Document and Entity Information
| Document and Entity Information - USD ($) | 12 Months Ended | ||
| Dec. 31, 2015 | Mar. 10, 2016 | Jun. 30, 2015 | |
| Document Information [Line Items] | |||
| Document Type | 10-K | ||
| Amendment Flag | false | ||
| Document Period End Date | Dec. 31, 2015 | ||
| Document Fiscal Year Focus | 2,015 | ||
| Document Fiscal Period Focus | FY | ||
| Trading Symbol | CTF | ||
| Entity Registrant Name | NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND | ||
| Entity Central Index Key | 1,522,699 | ||
| Current Fiscal Year End Date | --12-31 | ||
| Entity Well-known Seasoned Issuer | No | ||
| Entity Current Reporting Status | Yes | ||
| Entity Voluntary Filers | No | ||
| Entity Filer Category | Accelerated Filer | ||
| Entity Common Stock, Shares Outstanding | 16,345,840 | ||
| Entity Public Float | $ 268,548,350 |
SCHEDULE OF INVESTMENTS
| SCHEDULE OF INVESTMENTS | 12 Months Ended | |
| Dec. 31, 2015USD ($) | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 229,000,000 | |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | 228,580,099 | |
| Repurchase Agreements, at Fair Value | 1,293,949 | |
| Short-term investments, at Fair Value | 229,874,048 | |
| Repurchase Agreements | ||
| Repurchase Agreements, Principal amount | $ 1,294,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.01% | |
| Repurchase Agreements, Maturity | Jan. 4, 2016 | |
| Credit Ratings | N/A | |
| Repurchase Agreements, at Fair Value | $ 1,293,949 | |
| Short-term investments, at Fair Value | 1,293,949 | |
| 1/07/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 13,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Jan. 7, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 12,999,948 | |
| 2/04/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 17,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Feb. 4, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 16,998,521 | |
| 3/03/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 11,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Mar. 3, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 10,998,064 | |
| 3/31/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 30,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Mar. 31, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 29,987,340 | |
| 4/28/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 35,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Apr. 28, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 34,970,670 | |
| 5/26/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 45,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | May 26, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 44,930,520 | |
| 7/21/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 10,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Jul. 21, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 9,971,830 | |
| 9/15/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 50,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Sep. 15, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 49,818,450 | |
| 11/10/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 6,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Nov. 10, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 5,972,892 | |
| 12/08/16 | U.S. Treasury Bills | ||
| Financial Instruments Owned Us Government and Agency Obligations, Principal Amount | $ 12,000,000 | |
| Financial Instruments Owned Us Government and Agency Obligations, and Repurchase Agreement, Interest Rate | 0.00% | |
| Financial Instruments Owned Us Government and Agency Obligations, Maturity Date | Dec. 8, 2016 | |
| Credit Ratings | Aaa | [1] |
| Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | $ 11,931,864 | |
| [1] | Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group, Moody's Investors Service, Inc. or Fitch, Inc. rating. | |
SCHEDULE OF INVESTMENTS (Parent
| SCHEDULE OF INVESTMENTS (Parenthetical) | 12 Months Ended |
| Dec. 31, 2015USD ($) | |
| Investment cost | $ 229,966,706 |
| Repurchase Agreements | |
| Investment cost | $ 1,293,949 |
| Investment agreement name of party | State Street Bank |
| Date of repurchase agreement | Dec. 31, 2015 |
| Repurchase price of agreement | $ 1,293,949 |
| Securities received as collateral face amount | $ 1,225,000 |
| Securities received as collateral, interest rate | 3.50% |
| Securities received as collateral, maturity date | May 15, 2020 |
| Securities received as collateral, value | $ 1,321,469 |
| U.S. Treasury Bills | |
| Investment cost | $ 228,672,757 |
SCHEDULE OF INVESTMENTS DERIVAT
| SCHEDULE OF INVESTMENTS DERIVATIVES | 12 Months Ended | |
| Dec. 31, 2015USD ($)Contract$ / Derivative | ||
| Derivative [Line Items] | ||
| Number of Contracts, Liability | Contract | (705) | |
| Futures Options, Value | $ (2,283,151) | |
| Futures Contracts | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | $ 2,551,944 | [1] |
| Futures Contracts | Short | ||
| Derivative [Line Items] | ||
| Number of Contracts, Liability | Contract | (3,199) | |
| Notional Amount at Value, Liability | $ (117,733,670) | |
| Unrealized Appreciation (Depreciation) | $ (1,146,669) | |
| Futures Contracts | Long | ||
| Derivative [Line Items] | ||
| Number of Contracts, Asset | Contract | 761 | |
| Notional Amount at Value, Asset | $ 16,721,459 | |
| Unrealized Appreciation (Depreciation) | 3,698,613 | |
| Futures Contracts | Agriculture | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | 2,154,061 | [1] |
| Futures Contracts | Metals | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | 1,327,910 | [1] |
| Futures Contracts | Livestock | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | $ (930,027) | [1] |
| Futures Contracts | Cbot Soybean Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (466) | [2] |
| Notional Amount at Value, Liability | $ (20,137,025) | [3] |
| Unrealized Appreciation (Depreciation) | $ 603,500 | [1] |
| Futures Contracts | Cbot Corn Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (912) | [2] |
| Notional Amount at Value, Liability | $ (16,359,000) | [3] |
| Unrealized Appreciation (Depreciation) | $ 563,781 | [1] |
| Futures Contracts | Ice Sugar Futures | Agriculture | Long | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Asset | Contract | 509 | [2] |
| Notional Amount at Value, Asset | $ 8,688,019 | [3] |
| Unrealized Appreciation (Depreciation) | $ 282,749 | [1] |
| Futures Contracts | Cbot Soybean Meal Futures One | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (271) | [2] |
| Notional Amount at Value, Liability | $ (7,195,050) | [3] |
| Unrealized Appreciation (Depreciation) | $ 498,120 | [1] |
| Futures Contracts | Cbot Wheat Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (288) | [2] |
| Notional Amount at Value, Liability | $ (6,768,000) | [3] |
| Unrealized Appreciation (Depreciation) | $ 343,850 | [1] |
| Futures Contracts | Ice Coffee C Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (142) | [2] |
| Notional Amount at Value, Liability | $ (6,746,775) | [3] |
| Unrealized Appreciation (Depreciation) | $ (164,550) | [1] |
| Futures Contracts | Cbot Soybean Oil Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (261) | [2] |
| Notional Amount at Value, Liability | $ (4,815,450) | [3] |
| Unrealized Appreciation (Depreciation) | $ 52,517 | [1] |
| Futures Contracts | Ice Cocoa Futures | Agriculture | Long | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Asset | Contract | 128 | [2] |
| Notional Amount at Value, Asset | $ 4,110,080 | [3] |
| Unrealized Appreciation (Depreciation) | $ 16,886 | [1] |
| Futures Contracts | Ice Cotton Futures | Agriculture | Long | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Asset | Contract | 124 | [2] |
| Notional Amount at Value, Asset | $ 3,923,360 | [3] |
| Unrealized Appreciation (Depreciation) | $ (42,792) | [1] |
| Futures Contracts | Cec Gold Futures One | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (223) | [2] |
| Notional Amount at Value, Liability | $ (23,642,460) | [3] |
| Unrealized Appreciation (Depreciation) | $ 552,150 | [1] |
| Futures Contracts | Cec Gold Futures Two | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-04 | |
| Number of Contracts, Liability | Contract | (10) | [2] |
| Notional Amount at Value, Liability | $ (1,060,800) | [3] |
| Unrealized Appreciation (Depreciation) | (9,300) | [1] |
| Futures Contracts | Cec Gold Futures | Metals | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | $ 542,850 | [1] |
| Futures Contracts | Cec Silver Futures | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (123) | [2] |
| Notional Amount at Value, Liability | $ (8,488,845) | [3] |
| Unrealized Appreciation (Depreciation) | $ 348,810 | [1] |
| Futures Contracts | Cec Copper Futures | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-03 | |
| Number of Contracts, Liability | Contract | (129) | [2] |
| Notional Amount at Value, Liability | $ (6,885,375) | [3] |
