Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2020shares | |
Document and Entity Information | |
Document Type | 10-Q |
Document Period End Date | Sep. 30, 2020 |
Entity Registrant Name | GRANT PARK FUTURES FUND LIMITED PARTNERSHIP |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | true |
Entity Emerging Growth Company | false |
Entity Shell Company | false |
Entity Common Stock, Shares Outstanding | 0 |
Current Fiscal Year End Date | --12-31 |
Document Fiscal Year Focus | 2020 |
Document Fiscal Period Focus | Q3 |
Entity Central Index Key | 0000845698 |
Amendment Flag | false |
Consolidated Statements of Fina
Consolidated Statements of Financial Condition - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Equity in brokers' trading accounts: | ||
Cash | $ 10,936,941 | $ 10,866,216 |
Total equity in brokers' trading accounts | 8,429,912 | 14,236,389 |
Cash and cash equivalents | 3,758,158 | 577,181 |
Securities owned, at fair value | 32,849,222 | 50,080,807 |
Net interest and dividend receivable, net | 5,553 | |
Total assets | 45,037,292 | 64,899,930 |
Liabilities | ||
Brokerage charge payable | 230,343 | 317,812 |
Accrued incentive fees | 28,809 | 77,585 |
Organization and offering costs payable | 10,684 | 15,480 |
Accrued operating expenses | 9,376 | 13,494 |
Redemptions payable to limited partners | 546,088 | 1,269,238 |
Interest and other liabilities | 19,526 | 20,414 |
Total liabilities | 844,826 | 1,714,023 |
Partners' Capital (Net Asset Value) | ||
Total partners' capital (net asset value) | 44,192,466 | 63,185,907 |
Total liabilities and partners' capital (net asset value) | 45,037,292 | 64,899,930 |
Class A | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 257,731 | 304,918 |
Limited Partners | 3,119,943 | 3,710,803 |
Class B | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 27,567,440 | 41,821,340 |
Legacy 1 Class | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 346,673 | 414,242 |
Legacy 2 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 182,565 | 212,682 |
Limited Partners | 97,513 | 113,599 |
Global 1 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 283,837 | 328,671 |
Limited Partners | 11,746,936 | 15,265,460 |
Global 2 Class | ||
Partners' Capital (Net Asset Value) | ||
General Partner | 163,041 | 189,151 |
Limited Partners | 397,206 | 501,820 |
Global 3 Class | ||
Partners' Capital (Net Asset Value) | ||
Limited Partners | 29,581 | 323,221 |
Futures Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | 74,562 | 401,807 |
Forward Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | (68,927) | (69,073) |
Swap Contracts | ||
Equity in brokers' trading accounts: | ||
Net unrealized gain (loss) on open contracts | $ (2,512,664) | $ 3,037,439 |
Consolidated Statements of Fi_2
Consolidated Statements of Financial Condition (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Securities owned, cost (in dollars) | $ 33,268,436 | $ 50,013,633 |
Class A | ||
General Partner, units outstanding | 307.34 | 307.34 |
Limited Partners, units outstanding | 3,720.55 | 3,740.34 |
Class B | ||
Limited Partners, units outstanding | 40,979.72 | 52,290.82 |
Legacy 1 Class | ||
Limited Partners, units outstanding | 484.34 | 497.72 |
Legacy 2 Class | ||
General Partner, units outstanding | 263.13 | 263.13 |
Limited Partners, units outstanding | 140.55 | 140.55 |
Global 1 Class | ||
General Partner, units outstanding | 392.74 | 392.74 |
Limited Partners, units outstanding | 16,254.04 | 18,241.21 |
Global 2 Class | ||
General Partner, units outstanding | 231.81 | 231.81 |
Limited Partners, units outstanding | 564.73 | 614.97 |
Global 3 Class | ||
Limited Partners, units outstanding | 51.34 | 477.23 |
Consolidated Condensed Schedule
Consolidated Condensed Schedule of Investments - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 | |
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Investments Owned, Cost | $ 33,268,436 | $ 50,013,633 | |
Investments Owned, Fair Value | 32,849,222 | 50,080,807 | |
Open long contracts | Futures, Forward, and Swap Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (2,429,815) | $ 3,744,861 | |
Percent of Partners' Capital (Net Asset Value) | (5.50%) | 5.92% | |
Open long contracts | Forward Contracts | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (100,721) | $ (4,609) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.23%) | (0.01%) |
Open long contracts | Futures Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 183,570 | $ 712,031 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.42% | 1.12% |
Open long contracts | Futures Contracts | U.S. Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 213,391 | $ 977,884 |
Open long contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 331,147 | $ 177,229 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.75% | 0.28% |
Open long contracts | Futures Contracts | U.S. Futures Positions | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (51,648) | $ 69,782 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.12%) | 0.11% |
Open long contracts | Futures Contracts | U.S. Futures Positions | Energy | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (71,823) | $ 321,136 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.16%) | 0.50% |
Open long contracts | Futures Contracts | U.S. Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 12,509 | $ (62,078) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.03% | (0.10%) |
Open long contracts | Futures Contracts | U.S. Futures Positions | Meats | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (1,751) | $ (240) |
Open long contracts | Futures Contracts | U.S. Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (71,794) | $ 196,600 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.16%) | 0.31% |
Open long contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 47,413 | $ 45,310 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.11% | 0.07% |
Open long contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 19,338 | $ 230,145 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.04% | 0.36% |
Open long contracts | Futures Contracts | Foreign Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (29,821) | $ (265,853) |
Open long contracts | Futures Contracts | Foreign Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 67,528 | $ (251,752) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.15% | (0.39%) |
Open long contracts | Futures Contracts | Foreign Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (37,326) | $ (71,872) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.08%) | (0.11%) |
Open long contracts | Futures Contracts | Foreign Futures Positions | Stock indices | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (60,023) | $ 57,771 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.14%) | 0.09% |
Open long contracts | Swap Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ 3,037,439 | ||
Percent of Partners' Capital (Net Asset Value) | 4.81% | ||
Open long contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating April 30, 2024 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (612,793) | ||
Percent of Partners' Capital (Net Asset Value) | (0.97%) | ||
Open long contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (2,512,664) | ||
Percent of Partners' Capital (Net Asset Value) | (5.69%) | ||
Open long contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating July 1, 2020 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ 3,650,232 | ||
Percent of Partners' Capital (Net Asset Value) | 5.78% | ||
Open short contracts | Futures, Forward, and Swap Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (77,214) | $ (374,688) | |
Percent of Partners' Capital (Net Asset Value) | (0.17%) | (0.59%) | |
Open short contracts | Forward Contracts | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 31,794 | $ (64,464) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.08% | (0.10%) |
Open short contracts | Futures Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (109,008) | $ (310,224) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.25%) | (0.49%) |
Open short contracts | Futures Contracts | U.S. Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (67,606) | $ (344,831) |
Open short contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (32,195) | $ (21,745) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.07%) | (0.03%) |
Open short contracts | Futures Contracts | U.S. Futures Positions | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (8,936) | $ (63,469) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.02%) | (0.10%) |
Open short contracts | Futures Contracts | U.S. Futures Positions | Energy | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (115,018) | $ (236,395) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.26%) | (0.37%) |
Open short contracts | Futures Contracts | U.S. Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 1,500 | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Meats | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (4,765) | (3,075) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.01%) | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 74,110 | 970 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.16% | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 68 | $ 7,051 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.01% | |
