Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2020 | Oct. 31, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | MANAGED FUTURES PREMIER WARRINGTON L.P. | |
Entity Central Index Key | 0001353282 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Current Reporting Status | Yes | |
Entity Shell Company | false | |
Entity File Number | 000-52603 | |
Entity Tax Identification Number | 20-3845577 | |
Entity Address, Address Line One | c/o Warrington GP, LLC, 200 Crescent Court | |
Entity Address, Address Line Two | Suite 520 | |
Entity Address, City or Town | Dallas | |
Entity Address, State or Province | TX | |
Entity Address, Postal Zip Code | 75201 | |
City Area Code | 214 | |
Local Phone Number | 230-2100 | |
Entity Interactive Data Current | Yes | |
Entity Incorporation, State or Country Code | NY | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Class A [Member] | ||
Document Information [Line Items] | ||
Entity Limited Partnership Redeemable Units Outstanding | 17,960.80 | |
Class D [Member] | ||
Document Information [Line Items] | ||
Entity Limited Partnership Redeemable Units Outstanding | 290.73 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Equity in trading account: | ||
Cash | $ 8,330,966 | $ 7,703,754 |
Cash margin | 14,963,055 | 1,973,405 |
Options purchased, at fair value (cost $324,200 and $46,200 at September 30, 2020 and December 31, 2019, respectively) | 287,400 | 31,350 |
Total trading equity | 23,581,421 | 9,708,509 |
Investments in U.S. government securities, at fair value (cost $3,998,454 and $26,112,299 at September 30, 2020 and December 31, 2019, respectively) | 34,800 | (14,850) |
Interest receivable | 2,197 | |
Total assets | 27,581,017 | 35,947,224 |
Liabilities: | ||
Written options premium received, at fair value (premium $316,375 and $46,200 at September 30, 2020 and December 31, 2019, respectively) | 252,600 | 46,200 |
Accrued expenses: | ||
Ongoing selling agent fees | 44,684 | 58,331 |
Advisory fees | 44,968 | 59,358 |
Administrative fees | 22,484 | 29,679 |
Professional fees | 102,954 | 35,000 |
Other | 8,668 | 5,402 |
Redemptions payable | 614,782 | 1,792,989 |
Total liabilities | 1,091,140 | 2,026,959 |
Partners’ Capital: | ||
Total partners’ capital | 26,489,877 | 33,920,265 |
Total liabilities and partners’ capital | 27,581,017 | 35,947,224 |
U.S. Government Securities [Member] | ||
Equity in trading account: | ||
Investments in U.S. government securities, at fair value (cost $3,998,454 and $26,112,299 at September 30, 2020 and December 31, 2019, respectively) | 3,999,596 | 26,236,518 |
Class GP [Member] | ||
Partners’ Capital: | ||
General Partner, Class GP (137.22 and 137.22 unit equivalents outstanding at September 30, 2020 and December 31, 2019, respectively) | 191,419 | 187,435 |
Total partners’ capital | $ 191,419 | $ 187,435 |
Net asset value per unit: | ||
Net asset value per unit | $ 1,395.07 | $ 1,366.07 |
Class A [Member] | ||
Partners’ Capital: | ||
Limited Partners | $ 25,896,114 | $ 33,162,002 |
Total partners’ capital | $ 25,896,114 | $ 33,162,002 |
Net asset value per unit: | ||
Net asset value per unit | $ 1,254.43 | $ 1,275.20 |
Class D [Member] | ||
Partners’ Capital: | ||
Limited Partners | $ 402,344 | $ 570,828 |
Total partners’ capital | $ 402,344 | $ 570,828 |
Net asset value per unit: | ||
Net asset value per unit | $ 1,383.91 | $ 1,393.85 |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Cost of options purchased | $ 324,200 | $ 46,200 |
Cost of investments in securities | 3,998,454 | 26,112,299 |
Premium received | $ 316,375 | $ 46,200 |
Class GP [Member] | ||
General Partner unit equivalents outstanding | 137.22 | 137.22 |
Class A [Member] | ||
Limited Partners Redeemable units outstanding | 20,643.65 | 26,005.41 |
Class D [Member] | ||
Limited Partners Redeemable units outstanding | 290.73 | 409.53 |
Condensed Schedule of Investmen
Condensed Schedule of Investments | Sep. 30, 2020USD ($)Contract | Dec. 31, 2019USD ($)Contract |
Schedule of Investments [Line Items] | ||
Fair Value | $ 34,800 | $ (14,850) |
% of Partners’ Capital | 0.13% | (0.05%) |
Call or Put Options Purchased [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 287,400 | $ 31,350 |
% of Partners’ Capital | 1.08% | 0.09% |
Call or Put Written Options [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (252,600) | $ (46,200) |
% of Partners’ Capital | (0.95%) | (0.14%) |
United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 3,999,596 | $ 26,236,518 |
% of Partners’ Capital | 15.10% | 77.35% |
United States Government Treasury Bills [Member] | Treasury Bill 0% due October 29, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 4,000,000 | |
Fair Value | $ 3,999,596 | |
% of Partners’ Capital | 15.10% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due May 28, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 4,000,000 | |
Fair Value | $ 3,974,264 | |
% of Partners’ Capital | 11.71% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due April 23, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 5,000,000 | |
Fair Value | $ 4,976,773 | |
% of Partners’ Capital | 14.67% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due March 12, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 4,000,000 | |
Fair Value | $ 3,985,602 | |
% of Partners’ Capital | 11.75% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due February 13, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 4,092,000 | |
Fair Value | $ 4,083,031 | |
% of Partners’ Capital | 12.04% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due January 23, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 5,000,000 | |
Fair Value | $ 4,995,233 | |
% of Partners’ Capital | 14.73% | |
United States Government Treasury Bills [Member] | Treasury Bill 0% due January 16, 2020 [Member] | ||
Schedule of Investments [Line Items] | ||
Face Value | $ 4,225,100 | |
Fair Value | $ 4,221,615 | |
% of Partners’ Capital | 12.45% | |
Put Option [Member] | Call or Put Options Purchased [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 220,800 | $ 31,350 |
% of Partners’ Capital | 0.83% | 0.09% |
Number of Contracts | Contract | 96 | 132 |
Put Option [Member] | Call or Put Written Options [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (217,500) | $ (46,200) |
% of Partners’ Capital | (0.82%) | (0.14%) |
Number of Contracts | Contract | 350 | 528 |
Call Option | Call or Put Options Purchased [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 66,600 | |
% of Partners’ Capital | 0.25% | |
Number of Contracts | Contract | 72 | |
Call Option | Call or Put Written Options [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (35,100) | |
% of Partners’ Capital | (0.13%) | |
Number of Contracts | Contract | 216 |
Condensed Schedule of Investm_2
Condensed Schedule of Investments (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Schedule of Investments [Line Items] | ||
Cost of investments in U.S. government securities | $ 3,998,454 | $ 26,112,299 |
Options purchased at cost | 324,200 | 46,200 |
Premium received | 316,375 | 46,200 |
United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Cost of investments in U.S. government securities | $ 3,998,454 | $ 26,112,299 |