| Unrealized Appreciation (Depreciation) | $ 436,250 | [1] |
| Futures Contracts | Cme Live Cattle Futures One | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (79) | [2] |
| Notional Amount at Value, Liability | $ (4,322,880) | [3] |
| Unrealized Appreciation (Depreciation) | $ (139,250) | [1] |
| Futures Contracts | Cme Live Cattle Futures Two | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-04 | |
| Number of Contracts, Liability | Contract | (125) | [2] |
| Notional Amount at Value, Liability | $ (6,898,750) | [3] |
| Unrealized Appreciation (Depreciation) | (579,779) | [1] |
| Futures Contracts | Cme Live Cattle Futures | Livestock | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | $ (719,029) | [1] |
| Futures Contracts | Cme Lean Hog Futures | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (29) | [2] |
| Notional Amount at Value, Liability | $ (693,680) | [3] |
| Unrealized Appreciation (Depreciation) | $ (12,828) | [1] |
| Futures Contracts | Cme Lean Hog Futures One | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-04 | |
| Number of Contracts, Liability | Contract | (141) | [2] |
| Notional Amount at Value, Liability | $ (3,719,580) | [3] |
| Unrealized Appreciation (Depreciation) | (198,170) | [1] |
| Futures Contracts | Aggregate Lean Hogs | Livestock | ||
| Derivative [Line Items] | ||
| Unrealized Appreciation (Depreciation) | $ (210,998) | [1] |
| Call Option | Short | ||
| Derivative [Line Items] | ||
| Number of Contracts, Liability | Contract | (151) | |
| Futures Options, Value | $ (160,940) | |
| Call Option | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Futures Options, Value | $ (160,940) | |
| Call Option | Ice Sugar Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (74) | |
| Strike Price | $ / Derivative | 14.50 | |
| Futures Options, Value | $ (87,853) | |
| Call Option | Cbot Soybean Oil Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (39) | |
| Strike Price | $ / Derivative | 31.50 | |
| Futures Options, Value | $ (15,327) | |
| Call Option | Ice Cocoa Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (19) | |
| Strike Price | $ / Derivative | 3,000 | |
| Futures Options, Value | $ (42,560) | |
| Call Option | Ice Cotton Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (19) | |
| Strike Price | $ / Derivative | 63 | |
| Futures Options, Value | $ (15,200) | |
| Put Option | Short | ||
| Derivative [Line Items] | ||
| Number of Contracts, Liability | Contract | (554) | |
| Futures Options, Value | $ (2,122,211) | |
| Put Option | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Futures Options, Value | (1,283,471) | |
| Put Option | Metals | Short | ||
| Derivative [Line Items] | ||
| Futures Options, Value | (585,790) | |
| Put Option | Livestock | Short | ||
| Derivative [Line Items] | ||
| Futures Options, Value | $ (252,950) | |
| Put Option | Cbot Soybean Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (70) | |
| Strike Price | $ / Derivative | 960 | |
| Futures Options, Value | $ (341,250) | |
| Put Option | Cbot Corn Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (137) | |
| Strike Price | $ / Derivative | 410 | |
| Futures Options, Value | $ (357,913) | |
| Put Option | Ice Sugar Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (74) | |
| Strike Price | $ / Derivative | 14.50 | |
| Futures Options, Value | $ (26,522) | |
| Put Option | Cbot Wheat Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (43) | |
| Strike Price | $ / Derivative | 530 | |
| Futures Options, Value | $ (135,987) | |
| Put Option | Ice Coffee C Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (21) | |
| Strike Price | $ / Derivative | 150 | |
| Futures Options, Value | $ (191,677) | |
| Put Option | Cbot Soybean Oil Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (39) | |
| Strike Price | $ / Derivative | 31.50 | |
| Futures Options, Value | $ (32,877) | |
| Put Option | Ice Cotton Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (19) | |
| Strike Price | $ / Derivative | 63 | |
| Futures Options, Value | $ (12,540) | |
| Put Option | Cec Gold Futures | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-01 | |
| Number of Contracts, Liability | Contract | (35) | |
| Strike Price | $ / Derivative | 1,170 | |
| Futures Options, Value | $ (385,000) | |
| Put Option | Cec Silver Futures | Metals | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (18) | |
| Strike Price | $ / Derivative | 16 | |
| Futures Options, Value | $ (200,790) | |
| Put Option | Cme Live Cattle Futures | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (31) | |
| Strike Price | $ / Derivative | 150 | |
| Futures Options, Value | $ (165,850) | |
| Put Option | Cme Lean Hog Futures | Livestock | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (26) | |
| Strike Price | $ / Derivative | 68 | |
| Futures Options, Value | $ (87,100) | |
| Put Option | Cbot Soybean Meal Futures | Agriculture | Short | ||
| Derivative [Line Items] | ||
| Contract Expiration | 2016-02 | |
| Number of Contracts, Liability | Contract | (41) | |
| Strike Price | $ / Derivative | 310 | |
| Futures Options, Value | $ (184,705) | |
| [1] | The gross unrealized appreciation (depreciation) on futures contracts outstanding is $3,698,613 and $(1,146,669), respectively. | |
| [2] | The aggregate number of long and short futures contracts outstanding is 761 and (3,199), respectively. | |
| [3] | The aggregate notional amount at value for long and short futures contracts outstanding is $16,721,459 and $(117,733,670), respectively. | |
SCHEDULE OF INVESTMENTS DERIVA5
| SCHEDULE OF INVESTMENTS DERIVATIVES (Parenthetical) | Dec. 31, 2015USD ($)Contract | |
| Derivative [Line Items] | ||
| Total Options Written outstanding | $ 2,323,340 | |
| Number of Contracts, Liability | Contract | (705) | |
| Futures Contracts | ||
| Derivative [Line Items] | ||
| Gross unrealized appreciation (depreciation) on futures contracts | $ 2,551,944 | [1] |
| Short | Futures Contracts | ||
| Derivative [Line Items] | ||
| Number of Contracts, Liability | Contract | (3,199) | |
| Notional Amount at Value, Liability | $ (117,733,670) | |
| Gross unrealized appreciation (depreciation) on futures contracts | (1,146,669) | |
| Short | Call Option | ||
| Derivative [Line Items] | ||
| Total Options Written outstanding | $ 228,968 | |
| Number of Contracts, Liability | Contract | (151) | |
| Short | Put Option | ||
| Derivative [Line Items] | ||
| Total Options Written outstanding | $ 2,094,372 | |
| Number of Contracts, Liability | Contract | (554) | |
| Long | Futures Contracts | ||
| Derivative [Line Items] | ||
| Number of Contracts, Asset | Contract | 761 | |
| Notional Amount at Value, Asset | $ 16,721,459 | |
| Gross unrealized appreciation (depreciation) on futures contracts | $ 3,698,613 | |
| [1] | The gross unrealized appreciation (depreciation) on futures contracts outstanding is $3,698,613 and $(1,146,669), respectively. | |
STATEMENTS OF FINANCIAL CONDITI
| STATEMENTS OF FINANCIAL CONDITION - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
| ASSETS | ||
| Short-term investments, at value (cost $229,966,706 and $249,880,682, respectively) | $ 229,874,048 | $ 249,875,345 |
| Deposits with brokers | 40,100,175 | 44,088,266 |
| Unrealized appreciation on futures contracts | 3,698,613 | 3,601,270 |
| Total assets | 273,672,836 | 297,564,881 |
| LIABILITIES | ||
| Options written, at value (premiums received $2,323,340 and $2,636,904, respectively) | 2,283,151 | 2,561,321 |
| Unrealized depreciation on futures contracts | 1,146,669 | 904,856 |
| Accrued expenses: | ||
| Conversion | 427,718 | |
| Management fees | 286,701 | 312,862 |
| Independent Committee fees | 30,574 | 28,397 |
| Professional fees | 308,014 | 292,335 |
| Other | 229,342 | 288,375 |
| Total liabilities | 4,712,169 | 4,388,146 |
| SHAREHOLDERS' CAPITAL | ||
| Paid-in capital, unlimited number of shares authorized, 16,345,840 shares issued and outstanding at December 31, 2015 and December 31, 2014 | 409,376,279 | 409,376,279 |
| Accumulated undistributed earnings (deficit) | (140,415,612) | (116,199,544) |
| Total shareholders' capital (Net assets) | 268,960,667 | 293,176,735 |
| Total liabilities and shareholders' capital | 273,672,836 | 297,564,881 |
| Net assets | $ 268,960,667 | $ 293,176,735 |
| Shares outstanding | 16,345,840 | 16,345,840 |
| Net asset value per share outstanding (net assets divided by shares outstanding) | $ 16.45 | $ 17.94 |
| Market value per share outstanding | $ 15.54 | $ 16.60 |
STATEMENTS OF FINANCIAL CONDIT7
| STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
| Short-term investments, at cost | $ 229,966,706 | $ 249,880,682 |
| Options written, premiums received | $ 2,323,340 | $ 2,636,904 |
| Common Stock, Shares issued | 16,345,840 | 16,345,840 |
| Common Stock, Shares outstanding | 16,345,840 | 16,345,840 |
STATEMENTS OF OPERATIONS
| STATEMENTS OF OPERATIONS - USD ($) | 12 Months Ended | ||
| Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Investment Income: | |||
| Interest | $ 444,078 | $ 278,885 | $ 449,531 |
| Total Investment Income | 444,078 | 278,885 | 449,531 |
| Expenses: | |||
| Management fees | 3,514,158 | 4,139,952 | 4,942,155 |
| Brokerage commissions | 249,293 | 408,535 | 482,140 |
| Conversion expenses | 776,205 | ||
| Custodian fees and expenses | 94,903 | 136,467 | 153,662 |
| Independent Committee fees and expenses | 124,593 | 116,689 | 116,413 |
| Professional fees | 416,169 | 449,093 | 504,883 |
| Shareholder reporting expenses | 117,186 | 132,176 | 209,636 |
| Licensing fees | 288,192 | 330,880 | 406,908 |
| Other expenses | 30,823 | 30,336 | 22,038 |
| Total expenses | 5,611,522 | 5,744,128 | 6,837,835 |
| Net investment income (loss) | (5,167,444) | (5,465,243) | (6,388,304) |
| Net realized gain (loss) from: | |||
| Short-term investments | 336 | 579 | 9,391 |
| Futures contracts | (9,480,921) | (35,085,916) | (41,169,967) |
| Options written | 12,277,005 | 21,702,917 | 30,502,794 |
| Change in net unrealized appreciation (depreciation) of: | |||
| Short-term investments | (87,321) | (46,410) | (29,754) |
| Futures contracts | (144,470) | (2,198,050) | 8,150,119 |
| Options written | (35,394) | 472,931 | (1,679,643) |
| Net realized gain (loss) and change in net unrealized appreciation (depreciation) | 2,529,235 | (15,153,949) | (4,217,060) |
| Net income (loss) | $ (2,638,209) | $ (20,619,192) | $ (10,605,364) |
| Net income (loss) per weighted-average share | $ (0.16) | $ (1.18) | $ (0.57) |
| Weighted-average shares outstanding | 16,345,840 | 17,412,370 | 18,632,974 |
STATEMENTS OF CHANGES IN SHAREH
| STATEMENTS OF CHANGES IN SHAREHOLDERS' CAPITAL - USD ($) | 3 Months Ended | 12 Months Ended | |||||
| Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Shareholders' capital-beginning of period | $ 293,176,735 | $ 364,380,747 | $ 293,176,735 | $ 364,380,747 | $ 427,111,563 | ||
| Repurchase of shares | (21,026,758) | (17,527,018) | |||||
| Net increase (decrease) in shareholders' capital resulting from operations: | |||||||
| Net investment income (loss) | $ (1,015,414) | (1,194,992) | $ (1,214,517) | (1,483,811) | (5,167,444) | (5,465,243) | (6,388,304) |
| Net realized gain (loss) from: | |||||||
| Short-term investments | 336 | 579 | 9,391 | ||||
| Futures contracts | (9,480,921) | (35,085,916) | (41,169,967) | ||||
| Options written | 12,277,005 | 21,702,917 | 30,502,794 | ||||
| Change in net unrealized appreciation (depreciation) of: | |||||||
| Short-term investments | (87,321) | (46,410) | (29,754) | ||||
| Futures contracts | (144,470) | (2,198,050) | 8,150,119 | ||||
| Options written | (35,394) | 472,931 | (1,679,643) | ||||
| Net income (loss) | 891,571 | $ 2,630,688 | (8,950,765) | $ (10,993,095) | (2,638,209) | (20,619,192) | (10,605,364) |
| Distributions to shareholders | (21,577,859) | (29,558,062) | (34,598,434) | ||||
| Shareholders' capital-end of period | $ 268,960,667 | $ 293,176,735 | $ 268,960,667 | $ 293,176,735 | $ 364,380,747 | ||
| Shares-beginning of period | 16,345,840 | 17,755,840 | 16,345,840 | 17,755,840 | 18,800,840 | ||
| Repurchase of shares | 0 | (1,410,000) | (1,045,000) | ||||
| Shares-end of period | 16,345,840 | 16,345,840 | 16,345,840 | 16,345,840 | 17,755,840 | ||
STATEMENTS OF CASH FLOWS
| STATEMENTS OF CASH FLOWS - USD ($) | 12 Months Ended | ||
| Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Cash flows from operating activities: | |||
| Net income (loss) | $ (2,638,209) | $ (20,619,192) | $ (10,605,364) |
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
| Purchases of U.S. government and agency obligations | (229,358,050) | (307,956,647) | (309,434,951) |
| Proceeds from sales and maturities of U.S. Government and agency obligations | 249,999,388 | 365,499,869 | 375,989,570 |
| Proceeds from (Purchases of) repurchase agreements, net | (286,780) | 576,562 | (1,583,731) |
| Premiums received for options written | 18,059,094 | 24,701,944 | 34,938,175 |
| Cash paid for options written | (6,095,653) | (4,997,257) | (4,547,966) |
| Amortization (Accretion) of short-term investments | (440,246) | (278,885) | (449,371) |
| (Increase) Decrease in deposits with brokers | 3,988,091 | 13,978,744 | 5,117,980 |
| Increase (Decrease) in: | |||
| Accrued conversion expenses | 427,718 | ||
| Accrued management fees | (26,161) | (78,559) | (69,021) |
| Accrued Independent Committee fees | 2,177 | (167) | 2,764 |
| Accrued professional fees | 15,679 | 98,583 | 101,132 |
| Accrued other expenses | (59,033) | 17,192 | 122,733 |
| Net realized (gain) loss from: | |||
| Short-term investments | (336) | (579) | (9,391) |
| Options written | (12,277,005) | (21,702,917) | (30,502,794) |
| Change in net unrealized (appreciation) depreciation of: | |||
| Short-term investments | 87,321 | 46,410 | 29,754 |
| Futures contracts | 144,470 | 2,198,050 | (8,150,119) |
| Options written | 35,394 | (472,931) | 1,679,643 |
| Net cash provided by (used in) operating activities | 21,577,859 | 51,010,220 | 52,629,043 |
| Cash flows from financing activities: | |||
| Increase (Decrease) in cash overdraft | (928,991) | ||
| Cash paid for shares repurchased | (21,452,158) | (17,101,618) | |
| Cash distributions paid to shareholders | (21,577,859) | (29,558,062) | (34,598,434) |
| Net cash provided by (used in) financing activities | (21,577,859) | (51,010,220) | (52,629,043) |
| Net increase (decrease) in cash | 0 | 0 | 0 |
| Cash-beginning of period | 0 | 0 | 0 |
| Cash-end of period | $ 0 | $ 0 | $ 0 |
SCHEDULE OF INVESTMENTS11
| SCHEDULE OF INVESTMENTS | 12 Months Ended |
| Dec. 31, 2015 | |
| SCHEDULE OF INVESTMENTS | SCHEDULE OF INVESTMENTS December 31, 2015 Investments Principal Amount (000) Description Coupon Maturity Ratings (1) Value Short-Term Investments U.S. Government and Agency Obligations $ 13,000 U.S. Treasury Bills 0.000 % 1/07/16 Aaa $ 12,999,948 17,000 U.S. Treasury Bills 0.000 % 2/04/16 Aaa 16,998,521 11,000 U.S. Treasury Bills 0.000 % 3/03/16 Aaa 10,998,064 30,000 U.S. Treasury Bills 0.000 % 3/31/16 Aaa 29,987,340 35,000 U.S. Treasury Bills 0.000 % 4/28/16 Aaa 34,970,670 45,000 U.S. Treasury Bills 0.000 % 5/26/16 Aaa 44,930,520 10,000 U.S. Treasury Bills 0.000 % 7/21/16 Aaa 9,971,830 50,000 U.S. Treasury Bills 0.000 % 9/15/16 Aaa 49,818,450 6,000 U.S. Treasury Bills 0.000 % 11/10/16 Aaa 5,972,892 12,000 U.S. Treasury Bills 0.000 % 12/08/16 Aaa 11,931,864 $ 229,000 Total U.S. Government and Agency Obligations $ 228,580,099 Repurchase Agreements $ 1,294 Repurchase Agreement with State Street Bank, dated 12/31/15, repurchase price $1,293,949, collateralized by $1,225,000 U.S. Treasury Notes, 3.500%, due 5/15/20, value $1,321,469 0.010 % 1/04/16 N/A $ 1,293,949 Total Repurchase Agreements (cost $1,293,949) $ 1,293,949 Total Short-Term Investments (cost $229,966,706) $ 229,874,048 Investments in Derivatives Futures Contracts outstanding: Commodity Group Contract Contract Contract Number of (2) Notional (3) Unrealized (4) Agriculture Soybean CBOT Soybean Futures Contract Short March 2016 (466 ) $ (20,137,025 ) $ 603,500 Corn CBOT Corn Futures Contract Short March 2016 (912 ) (16,359,000 ) 563,781 Sugar ICE Sugar Futures Contract Long March 2016 509 8,688,019 282,749 Soybean Meal CBOT Soybean Meal Futures Contract Short March 2016 (271 ) (7,195,050 ) 498,120 Wheat CBOT Wheat Futures Contract Short March 2016 (288 ) (6,768,000 ) 343,850 Coffee ICE Coffee C Futures Contract Short March 2016 (142 ) (6,746,775 ) (164,550 ) Soybean Oil CBOT Soybean Oil Futures Contract Short March 2016 (261 ) (4,815,450 ) 52,517 Cocoa ICE Cocoa Futures Contract Long March 2016 128 4,110,080 16,886 Cotton ICE Cotton Futures Contract Long March 2016 124 3,923,360 (42,792 ) Total Agriculture 2,154,061 Metals Gold CEC Gold Futures Contract Short February 2016 (223 ) (23,642,460 ) 552,150 CEC Gold Futures Contract Short April 2016 (10 ) (1,060,800 ) (9,300 ) Total Gold 542,850 Silver CEC Silver Futures Contract Short March 2016 (123 ) (8,488,845 ) 348,810 Copper CEC Copper Futures Contract Short March 2016 (129 ) (6,885,375 ) 436,250 Total Metals 1,327,910 Livestock Live Cattle CME Live Cattle Futures Contract Short February 2016 (79 ) (4,322,880 ) (139,250 ) CME Live Cattle Futures Contract Short April 2016 (125 ) (6,898,750 ) (579,779 ) Total Live Cattle (719,029 ) Lean Hogs CME Lean Hogs Futures Contract Short February 2016 (29 ) (693,680 ) (12,828 ) CME Lean Hogs Futures Contract Short April 2016 (141 ) (3,719,580 ) (198,170 ) Total Lean Hogs (210,998 ) Total Livestock (930,027 ) Total Futures Contracts outstanding $ 2,551,944 Call Options Written outstanding: Commodity Group Contract Contract Number Strike Value Agriculture Sugar ICE Sugar Futures Options February 2016 (74 ) $ 14.50 $ (87,853 ) Soybean Oil CBOT Soybean Oil Futures Options February 2016 (39 ) 31.50 (15,327 ) Cocoa ICE Cocoa Futures Options February 2016 (19 ) 3,000.00 (42,560 ) Cotton ICE Cotton Futures Options February 2016 (19 ) 63.00 (15,200 ) Total Agriculture (160,940 ) Total Call Options Written outstanding (premiums received $228,968) (151 ) $ (160,940 ) Put Options Written outstanding: Commodity Group Contract Contract Number Strike Value Agriculture Soybean CBOT Soybean Futures Options February 2016 (70 ) $ 960.00 $ (341,250 ) Corn CBOT Corn Futures Options February 2016 (137 ) 410.00 (357,913 ) Sugar ICE Sugar Futures Options February 2016 (74 ) 14.50 (26,522 ) Soybean Meal CBOT Soybean Meal Futures Options February 2016 (41 ) 310.00 (184,705 ) Wheat CBOT Wheat Futures Options February 2016 (43 ) 530.00 (135,987 ) Coffee ICE Coffee C Futures Options February 2016 (21 ) 150.00 (191,677 ) Soybean Oil CBOT Soybean Oil Futures Options February 2016 (39 ) 31.50 (32,877 ) Cotton ICE Cotton Futures Options February 2016 (19 ) 63.00 (12,540 ) Total Agriculture (1,283,471 ) Metals Gold CEC Gold Futures Options January 2016 (35 ) 1,170.00 (385,000 ) Silver CEC Silver Futures Options February 2016 (18 ) 16.00 (200,790 ) Total Metals (585,790 ) Commodity Group Contract Contract Number Strike Value Livestock Live Cattle CME Live Cattle Futures Options February 2016 (31 ) $ 150.00 $ (165,850 ) Lean Hogs CME Lean Hogs Futures Options February 2016 (26 ) 68.00 (87,100 ) Total Livestock (252,950 ) Total Put Options Written outstanding premiums received $2, 094 ,372) (554 ) $ (2,122,211 ) Total Options Written outstanding (premiums received $2, 323 ,340) (705 ) $ (2,283,151 ) (1) Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating. (2) The aggregate number of long and short futures contracts outstanding is 761 and (3,199), respectively. (3) The aggregate notional amount at value for long and short futures contracts outstanding is $16,721,459 and $(117,733,670), respectively. (4) The gross unrealized appreciation (depreciation) on futures contracts outstanding is $3,698,613 and $(1,146,669), respectively. N/A Not applicable CBOT Chicago Board of Trade CEC Commodities Exchange Center CME Chicago Mercantile Exchange ICE Intercontinental Exchange |
Organization
| Organization | 12 Months Ended |
| Dec. 31, 2015 | |
| Organization | 1. Organization Fund Information The Nuveen Long/Short Commodity Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on May 25, 2011, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on October 25, 2012, with its initial public offering of 18,800,000 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement dated September 14, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder. Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On May 15, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. As of December 31, 2015 the Conversion remains subject to the receipt of certain regulatory approvals. In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, and changes to the Fund’s investment strategy, name and distribution policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund. On March 2, 2016 (subsequent to the Fund’s fiscal year end), the Fund announced an update on the expected time frame for the Conversion. Assuming receipt of certain regulatory approval, the Conversion is expected to be completed in the second quarter of 2016. The Conversion requires regulatory clearance, including the adoption of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured. Investment Adviser The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission as an investment adviser. The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser. The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA. Investment Objectives and Principal Investment Strategies The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar ® SM (the “Index”). In pursuing its investment objective, the Fund will invest directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long, short, or flat, depending upon market conditions. The Fund’s Commodity Sub-adviser uses a rules-based approach to determine the commodity futures contracts in which the Fund will invest, their respective weightings, and whether the futures positions in each commodity are held long, short or flat. The Fund’s commodity investments will, at all times, be fully collateralized. The Fund is not leveraged, and the notional amount of its combined long, short and flat futures positions will not exceed 100% of the Fund’s net assets. The Fund will also employ a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. Fund assets that are not committed as margin to the Fund’s clearing broker will be invested by the Collateral Sub-adviser in cash equivalents, U.S. government securities and other short-term, high grade debt securities. |
Summary of Significant Accounti
| Summary of Significant Accounting Policies | 12 Months Ended |
| Dec. 31, 2015 | |
| Summary of Significant Accounting Policies | 2. Summary of Significant Accounting Policies The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”). Basis of Accounting The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures 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. Futures Contracts The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker an amount generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations. Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities. The average number of long and short futures contracts outstanding during the years ended December 31, 2015 and December 31, 2014 was as follows: Year Ended Year Ended Average number of long and short futures contracts outstanding* 3,782 4,894 * The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period. Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity. Options Contracts The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the year ended December 31, 2015 and December 31, 2014, the Fund wrote call and put options on futures contracts. The Fund did not purchase options on futures contracts during the year ended December 31, 2015 and December 31, 2014. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty. Transactions in both call and put options written during the years ended December 31, 2015 and December 31, 2014, were as follows: Year Ended Year Ended Number of Premiums Number of Premiums Outstanding, beginning of period 597 $ 2,636,904 1,029 $ 4,635,134 Options written 4,982 18,059,094 6,301 24,701,944 Options terminated in closing purchase transactions (1,872 ) (7,032,710 ) (1,276 ) (5,507,366 ) Options expired (701 ) (1,206,726 ) (1,523 ) (3,741,042 ) Options exercised (2,301 ) (10,133,222 ) (3,934 ) (17,451,766 ) Outstanding, end of the period 705 $ 2,323,340 597 $ 2,636,904 The average number of both call and put options written outstanding during the years ended December 31, 2015 and December 31, 2014, was as follows: Year Ended Year Ended Average number of options written outstanding* 704 891 * The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period. Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity. Netting Agreements In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of December 31, 2015 and December 31, 2014, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements. Repurchase Agreements In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited. The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of December 31, 2015 and December 31, 2014, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements. December 31, 2015 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,293,949 $ (1,293,949 ) $ — December 31, 2014 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,007,169 $ (1,007,169 ) $ — * As of December 31, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of December 31, 2015 and December 31, 2014 was $ 1,321,469 and $1,029,007, respectively. Collateral Investments Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations. The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality. Investment Valuation Commodity futures contracts and options on commodity futures contracts traded on an exchange are valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. Over-the-counter commodity futures contracts and options on commodity futures contracts not traded on an exchange are valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2. Fair Value Measurements Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs. Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities. Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of December 31, 2015 and December 31, 2014: December 31, 2015 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 228,580,099 $ — $ 228,580,099 Repurchase Agreements — 1,293,949 — 1,293,949 Investments in Derivatives: Futures Contracts* 2,551,944 — — 2,551,944 Options Written (2,283,151 ) — — (2,283,151 ) Total $ 268,793 $ 229,874,048 $ — $ 230,142,841 December 31, 2014 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 248,868,176 $ — $ 248,868,176 Repurchase Agreements — 1,007,169 — 1,007,169 Investments in Derivatives: Futures Contracts* 2,696,414 — — 2,696,414 Options Written (2,561,321 ) — — (2,561,321 ) Total $ 135,093 $ 249,875,345 $ — $ 250,010,438 * Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition. The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team. For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes. Investment Income Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Brokerage Commissions and Fees The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities. Income Taxes No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year. For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Expense Recognition All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any. In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued other expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations. Calculation of Net Asset Value The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding. Distributions The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. Distributions to shareholders are recorded on the ex-dividend date. During the year ended December 31, 2015, the Fund’s monthly per share distribution rate decreased from $0.135 to $0.119 effective with the distribution payable March 2, 2015, from $0.119 to $0.100 effective with the distribution payable August 3, 2015, and from $0.100 to $0.090 with the distribution payable December 31, 2015. Commitments and Contingencies Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote. Financial Instrument Risk The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of December 31, 2015 and December 31, 2014, the financial instruments held by the Fund were traded on an exchange and are standardized contracts. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital. Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund. The Fund is subject to short exposure when it sells short a futures contract or writes a put option. Short sales are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading. The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares. |
Derivative Instruments and Hedg
| Derivative Instruments and Hedging Activities | 12 Months Ended |
| Dec. 31, 2015 | |
| Derivative Instruments and Hedging Activities | 3. Derivative Instruments and Hedging Activities The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations. The following tables present the fair value of all derivative instruments held by the Fund as of December 31, 2015 and December 31, 2014, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure. December 31, 2015 Location on the Statements of Financial Condition Underlying Risk Exposure Derivative Asset Derivatives Liability Derivatives Location Value Location Value Commodity Futures Contracts Unrealized appreciation on futures contracts $ 3,698,613 Unrealized depreciation on futures contracts $ 1,146,669 Commodity Call Options — — Options written, at value 160,940 Commodity Put Options — — Options written, at value 2,122,211 Total $ 3,698,613 $ 3,429,820 December 31, 2014 Location on the Statements of Financial Condition Underlying Risk Exposure Derivative Instrument Asset Derivatives Liability Derivatives Location Value Location Value Commodity Futures Unrealized appreciation on futures contracts $ 3,601,270 Unrealized depreciation on futures contracts $ 904,856 Commodity Call Options — — Options written, at value 273,834 Commodity Put Options — — Options written, at value 2,287,487 Total $ 3,601,270 $ 3,466,177 The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure. Commodity Risk Exposure Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Net realized gain (loss) from: Futures contracts $ (9,480,921 ) $ (35,085,916 ) $ (41,169,967 ) Options written (call options) 1,516,368 15,787,488 16,377,174 Options written (put options) 10,760,637 5,915,429 14,125,620 Change in net unrealized appreciation (depreciation) of: Futures contracts $ (144,470 ) $ (2,198,050 ) $ 8,150,119 Options written (call options) (61,528 ) 52,372 (1,210,924 ) Options written (put options) 26,134 420,558 (468,719 ) |
Related Parties
| Related Parties | 12 Months Ended |
| Dec. 31, 2015 | |
| Related Parties | 4. Related Parties The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund. For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule: Average Daily Net Assets Management Fee For the first $500 million 1.250 % For the next $500 million 1.225 For the next $500 million 1.200 For the next $500 million 1.175 For net assets over $2 billion 1.150 “Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities. The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees. |
Share Repurchase Program
| Share Repurchase Program | 12 Months Ended |
| Dec. 31, 2015 | |
| Share Repurchase Program | 5. Share Repurchase Program On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions at the Manager’s discretion. Transactions in share repurchases during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, were as follows: Year Ended Year Ended Year Ended Shares repurchased — 1,410,000 1,045,000 Weighted average price per share repurchased — $ 14.89 $ 16.75 Weighted average discount per share repurchased — 19.02 % 18.32 % |
Financial Highlights
| Financial Highlights | 12 Months Ended |
| Dec. 31, 2015 | |
| Financial Highlights | 6. Financial Highlights The following financial highlights relate to investment performance and operations for a Fund share outstanding during the years ended December 31, 2015, December 31, 2014, and December 31, 2013. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and are annualized for periods less than a full year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares. Year Ended December 31, 2015 2014 2013 Net Asset Value: Net asset value per share—beginning of period $ 17.94 $ 20.52 $ 22.72 Net investment income (loss) (0.32 ) (0.31 ) (0.34 ) Net realized and unrealized gain (loss) 0.15 (0.87 ) (0.21 ) Distributions (1.32 ) (1.70 ) (1.86 ) Offering costs — — — Discount from shares repurchased — 0.30 0.21 Net asset value per share—end of period $ 16.45 $ 17.94 $ 20.52 Market Value: Market value per share—beginning of period $ 16.60 $ 17.22 $ 21.22 Market value per share—end of period $ 15.54 $ 16.60 $ 17.22 Ratios to Average Net Assets: Net investment income (loss) (1.84 )% (1.65 )% (1.62 )% Expenses 2.00 % 1.73 % 1.73 % Total Returns: (a) Based on Net Asset Value (0.99 )% (4.36 )% (1.37 )% Based on Market Value 1.50 % 7.27 % (10.41 )% (a) Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized. Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized. |
Selected Quarterly Financial Da
| Selected Quarterly Financial Data | 12 Months Ended |
| Dec. 31, 2015 | |
| Selected Quarterly Financial Data | 7. Selected Quarterly Financial Data (Unaudited) The following tables present unaudited quarterly results of operations for the quarters within the years ended December 31, 2015 and December 31, 2014. These quarterly results reflect all normal recurring adjustments that are, in the opinion of management, necessary for a fair statement of the results of the Fund. For the Three Months Ended 2015 December 31 September 30 June 30 March 31 Total investment income $ 152,798 $ 119,171 $ 123,629 $ 48,480 Net investment income (loss) $ (1,015,414 ) $ (1,620,212 ) $ (1,336,826 ) $ (1,194,992 ) Net realized gain (loss) and change in net unrealized appreciation (depreciation) $ 1,906,985 $ 1,087,088 $ (4,290,518 ) $ 3,825,680 Net income (loss) $ 891,571 $ (533,124 ) $ (5,627,344 ) $ 2,630,688 Increase (decrease) in net assets $ (3,848,717 ) $ (5,436,885 ) $ (11,462,806 ) $ (3,467,660 ) Net income (loss) per weighted-average share $ 0.05 $ (0.03 ) $ (0.34 ) $ 0.16 For the Three Months Ended 2014 December 31 September 30 June 30 March 31 Total investment income $ 63,223 $ 64,461 $ 73,502 $ 77,699 Net investment income (loss) $ (1,214,517 ) $ (1,336,033 ) $ (1,430,882 ) $ (1,483,811 ) Net realized gain (loss) and change in net unrealized appreciation (depreciation) $ (7,736,248 ) $ 1,070,682 $ 1,020,901 $ (9,509,284 ) Net income (loss) $ (8,950,765 ) $ (265,351 ) $ (409,981 ) $ (10,993,095 ) Increase (decrease) in net assets $ (27,027,089 ) $ (16,085,279 ) $ (8,842,084 ) $ (19,249,560 ) Net income (loss) per weighted-average share $ (0.54 ) $ (0.02 ) $ (0.02 ) $ (0.62 ) |
Summary of Significant Accoun19
| Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
| Dec. 31, 2015 | |
| Basis of Accounting | Basis of Accounting The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures 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. |