Open short contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 19,130 | $ (29,668) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.04% | (0.04%) |
Open short contracts | Futures Contracts | Foreign Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (41,402) | $ 34,607 |
Open short contracts | Futures Contracts | Foreign Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (71,519) | $ 34,460 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.16%) | 0.05% |
Open short contracts | Futures Contracts | Foreign Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 26,436 | $ (1,114) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.06% | |
Open short contracts | Futures Contracts | Foreign Futures Positions | Stock indices | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 3,681 | 1,261 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.01% | |
Open contracts | Futures, Forward, and Swap Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (2,507,029) | $ 3,370,173 | |
Percent of Partners' Capital (Net Asset Value) | (5.67%) | 5.33% | |
Open contracts | Forward Contracts | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (68,927) | $ (69,073) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.15%) | (0.11%) |
Open contracts | Futures Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 74,562 | $ 401,807 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.17% | 0.63% |
Open contracts | Futures Contracts | U.S. Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 145,785 | $ 633,053 |
Open contracts | Futures Contracts | U.S. Futures Positions | Agriculturals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 298,952 | $ 155,484 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.68% | 0.25% |
Open contracts | Futures Contracts | U.S. Futures Positions | Currencies | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (60,584) | $ 6,313 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.14%) | 0.01% |
Open contracts | Futures Contracts | U.S. Futures Positions | Energy | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (186,841) | $ 84,741 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.42%) | 0.13% |
Open contracts | Futures Contracts | U.S. Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 12,509 | $ (60,578) |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.03% | (0.10%) |
Open contracts | Futures Contracts | U.S. Futures Positions | Meats | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (6,516) | $ (3,315) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.01%) | (0.01%) |
Open contracts | Futures Contracts | U.S. Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 2,316 | $ 197,570 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.31% | |
Open contracts | Futures Contracts | U.S. Futures Positions | Soft commodities | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 47,481 | $ 52,361 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.11% | 0.08% |
Open contracts | Futures Contracts | U.S. Futures Positions | Stock indices and single stock futures | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ 38,468 | $ 200,477 |
Percent of Partners' Capital (Net Asset Value) | [1] | 0.08% | 0.32% |
Open contracts | Futures Contracts | Foreign Futures Positions | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (71,223) | $ (231,246) |
Open contracts | Futures Contracts | Foreign Futures Positions | Interest rates | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (3,991) | $ (217,292) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.01%) | (0.34%) |
Open contracts | Futures Contracts | Foreign Futures Positions | Metals | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (10,890) | $ (72,986) |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.02%) | (0.11%) |
Open contracts | Futures Contracts | Foreign Futures Positions | Stock indices | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | [1] | $ (56,342) | $ 59,032 |
Percent of Partners' Capital (Net Asset Value) | [1] | (0.13%) | 0.09% |
Open contracts | Swap Contracts | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ 3,037,439 | ||
Percent of Partners' Capital (Net Asset Value) | 4.81% | ||
Open contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating April 30, 2024 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (612,793) | ||
Percent of Partners' Capital (Net Asset Value) | (0.97%) | ||
Open contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ (2,512,664) | ||
Percent of Partners' Capital (Net Asset Value) | (5.69%) | ||
Open contracts | Swap Contracts | Deutsche Bank Total Return Swap Terminating July 1, 2020 | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Net unrealized gain/(loss) on open contracts | $ 3,650,232 | ||
Percent of Partners' Capital (Net Asset Value) | 5.78% | ||
Securities owned | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 74.33% | 79.26% | |
Investments Owned, Cost | $ 33,268,436 | $ 50,013,633 | |
Investments Owned, Fair Value | $ 32,849,222 | $ 50,080,807 | |
Securities owned | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 35.11% | 50.08% | |
Investments Owned, Cost | $ 15,498,660 | $ 31,501,260 | |
Investments Owned, Fair Value | $ 15,519,543 | $ 31,644,430 | |
Securities owned | Federal Agricultural Mortgage Corp. | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 5.67% | ||
Investments Owned, Face Value | $ 2,500,000 | ||
Investments Owned, Rate of Return | 1.70% | ||
Investments Owned, Fair Value | $ 2,505,950 | ||
Securities owned | Federal Farm Credit Banks | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 10.21% | 27.85% | |
Investments Owned, Face Value | $ 4,500,000 | $ 17,500,000 | |
Investments Owned, Rate of Return Range Minimum | 0.20% | 1.60% | |
Investments Owned, Rate of Return Range Maximum | 1.60% | 2.20% | |
Investments Owned, Fair Value | $ 4,512,061 | $ 17,594,846 | |
Securities owned | Federal Home Loan Banks | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 22.23% | ||
Investments Owned, Face Value | $ 14,000,000 | ||
Investments Owned, Rate of Return Range Minimum | 1.80% | ||
Investments Owned, Rate of Return Range Maximum | 2.30% | ||
Investments Owned, Fair Value | $ 14,049,584 | ||
Securities owned | Federal Home Loan Mortgage Corporation | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 10.18% | ||
Investments Owned, Face Value | $ 4,500,000 | ||
Investments Owned, Rate of Return Range Minimum | 0.30% | ||
Investments Owned, Rate of Return Range Maximum | 0.50% | ||
Investments Owned, Fair Value | $ 4,500,081 | ||
Securities owned | Federal National Mortgage Association | U.S. Government-sponsored enterprises | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 9.05% | ||
Investments Owned, Face Value | $ 4,000,000 | ||
Investments Owned, Rate of Return Range Minimum | 0.30% | ||
Investments Owned, Rate of Return Range Maximum | 0.40% | ||
Investments Owned, Fair Value | $ 4,001,451 | ||
Securities owned | U.S. Exchange Traded Funds | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 16.60% | 7.92% | |
Investments Owned, Cost | $ 7,776,784 | $ 5,103,899 | |
Investments Owned, Fair Value | $ 7,334,485 | $ 5,004,400 | |
Securities owned | Amplify High Income ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 1.26% | ||
Investments Owned, Shares | 38,000 | ||
Investments Owned, Fair Value | $ 557,080 | ||
Securities owned | Highland/iBoxx Senior Loan ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 3.02% | 2.36% | |
Investments Owned, Shares | 85,000 | 85,000 | |
Investments Owned, Fair Value | $ 1,336,625 | $ 1,490,900 | |
Securities owned | Invesco Preferred ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 1.67% | ||
Investments Owned, Shares | 50,000 | ||
Investments Owned, Fair Value | $ 736,500 | ||
Securities owned | iShares Floating Rate Bond ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 1.15% | ||
Investments Owned, Shares | 10,000 | ||
Investments Owned, Fair Value | $ 507,200 | ||
Securities owned | iShares Short Maturity Bond ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 1.13% | ||
Investments Owned, Shares | 10,000 | ||
Investments Owned, Fair Value | $ 501,100 | ||
Securities owned | PIMCO Enhanced Short Maturity Active ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 3.29% | 3.22% | |
Investments Owned, Shares | 14,250 | 20,000 | |
Investments Owned, Fair Value | $ 1,452,930 | $ 2,031,800 | |
Securities owned | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 3.22% | 2.34% | |
Investments Owned, Shares | 55,000 | 55,000 | |
Investments Owned, Fair Value | $ 1,422,850 | $ 1,481,700 | |
Securities owned | VanEck Vectors Investment Grade Floating Rate ETF | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 1.01% | ||
Investments Owned, Shares | 15,000 | ||
Investments Owned, Fair Value | $ 446,100 | ||
Securities owned | Other Exchange-Traded Funds | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | [2] | 0.85% | |
Investments Owned, Shares | [2] | 12,403 | |
Investments Owned, Fair Value | [2] | $ 374,100 | |
Securities owned | U.S. Treasury Bills | U.S. Government securities | |||
Unrealized gain/(loss), percent of partners' capital (net asset value), face value and fair value of Investments Owned | |||