Treasury Bill 0% due May 28, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | May 28, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due April 23, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Apr. 23, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due March 12, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Mar. 12, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due February 13, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Feb. 13, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due January 23, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Jan. 23, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due October 29, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Oct. 29, 2020 | |
Investment, Interest rate | 0.00% | |
Treasury Bill 0% due January 16, 2020 [Member] | United States Government Treasury Bills [Member] | ||
Schedule of Investments [Line Items] | ||
Investment, Maturity date | Jan. 16, 2020 | |
Investment, Interest rate | 0.00% |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Investment Income: | |||||
Interest income | $ 1,141 | $ 144,665 | $ 81,722 | $ 422,043 | |
Expenses: | |||||
Ongoing selling agent fees | 133,957 | 190,532 | 438,731 | 611,517 | |
Clearing fees | 99,329 | 119,491 | 259,229 | 410,222 | |
Advisory fees | 136,602 | 191,420 | 446,556 | 614,432 | |
Administrative fees | 68,300 | 95,709 | 223,278 | 307,214 | |
Professional fees | 74,390 | 73,205 | 223,167 | 218,109 | |
Other | 1,829 | 5,664 | 4,986 | 16,949 | |
Total expenses | 514,407 | 676,021 | 1,595,947 | 2,178,443 | |
Net investment income (loss) | (513,266) | (531,356) | (1,514,225) | (1,756,400) | |
Net gains (losses) on trading of commodity interests: | |||||
Net realized gains (losses) on closed contracts | 267,055 | 557,639 | 966,152 | 1,604,928 | |
Change in net unrealized gains (losses) on open contracts | 29,900 | (73,312) | 41,825 | (16,874) | |
Total trading results | 296,955 | 484,327 | 1,007,977 | 1,588,054 | |
Net income (loss) before allocation to Special Limited Partner | (216,311) | (47,029) | (506,248) | (168,346) | |
Net income (loss) available for Pro rata distribution | |||||
Net income (loss) | (216,311) | (47,029) | (506,248) | (168,346) | |
Class A [Member] | |||||
Net income (loss) available for Pro rata distribution | |||||
Net income (loss) | $ (214,357) | $ (50,120) | $ (506,132) | $ (177,652) | |
Net asset value per unit: | |||||
Net asset value per unit | $ 1,254.43 | $ 1,278.92 | $ 1,254.43 | $ 1,278.92 | $ 1,275.20 |
Net income (loss) per unit: | |||||
Net income (loss) per unit | $ (10.05) | $ (1.72) | $ (20.77) | $ (4.98) | |
Weighted average units outstanding | |||||
Weighted average units outstanding | 21,251.31 | 29,392.32 | 23,111.81 | 31,485.46 | |
Class D [Member] | |||||
Net income (loss) available for Pro rata distribution | |||||
Net income (loss) | $ (2,811) | $ 1,025 | $ (4,100) | $ 3,152 | |
Net asset value per unit: | |||||
Net asset value per unit | $ 1,383.91 | $ 1,394.35 | $ 1,383.91 | $ 1,394.35 | 1,393.85 |
Net income (loss) per unit: | |||||
Net income (loss) per unit | $ (6.80) | $ 2.50 | $ (9.94) | $ 7.69 | |
Weighted average units outstanding | |||||
Weighted average units outstanding | 397.48 | 409.53 | 405.51 | 409.53 | |
Class GP [Member] | |||||
Net income (loss) available for Pro rata distribution | |||||
Net income (loss) | $ 857 | $ 2,066 | $ 3,984 | $ 6,154 | |
Net asset value per unit: | |||||
Net asset value per unit | $ 1,395.07 | $ 1,353.78 | $ 1,395.07 | $ 1,353.78 | $ 1,366.07 |
Net income (loss) per unit: | |||||
Net income (loss) per unit | $ 6.25 | $ 15.06 | $ 29 | $ 44.86 | |
Weighted average units outstanding | |||||
Weighted average units outstanding | 137.22 | 137.22 | 137.22 | 137.22 |
Statements of Income and Expe_2
Statements of Income and Expenses (Parenthetical) - shares | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Units outstanding | 21,071.60 | 22,071.04 | 26,552.16 | 29,107.99 | 30,370.48 | 35,283.84 |
Class A [Member] | ||||||
Units outstanding | 20,643.65 | 21,524.29 | 26,005.41 | 28,561.24 | 29,823.73 | 34,737.09 |
Class D [Member] | ||||||
Units outstanding | 290.73 | 409.53 | 409.53 | 409.53 | 409.53 | 409.53 |
Class GP [Member] | ||||||
Units outstanding | 137.22 | 137.22 | 137.22 | 137.22 | 137.22 | 137.22 |
Statements of Changes in Partne
Statements of Changes in Partners' Capital - USD ($) | Total | Limited Partners [Member] | Class A [Member] | Class A [Member]Limited Partners [Member] | Class D [Member] | Class D [Member]Limited Partners [Member] | Class GP [Member] |
Partners' capital, Amount, beginning balance at Dec. 31, 2018 | $ 45,346,263 | $ 44,598,789 | $ 567,879 | $ 179,595 | |||
Partners' capital, Units, beginning balance at Dec. 31, 2018 | 35,283.84 | 34,737.09 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (121,317) | $ (127,532) | $ 2,127 | $ 4,088 | |||
Redemptions, Amount | $ (6,277,684) | $ (6,277,684) | |||||
Redemptions, Units | (4,913.36) | (4,913.36) | |||||
Partners' capital, Amount, ending balance at Jun. 30, 2019 | $ 38,947,262 | $ 38,193,573 | $ 570,006 | $ 183,683 | |||
Partners' capital, Units, ending balance at Jun. 30, 2019 | 30,370.48 | 29,823.73 | 409.53 | 137.22 | |||
Partners' capital, Amount, beginning balance at Dec. 31, 2018 | $ 45,346,263 | $ 44,598,789 | $ 567,879 | $ 179,595 | |||
Partners' capital, Units, beginning balance at Dec. 31, 2018 | 35,283.84 | 34,737.09 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (168,346) | $ (177,652) | $ 3,152 | $ 6,154 | |||
Partners' capital, Amount, ending balance at Sep. 30, 2019 | $ 37,284,428 | $ 36,527,648 | $ 571,031 | $ 185,749 | |||
Partners' capital, Units, ending balance at Sep. 30, 2019 | 29,107.99 | 28,561.24 | 409.53 | 137.22 | |||
Partners' capital, Amount, beginning balance at Jun. 30, 2019 | $ 38,947,262 | $ 38,193,573 | $ 570,006 | $ 183,683 | |||
Partners' capital, Units, beginning balance at Jun. 30, 2019 | 30,370.48 | 29,823.73 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (47,029) | $ (50,120) | $ 1,025 | $ 2,066 | |||
Redemptions, Amount | $ (1,615,805) | $ (1,615,805) | |||||
Redemptions, Units | (1,262.49) | (1,262.49) | |||||
Partners' capital, Amount, ending balance at Sep. 30, 2019 | $ 37,284,428 | $ 36,527,648 | $ 571,031 | $ 185,749 | |||
Partners' capital, Units, ending balance at Sep. 30, 2019 | 29,107.99 | 28,561.24 | 409.53 | 137.22 | |||
Partners' capital, Amount, beginning balance at Dec. 31, 2019 | $ 33,920,265 | $ 33,162,002 | $ 570,828 | $ 187,435 | |||
Partners' capital, Units, beginning balance at Dec. 31, 2019 | 26,552.16 | 26,005.41 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (289,937) | $ (291,775) | $ (1,289) | $ 3,127 | |||
Redemptions, Amount | $ (5,653,122) | $ (5,653,122) | |||||
Redemptions, Units | (4,481.12) | (4,481.12) | |||||
Partners' capital, Amount, ending balance at Jun. 30, 2020 | $ 27,977,206 | $ 27,217,105 | $ 569,539 | $ 190,562 | |||
Partners' capital, Units, ending balance at Jun. 30, 2020 | 22,071.04 | 21,524.29 | 409.53 | 137.22 | |||
Partners' capital, Amount, beginning balance at Dec. 31, 2019 | $ 33,920,265 | $ 33,162,002 | $ 570,828 | $ 187,435 | |||
Partners' capital, Units, beginning balance at Dec. 31, 2019 | 26,552.16 | 26,005.41 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (506,248) | $ (506,132) | $ (4,100) | $ 3,984 | |||
