Net Unrealized Gains (Losses) | 3,551 | 3,197 | 3,838 | 3,197 |
Net Trading Gains (Losses) | (4,721) | (10,592) | (7,140) | (2,021) |
SERIES B | Currency | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 92,321 | (84,346) | (38,881) | (375,991) |
Change in Net Unrealized Gains (Losses) | (39,229) | 64,460 | 4,542 | 92,596 |
Net Trading Gains (Losses) | 53,092 | (19,886) | (34,339) | (283,395) |
SERIES B | Financial | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (15,517) | 178,927 | (778) | 337,361 |
Change in Net Unrealized Gains (Losses) | 71,221 | (115,781) | (48,156) | 35,898 |
Net Trading Gains (Losses) | 55,704 | 63,146 | (48,934) | 373,259 |
SERIES B | Food & Fiber | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (11,094) | 54,123 | (33,417) | 83,912 |
Change in Net Unrealized Gains (Losses) | 11,311 | (96,962) | 1,998 | (29,818) |
Net Trading Gains (Losses) | 217 | (42,839) | (31,419) | 54,094 |
SERIES B | Indices | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 46,568 | 134,847 | 1,067,020 | 83,523 |
Change in Net Unrealized Gains (Losses) | 141,655 | 63,007 | 69,660 | (41,207) |
Net Trading Gains (Losses) | 188,223 | 197,854 | 1,136,680 | 42,316 |
SERIES B | Metals | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 52,870 | 104,807 | 58 | (311,500) |
Change in Net Unrealized Gains (Losses) | (17,338) | (159,654) | (22,876) | (29,344) |
Net Trading Gains (Losses) | 35,532 | (54,847) | (22,818) | (340,844) |
SERIES B | Livestock | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | (28,900) | 4,970 | (36,510) | (16,150) |
Change in Net Unrealized Gains (Losses) | (2,200) | 32,580 | 27,640 | 30,980 |
Net Trading Gains (Losses) | (31,100) | 37,550 | (8,870) | 14,830 |
SERIES B | Energy | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Realized Gains (Losses) | 32,635 | (86,932) | (222,960) | (211,352) |
Change in Net Unrealized Gains (Losses) | 64,945 | 5,407 | 23,347 | (90,159) |
Net Trading Gains (Losses) | $ 97,580 | $ (81,525) | $ (199,613) | $ (301,511) |
Due From_To Brokers - Additiona
Due From/To Brokers - Additional Information (Detail) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
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, 2017 | |
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, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
SERIES A | |||||
Investment Company, Financial Highlights [Line Items] | |||||
Total return before incentive fees | [1] | 2.00% | (1.20%) | 3.10% | (11.10%) |
Incentive fees | [1] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | [1] | 2.00% | (1.20%) | 3.10% | (11.10%) |
Ratios to average partners' capital, Operating expenses before incentive fees | 1.80% | 1.90% | 5.60% | 5.80% | |
Ratios to average partners' capital, Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% | |
Ratios to average partners' capital, Total expenses | 1.80% | 1.90% | 5.60% | 5.80% | |
Net investment loss | (1.70%) | (1.90%) | (5.30%) | (5.70%) | |
Net asset value per unit, beginning of period | $ 999.67 | $ 1,101.60 | $ 989.50 | $ 1,222.26 | |
Net investment loss | (17.23) | (21.04) | (53.75) | (66.25) | |
Net gain (loss) on investments | 36.65 | 9.68 | 83.34 | (65.77) | |
Total income (loss) from operations | [2] | 19.42 | (11.36) | 29.59 | (132.02) |
Net asset value per unit, end of period | 1,019.09 | 1,090.24 | 1,019.09 | 1,090.24 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) | [2] | 20.26 | (10.50) | 31.37 | (136.35) |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit)upon change in net asset value per Unit) | [2] | $ 19.42 | $ (11.36) | $ 29.59 | $ (132.02) |
SERIES B | |||||
Investment Company, Financial Highlights [Line Items] | |||||
Total return before incentive fees | [1] | 6.60% | (1.10%) | 10.50% | (11.90%) |
Incentive fees | [1] | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | [1] | 6.60% | (1.10%) | 10.50% | (11.90%) |
Ratios to average partners' capital, Operating expenses before incentive fees | 2.00% | 2.00% | 6.20% | 6.30% | |
Ratios to average partners' capital, Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% | |
Ratios to average partners' capital, Total expenses | 2.00% | 2.00% | 6.20% | 6.30% | |
Net investment loss | (1.90%) | (2.00%) | (5.90%) | (6.20%) | |
Net asset value per unit, beginning of period | $ 1,086.77 | $ 1,241.52 | $ 1,049.01 | $ 1,392.13 | |
Net investment loss | (21.23) | (25.80) | (65.43) | (82.22) | |
Net gain (loss) on investments | 91.28 | 13.69 | 173.24 | (80.50) | |
Total income (loss) from operations | [3] | 70.05 | (12.11) | 107.81 | (162.72) |
Net asset value per unit, end of period | 1,156.82 | 1,229.41 | 1,156.82 | 1,229.41 | |
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) | [3] | 71.23 | (9.11) | 109.25 | (162.81) |
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit)upon change in net asset value per Unit) | [3] | $ 70.05 | $ (12.11) | $ 107.81 | $ (162.72) |
[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, 2017 and September 30, 2016: 3,120.43 and 5,673.76, respectively; and for the nine months ended September 30, 2017 and September 30, 2016: 3,299.02 and 5,998.73, respectively. | ||||
[3] | Weighted average number of Units outstanding for Series B for the three months ended September 30, 2017 and September 30, 2016: 4,271.66 and 5,316.77, respectively; and for the nine months ended September 30, 2017 and September 30, 2016: 4,475.83 and 5,511.87, respectively. |
Financial Instrument Risk - Add
Financial Instrument Risk - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Exchange Traded Futures | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | $ 234,047 | $ 657,205 |
Loss On Derivative Instruments Pretax | 110,353 | 553,188 |
Exchange Traded Futures | SERIES A | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 51,115 | 245,786 |
Loss On Derivative Instruments Pretax | 22,181 | 220,215 |
Exchange Traded Futures | SERIES B | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 182,932 | 411,419 |
Loss On Derivative Instruments Pretax | $ 88,172 | 332,973 |
Non Exchange Traded Forwards | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 31,250 | |
Loss On Derivative Instruments Pretax | 25,255 | |
Non Exchange Traded Forwards | SERIES A | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 9,768 | |
Loss On Derivative Instruments Pretax | 6,970 | |
Non Exchange Traded Forwards | SERIES B | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 21,482 | |
Loss On Derivative Instruments Pretax | $ 18,285 |
Subscriptions and Redemptions -
Subscriptions and Redemptions - Additional Information (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 1,684,322 | $ 2,424,637 |
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 |