Percent of Partners' Capital (Net Asset Value) | 22.62% | 21.26% | |
Investments Owned, Face Value | $ 10,000,000 | $ 13,500,000 | |
Investments Owned, Rate of Return Range Minimum | 0.10% | 1.50% | |
Investments Owned, Rate of Return Range Maximum | 0.20% | 2.00% | |
Investments Owned, Cost | $ 9,992,992 | $ 13,408,474 | |
Investments Owned, Fair Value | $ 9,995,194 | $ 13,431,977 | |
[1] | No individual futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented. | ||
[2] | No individual position constituted greater than 1 percent of partners’ capital (net asset value). |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | $ (100) | $ (745) | $ 2,215 | |
Change in unrealized | 106,252 | $ (20,149) | (341,304) | 68,853 |
Net gains (losses) from securities | 106,152 | (20,149) | (342,049) | 71,068 |
Net trading gains (losses) | 245,952 | 2,850,836 | (7,783,935) | 6,655,691 |
Income | ||||
Interest income | 11,361 | 222,387 | 226,080 | 604,145 |
Dividend income | 69,142 | 88,830 | 240,699 | 282,974 |
Total income | 80,503 | 311,217 | 466,779 | 887,119 |
Expenses from operations | ||||
Brokerage charge | 539,098 | 800,841 | 1,784,734 | 2,512,606 |
Incentive fees | 28,809 | 202,572 | 91,470 | 439,477 |
Organizational and offering costs | 32,848 | 50,587 | 110,773 | 159,055 |
Operating expenses | 28,812 | 44,019 | 96,747 | 138,294 |
Total expenses | 629,567 | 1,098,019 | 2,083,724 | 3,249,432 |
Net investment loss | (549,064) | (786,802) | (1,616,945) | (2,362,313) |
Net income (loss) | $ (303,112) | $ 2,064,034 | $ (9,400,880) | $ 4,293,378 |
Class A | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | $ (6.78) | $ 28.01 | $ (153.53) | $ 55.04 |
Class B | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | (6.58) | 21.40 | (127.07) | 41.19 |
Legacy 1 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | (1.63) | 28.03 | (116.51) | 59 |
Legacy 2 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | (2.01) | 26.62 | (114.45) | 55.29 |
Global 1 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | (0.66) | 29.21 | (114.16) | 61.40 |
Global 2 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | (1.07) | 27.94 | (112.64) | 59.04 |
Global 3 Class | ||||
Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period: | ||||
General Partner & Limited Partner Units (in dollars per unit) | $ (3.42) | $ 20.53 | $ (101.10) | $ 41.62 |
Futures Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | $ 922,949 | $ 3,840,920 | $ 1,213,788 | $ 8,156,068 |
Change in unrealized | (348,277) | (1,917,872) | (327,245) | (1,763,353) |
Commissions | (167,306) | (252,196) | (556,128) | (789,975) |
Net gains (losses) | 407,366 | 1,670,852 | 330,415 | 5,602,740 |
Forward Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | (230,130) | 28,629 | (79,647) | 86,467 |
Change in unrealized | (75,773) | 44,447 | 146 | 137,529 |
Commissions | (1,129) | (2,340) | (6,477) | (2,927) |
Net gains (losses) | (307,032) | 70,736 | (85,978) | 221,069 |
Swap Contracts | ||||
Net gain (loss) from futures, forward, swap, and securities trading | ||||
Realized | (2,136,220) | (2,136,220) | ||
Change in unrealized | 2,175,686 | 1,129,397 | (5,550,103) | 760,814 |
Net gains (losses) | $ 39,466 | $ 1,129,397 | $ (7,686,323) | $ 760,814 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Partners' Capital (Net Asset Value) - USD ($) | Class AGeneral Partner | Class ALimited Partners | Class A | Class BLimited Partners | Class B | Legacy 1 ClassGeneral Partner | Legacy 1 ClassLimited Partners | Legacy 1 Class | Legacy 2 ClassGeneral Partner | Legacy 2 ClassLimited Partners | Legacy 2 Class | Global 1 ClassGeneral Partner | Global 1 ClassLimited Partners | Global 1 Class | Global 2 ClassGeneral Partner | Global 2 ClassLimited Partners | Global 2 Class | Global 3 ClassLimited Partners | Global 3 Class | Total |
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 946.24 | $ 767.31 | $ 776.34 | $ 756.33 | $ 777.40 | $ 759.26 | $ 640.57 | |||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | $ 290,822 | $ 445,722 | $ 199,013 | $ 365,357 | $ 176,000 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2018 | 307.34 | 574.13 | 263.13 | 469.97 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | $ 4,405,397 | $ 51,282,621 | $ 563,781 | $ 126,227 | $ 18,898,570 | $ 558,876 | $ 622,313 | |||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2018 | 4,655.70 | 66,834.11 | 726.20 | 166.90 | 24,310.14 | 736.07 | 971.50 | |||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | $ 77,934,699 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Contributions | $ 9,565 | 9,565 | ||||||||||||||||||
Contributions (in units) | 12.36 | |||||||||||||||||||
Redemptions | $ (225,961) | $ (3,038,692) | $ (444,997) | $ (2,117) | $ (60,000) | $ (1,369,971) | $ (20,515) | $ (57,800) | (5,220,053) | |||||||||||
Redemptions (in units) | (236.85) | (3,936.77) | (574.13) | (2.67) | (77.23) | (1,747.46) | (26.95) | (90.32) | ||||||||||||
Net income (loss) | $ 4,230 | $ 62,667 | $ 639,984 | $ (725) | $ 11,314 | $ 3,735 | $ 2,369 | $ 6,123 | $ 366,002 | $ 3,588 | $ 11,026 | $ 9,378 | 1,119,691 | |||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | $ 295,052 | $ 202,748 | $ 311,480 | $ 179,588 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | $ 4,242,103 | $ 48,883,913 | $ 572,978 | $ 128,596 | $ 17,904,166 | $ 549,387 | $ 573,891 | |||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2019 | 4,418.85 | 62,897.34 | 723.53 | 166.90 | 22,575.04 | 709.12 | 881.18 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | 73,843,902 | |||||||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | $ 290,822 | $ 445,722 | $ 199,013 | $ 365,357 | $ 176,000 | |||||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2018 | 307.34 | 574.13 | 263.13 | 469.97 | 231.81 | |||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | $ 4,405,397 | $ 51,282,621 | $ 563,781 | $ 126,227 | $ 18,898,570 | $ 558,876 | $ 622,313 | |||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2018 | 4,655.70 | 66,834.11 | 726.20 | 166.90 | 24,310.14 | 736.07 | 971.50 | |||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2018 | 77,934,699 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net income (loss) | 4,293,378 | |||||||||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | $ 307,739 | $ 213,562 | $ 329,431 | $ 189,686 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | $ 4,118,910 | $ 44,031,939 | $ 426,519 | $ 135,456 | $ 16,540,494 | $ 521,283 | $ 479,174 | |||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2019 | 4,113.63 | 54,461.43 | 510.60 | 166.90 | 19,719.24 | 637.03 | 702.40 | |||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | 67,294,193 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | 960 | 777.20 | 791.92 | 770.52 | 793.10 | 774.74 | 651.28 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | $ 295,052 | $ 202,748 | $ 311,480 | $ 179,588 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | $ 4,242,103 | $ 48,883,913 | $ 572,978 | $ 128,596 | $ 17,904,166 | $ 549,387 | $ 573,891 | |||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2019 | 4,418.85 | 62,897.34 | 723.53 | 166.90 | 22,575.04 | 709.12 | 881.18 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2019 | 73,843,902 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Redemptions | $ (292,558) | $ (3,933,703) | $ (170,421) | $ (1,187,862) | $ (78,787) | (5,663,331) | ||||||||||||||
Redemptions (in units) | (300.53) | (4,988.94) | (212.93) | (1,468.91) | (119.09) | |||||||||||||||
Net income (loss) | $ 4,077 | $ 58,670 | $ 629,722 | $ 9,650 | $ 3,809 | $ 2,417 | $ 6,478 | $ 370,988 | $ 3,622 | $ 11,081 | $ 9,139 | 1,109,653 | ||||||||
Partners' capital, (net asset value) at Jun. 30, 2019 | $ 299,129 | $ 206,557 | $ 317,958 | $ 183,210 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2019 | $ 4,008,215 | $ 45,579,932 | $ 412,207 | $ 131,013 | $ 17,087,292 | $ 560,468 | $ 504,243 | |||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2019 | 4,118.32 | 57,908.40 | 510.60 | 166.90 | 21,106.13 | 709.12 | 762.09 | |||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2019 | 69,290,224 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | 973.27 | 787.10 | 807.31 | 785 | 809.59 | 790.36 | 661.66 | |||||||||||||
Redemptions | $ (4,669) | $ (2,794,853) | $ (1,160,585) | $ (59,242) | $ (40,716) | (4,060,065) | ||||||||||||||
Redemptions (in units) | (4.69) | (3,446.97) | (1,386.89) | (72.09) | (59.69) | |||||||||||||||