Partners' capital, Amount, ending balance at Sep. 30, 2020 | $ 26,489,877 | $ 25,896,114 | $ 402,344 | $ 191,419 | |||
Partners' capital, Units, ending balance at Sep. 30, 2020 | 21,071.60 | 20,643.65 | 290.73 | 137.22 | |||
Partners' capital, Amount, beginning balance at Jun. 30, 2020 | $ 27,977,206 | $ 27,217,105 | $ 569,539 | $ 190,562 | |||
Partners' capital, Units, beginning balance at Jun. 30, 2020 | 22,071.04 | 21,524.29 | 409.53 | 137.22 | |||
Net Income (loss) available for pro rata distribution | $ (216,311) | $ (214,357) | $ (2,811) | $ 857 | |||
Redemptions, Amount | $ (1,271,018) | $ (1,106,634) | $ (164,384) | ||||
Redemptions, Units | (999.44) | (880.64) | (118.80) | ||||
Partners' capital, Amount, ending balance at Sep. 30, 2020 | $ 26,489,877 | $ 25,896,114 | $ 402,344 | $ 191,419 | |||
Partners' capital, Units, ending balance at Sep. 30, 2020 | 21,071.60 | 20,643.65 | 290.73 | 137.22 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Organization | Managed Futures Premier Warrington L.P. September 30, 2020 (Unaudited) 1. Organization: Managed Futures Premier Warrington L.P. (formerly known as Warrington Fund L.P.) (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and option contracts. The Partnership does not currently intend to, but may in the future, engage in transactions in spot and forward markets. The Partnership primarily trades futures and options in the stock indices sector. The Partnership may also hold U.S. Treasury bills (“T-Bills”). The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. Effective as of the close of business on March 31, 2015, Warrington GP, LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is beneficially owned by Scott C. Kimple. From inception to the close of business on March 31, 2015, Ceres Managed Futures LLC, a Delaware limited liability company, acted as the general partner (“CMF GP”) and commodity pool operator of the Partnership. On January 9, 2015, Scott C. Kimple proposed in a proxy statement (the “Proxy Statement”) filed with the Securities and Exchange Commission (the “SEC”) and distributed to Limited Partners (defined below), that Warrington GP, LLC become the new general partner of the Partnership. The requisite number of each class of limited partnership interests approved the proposals described in the Proxy Statement, and, as a result, Warrington GP, LLC became the new general partner of the Partnership effective as of the close of business on March 31, 2015. CMF GP withdrew as the general partner of the Partnership immediately following Warrington GP, LLC becoming the Partnership’s new general partner. Effective as of the close of business on March 31, 2015, Warrington SLP, LP, a Delaware limited partnership and an affiliate of the General Partner, became a special limited partner of the Partnership (the “Special Limited Partner”) and receives a quarterly profit share allocation equal to 20% of new trading profits from the Partnership in the form of Redeemable Units, subject to a high water mark. All of the trading decisions for the Partnership are made by Warrington Asset Management LLC (the “Advisor”), an affiliate of the General Partner, using the Strategic Trading Program (formerly, the “Core Trading Program”), a proprietary trading program. The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2020. On June 15, 2011, the Partnership began offering “Class A” Redeemable Units and “Class D” Redeemable Units pursuant to the offering memorandum. All outstanding Redeemable Units on June 15, 2011 were designated Class A Redeemable Units. The rights, powers, duties and obligations associated with the investment in Class A Redeemable Units were not changed. On October 1, 2011, the first Class D Redeemable Units were issued to limited partners of the Partnership (each a “Limited Partner”). Class A Redeemable Units and Class D Redeemable Units will each be referred to as a “Class” and together referred to as the “Classes.” The Class of Redeemable Units that a Limited Partner receives will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Class A Redeemable Units or Class D Redeemable Units to investors in its sole discretion. On May 1, 2015, a new share class of units of general partner interest “Class GP” was initiated to accept an investment from the General Partner. During the three months ended September 30, 2020, the Partnership’s commodity brokers were Wedbush Securities, Inc. (“Wedbush”), ADM Investor Services, Inc. (“ADM”) and HSBC Securities (USA) Inc. (“HSBC”), all of whom are registered futures commission merchants. Effective November 27, 2018, the Partnership entered into a commodity futures customer agreement with HSBC (the “HSBC Customer Agreement”); however, the Partnership did not engage in any trading activity through HSBC until September 4, 2019. The Partnership pays HSBC trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, HSBC does not pay interest on excess cash held in the Partnership’s account. The excess cash balances will be monitored and are expected to have an immaterial impact on the interest earned. Effective April 21, 2017, the Partnership entered into a commodity futures customer agreement with Wedbush (the “Wedbush Customer Agreement”); however, the Partnership did not engage in any trading activity through Wedbush until June 26, 2017. The Partnership pays Wedbush trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, Wedbush does not pay interest on excess cash held in the Partnership’s account. The excess cash balances will be monitored and are expected to have an immaterial impact on the interest earned. Effective March 13, 2017, the Partnership entered into a commodity futures customer agreement with ADM (the “ADM Customer Agreement”); however, the Partnership did not engage in any trading activity through ADM until April 6, 2017. The Partnership pays ADM trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, ADM does not pay interest on excess cash held in the Partnership’s account. The excess cash balances will be monitored and are expected to have an immaterial impact on the interest earned. The Partnership maintains a continuing services agreement with Morgan Stanley Smith Barney LLC (d/b/a Morgan Stanley Wealth Management). Pursuant to the continuing services agreement, Morgan Stanley Wealth Management will receive a monthly fee in respect of certain partnership interests which have been sold to certain individuals and entities with an ongoing relationship with Morgan Stanley Wealth Management (the “MS Interests”) equal to (i) 1/12 of 2.00% (2.00% per year) of month-end net assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end net assets for Class D Redeemable Units. The fees paid to Morgan Stanley Wealth Management shall continue only for as long as the MS Interests remain outstanding. The Partnership maintains a selling agreement with Robert W. Baird & Co. Incorporated (“Baird”). Pursuant to the selling agreement, Baird will receive a monthly ongoing selling agent fee equal to (i) 1/12 of 2.00% (2.00% per year) of month-end net assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end net assets for Class D Redeemable Units. With respect to current Limited Partners that are customers of Baird, the Partnership shall pay Baird a monthly ongoing maintenance fee equal to (i) 1/12 of 2.00% (2.00% per year) of month-end net assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end net assets for Class D Redeemable Units for services provided to such current Limited Partners. The Partnership maintains a continuing services agreement with Credit Suisse Securities (USA) LLC. Pursuant to the continuing services agreement, Credit Suisse Securities (USA) LLC will receive a monthly fee in respect of certain partnership interests which have been sold to certain individuals and entities with an ongoing relationship with Credit Suisse Securities (USA) LLC (the “CS Interests”) equal to (i) 1/12 of 2.00% (2.00% per year) of month-end net assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end net assets for Class D Redeemable Units. The fees paid to Credit Suisse Securities (USA) LLC shall continue only for as long as the CS Interests remain outstanding. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition and condensed schedule of investments at September 30, 2020 and December 31, 2019, the results of its operations for the three and nine months ended September 30, 2020 and 2019 and changes in partners’ capital for the three and nine months ended September 30, 2020 and 2019. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the SEC as of and for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of and for the year ended December 31, 2019. The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. The General Partner and each Limited Partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of Partnership interest owned by each, except that no Limited Partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions and losses, if any. The Partnership’s trading of futures and options contracts, as applicable, on commodities is done primarily on U.S. commodity exchanges. At various times during the three and nine months ended September 30, 2020 and 2019, the Partnership engaged in such trading through commodity brokerage accounts with Wedbush, ADM and HSBC. Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. Partnership’s Investments: The fair value of exchange-traded futures and options contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. All commodity interests are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value (as described below in Note 5 “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on option contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses. The Partnership’s investments in U.S. government securities as of September 30, 2020 consist of short-term T-Bills. The T-Bills are reported at cost plus accrued interest, which approximates fair value. Investment Company Status : Based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of FASB Accounting Standards Codification Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses. Income Taxes: Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2017 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K as of and for the year ended December 31, 2019. |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Financial Highlights | 3. Financial Highlights: Financial highlights for each Limited Partner Class for the three and nine months ended September 30, 2020 and 2019 were as follows: For the Three Months Ended September 30, 2020 For the Three Months Ended September 30, 2019 For the Nine Months Ended September 30, 2020 For the Nine Months Ended September 30, 2019 Class A Class D Class A Class D Class A Class D Class A Class D Net realized and unrealized gains (losses) $ 13.64 $ 15.03 $ 16.14 $ 17.56 $ 44.00 $ 48.34 $ 50.01 $ 54.26 Interest Income 0.05 0.05 4.83 5.24 3.19 3.48 13.26 14.36 Expenses (23.74 ) (21.88 ) (22.69 ) (20.30 ) (67.96 ) (61.76 ) (68.25 ) (60.93 ) Increase (decrease) for the period (10.05 ) (6.80 ) (1.72 ) 2.50 (20.77 ) (9.94 ) (4.98 ) 7.69 Net asset value per unit, beginning of period 1,264.48 1,390.71 1,280.64 1,391.85 1,275.20 1,393.85 1,283.90 1,386.66 Net asset value per unit, end of period $ 1,254.43 $ 1,383.91 $ 1,278.92 $ 1,394.35 $ 1,254.43 $ 1,383.91 $ 1,278.92 $ 1,394.35 For the Three Months Ended September 30, 2020 For the Three Months Ended September 30, 2019 For the Nine Months Ended September 30, 2020 For the Nine Months Ended September 30, 2019 Class A Class D Class A Class D Class A Class D Class A Class D Ratios to Average Net Assets:* Net investment income (loss)** (7.5 )% (6.7 )% (5.6 )% (4.3 )% (6.9 )% (5.8 )% (5.8 )% (4.5 )% Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Net investment income (loss) after allocation to Special Limited Partner (7.5 )% (6.7 )% (5.6 )% (4.3 )% (6.9 )% (5.8 )% (5.8 )% (4.5 )% Operating expenses 7.5 % 6.7 % 7.1 % 5.8 % 7.2 % 6.1 % 7.2 % 5.9 % Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Total expenses 7.5 % 6.7 % 7.1 % 5.8 % 7.2 % 6.1 % 7.2 % 5.9 % Total return: Total return before allocation to Special Limited Partner (0.8 )% (0.5 )% (0.1 )% 0.2 % (1.6 )% (0.7 )% (0.4 )% 0.6 % Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Total return after allocation to Special Limited Partner (0.8 )% (0.5 )% (0.1 )% 0.2 % (1.6 )% (0.7 )% (0.4 )% 0.6 % * Annualized (except allocation to Special Limited Partner, if applicable). ** Interest income less total expenses (exclusive of allocation to Special Limited Partner, if applicable). The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios and total return are calculated for the Limited Partner Classes using the Limited Partners’ share of income, expenses and average net assets. |
Trading Activities
Trading Activities | 9 Months Ended |
Sep. 30, 2020 | |
Brokers And Dealers [Abstract] | |
Trading Activities | 4. Trading Activities: The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses. The Wedbush Customer Agreement, the ADM Customer Agreement and the HSBC Customer Agreement give the Partnership the legal right to net unrealized gains and losses on open futures and option contracts. The Partnership netted as applicable, for financial reporting purposes, the unrealized gains and losses on open futures and option contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification 210-20, “Balance Sheet,” Ongoing selling agent fees paid to Baird, Morgan Stanley Wealth Management and Credit Suisse Securities (USA) LLC were calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and were affected by trading performance, subscriptions and redemptions. Trading and transaction fees are based on the number of trades executed by the Advisor for the Partnership. All trading, exchange, clearing, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively, the “clearing fees”) paid to Wedbush, ADM, HSBC and executing brokers, as applicable are borne by the Partnership. All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of option contracts held during the three months ended September 30, 2020 and 2019 were 702 and 894, and the nine months ended September 30, 2020 and 2019 were 396 and 1,410. The following tables present the gross and net information about investments eligible for offset in the Statements of Financial Condition at September 30, 2020 and December 31, 2019, respectively: Gross Amounts not Offset in the Statements of Financial Condition September 30, 2020 Gross Amounts Recognized Gross Offset Statements Financial Condition Amounts Presented Statements Financial Condition Financial Instruments Cash Collateral Received/ Pledged Net Amount Assets Options purchased $ 287,400 $ — $ 287,400 $ (252,600 ) $ — $ 34,800 Total assets 287,400 — 287,400 (252,600 ) — 34,800 Liabilities Written options $ (252,600 ) $ — $ (252,600 ) $ 252,600 $ — $ — Total liabilities (252,600 ) — (252,600 ) 252,600 — — Net fair value $ 34,800 Gross Amounts not Offset in the Statements of Financial Condition December 31, 2019 Gross Amounts Recognized Gross Offset Statements Financial Condition Amounts Presented Statements Financial Condition Financial Instruments Cash Collateral Received/ Pledged Net Amount Assets Options purchased $ 31,350 $ — $ 31,350 $ (46,200 ) $ — $ (14,850 ) Total assets 31,350 — 31,350 (46,200 ) — (14,850 ) Liabilities Written options $ (46,200 ) $ — $ (46,200 ) $ 46,200 $ — $ — Total liabilities (46,200 ) — (46,200 ) 46,200 — — Net fair value $ (14,850 ) The following tables indicate the gross fair values of derivative instruments of futures and option contracts as separate assets and liabilities as of September 30, 2020 and December 31, 2019, respectively: September 30, 2020 Assets Options purchased Indices $ 287,400 Total options purchased $ 287,400 * Liabilities Written options premium received Indices $ (252,600 ) Total written options premium received $ (252,600 ) ** * This amount is in “Options purchased, at fair value” on the Statements of Financial Condition. ** This amount is in “Written options premium received, at fair value” on the Statements of Financial Condition. December 31, 2019 Assets Options purchased Indices $ 31,350 Total options purchased $ 31,350 * Liabilities Written options premium received Indices $ (46,200 ) Total written options premium received $ (46,200 ) ** * This amount is in “Options purchased, at fair value” on the Statements of Financial Condition. ** This amount is in “Written options premium received, at fair value” on the Statements of Financial Condition. The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2020 and 2019: For the Three Months Ended September 30, For the Nine Months Ended September 30, Sector-Indices 2020 2019 2020 2019 Net realized gains (losses) on closed contracts $ 267,055 $ 557,639 $ 966,152 $ 1,604,928 Change in net unrealized gains (losses) on open contracts 29,900 (73,312 ) 41,825 (16,874 ) Total trading results $ 296,955 *** $ 484,327 *** $ 1,007,977 *** $ 1,588,054 *** *** This amount is included in “Total trading results” on the Statements of Income and Expenses. The following table rolls forward the transactions in Options Written for the nine-month period ended September 30, 2020: Calls Puts Notional (000) Notional (000) Contracts USD Premiums Received Contracts USD Premiums Received Outstanding options, beginning of year — $ — $ — 528 $ 389,400 $ 46,200 Options written 9,192 7,575,322 1,604,615 30,194 22,054,538 10,418,039 Options exercised (54 ) (45,375 ) (21,000 ) (116 ) (99,400 ) (249,800 ) Options expired (7,726 ) (6,367,362 ) (1,207,190 ) (23,563 ) (17,041,630 ) (7,362,814 ) Options closed (1,196 ) (974,935 ) (322,425 ) (6,693 ) (5,024,098 ) (2,589,250 ) Outstanding options, end of period 216 $ 187,650 $ 54,000 350 $ 278,810 $ 262,375 |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 5. Fair Value Measurements: Partnership’s Fair Value Measurements . Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded. The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. In August 2018, the FASB issued Accounting Standards Update (ASU) 2018-13, Disclosure Framework-Changes to the Disclosure requirements for Fair Value Measurement, which modifies the disclosure requirements for fair value measurements, primarily as it relates to Level 3 investments. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019 and interim periods within those fiscal years. The effect of adopting this accounting guidance did not have a material impact on the Partnership’s financial statements. The Partnership considers prices for exchange-traded commodity futures and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of futures and certain option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the nine-month period ended September 30, 2020 and the twelve-month period ended December 31, 2019, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Any transfers between levels are recognized at the beginning of the period. During the nine months ended September 30, 2020 and the twelve months ended December 31, 2019, there were no transfers of assets or liabilities between Level 1 and Level 2. Total September 30, 2020 Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets Investments in U.S. government securities, at fair value $ 3,999,596 $ — $ 3,999,596 $ — Options purchased 287,400 287,400 — — Total assets 4,286,996 287,400 3,999,596 — Liabilities Written options $ 252,600 $ 252,600 $ — $ — Total liabilities 252,600 252,600 — — Net fair value $ 4,034,396 $ 34,800 $ 3,999,596 $ — Total December 31, 2019 Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets Investments in U.S. government securities, at fair value $ 26,236,518 $ — $ 26,236,518 $ — Options purchased 31,350 31,350 — — Total assets 26,267,868 31,350 26,236,518 — Liabilities Written options $ 46,200 $ 46,200 $ — $ — Total liabilities 46,200 46,200 — — Net fair value $ 26,221,668 $ (14,850 ) $ 26,236,518 $ — |
Financial Instrument Risks
Financial Instrument Risks | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Financial Instrument Risks | 6. Financial Instrument Risks: In the normal course of business, the Partnership is party to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward and option contracts. OTC contracts are negotiated between contracting parties and include certain forward, option and swap contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. None of the Partnership’s current contracts are traded OTC, although contracts may be traded OTC in the future. Futures Contracts . The Partnership trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 ® Options . The Partnership may purchase and write (sell), both exchange listed and OTC, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and any change in net unrealized gains (losses) on option contracts from the preceding period are included in the Statements of Income and Expenses. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short. 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. The Partnership’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership had credit risk and concentration risk during the reporting period and prior periods included in this report, as Wedbush, ADM and HSBC, or their affiliates, were the sole counterparties or brokers with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through Wedbush, ADM or HSBC, or their affiliates, the Partnership’s counterparty is an exchange or clearing organization. The Partnership’s trading will be concentrated in exchange-traded futures and options on the S&P 500 ® As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership does not consider these contracts to be guarantees. The General Partner monitors and attempts to control the Partnership’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 Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. The risk to the Limited Partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law. The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s business, these instruments may not be held to maturity. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | 7. Subsequent Events: |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Use of Estimates | The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. |