| Futures Contracts and Options Contracts | Futures Contracts The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker an amount generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations. Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities. The average number of long and short futures contracts outstanding during the years ended December 31, 2015 and December 31, 2014 was as follows: Year Ended Year Ended Average number of long and short futures contracts outstanding* 3,782 4,894 * The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period. Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity. Options Contracts The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the year ended December 31, 2015 and December 31, 2014, the Fund wrote call and put options on futures contracts. The Fund did not purchase options on futures contracts during the year ended December 31, 2015 and December 31, 2014. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty. Transactions in both call and put options written during the years ended December 31, 2015 and December 31, 2014, were as follows: Year Ended Year Ended Number of Premiums Number of Premiums Outstanding, beginning of period 597 $ 2,636,904 1,029 $ 4,635,134 Options written 4,982 18,059,094 6,301 24,701,944 Options terminated in closing purchase transactions (1,872 ) (7,032,710 ) (1,276 ) (5,507,366 ) Options expired (701 ) (1,206,726 ) (1,523 ) (3,741,042 ) Options exercised (2,301 ) (10,133,222 ) (3,934 ) (17,451,766 ) Outstanding, end of the period 705 $ 2,323,340 597 $ 2,636,904 The average number of both call and put options written outstanding during the years ended December 31, 2015 and December 31, 2014, was as follows: Year Ended Year Ended Average number of options written outstanding* 704 891 * The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period. Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity. |
| Netting Agreements | Netting Agreements In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of December 31, 2015 and December 31, 2014, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements. |
| Repurchase Agreements | Repurchase Agreements In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited. The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of December 31, 2015 and December 31, 2014, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements. December 31, 2015 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,293,949 $ (1,293,949 ) $ — December 31, 2014 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,007,169 $ (1,007,169 ) $ — * As of December 31, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of December 31, 2015 and December 31, 2014 was $ 1,321,469 and $1,029,007, respectively. |
| Collateral Investments | Collateral Investments Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations. The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality. |
| Investment Valuation | Investment Valuation Commodity futures contracts and options on commodity futures contracts traded on an exchange are valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. Over-the-counter commodity futures contracts and options on commodity futures contracts not traded on an exchange are valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2. |
| Fair Value Measurements | Fair Value Measurements Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs. Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities. Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of December 31, 2015 and December 31, 2014: December 31, 2015 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 228,580,099 $ — $ 228,580,099 Repurchase Agreements — 1,293,949 — 1,293,949 Investments in Derivatives: Futures Contracts* 2,551,944 — — 2,551,944 Options Written (2,283,151 ) — — (2,283,151 ) Total $ 268,793 $ 229,874,048 $ — $ 230,142,841 December 31, 2014 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 248,868,176 $ — $ 248,868,176 Repurchase Agreements — 1,007,169 — 1,007,169 Investments in Derivatives: Futures Contracts* 2,696,414 — — 2,696,414 Options Written (2,561,321 ) — — (2,561,321 ) Total $ 135,093 $ 249,875,345 $ — $ 250,010,438 * Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition. The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team. For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management. |
| Investment Transactions | Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes. |
| Investment Income | Investment Income Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. |
| Brokerage Commissions and Fees | Brokerage Commissions and Fees The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities. |
| Income Taxes | Income Taxes No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year. For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. |
| Expense Recognition | Expense Recognition All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any. In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued other expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations. |
| Calculation of Net Asset Value | Calculation of Net Asset Value The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding. |
| Distributions | Distributions The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. Distributions to shareholders are recorded on the ex-dividend date. |
| Commitments and Contingencies | Commitments and Contingencies Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote. |
| Financial Instrument Risk | Financial Instrument Risk The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of December 31, 2015 and December 31, 2014, the financial instruments held by the Fund were traded on an exchange and are standardized contracts. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital. Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund. The Fund is subject to short exposure when it sells short a futures contract or writes a put option. Short sales are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading. The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares. |
Summary of Significant Accoun20
| Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Transactions in Call and Put Options | Transactions in both call and put options written during the years ended December 31, 2015 and December 31, 2014, were as follows: Year Ended Year Ended Number of Premiums Number of Premiums Outstanding, beginning of period 597 $ 2,636,904 1,029 $ 4,635,134 Options written 4,982 18,059,094 6,301 24,701,944 Options terminated in closing purchase transactions (1,872 ) (7,032,710 ) (1,276 ) (5,507,366 ) Options expired (701 ) (1,206,726 ) (1,523 ) (3,741,042 ) Options exercised (2,301 ) (10,133,222 ) (3,934 ) (17,451,766 ) Outstanding, end of the period 705 $ 2,323,340 597 $ 2,636,904 |
| Repurchase Agreements for Fund and Collateral of Repurchase Agreements | The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of December 31, 2015 and December 31, 2014, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements. December 31, 2015 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,293,949 $ (1,293,949 ) $ — December 31, 2014 Counterparty Short-Term Collateral Pledged Net Repurchase Agreements State Street Bank $ 1,007,169 $ (1,007,169 ) $ — * As of December 31, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of December 31, 2015 and December 31, 2014 was $ 1,321,469 and $1,029,007, respectively. |
| Fair Value Measurements | The following is a summary of the Fund’s fair value measurements as of December 31, 2015 and December 31, 2014: December 31, 2015 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 228,580,099 $ — $ 228,580,099 Repurchase Agreements — 1,293,949 — 1,293,949 Investments in Derivatives: Futures Contracts* 2,551,944 — — 2,551,944 Options Written (2,283,151 ) — — (2,283,151 ) Total $ 268,793 $ 229,874,048 $ — $ 230,142,841 December 31, 2014 Level 1 Level 2 Level 3 Total Short-Term Investments: U.S. Government and Agency Obligations $ — $ 248,868,176 $ — $ 248,868,176 Repurchase Agreements — 1,007,169 — 1,007,169 Investments in Derivatives: Futures Contracts* 2,696,414 — — 2,696,414 Options Written (2,561,321 ) — — (2,561,321 ) Total $ 135,093 $ 249,875,345 $ — $ 250,010,438 * Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition. |
| Futures Contracts | |
| Average Number of Contracts Outstanding | The average number of long and short futures contracts outstanding during the years ended December 31, 2015 and December 31, 2014 was as follows: Year Ended Year Ended Average number of long and short futures contracts outstanding* 3,782 4,894 * The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period. |
| Options Contracts | |
| Average Number of Contracts Outstanding | The average number of both call and put options written outstanding during the years ended December 31, 2015 and December 31, 2014, was as follows: Year Ended Year Ended Average number of options written outstanding* 704 891 * The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period. |
Derivative Instruments and He21