Net income (loss) | $ 8,610 | $ 115,364 | $ 1,246,860 | $ 14,312 | $ 7,005 | $ 4,443 | $ 11,473 | $ 613,787 | $ 6,476 | $ 20,057 | $ 15,647 | 2,064,034 | ||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | $ 307,739 | $ 213,562 | $ 329,431 | $ 189,686 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2019 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | $ 4,118,910 | $ 44,031,939 | $ 426,519 | $ 135,456 | $ 16,540,494 | $ 521,283 | $ 479,174 | |||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2019 | 4,113.63 | 54,461.43 | 510.60 | 166.90 | 19,719.24 | 637.03 | 702.40 | |||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2019 | 67,294,193 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | 1,001.28 | 808.50 | 835.34 | 811.62 | 838.80 | 818.30 | 682.19 | |||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 992.10 | $ 799.78 | $ 832.28 | $ 808.27 | $ 836.87 | $ 815.99 | $ 677.29 | |||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 304,918 | $ 304,918 | $ 212,682 | $ 212,682 | $ 328,671 | $ 328,671 | $ 189,151 | $ 189,151 | ||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 3,710,803 | $ 3,710,803 | $ 41,821,340 | $ 41,821,340 | $ 414,242 | $ 414,242 | $ 113,599 | $ 113,599 | $ 15,265,460 | $ 15,265,460 | $ 501,820 | $ 501,820 | $ 323,221 | $ 323,221 | ||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 3,740.34 | 3,740.34 | 52,290.82 | 52,290.82 | 497.72 | 497.72 | 140.55 | 140.55 | 18,241.21 | 18,241.21 | 614.97 | 614.97 | 477.23 | 477.23 | ||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | 63,185,907 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Redemptions | $ (1,368,811) | $ (953,528) | $ (18,162) | $ (34,260) | (2,374,761) | |||||||||||||||
Redemptions (in units) | (1,889.22) | (1,266.67) | (24.64) | (59.93) | ||||||||||||||||
Net income (loss) | $ (48,122) | $ (585,637) | $ (6,559,480) | $ (63,359) | $ (32,644) | $ (17,435) | $ (49,883) | $ (2,262,503) | $ (28,810) | $ (75,319) | $ (50,417) | (9,773,609) | ||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 256,796 | $ 180,038 | $ 278,788 | $ 160,341 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 3,125,166 | $ 33,893,049 | $ 350,883 | $ 96,164 | $ 12,049,429 | $ 408,339 | $ 238,544 | |||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 3,740.34 | 50,401.60 | 497.72 | 140.55 | 16,974.54 | 590.33 | 417.30 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | 51,037,537 | |||||||||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 304,918 | $ 304,918 | $ 212,682 | $ 212,682 | $ 328,671 | $ 328,671 | $ 189,151 | $ 189,151 | ||||||||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | $ 3,710,803 | $ 3,710,803 | $ 41,821,340 | $ 41,821,340 | $ 414,242 | $ 414,242 | $ 113,599 | $ 113,599 | $ 15,265,460 | $ 15,265,460 | $ 501,820 | $ 501,820 | $ 323,221 | $ 323,221 | ||||||
Partners' capital, (net asset value) (in units) at Dec. 31, 2019 | 3,740.34 | 3,740.34 | 52,290.82 | 52,290.82 | 497.72 | 497.72 | 140.55 | 140.55 | 18,241.21 | 18,241.21 | 614.97 | 614.97 | 477.23 | 477.23 | ||||||
Partners' capital, (net asset value) at Dec. 31, 2019 | 63,185,907 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net income (loss) | (9,400,880) | |||||||||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | $ 257,731 | $ 257,731 | $ 182,565 | $ 182,565 | $ 283,837 | $ 283,837 | $ 163,041 | $ 163,041 | ||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2020 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | $ 3,119,943 | $ 3,119,943 | $ 27,567,440 | $ 27,567,440 | $ 346,673 | $ 346,673 | $ 97,513 | $ 97,513 | $ 11,746,936 | $ 11,746,936 | $ 397,206 | $ 397,206 | $ 29,581 | $ 29,581 | ||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2020 | 3,720.55 | 3,720.55 | 40,979.72 | 40,979.72 | 484.34 | 484.34 | 140.55 | 140.55 | 16,254.04 | 16,254.04 | 564.73 | 564.73 | 51.34 | 51.34 | ||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | 44,192,466 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 835.53 | $ 672.46 | $ 704.98 | $ 684.22 | $ 709.85 | $ 691.71 | $ 571.64 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 256,796 | $ 180,038 | $ 278,788 | $ 160,341 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | $ 3,125,166 | $ 33,893,049 | $ 350,883 | $ 96,164 | $ 12,049,429 | $ 408,339 | $ 238,544 | |||||||||||||
Partners' capital, (net asset value) (in units) at Mar. 31, 2020 | 3,740.34 | 50,401.60 | 497.72 | 140.55 | 16,974.54 | 590.33 | 417.30 | |||||||||||||
Partners' capital, (net asset value) at Mar. 31, 2020 | 51,037,537 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Redemptions | $ (4,260) | $ (5,163,878) | $ (9,569) | $ (449,393) | (5,627,100) | |||||||||||||||
Redemptions (in units) | (5.03) | (7,555.74) | (13.38) | (619.71) | ||||||||||||||||
Transfers in (out) | $ 6,983 | $ (6,983) | ||||||||||||||||||
Transfers in (out) (in shares) | 9.61 | (11.97) | ||||||||||||||||||
Net income (loss) | $ 3,019 | $ 36,746 | $ 375,618 | $ 6,150 | $ 3,058 | $ 1,632 | $ 5,307 | $ 230,486 | $ 2,948 | $ 7,507 | $ 3,370 | 675,841 | ||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 259,815 | $ 183,096 | $ 284,095 | $ 163,289 | ||||||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 307.34 | 263.13 | 392.74 | 231.81 | ||||||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | $ 3,157,652 | $ 29,104,789 | $ 347,464 | $ 97,796 | $ 11,837,505 | $ 415,846 | $ 234,931 | |||||||||||||
Partners' capital, (net asset value) (in units) at Jun. 30, 2020 | 3,735.31 | 42,845.86 | 484.34 | 140.55 | 16,364.44 | 590.33 | 405.33 | |||||||||||||
Partners' capital, (net asset value) at Jun. 30, 2020 | 46,086,278 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 845.35 | $ 679.29 | $ 717.40 | $ 695.83 | $ 723.37 | $ 704.42 | $ 579.61 | |||||||||||||
Redemptions | $ (12,682) | $ (1,272,989) | $ (286,651) | $ (18,378) | (1,590,700) | |||||||||||||||
Redemptions (in units) | (14.76) | (1,866.14) | (393.59) | (25.60) | ||||||||||||||||
Transfers in (out) | $ 207,079 | $ (207,079) | ||||||||||||||||||
Transfers in (out) (in shares) | 283.19 | (353.99) | ||||||||||||||||||
Net income (loss) | $ (2,084) | $ (25,027) | $ (264,360) | $ (791) | $ (531) | $ (283) | $ (258) | $ (10,997) | $ (248) | $ (262) | $ 1,729 | (303,112) | ||||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | $ 257,731 | $ 257,731 | $ 182,565 | $ 182,565 | $ 283,837 | $ 283,837 | $ 163,041 | $ 163,041 | ||||||||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2020 | 307.34 | 307.34 | 263.13 | 263.13 | 392.74 | 392.74 | 231.81 | 231.81 | ||||||||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | $ 3,119,943 | $ 3,119,943 | $ 27,567,440 | $ 27,567,440 | $ 346,673 | $ 346,673 | $ 97,513 | $ 97,513 | $ 11,746,936 | $ 11,746,936 | $ 397,206 | $ 397,206 | $ 29,581 | $ 29,581 | ||||||
Partners' capital, (net asset value) (in units) at Sep. 30, 2020 | 3,720.55 | 3,720.55 | 40,979.72 | 40,979.72 | 484.34 | 484.34 | 140.55 | 140.55 | 16,254.04 | 16,254.04 | 564.73 | 564.73 | 51.34 | 51.34 | ||||||
Partners' capital, (net asset value) at Sep. 30, 2020 | $ 44,192,466 | |||||||||||||||||||
Increase (Decrease) in Partners' Capital | ||||||||||||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 838.57 | $ 672.71 | $ 715.77 | $ 693.82 | $ 722.71 | $ 703.35 | $ 576.19 |
Nature of Business and Signific
Nature of Business and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Nature of Business and Significant Accounting Policies | |
Nature of Business and Significant Accounting Policies | Note 1. Nature of Business and Significant Accounting Policies Nature of business: Grant Park Futures Fund Limited Partnership (the “Partnership”) was organized as a limited partnership under Illinois law in August 1988 and will continue until December 31, 2027, unless terminated sooner as provided for in its Limited Partnership Agreement. As a commodity investment pool, the Partnership is subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Partnership executes transactions. Additionally, the Partnership is subject to the requirements of futures commission merchants (“FCMs”) and interbank and other market makers through which the Partnership trades. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”), and, accordingly is subject to the regulatory requirements under the Securities Exchange Act of 1934, as amended. Prior to April 1, 2019, the Partnership was also subject to the regulatory requirements under the Securities Act of 1933, as amended. Effective April 1, 2019, limited partnership units of the Partnership were no longer offered for sale. For existing investors in the Partnership, business has been and will be conducted as usual. There was no change in the trading, operations, or monthly statements, etc., and redemption requests will continue to be offered on a monthly basis. The Partnership engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, swap transactions and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures. The Partnership is a multi-advisor commodity pool that invests the assets of each class of the Partnership in the Partnership’s subsidiary limited liability trading companies (each, a “Trading Company” and collectively, the “Trading Companies”) which (i) enter into advisory agreements with the independent commodity trading advisors retained by the general partner; (ii) enter into swap transactions or derivative instruments tied to the performance of certain reference traders; and/or (iii) allocate assets to the Partnership’s cash management trading company. The Partnership’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C. (“the General Partner”), an Illinois limited liability company. The Trading Companies were set up to, among other things, segregate risk by commodity trading advisor or reference trader. Effectively, this structure isolates one trading advisor or reference trader from another and any losses from one Trading Company will not carry over to the other Trading Companies. The following is a list of the Trading Companies, for which the Partnership is the sole member and all of which were organized as Delaware limited liability companies: GP 1, LLC (“GP 1”) GP 5, LLC (“GP 5”) GP 11, LLC (“GP 11”) GP 3, LLC (“GP 3”) GP 8, LLC (“GP 8”) GP 18, LLC (“GP 18”) GP 4, LLC (“GP 4”) GP 9, LLC (“GP 9”) There were no assets allocated to GP 1, GP 8, GP 9 and GP 11 as of September 30, 2020, and there were no assets allocated to GP 11 as of December 31, 2019. Additionally, GP Cash Management, LLC (“GP Cash Management”) was created as a Delaware limited liability company to collectively manage and invest excess cash not required to be held at clearing brokers. The excess cash is held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company or may be invested in mutual funds. The members of GP Cash Management are the Trading Companies. Classes of interests: The Partnership has seven classes of limited partner interests (each, a “Class” and collectively, the “Interests”), Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 3”) Class units. Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to the brokerage charge and organization and offering costs payable to the General Partner. Both Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs pursuing a technical trend trading philosophy, which is the same trading philosophy used for the Class A and Class B units. The Legacy 1 Class and Legacy 2 Class units differ only in respect to the brokerage charge payable to the General Partner. The Legacy 1 Class and Legacy 2 Class units were offered only to investors who are represented by approved selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Partnership (such arrangements commonly referred to as “wrap-accounts”). The Global 1 Class, Global 2 Class and Global 3 Class units are traded pursuant to trading programs pursuing technical trend trading philosophies. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. The Global 1 Class and Global 2 Class units were offered only to investors in wrap accounts. The Partnership’s significant accounting policies are as follows: Accounting Principles: Pursuant to rules and regulations of the SEC, consolidated financial statements of the Partnership are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Partnership is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic (“ASC”) 946, Financial Services – Investment Companies . Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation. Use of estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Cash and cash equivalents: Cash and cash equivalents may include cash, overnight investments, commercial paper, U.S. treasury bills, money market funds and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition. Valuation of investments: All investments are used for trading purposes and recorded at their fair value, as described in Note 2. Substantially all of the Partnership’s assets and liabilities are considered financial instruments and are recorded at fair value or at carrying amounts that approximate fair value because of the short maturity of the instruments. Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts and securities are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210-20, Balance Sheet, Offsetting . Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis. Dividend income is recognized on the ex-dividend date. Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership. Commissions: Commissions and other trading fees are expensed when contracts are opened and closed, and are reflected separately in the consolidated statement of operations. Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity , redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end. Income taxes: No provision for income taxes has been made in these consolidated financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes. The Partnership follows the provisions of ASC 740, Income Taxes . FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. If a tax position does not meet the minimum statutory threshold to avoid payment of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the consolidated statement of operations in the period in which the position is claimed or expected to be claimed. As of September 30, 2020, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2017. Organization and offering costs: The General Partner has incurred all expenses in connection with the organization and the continuous public offering of partnership interests and is reimbursed by the Partnership. In addition, the General Partner continues to compensate wholesalers for services rendered to certain Limited Partners. This reimbursement is made monthly and the reimbursement amounts are listed by class in Note 5. In no event, however, will the monthly reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0% annually, of the net asset value of the Partnership. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed these limits in any prior year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit set forth above. Amounts reimbursed by the Partnership with respect to the organization and the continuous public offering expenses are charged to expense from operations at the time of reimbursement or accrual. If the Partnership terminates prior to completion of payment of the calculated amounts to the General Partner, the General Partner will not be entitled to any additional payments, and the Partnership will have no further obligation to the General Partner. As of September 30, 2020, unreimbursed organization and offering costs incurred by the General Partner were approximately $172,000 and may be reimbursed by the Partnership in the future. Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the consolidated statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Swap contracts: Certain Trading Companies of the Partnership strategically allocate a portion or all of their assets to total return swaps selected at the direction of the General Partner. A swap is a bilaterally negotiated agreement between two parties to exchange cash flows based upon an asset, rate or some other reference index. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of commodities or other investments representing a particular index. A Trading Company’s investment in swap agreements will likely vary over time due to cash flows, asset allocations and market movements. The swap agreements serve to diversify the investment holdings of the Partnership and to provide access to programs and commodity trading advisors that would not otherwise be available to the Partnership, and are not used for hedging purposes. Changes in the value of the swap agreements are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies, the Partnership has entered into total return swaps with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swaps. As of September 30, 2020 and December 31, 2019, the notional value of the swaps were $12,589,399 and $29,622,256, respectively, and the cash margin balance was $5,150,000 and $5,082,500, respectively, which is included in equity in brokers’ trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020. Statement of cash flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows . The Partnership noted that as of and for the periods ended September 30, 2020 and 2019, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented. Recent accounting pronouncements: In June 2016, the FASB issued ASU 2016-13 Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The new guidance requires an entity to measure all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts as opposed to delaying recognition until the loss was probable of occurring. The guidance is effective for annual and interim periods beginning after December 15, 2019. The Partnership adopted ASU 2016-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13 Fair Value Measurement (Topic 820) Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement . The amendments in this update apply to all entities that are required, under existing GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in this update modify the disclosure requirements on fair value measurements in Topic 820. The guidance is effective for fiscal years beginning after December 15, 2019. The Partnership adopted ASU 2018-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements. In March 2020, the FASB issued ASU 2020-04 Reference Rate Reform . The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. The Partnership is currently evaluating the impact of the guidance on the Partnership's consolidated financial statements and disclosures. The Partnership did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the nine months ended September 30, 2020. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Measurements | |