Partnership's Investments | Partnership’s Investments: The fair value of exchange-traded futures and options contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. All commodity interests are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value (as described below in Note 5 “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on option contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses. The Partnership’s investments in U.S. government securities as of September 30, 2020 consist of short-term T-Bills. The T-Bills are reported at cost plus accrued interest, which approximates fair value. |
Investment Company Status | Investment Company Status : Based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of FASB Accounting Standards Codification Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses. |
Income Taxes | Income Taxes: Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2017 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability. |
Partnership's Fair Value Measurements | Partnership’s Fair Value Measurements . Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Schedule of Financial Highlights for Each Limited Partner Class | Financial highlights for each Limited Partner Class for the three and nine months ended September 30, 2020 and 2019 were as follows: For the Three Months Ended September 30, 2020 For the Three Months Ended September 30, 2019 For the Nine Months Ended September 30, 2020 For the Nine Months Ended September 30, 2019 Class A Class D Class A Class D Class A Class D Class A Class D Net realized and unrealized gains (losses) $ 13.64 $ 15.03 $ 16.14 $ 17.56 $ 44.00 $ 48.34 $ 50.01 $ 54.26 Interest Income 0.05 0.05 4.83 5.24 3.19 3.48 13.26 14.36 Expenses (23.74 ) (21.88 ) (22.69 ) (20.30 ) (67.96 ) (61.76 ) (68.25 ) (60.93 ) Increase (decrease) for the period (10.05 ) (6.80 ) (1.72 ) 2.50 (20.77 ) (9.94 ) (4.98 ) 7.69 Net asset value per unit, beginning of period 1,264.48 1,390.71 1,280.64 1,391.85 1,275.20 1,393.85 1,283.90 1,386.66 Net asset value per unit, end of period $ 1,254.43 $ 1,383.91 $ 1,278.92 $ 1,394.35 $ 1,254.43 $ 1,383.91 $ 1,278.92 $ 1,394.35 |
Summary of Ratios to Average Net Assets | For the Three Months Ended September 30, 2020 For the Three Months Ended September 30, 2019 For the Nine Months Ended September 30, 2020 For the Nine Months Ended September 30, 2019 Class A Class D Class A Class D Class A Class D Class A Class D Ratios to Average Net Assets:* Net investment income (loss)** (7.5 )% (6.7 )% (5.6 )% (4.3 )% (6.9 )% (5.8 )% (5.8 )% (4.5 )% Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Net investment income (loss) after allocation to Special Limited Partner (7.5 )% (6.7 )% (5.6 )% (4.3 )% (6.9 )% (5.8 )% (5.8 )% (4.5 )% Operating expenses 7.5 % 6.7 % 7.1 % 5.8 % 7.2 % 6.1 % 7.2 % 5.9 % Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Total expenses 7.5 % 6.7 % 7.1 % 5.8 % 7.2 % 6.1 % 7.2 % 5.9 % Total return: Total return before allocation to Special Limited Partner (0.8 )% (0.5 )% (0.1 )% 0.2 % (1.6 )% (0.7 )% (0.4 )% 0.6 % Allocation to Special Limited Partner — % — % — % — % — % — % — % — % Total return after allocation to Special Limited Partner (0.8 )% (0.5 )% (0.1 )% 0.2 % (1.6 )% (0.7 )% (0.4 )% 0.6 % * Annualized (except allocation to Special Limited Partner, if applicable). ** Interest income less total expenses (exclusive of allocation to Special Limited Partner, if applicable). |
Trading Activities (Tables)
Trading Activities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Brokers And Dealers [Abstract] | |
Summary of Gross and Net Information about Investments Eligible for Offset in Statements of Financial Condition | The following tables present the gross and net information about investments eligible for offset in the Statements of Financial Condition at September 30, 2020 and December 31, 2019, respectively: Gross Amounts not Offset in the Statements of Financial Condition September 30, 2020 Gross Amounts Recognized Gross Offset Statements Financial Condition Amounts Presented Statements Financial Condition Financial Instruments Cash Collateral Received/ Pledged Net Amount Assets Options purchased $ 287,400 $ — $ 287,400 $ (252,600 ) $ — $ 34,800 Total assets 287,400 — 287,400 (252,600 ) — 34,800 Liabilities Written options $ (252,600 ) $ — $ (252,600 ) $ 252,600 $ — $ — Total liabilities (252,600 ) — (252,600 ) 252,600 — — Net fair value $ 34,800 Gross Amounts not Offset in the Statements of Financial Condition December 31, 2019 Gross Amounts Recognized Gross Offset Statements Financial Condition Amounts Presented Statements Financial Condition Financial Instruments Cash Collateral Received/ Pledged Net Amount Assets Options purchased $ 31,350 $ — $ 31,350 $ (46,200 ) $ — $ (14,850 ) Total assets 31,350 — 31,350 (46,200 ) — (14,850 ) Liabilities Written options $ (46,200 ) $ — $ (46,200 ) $ 46,200 $ — $ — Total liabilities (46,200 ) — (46,200 ) 46,200 — — Net fair value $ (14,850 ) |
Gross Fair Values of Derivative Instruments of Futures and Option Contracts as Separate Assets and Liabilities | The following tables indicate the gross fair values of derivative instruments of futures and option contracts as separate assets and liabilities as of September 30, 2020 and December 31, 2019, respectively: September 30, 2020 Assets Options purchased Indices $ 287,400 Total options purchased $ 287,400 * Liabilities Written options premium received Indices $ (252,600 ) Total written options premium received $ (252,600 ) ** * This amount is in “Options purchased, at fair value” on the Statements of Financial Condition. ** This amount is in “Written options premium received, at fair value” on the Statements of Financial Condition. December 31, 2019 Assets Options purchased Indices $ 31,350 Total options purchased $ 31,350 * Liabilities Written options premium received Indices $ (46,200 ) Total written options premium received $ (46,200 ) ** * This amount is in “Options purchased, at fair value” on the Statements of Financial Condition. ** This amount is in “Written options premium received, at fair value” on the Statements of Financial Condition. |
Trading Gains and Losses, by Market Sector, on Derivative Instruments | The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2020 and 2019: For the Three Months Ended September 30, For the Nine Months Ended September 30, Sector-Indices 2020 2019 2020 2019 Net realized gains (losses) on closed contracts $ 267,055 $ 557,639 $ 966,152 $ 1,604,928 Change in net unrealized gains (losses) on open contracts 29,900 (73,312 ) 41,825 (16,874 ) Total trading results $ 296,955 *** $ 484,327 *** $ 1,007,977 *** $ 1,588,054 *** *** This amount is included in “Total trading results” on the Statements of Income and Expenses. |