| Derivative Instruments and Hedging Activities (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Fair Value of All Derivative Instruments Held by Fund | The following tables present the fair value of all derivative instruments held by the Fund as of December 31, 2015 and December 31, 2014, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure. December 31, 2015 Location on the Statements of Financial Condition Underlying Risk Exposure Derivative Asset Derivatives Liability Derivatives Location Value Location Value Commodity Futures Contracts Unrealized appreciation on futures contracts $ 3,698,613 Unrealized depreciation on futures contracts $ 1,146,669 Commodity Call Options — — Options written, at value 160,940 Commodity Put Options — — Options written, at value 2,122,211 Total $ 3,698,613 $ 3,429,820 December 31, 2014 Location on the Statements of Financial Condition Underlying Risk Exposure Derivative Instrument Asset Derivatives Liability Derivatives Location Value Location Value Commodity Futures Unrealized appreciation on futures contracts $ 3,601,270 Unrealized depreciation on futures contracts $ 904,856 Commodity Call Options — — Options written, at value 273,834 Commodity Put Options — — Options written, at value 2,287,487 Total $ 3,601,270 $ 3,466,177 |
| Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) Recognized on Derivative Instruments | The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure. Commodity Risk Exposure Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Net realized gain (loss) from: Futures contracts $ (9,480,921 ) $ (35,085,916 ) $ (41,169,967 ) Options written (call options) 1,516,368 15,787,488 16,377,174 Options written (put options) 10,760,637 5,915,429 14,125,620 Change in net unrealized appreciation (depreciation) of: Futures contracts $ (144,470 ) $ (2,198,050 ) $ 8,150,119 Options written (call options) (61,528 ) 52,372 (1,210,924 ) Options written (put options) 26,134 420,558 (468,719 ) |
Related Parties (Tables)
| Related Parties (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Management Fee Paid Based on Funds Average Daily Net Assets | For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule: Average Daily Net Assets Management Fee For the first $500 million 1.250 % For the next $500 million 1.225 For the next $500 million 1.200 For the next $500 million 1.175 For net assets over $2 billion 1.150 |
Share Repurchase Program (Table
| Share Repurchase Program (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Transactions In Share Repurchases | Transactions in share repurchases during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, were as follows: Year Ended Year Ended Year Ended Shares repurchased — 1,410,000 1,045,000 Weighted average price per share repurchased — $ 14.89 $ 16.75 Weighted average discount per share repurchased — 19.02 % 18.32 % |
Financial Highlights (Tables)
| Financial Highlights (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Schedule of Net Asset Value, Market Value, Ratios to Average Net Assets, and Total Returns | The following financial highlights relate to investment performance and operations for a Fund share outstanding during the years ended December 31, 2015, December 31, 2014, and December 31, 2013. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and are annualized for periods less than a full year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares. Year Ended December 31, 2015 2014 2013 Net Asset Value: Net asset value per share—beginning of period $ 17.94 $ 20.52 $ 22.72 Net investment income (loss) (0.32 ) (0.31 ) (0.34 ) Net realized and unrealized gain (loss) 0.15 (0.87 ) (0.21 ) Distributions (1.32 ) (1.70 ) (1.86 ) Offering costs — — — Discount from shares repurchased — 0.30 0.21 Net asset value per share—end of period $ 16.45 $ 17.94 $ 20.52 Market Value: Market value per share—beginning of period $ 16.60 $ 17.22 $ 21.22 Market value per share—end of period $ 15.54 $ 16.60 $ 17.22 Ratios to Average Net Assets: Net investment income (loss) (1.84 )% (1.65 )% (1.62 )% Expenses 2.00 % 1.73 % 1.73 % Total Returns: (a) Based on Net Asset Value (0.99 )% (4.36 )% (1.37 )% Based on Market Value 1.50 % 7.27 % (10.41 )% (a) Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized. Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized. |
Selected Quarterly Financial 25
| Selected Quarterly Financial Data (Tables) | 12 Months Ended |
| Dec. 31, 2015 | |
| Quarterly Results of Operations | The following tables present unaudited quarterly results of operations for the quarters within the years ended December 31, 2015 and December 31, 2014. These quarterly results reflect all normal recurring adjustments that are, in the opinion of management, necessary for a fair statement of the results of the Fund. For the Three Months Ended 2015 December 31 September 30 June 30 March 31 Total investment income $ 152,798 $ 119,171 $ 123,629 $ 48,480 Net investment income (loss) $ (1,015,414 ) $ (1,620,212 ) $ (1,336,826 ) $ (1,194,992 ) Net realized gain (loss) and change in net unrealized appreciation (depreciation) $ 1,906,985 $ 1,087,088 $ (4,290,518 ) $ 3,825,680 Net income (loss) $ 891,571 $ (533,124 ) $ (5,627,344 ) $ 2,630,688 Increase (decrease) in net assets $ (3,848,717 ) $ (5,436,885 ) $ (11,462,806 ) $ (3,467,660 ) Net income (loss) per weighted-average share $ 0.05 $ (0.03 ) $ (0.34 ) $ 0.16 For the Three Months Ended 2014 December 31 September 30 June 30 March 31 Total investment income $ 63,223 $ 64,461 $ 73,502 $ 77,699 Net investment income (loss) $ (1,214,517 ) $ (1,336,033 ) $ (1,430,882 ) $ (1,483,811 ) Net realized gain (loss) and change in net unrealized appreciation (depreciation) $ (7,736,248 ) $ 1,070,682 $ 1,020,901 $ (9,509,284 ) Net income (loss) $ (8,950,765 ) $ (265,351 ) $ (409,981 ) $ (10,993,095 ) Increase (decrease) in net assets $ (27,027,089 ) $ (16,085,279 ) $ (8,842,084 ) $ (19,249,560 ) Net income (loss) per weighted-average share $ (0.54 ) $ (0.02 ) $ (0.02 ) $ (0.62 ) |
Organization - Additional Infor
| Organization - Additional Information (Detail) | Oct. 25, 2012shares |
| Organization [Line Items] | |
| Derivative notional amount as a percentage | 100.00% |
| IPO | |
| Organization [Line Items] | |
| Issuance of shares, initial public offering | 18,800,000 |
Average Number of Long and Shor
| Average Number of Long and Short Futures Contracts Outstanding (Detail) - Contract | Dec. 31, 2015 | Dec. 31, 2014 | |
| Futures Contracts | Average | |||
| Fair Value, Option, Qualitative Disclosures Related to Election [Line Items] | |||
| Average number of derivative contracts outstanding | [1] | 3,782 | 4,894 |
| [1] | The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period. | ||
Transaction in Call and Put Opt
| Transaction in Call and Put Option (Detail) | 12 Months Ended | ||
| Dec. 31, 2015USD ($)Contract | Dec. 31, 2014USD ($)Contract | Dec. 31, 2013USD ($)Contract | |
| Fair Value, Option, Qualitative Disclosures Related to Election [Line Items] | |||
| Outstanding, beginning of period, Premiums Received | $ 2,636,904 | ||
| Options written, Premiums Received | 18,059,094 | $ 24,701,944 | $ 34,938,175 |
| Outstanding, end of the period, Premiums Received | $ 2,323,340 | $ 2,636,904 | |
| Call and Put Option Written | |||
| Fair Value, Option, Qualitative Disclosures Related to Election [Line Items] | |||
| Outstanding, beginning of period, Number of Contracts | Contract | 597 | 1,029 | |
| Options written, Number of Contracts | Contract | 4,982 | 6,301 | |
| Options terminated in closing purchase transactions, Number of Contracts | Contract | (1,872) | (1,276) | |
| Options expired, Number of Contracts | Contract | (701) | (1,523) | |
| Options exercised, Number of Contracts | Contract | (2,301) | (3,934) | |
| Outstanding, end of the period, Number of Contracts | Contract | 705 | 597 | 1,029 |
| Outstanding, beginning of period, Premiums Received | $ 2,636,904 | $ 4,635,134 | |
| Options written, Premiums Received | 18,059,094 | 24,701,944 | |
| Options terminated in closing purchase transactions, Premiums Received | (7,032,710) | (5,507,366) | |
| Options expired, Premiums Received | (1,206,726) | (3,741,042) | |
| Options exercised, Premiums Received | (10,133,222) | (17,451,766) | |
| Outstanding, end of the period, Premiums Received | $ 2,323,340 | $ 2,636,904 | $ 4,635,134 |
Average Number of Options Writt
| Average Number of Options Written Outstanding (Detail) - Contract | Dec. 31, 2015 | Dec. 31, 2014 | |
| Options Contracts | Average | |||
| Fair Value, Option, Qualitative Disclosures Related to Election [Line Items] | |||
| Average number of derivative contracts outstanding | [1] | 704 | 891 |
| [1] | The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period. | ||
Repurchase Agreements for Fund
| Repurchase Agreements for Fund and Collateral of Repurchase Agreements (Detail) - USD ($) | 12 Months Ended | ||
| Dec. 31, 2015 | Dec. 31, 2014 | ||
| Assets Sold under Agreements to Repurchase [Line Items] | |||
| Short-Term Investments, at Value | $ 229,874,048 | $ 249,875,345 | |
| Repurchase Agreements | |||
| Assets Sold under Agreements to Repurchase [Line Items] | |||
| Counterparty | State Street Bank | State Street Bank | |
| Short-Term Investments, at Value | $ 1,293,949 | $ 1,007,169 | |