Fair Value Measurements | Note 2. Fair Value Measurements As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures . FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy. The Partnership utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below: Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement. Level 3. Inputs that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3. The following section describes the valuation techniques used by the Partnership to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized. The fair value of exchange-traded futures contracts, options on futures contracts and exchange-traded funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The fair value of money market funds are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2 of the fair value hierarchy. U.S. Government securities and U.S. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy. The investments in total return swaps are reported at fair value based on daily price reporting from the swap counterparty, which uses exchange prices to value most futures positions and the remaining positions are valued using proprietary pricing models of the counterparty. The Partnership’s swap transactions are a two-party contract entered into primarily to exchange the returns earned or realized on particular pre-determined investments or instruments. The gross returns to be exchanged or swapped between parties are calculated with respect to a notional amount. The total return swaps have inputs which are transparent and can generally be corroborated by market data and therefore are classified within Level 2 of the fair value hierarchy. The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2020: Assets Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts U.S. and foreign futures contracts $ 74,562 $ — $ — $ 74,562 Forward currency contracts — (68,927) — (68,927) Swap contracts — (2,512,664) — (2,512,664) Cash and cash equivalents U.S. money market fund 3,751,731 — — 3,751,731 Securities owned U.S. Government-sponsored enterprises — 15,519,543 — 15,519,543 U.S. Government securities — 9,995,194 — 9,995,194 U.S. Exchange-traded funds 7,334,485 — — 7,334,485 Total $ 11,160,778 $ 22,933,146 $ — $ 34,093,924 The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector. The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2019: Assets Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts U.S. and foreign futures contracts $ 401,807 $ — $ — $ 401,807 Forward currency contracts — (69,073) — (69,073) Swap contracts — 3,037,439 — 3,037,439 Cash and cash equivalents U.S. money market fund 576,180 — — 576,180 Securities owned U.S. Government-sponsored enterprises — 31,644,430 — 31,644,430 U.S. Government securities — 13,431,977 — 13,431,977 U.S. Exchange-traded funds 5,004,400 — — 5,004,400 Total $ 5,982,387 $ 48,044,773 $ — $ 54,027,160 The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for detail by sector. The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among Levels 1, 2, and 3 during the nine months ended September 30, 2020 and year ended December 31, 2019. |
Deposits with Brokers and Inter
Deposits with Brokers and Interbank Market Makers | 9 Months Ended |
Sep. 30, 2020 | |
Deposits with Brokers and Interbank Market Makers | |
Deposits with Brokers and Interbank Market Makers | Note 3. Deposits with Brokers and Interbank Market Makers The Partnership, through the Trading Companies, deposits assets with ADM Investor Services, Inc. and SG Americas Securities, LLC subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government- sponsored enterprise securities and/or cash with such clearing brokers. The Partnership may earn interest income on its assets deposited with the clearing brokers. The Partnership, through the Trading Companies, has entered into a relationship with Sociètè Gènèrale International Limited for the clearing of its OTC foreign currency transactions and with Deutsche Bank AG for its swap transactions. The Partnership has entered into an International Swaps and Derivatives Association, Inc. master agreement with Deutsche Bank AG and Sociètè Gènèrale International Limited. Margin requirements may be satisfied by the deposit of U.S. Treasury bills and/or cash with such interbank market makers or swap counterparties. The Partnership may earn interest income on its assets deposited with the interbank market makers. |
Commodity Trading Advisors and
Commodity Trading Advisors and Reference Traders | 9 Months Ended |
Sep. 30, 2020 | |
Commodity Trading Advisors and Reference Traders | |
Commodity Trading Advisors and Reference Traders | Note 4. Commodity Trading Advisors and Reference Traders The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors or through swap transactions based on reference programs of such advisors. Each trading advisor that receives a direct allocation from the Partnership has entered into an advisory contract with the Partnership. As of September 30, 2020, the commodity trading advisors are EMC Capital Advisors, LLC (“EMC”), Episteme Capital Partners (UK) LLP (“Episteme”) and Quantica Capital AG (“Quantica”) (collectively, the “Advisors”). The Partnership will obtain the equivalent of net profits or net losses generated by H2O AM LLP (“H2O”) and as a reference trader (“Reference Trader”) through an off-exchange swap transaction and will not allocate assets to H2O directly. As of July 1, 2020 Winton Capital Management Limited (“Winton”) is no longer a reference trader of the Partnership. The assets previously allocated to Winton were reallocated to the Partnership’s existing trading advisors and reference trader as of that date. The Advisors and Reference Trader are paid a quarterly consulting fee, directly or through swap transactions, ranging from 0.2 percent to 1 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee, directly or through swap transactions, ranging from 0 percent to 20 percent of the new trading profits on the allocated net assets of the Advisor or Reference Trader. |
General Partner and Related Par
General Partner and Related Party Transactions | 9 Months Ended |
Sep. 30, 2020 | |
General Partner and Related Party Transactions | |
General Partner and Related Party Transactions | Note 5. General Partner and Related Party Transactions The General Partner shall at all times, so long as it remains a general partner of the Partnership, own Units in the Partnership: (i) in an amount sufficient, in the opinion of counsel for the Partnership, for the Partnership to be taxed as a partnership rather than as an association taxable as a corporation; and (ii) during such time as the Units are registered for sale to the public, in an amount at least equal to the greater of: (a) 1 percent of all capital contributions of all Partners to the Partnership; or (b) $25,000; or such other amount satisfying the requirements then imposed by the North American Securities Administrators Association, Inc. (“NASAA”) Guidelines. Further, during such time as the Units are registered for sale to the public, the General Partner shall, so long as it remains a general partner of the Partnership, maintain a net worth (as such term may be defined in the NASAA Guidelines) at least equal to the greater of: (i) 5 percent of the total capital contributions of all partners and all limited partnerships to which it is a general partner (including the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying the requirements then imposed by the NASAA Guidelines. In no event, however, shall the General Partner be required to maintain a net worth in excess of $1,000,000 or such other maximum amount satisfying the requirements then imposed by the NASAA Guidelines. Ten percent of the General Partners limited partnership interest in the Partnership is characterized as a general partnership interest. Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest. The Partnership pays the General Partner a monthly brokerage charge, organization and offering reimbursement and operating expenses. The annualized brokerage charge, organization and offering reimbursement and operating expenses are presented in the table below. Organization and Offering Brokerage charge* Reimbursement* Operating Expense* Class A units % % % Class B units % % % Legacy 1 Class units % % % Legacy 2 Class units % % % Global 1 Class units % % % Global 2 Class units % % % Global 3 Class units % % % *The fees are calculated and payable monthly on the basis of month-end adjusted net assets. “Adjusted net assets” is defined as the month-end net assets of the particular class before accruals for fees and expenses and redemptions. Included in the total brokerage charge are amounts paid to the clearing brokers for execution and clearing costs, which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered, which are reflected in the brokerage charge line on the consolidated statements of operations. The brokerage charge in the amounts of $539,098 and $1,784,734, respectively, for the three and nine months ended September 30, 2020 and $800,841 and $2,512,606, respectively, for the three and nine months ended September 30, 2019, are shown on the consolidated statements of operations. Transaction costs and consulting fees are taken into account in determining the net amount the Partnership receives or pays in connection with swap transactions, but such costs or fees are not directly charged to the Partnership or any of its trading companies. The general partner will reduce (but not below zero) the brokerage charge by the amount of such costs and fees. Each class of units pays a fee to a counterparty in respect of any swap transaction of up to 0.50% of the notional amount of such swap transaction. Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $32,848 and $110,773, respectively, for the three and nine months ended September 30, 2020 and $50,587 and $159,055, respectively, for the three and nine months ended September 30, 2019, are shown on the consolidated statements of operations. Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnership’s average month-end net assets during the year, the difference may be reimbursed, at the General Partner’s discretion, pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $28,812 and $96,747, respectively, for the three and nine months ended September 30, 2020 and $44,019 and $138,294, respectively, for the three and nine months ended September 30, 2019, are shown on the consolidated statement of operations. An entity owned in part and controlled by Mr. Kavanagh, who indirectly controls and is president of Dearborn Capital Management, L.L.C., the general partner of the Partnership, and in part by Mr. Al Rayes, who is a principal of the general partner, and an entity owned in part and controlled by Mr. Meehan, the chief operating officer of the general partner, purchased a minority ownership interest in EMC, which is one of the commodity trading advisors of the Partnership. The general partner, on behalf of the Partnership, pays EMC a quarterly consulting fee and a quarterly incentive fee based on new trading profits, if any, achieved on EMC’s allocated net assets at the end of each period. For the three and nine months ended September 30, 2020, EMC was paid approximately $21,800 and $61,200, respectively, in consulting fees and no incentive fees. For the three and nine months ended September 30, 2019, EMC was paid approximately $17,700 and $57,400, respectively, in consulting fees and no incentive fees. |
Redemptions and Allocation of N
Redemptions and Allocation of Net Income or Loss | 9 Months Ended |
Sep. 30, 2020 | |
Redemptions and Allocation of Net Income or Loss | |
Redemptions and Allocation of Net Income or Loss | Note 6. Redemptions and Allocation of Net Income or Loss Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners have the right to redeem units as of any month-end upon ten (10) days’ prior written notice to the Partnership. The General Partner, however, may permit earlier redemptions in its discretion. Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class Limited Partners were prohibited from redeeming such units for the three months following the subscription for units. Global 3 Class Limited Partners who redeemed their units after the three-month lock-up, but prior to the one-year anniversary of their subscriptions for the redeemed units, paid the applicable early redemption fee. There were no redemption fees applicable to Legacy 1 Class, Legacy 2 Class, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeemed their units on or after the one-year anniversary of their subscription. Redemptions will be made as of the last day of the month for an amount equal to the net asset value per unit, as defined, represented by the units to be redeemed. The right to obtain redemption is also contingent upon the Partnership’s having property sufficient to discharge its liabilities on the redemption date and may be delayed if the General Partner determines that earlier liquidation of commodity interest positions to meet redemption payments would be detrimental to the Partnership or nonredeeming Limited Partners. In addition, the General Partner may at any time cause the redemption of all or a portion of any Limited Partner’s units upon fifteen (15) days’ written notice. The General Partner may also immediately redeem any Limited Partner’s units without notice if the General Partner believes that (i) the redemption is necessary to avoid having the assets of the Partnership deemed Plan Assets under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), (ii) the Limited Partner made a misrepresentation in connection with its subscription for the units, or (iii) the redemption is necessary to avoid a violation of law by the Partnership or any Partner. In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month. |
Financial Highlights
Financial Highlights | 9 Months Ended |
Sep. 30, 2020 | |
Financial Highlights | |
Financial Highlights | Note 7. Financial Highlights The following financial highlights reflect activity related to the Partnership. Total return is based on the change in value during the period of a theoretical investment made by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partners’ ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions. Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Total return – Class A Units % % % % Total return – Class B Units % % % % Total return – Legacy 1 Class Units % % % % Total return – Legacy 2 Class Units % % % % Total return – Global 1 Class Units % % % % Total return – Global 2 Class Units % % % % Total return – Global 3 Class Units % % % % Ratios as a percentage of average net assets: Expenses prior to incentive fees (1) % % % % Incentive fees (2) % % % % Total expenses % % % % Net investment loss (1) (3) % % % % (1) Annualized. (2) Not annualized. (3) Excludes incentive fee. The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three and nine months ended September 30, 2020 and 2019 (annualized). The following per unit performance calculations reflect activity related to the Partnership for the three and nine months ended September 30, 2020 and 2019. Class A Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 845.35 $ 973.27 $ 992.10 $ 946.24 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 4.28 40.09 (123.55) 89.01 Expenses net of interest and dividend income* (11.06) (12.08) (29.98) (33.97) Total income (loss) from operations (6.78) 28.01 (153.53) 55.04 Net asset value per unit at end of period $ 838.57 $ 1,001.28 $ 838.57 $ 1,001.28 Class B Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 679.29 $ 787.10 $ 799.78 $ 767.31 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.51 32.64 (99.18) 72.21 Expenses net of interest and dividend income* (10.09) (11.24) (27.89) (31.02) Total income (loss) from operations (6.58) 21.40 (127.07) 41.19 Net asset value per unit at end of period $ 672.71 $ 808.50 $ 672.71 $ 808.50 Legacy 1 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 717.40 $ 807.31 $ 832.28 $ 776.34 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.60 33.26 (103.95) 72.69 Expenses net of interest and dividend income* (5.23) (5.23) (12.56) (13.69) Total income (loss) from operations (1.63) 28.03 (116.51) 59.00 Net asset value per unit at end of period $ 715.77 $ 835.34 $ 715.77 $ 835.34 Legacy 2 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 695.83 $ 785.00 $ 808.27 $ 756.33 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.49 32.34 (100.92) 71.55 Expenses net of interest and dividend income* (5.50) (5.72) (13.53) (16.26) Total income (loss) from operations (2.01) 26.62 (114.45) 55.29 Net asset value per unit at end of period $ 693.82 $ 811.62 $ 693.82 $ 811.62 Global 1 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 723.37 $ 809.59 $ 836.87 $ 777.40 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.64 33.49 (104.53) 73.81 Expenses net of interest and dividend income* (4.30) (4.28) (9.63) (12.41) Total income (loss) from operations (0.66) 29.21 (114.16) 61.40 Net asset value per unit at end of period $ 722.71 $ 838.80 $ 722.71 $ 838.80 Global 2 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 704.42 $ 790.36 $ 815.99 $ 759.26 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.54 32.79 (101.92) 72.21 Expenses net of interest and dividend income* (4.61) (4.85) (10.72) (13.17) Total income (loss) from operations (1.07) 27.94 (112.64) 59.04 Net asset value per unit at end of period $ 703.35 $ 818.30 $ 703.35 $ 818.30 Global 3 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 579.61 $ 661.66 $ 677.29 $ 640.57 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 1.11 27.39 (85.43) 60.36 Expenses net of interest and dividend income* (4.53) (6.86) (15.67) (18.74) Total income (loss) from operations (3.42) 20.53 (101.10) 41.62 Net asset value per unit at end of period $ 576.19 $ 682.19 $ 576.19 $ 682.19 * Expenses net of interest and dividend income per unit are calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain (loss) from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
Trading Activities and Related
Trading Activities and Related Risks | 9 Months Ended |
Sep. 30, 2020 | |
Trading Activities and Related Risks | |