Summary of Transactions in Options Written | The following table rolls forward the transactions in Options Written for the nine-month period ended September 30, 2020: Calls Puts Notional (000) Notional (000) Contracts USD Premiums Received Contracts USD Premiums Received Outstanding options, beginning of year — $ — $ — 528 $ 389,400 $ 46,200 Options written 9,192 7,575,322 1,604,615 30,194 22,054,538 10,418,039 Options exercised (54 ) (45,375 ) (21,000 ) (116 ) (99,400 ) (249,800 ) Options expired (7,726 ) (6,367,362 ) (1,207,190 ) (23,563 ) (17,041,630 ) (7,362,814 ) Options closed (1,196 ) (974,935 ) (322,425 ) (6,693 ) (5,024,098 ) (2,589,250 ) Outstanding options, end of period 216 $ 187,650 $ 54,000 350 $ 278,810 $ 262,375 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Derivative Fair Value of Assets and Liabilities Using Unobservable Inputs | During the nine months ended September 30, 2020 and the twelve months ended December 31, 2019, there were no transfers of assets or liabilities between Level 1 and Level 2. Total September 30, 2020 Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets Investments in U.S. government securities, at fair value $ 3,999,596 $ — $ 3,999,596 $ — Options purchased 287,400 287,400 — — Total assets 4,286,996 287,400 3,999,596 — Liabilities Written options $ 252,600 $ 252,600 $ — $ — Total liabilities 252,600 252,600 — — Net fair value $ 4,034,396 $ 34,800 $ 3,999,596 $ — Total December 31, 2019 Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets Investments in U.S. government securities, at fair value $ 26,236,518 $ — $ 26,236,518 $ — Options purchased 31,350 31,350 — — Total assets 26,267,868 31,350 26,236,518 — Liabilities Written options $ 46,200 $ 46,200 $ — $ — Total liabilities 46,200 46,200 — — Net fair value $ 26,221,668 $ (14,850 ) $ 26,236,518 $ — |
Organization - Additional Infor
Organization - Additional Information (Detail) | Mar. 31, 2015 | Sep. 30, 2020 |
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Incentive fee | 20.00% | |
Class A [Member] | Morgan Stanley Wealth Management [Member] | Continuing Services Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.1667% | |
Ongoing selling agent fees per year | 2.00% | |
Class A [Member] | Robert W- Baird And Company [Member] | Selling Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.1667% | |
Ongoing selling agent fees per year | 2.00% | |
Class A [Member] | Robert W- Baird And Company [Member] | Customer Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of maintenance fee | 0.1667% | |
Maintenance fees per year | 2.00% | |
Class A [Member] | Credit Suisse Securities (USA) LLC [Member] | Continuing Services Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.1667% | |
Ongoing selling agent fees per year | 2.00% | |
Class D [Member] | Morgan Stanley Wealth Management [Member] | Continuing Services Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.0625% | |
Ongoing selling agent fees per year | 0.75% | |
Class D [Member] | Robert W- Baird And Company [Member] | Selling Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.0625% | |
Ongoing selling agent fees per year | 0.75% | |
Class D [Member] | Robert W- Baird And Company [Member] | Customer Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of maintenance fee | 0.0625% | |
Maintenance fees per year | 0.75% | |
Class D [Member] | Credit Suisse Securities (USA) LLC [Member] | Continuing Services Agreement [Member] | ||
Collaborative Arrangements and Non-collaborative Arrangement Transactions [Line Items] | ||
Percentage of ongoing selling agent fees | 0.0625% | |
Ongoing selling agent fees per year | 0.75% |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2020USD ($) | |
Accounting Policies [Abstract] | |
Provision for income tax | $ 0 |
Tax years remain subject to examination | 2017 2019 |
Financial Highlights - Schedule
Financial Highlights - Schedule of Financial Highlights for Each Limited Partner Class (Detail) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Class A [Member] | ||||
Class of Stock [Line Items] | ||||
Net realized and unrealized gains (losses) | $ 13.64 | $ 16.14 | $ 44 | $ 50.01 |
Interest Income | 0.05 | 4.83 | 3.19 | 13.26 |
Expenses | (23.74) | (22.69) | (67.96) | (68.25) |
Increase (decrease) for the period | (10.05) | (1.72) | (20.77) | (4.98) |
Net asset value per unit, beginning of period | 1,264.48 | 1,280.64 | 1,275.20 | 1,283.90 |
Net asset value per unit, end of period | 1,254.43 | 1,278.92 | 1,254.43 | 1,278.92 |
Class D [Member] | ||||
Class of Stock [Line Items] | ||||
Net realized and unrealized gains (losses) | 15.03 | 17.56 | 48.34 | 54.26 |
Interest Income | 0.05 | 5.24 | 3.48 | 14.36 |
Expenses | (21.88) | (20.30) | (61.76) | (60.93) |
Increase (decrease) for the period | (6.80) | 2.50 | (9.94) | 7.69 |
Net asset value per unit, beginning of period | 1,390.71 | 1,391.85 | 1,393.85 | 1,386.66 |
Net asset value per unit, end of period | $ 1,383.91 | $ 1,394.35 | $ 1,383.91 | $ 1,394.35 |
Financial Highlights - Summary
Financial Highlights - Summary of Ratios to Average Net Assets (Detail) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Class A [Member] | ||||
Ratios to Average Net Assets: | ||||
Ratios to Average Net Assets, Net investment income (loss) | (7.50%) | (5.60%) | (6.90%) | (5.80%) |
Ratios to Average Net Assets, Net investment income (loss), Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Ratios to Average Net Assets, Net investment income (loss) after allocation to Special Limited Partner | (7.50%) | (5.60%) | (6.90%) | (5.80%) |
Ratios to Average Net Assets, Operating expenses | 7.50% | 7.10% | 7.20% | 7.20% |
Ratios to Average Net Assets, Operating expenses, Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Ratios to Average Net Assets, Total expenses | 7.50% | 7.10% | 7.20% | 7.20% |
Total return: | ||||
Total return before allocation to Special Limited Partner | (0.80%) | (0.10%) | (1.60%) | (0.40%) |
Total return, Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after allocation to Special Limited Partner | (0.80%) | (0.10%) | (1.60%) | (0.40%) |
Class D [Member] | ||||
Ratios to Average Net Assets: | ||||
Ratios to Average Net Assets, Net investment income (loss) | (6.70%) | (4.30%) | (5.80%) | (4.50%) |
Ratios to Average Net Assets, Net investment income (loss), Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Ratios to Average Net Assets, Net investment income (loss) after allocation to Special Limited Partner | (6.70%) | (4.30%) | (5.80%) | (4.50%) |
Ratios to Average Net Assets, Operating expenses | 6.70% | 5.80% | 6.10% | 5.90% |
Ratios to Average Net Assets, Operating expenses, Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Ratios to Average Net Assets, Total expenses | 6.70% | 5.80% | 6.10% | 5.90% |
Total return: | ||||
Total return before allocation to Special Limited Partner | (0.50%) | 0.20% | (0.70%) | 0.60% |
Total return, Allocation to Special Limited Partner | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after allocation to Special Limited Partner | (0.50%) | 0.20% | (0.70%) | 0.60% |
Trading Activities - Additional