| Collateral Pledged (From) Counterparty | [1] | (1,293,949) | (1,007,169) |
| Net Exposure | $ 0 | $ 0 | |
| [1] | As of December 31, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of December 31, 2015 and December 31, 2014 was $ 1,321,469 and $1,029,007, respectively. | ||
Repurchase Agreements for Fun31
| Repurchase Agreements for Fund and Collateral of Repurchase Agreements (Parenthetical) (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
| Repurchase Agreements | ||
| Assets Sold under Agreements to Repurchase [Line Items] | ||
| Securities received as collateral, value | $ 1,321,469 | $ 1,029,007 |
Summary of Significant Accoun32
| Summary of Significant Accounting Policies - Additional Information (Detail) - $ / shares | Dec. 31, 2015 | Jul. 01, 2015 | Feb. 02, 2015 | Dec. 31, 2015 |
| Summary Of Significant Accounting Policies [Line Items] | ||||
| Percentage of fund's assets committed to secure funds futures and forward contract positions | 15.00% | |||
| Period of assets invested in cash equivalents | Not exceeding one year | |||
| Fund distribution rate, prior to reduction | $ 0.100 | $ 0.119 | $ 0.135 | $ 0.100 |
| Fund distribution rate, after reduction | $ 0.090 | $ 0.100 | $ 0.119 | $ 0.090 |
| Distribution payable period | Dec. 31, 2015 | Aug. 3, 2015 | Mar. 2, 2015 |
Summary of Fund's Fair Value Me
| Summary of Fund's Fair Value Measurements (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | |
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Total | $ 230,142,841 | $ 250,010,438 | |
| Short-term Investments | 229,874,048 | 249,875,345 | |
| US Government Agencies Debt Securities | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Short-term Investments | 228,580,099 | 248,868,176 | |
| Repurchase Agreements | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Short-term Investments | 1,293,949 | 1,007,169 | |
| Futures Contracts | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Net Derivative Fair Value | [1] | 2,551,944 | 2,696,414 |
| Options Contracts | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Net Derivative Fair Value | (2,283,151) | (2,561,321) | |
| Level 1 | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Total | 268,793 | 135,093 | |
| Level 1 | Futures Contracts | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Net Derivative Fair Value | [1] | 2,551,944 | 2,696,414 |
| Level 1 | Options Contracts | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Net Derivative Fair Value | (2,283,151) | (2,561,321) | |
| Level 2 | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Total | 229,874,048 | 249,875,345 | |
| Level 2 | US Government Agencies Debt Securities | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Short-term Investments | 228,580,099 | 248,868,176 | |
| Level 2 | Repurchase Agreements | |||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
| Short-term Investments | $ 1,293,949 | $ 1,007,169 | |
| [1] | Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition. | ||
Fair Value of Derivative Instru
| Fair Value of Derivative Instruments Held by Fund (Detail) - Commodity Contract - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
| Derivatives, Fair Value [Line Items] | ||
| Total Asset Derivatives | $ 3,698,613 | $ 3,601,270 |
| Total Liability Derivatives | 3,429,820 | 3,466,177 |
| Futures Contracts | ||
| Derivatives, Fair Value [Line Items] | ||
| Total Asset Derivatives | 3,698,613 | 3,601,270 |
| Total Liability Derivatives | 1,146,669 | 904,856 |
| Call Option | ||
| Derivatives, Fair Value [Line Items] | ||
| Total Liability Derivatives | 160,940 | 273,834 |
| Put Option | ||
| Derivatives, Fair Value [Line Items] | ||
| Total Liability Derivatives | $ 2,122,211 | $ 2,287,487 |
Net Realized Gain (Loss) and Ch
| Net Realized Gain (Loss) and Change In Net Unrealized Appreciation (Depreciation) Recognized on Derivative Instruments and Primary Underlying Risk Exposure (Detail) - USD ($) | 12 Months Ended | ||
| Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Net realized gain (loss) from: | |||
| Futures contracts | $ (9,480,921) | $ (35,085,916) | $ (41,169,967) |
| Net realized gain (loss), options written | 12,277,005 | 21,702,917 | 30,502,794 |
| Change in net unrealized appreciation (depreciation) of: | |||
| Futures contracts | (144,470) | (2,198,050) | 8,150,119 |
| Unrealized gain (loss), options written | (35,394) | 472,931 | (1,679,643) |
| Call Option | Short | |||
| Net realized gain (loss) from: | |||
| Net realized gain (loss), options written | 1,516,368 | 15,787,488 | 16,377,174 |
| Change in net unrealized appreciation (depreciation) of: | |||
| Unrealized gain (loss), options written | (61,528) | 52,372 | (1,210,924) |
| Put Option | Short | |||
| Net realized gain (loss) from: | |||
| Net realized gain (loss), options written | 10,760,637 | 5,915,429 | 14,125,620 |
| Change in net unrealized appreciation (depreciation) of: | |||
| Unrealized gain (loss), options written | $ 26,134 | $ 420,558 | $ (468,719) |
Related Parties (Detail)
| Related Parties (Detail) | Dec. 31, 2015 |
| For the first $500 million | |
| Management Fees Provided For Service [Line Items] | |
| Management Fee Percentage | 1.25% |
| For the next $500 million | |
| Management Fees Provided For Service [Line Items] | |
| Management Fee Percentage | 1.225% |
| For the next $500 million | |
| Management Fees Provided For Service [Line Items] | |
| Management Fee Percentage | 1.20% |
| For the next $500 million | |
| Management Fees Provided For Service [Line Items] | |
| Management Fee Percentage | 1.175% |
| For net assets over $2 billion | |
| Management Fees Provided For Service [Line Items] | |
| Management Fee Percentage | 1.15% |
Share Repurchase Program - Addi
| Share Repurchase Program - Additional Information (Detail) - shares | Mar. 06, 2014 | Mar. 14, 2013 |
| Share Repurchases [Line Items] | ||
| Percentage of outstanding common shares available for repurchase | 10.00% | 10.00% |
| Share repurchase program, number of shares authorized to be repurchased | 1,775,000 | 1,800,000 |
Transactions in Share Repurchas
| Transactions in Share Repurchases (Detail) - $ / shares | 12 Months Ended | ||
| Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Share Repurchases [Line Items] | |||
| Shares repurchased | 0 | 1,410,000 | 1,045,000 |
| Weighted average price per share repurchased | $ 0 | $ 14.89 | $ 16.75 |
| Weighted average discount per share repurchased | 0.00% | 19.02% | 18.32% |
Financial Highlights (Detail)
| Financial Highlights (Detail) - $ / shares | 12 Months Ended | |||
| Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
| Net Asset Value: | ||||
| Net asset value per share-beginning of period | $ 17.94 | $ 20.52 | $ 22.72 | |
| Net investment income (loss) | (0.32) | (0.31) | (0.34) | |
| Net realized and unrealized gain (loss) | 0.15 | (0.87) | (0.21) | |
| Distributions | (1.32) | (1.70) | (1.86) | |
| Offering costs | 0 | 0 | 0 | |
| Discount from shares repurchased | 0.30 | 0.21 | ||
| Net asset value per share-end of period | 16.45 | 17.94 | 20.52 | |
| Market Value: | ||||
| Market value per share-beginning of period | 16.60 | 17.22 | 21.22 | |
| Market value per share-end of period | $ 15.54 | $ 16.60 | $ 17.22 | |
| Ratios to Average Net Assets: | ||||
| Net investment income (loss) | (1.84%) | (1.65%) | (1.62%) | |
| Expenses | 2.00% | 1.73% | 1.73% | |
| Total Returns: | ||||
| Based on Net Asset Value | [1] | (0.99%) | (4.36%) | (1.37%) |
| Based on Market Value | [1] | 1.50% | 7.27% | (10.41%) |
| [1] | Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized. Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized. | |||
Quarterly Results of Operations
| Quarterly Results of Operations (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
| Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
| Selected Quarterly Financial Information [Line Items] | |||||||||||
| Total Investment Income | $ 152,798 | $ 119,171 | $ 123,629 | $ 48,480 | $ 63,223 | $ 64,461 | $ 73,502 | $ 77,699 | $ 444,078 | $ 278,885 | $ 449,531 |
| Net investment income (loss) | (1,015,414) | (1,620,212) | (1,336,826) | (1,194,992) | (1,214,517) | (1,336,033) | (1,430,882) | (1,483,811) | (5,167,444) | (5,465,243) | (6,388,304) |
| Net realized gain (loss) and change in net unrealized appreciation (depreciation) | 1,906,985 | 1,087,088 | (4,290,518) | 3,825,680 | (7,736,248) | 1,070,682 | 1,020,901 | (9,509,284) | 2,529,235 | (15,153,949) | (4,217,060) |
| Net income (loss) | 891,571 | (533,124) | (5,627,344) | 2,630,688 | (8,950,765) | (265,351) | (409,981) | (10,993,095) | $ (2,638,209) | $ (20,619,192) | $ (10,605,364) |
| Increase (decrease) in net assets | $ (3,848,717) | $ (5,436,885) | $ (11,462,806) | $ (3,467,660) | $ (27,027,089) | $ (16,085,279) | $ (8,842,084) | $ (19,249,560) | |||
| Net income (loss) per weighted average share | $ 0.05 | $ (0.03) | $ (0.34) | $ 0.16 | $ (0.54) | $ (0.02) | $ (0.02) | $ (0.62) | $ (0.16) | $ (1.18) | $ (0.57) |