Trading Activities - Additional Information (Detail) - Contract | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Brokers And Dealers [Abstract] | ||||
Monthly average number of option contracts held | 702 | 894 | 396 | 1,410 |
Trading Activities - Summary of
Trading Activities - Summary of Gross and Net Information about Investments Eligible for Offset in Statements of Financial Condition (Detail) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | $ 287,400 | $ 31,350 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | 0 | 0 |
Amounts Presented in the Statement of Financial Condition, Assets | 287,400 | 31,350 |
Financial Instruments, Assets | (252,600) | (46,200) |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 34,800 | (14,850) |
Gross Amounts Recognized, Liabilities | (252,600) | (46,200) |
Gross Amounts Offset in the Statement of Financial Condition, Liabilities | 0 | 0 |
Amounts Presented in the Statement of Financial Condition, Liabilities | (252,600) | (46,200) |
Financial Instruments, Liabilities | 252,600 | 46,200 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | 0 | 0 |
Net fair value | 34,800 | (14,850) |
Options Purchased [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Assets | 287,400 | 31,350 |
Gross Amounts Offset in the Statement of Financial Condition, Assets | 0 | 0 |
Amounts Presented in the Statement of Financial Condition, Assets | 287,400 | 31,350 |
Financial Instruments, Assets | (252,600) | (46,200) |
Cash Collateral Received/Pledged, Assets | 0 | 0 |
Net Amount, Assets | 34,800 | (14,850) |
Written Options [Member] | ||
Derivative [Line Items] | ||
Gross Amounts Recognized, Liabilities | (252,600) | (46,200) |
Gross Amounts Offset in the Statement of Financial Condition, Liabilities | 0 | 0 |
Amounts Presented in the Statement of Financial Condition, Liabilities | (252,600) | (46,200) |
Financial Instruments, Liabilities | 252,600 | 46,200 |
Cash Collateral Received/Pledged, Liabilities | 0 | 0 |
Net Amount, Liabilities | $ 0 | $ 0 |
Trading Activities - Gross Fair
Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Option Contracts as Separate Assets and Liabilities (Detail) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Options Purchased Indices [Member] | ||
Assets | ||
Total options purchased | $ 287,400 | $ 31,350 |
Options Purchased [Member] | ||
Assets | ||
Total options purchased | 287,400 | 31,350 |
Written Options Premium Received Indices [Member] | ||
Liabilities | ||
Total written options premium received | (252,600) | (46,200) |
Written Options Premium Received [Member] | ||
Liabilities | ||
Total written options premium received | $ (252,600) | $ (46,200) |
Trading Activities - Trading Ga
Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Summary Of Investment Holdings [Line Items] | ||||
Net realized gains (losses) on closed contracts | $ 267,055 | $ 557,639 | $ 966,152 | $ 1,604,928 |
Change in net unrealized gains (losses) on open contracts | 29,900 | (73,312) | 41,825 | (16,874) |
Total trading results | 296,955 | 484,327 | 1,007,977 | 1,588,054 |
Indices [Member] | ||||
Summary Of Investment Holdings [Line Items] | ||||
Net realized gains (losses) on closed contracts | 267,055 | 557,639 | 966,152 | 1,604,928 |
Change in net unrealized gains (losses) on open contracts | 29,900 | (73,312) | 41,825 | (16,874) |
Total trading results | $ 296,955 | $ 484,327 | $ 1,007,977 | $ 1,588,054 |
Trading Activities - Summary _2
Trading Activities - Summary of Transactions in Options Written (Detail) | 9 Months Ended |
Sep. 30, 2020USD ($)Contract | |
Summary Of Investment Holdings [Line Items] | |
Outstanding options, Premiums Received, beginning of year | $ 46,200 |
Outstanding options, Premiums Received, end of period | $ 316,375 |
Calls [Member] | |
Summary Of Investment Holdings [Line Items] | |
Options written, Contracts | Contract | 9,192 |
Options exercised, Contracts | Contract | (54) |
Options expired, Contracts | Contract | (7,726) |
Options closed, Contracts | Contract | (1,196) |
Outstanding options, Contracts, end of period | Contract | 216 |
Options written, Notional | $ 7,575,322,000 |
Options exercised, Notional | (45,375,000) |
Options expired, Notional | (6,367,362,000) |
Options closed, Notional | (974,935,000) |
Outstanding options, Notional, end of period | 187,650,000 |
Options written, Premiums Received | 1,604,615 |
Options exercised, Premiums Received | (21,000) |
Options expired, Premiums Received | (1,207,190) |
Options closed, Premiums Received | (322,425) |
Outstanding options, Premiums Received, end of period | $ 54,000 |
Puts [Member] | |
Summary Of Investment Holdings [Line Items] | |
Outstanding options, Contracts, beginning of year | Contract | 528 |
Options written, Contracts | Contract | 30,194 |
Options exercised, Contracts | Contract | (116) |
Options expired, Contracts | Contract | (23,563) |
Options closed, Contracts | Contract | (6,693) |
Outstanding options, Contracts, end of period | Contract | 350 |
Outstanding options, Notional, beginning of year | $ 389,400,000 |
Options written, Notional | 22,054,538,000 |
Options exercised, Notional | (99,400,000) |
Options expired, Notional | (17,041,630,000) |
Options closed, Notional | (5,024,098,000) |
Outstanding options, Notional, end of period | 278,810,000 |
Outstanding options, Premiums Received, beginning of year | 46,200 |
Options written, Premiums Received | 10,418,039 |
Options exercised, Premiums Received | (249,800) |
Options expired, Premiums Received | (7,362,814) |
Options closed, Premiums Received | (2,589,250) |
Outstanding options, Premiums Received, end of period | $ 262,375 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value Disclosures [Abstract] | ||
Transfers of assets between Level 1 and Level 2 | $ 0 | $ 0 |
Transfers of liabilities between Level 1 and Level 2 | $ 0 | $ 0 |
Fair Value Measurements - Deriv
Fair Value Measurements - Derivative Fair Value of Assets and Liabilities Using Unobservable Inputs (Detail) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | $ 4,286,996 | $ 26,267,868 |
Liabilities | 252,600 | 46,200 |
Net fair value | 4,034,396 | 26,221,668 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 287,400 | 31,350 |
Liabilities | 252,600 | 46,200 |
Net fair value | 34,800 | (14,850) |
Significant Other Observable Inputs (Level 2) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 3,999,596 | 26,236,518 |
Net fair value | 3,999,596 | 26,236,518 |
U.S. Government Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 3,999,596 | 26,236,518 |
U.S. Government Securities [Member] | Significant Other Observable Inputs (Level 2) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 3,999,596 | 26,236,518 |
Options Purchased Indices [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 287,400 | 31,350 |
Options Purchased Indices [Member] | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets | 287,400 | 31,350 |
Written Options [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities | 252,600 | 46,200 |
Written Options [Member] | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities | $ 252,600 | $ 46,200 |
Financial Instrument Risks - Ad
Financial Instrument Risks - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Maximum maturity period of financial instruments | 1 year |