Trading Activities and Related Risks | Note 8. Trading Activities and Related Risks The Partnership, through its Advisors or swap transactions based on reference programs of such advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts and other derivative instruments including swap contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes ADM Investor Services, Inc. and SG Americas Securities, LLC as its clearing brokers. The amount of required margin and good faith deposits with the FCMs, interbank market makers and swap counterparties usually ranges from 5% to 35% of the Partnership’s net asset value. The cash deposited with the FCMs, interbank market makers and swap counterparties at September 30, 2020 and December 31, 2019 was $10,936,941 and $10,866,216, respectively, which was 24.75% and 17.20% of the net asset value, respectively, and is included in equity in brokers’ trading accounts on the consolidated statements of financial condition. For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. In addition to market risk, trading futures, forwards and swap contracts entails a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions. In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional markets rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership. Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future whether other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the Partnership will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the Partnership to deposit initial margin and variation margin as collateral to support such obligation under the swap agreement but may not themselves provide collateral for the benefit of the Partnership. If the counterparty to such a swap agreement defaults, the Partnership would be a general unsecured creditor for any termination amounts owed by the counterparty to the Partnership as well as for any collateral deposits in excess of the amounts owed by the Partnership to the counterparty, which would result in losses to the Partnership. There are no limitations on daily price movements in swap transactions. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results. Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statements of financial condition. The Partnership maintains deposits with high quality financial institutions in amounts that are in excess of federally insured limits; however, the Partnership does not believe it is exposed to any significant credit risk. The General Partner has established procedures to actively monitor and minimize market and credit risks. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received. Trading on international markets may increase the risk that events or circumstances that disrupt such markets may have a materially adverse effect on Grant Park’s business or operations or the value of positions held by Grant Park. Such events or circumstances may include, but are not limited to, inflation or deflation, currency devaluation, interest rate changes, exchange rate fluctuations, changes in government policies, natural disasters, pandemics or other extraordinary events such as coronavirus, armed conflicts, political or social instability or other unforeseen developments that cannot be quantified. On March 11, 2020, the World Health Organization declared the novel coronavirus disease 2019, known as COVID-19 (“COVID-19”), a pandemic. As governments and organizations around the world implement various measures in an attempt to slow the spread of COVID-19, including imposing travel restrictions, quarantining of employees and other efforts focusing on social distancing, the impact on Grant Park cannot be determined. However, because Grant Park allocates assets among multiple third party trading advisors and reference traders, at least some of whom trade internationally, the general partner expects COVID-19 to have a material impact on Grant Park, its operations and possible economic consequences for at least all or a portion of calendar year 2020 and potentially longer. |
Indemnifications
Indemnifications | 9 Months Ended |
Sep. 30, 2020 | |
Indemnifications | |
Indemnifications | Note 9. Indemnifications In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments | |
Derivative Instruments | Note 10. Derivative Instruments The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging . FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8). The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market risk and credit risk. In entering into these contracts, the Partnership faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. The Partnership minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%. In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearing organization is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions. In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there will likely be greater counterparty credit risk in these transactions. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts. The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05. For the three and nine months ended September 30, 2020, the monthly average number of futures contracts bought and sold was 3,551 and 3,876, respectively, and the monthly average number of forward contracts bought and sold was 131 and 249, respectively. For the three and nine months ended September 30, 2019, the monthly average number of futures contracts bought and sold was 7,586 and 8,587, respectively, and the monthly average number of forward contracts bought and sold was 305 and 266, respectively. The following tables summarize the quantitative information required by FASB ASC 815: Fair Values of Derivative Instruments at September 30, 2020 and December 31, 2019 Consolidated Asset Liability Statements of Financial Derivatives Derivatives Condition Location 9/30/2020 9/30/2020 Fair Value Agricultural contracts Net Unrealized gain (loss) on open futures contracts $ 333,141 $ (34,189) $ 298,952 Currencies contracts Net Unrealized gain (loss) on open futures contracts 3,500 (64,084) (60,584) Energy contracts Net Unrealized gain (loss) on open futures contracts 59,083 (245,924) (186,841) Interest rates contracts Net Unrealized gain (loss) on open futures contracts 114,564 (106,046) 8,518 Meats contracts Net Unrealized gain (loss) on open futures contracts 249 (6,765) (6,516) Metals contracts Net Unrealized gain (loss) on open futures contracts 211,146 (219,720) (8,574) Soft commodities contracts Net Unrealized gain (loss) on open futures contracts 92,871 (45,390) 47,481 Stock indices contracts Net Unrealized gain (loss) on open futures contracts 93,506 (111,380) (17,874) $ 908,060 $ (833,498) $ 74,562 Forward currency contracts Net Unrealized gain (loss) on open forward currency contracts $ 87,678 $ (156,605) $ (68,927) Swap Contracts* Net Unrealized gain (loss) on open swap contracts $ — $ (2,512,664) $ (2,512,664) *At September 30, 2020, the sector exposure of the CTA indices underlying the swaps was: Deutsche Bank total return swap, termination date June 30, 2025 Interest rate contracts 54% Stock indices contracts 12% Forward currency contracts 34% Total 100% Consolidated Asset Liability Statements of Financial Derivatives Derivatives Condition Location 12/31/2019 12/31/2019 Fair Value Agricultural contracts Net Unrealized gain (loss) on open futures contracts $ 201,399 $ (45,915) $ 155,484 Currencies contracts Net Unrealized gain (loss) on open futures contracts 77,837 (71,524) 6,313 Energy contracts Net Unrealized gain (loss) on open futures contracts 399,221 (314,480) 84,741 Interest rates contracts Net Unrealized gain (loss) on open futures contracts 47,095 (324,965) (277,870) Meats contracts Net Unrealized gain (loss) on open futures contracts 1,715 (5,030) (3,315) Metals contracts Net Unrealized gain (loss) on open futures contracts 277,156 (152,572) 124,584 Soft commodities contracts Net Unrealized gain (loss) on open futures contracts 56,283 (3,922) 52,361 Stock indices contracts Net Unrealized gain (loss) on open futures contracts 325,154 (65,645) 259,509 $ 1,385,860 $ (984,053) $ 401,807 Forward currency contracts Net Unrealized gain (loss) on open forward currency contracts $ 67,730 $ (136,803) $ (69,073) Swap Contracts* Net Unrealized gain (loss) on open swap contracts $ 3,650,232 $ (612,793) $ 3,037,439 *At December 31, 2019, the sector exposure of the CTA indices underlying the swaps was: Deutsche Bank total return swap, termination date April 30, 2024 Agricultural contracts 3% Energy contracts 3% Interest rate contracts 46% Metals contracts 5% Stock indices contracts 12% Forward currency contracts 31% Total 100% Deutsche Bank total return swap, termination date July 1, 2020 Interest rate contracts 39% Stock indices contracts 22% Forward currency contracts 39% Total 100% The Effect of Derivative Instruments on the Consolidated Statements of Operations for the Three and Nine Months Ended September 30, 2020 and 2019 Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended Type of Contract September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Agriculturals contracts Net gain (loss) from futures trading $ (1,424) $ 63,116 $ (174,647) $ (31,550) Currencies contracts Net gain (loss) from futures trading (126,007) 754,299 153,601 (41,445) Energy contracts Net gain (loss) from futures trading (426,676) (433,057) 57,034 (1,047,055) Interest rates contracts Net gain (loss) from futures trading 113,782 1,628,379 2,247,407 6,672,188 Meats contracts Net gain (loss) from futures trading (40,036) (57,190) 116,424 (119,508) Metals contracts Net gain (loss) from futures trading 923,069 310,738 1,368,668 529,697 Soft commodities contracts Net gain (loss) from futures trading (108,149) 63,227 (161,116) (148,220) Stock indices Net gain (loss) from futures trading 240,113 (406,464) (2,720,828) 578,608 Forward Currency Contracts Net gain (loss) from forward trading (305,903) 73,076 (79,501) 223,996 Swap Contracts Net gain (loss) from swap trading 39,466 1,129,397 (7,686,323) 760,814 $ 308,235 $ 3,125,521 $ (6,879,281) $ 7,377,525 Line Item in Consolidated Statements of Operations Three Months Ended Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Net gain (loss) from futures trading Realized $ 922,949 $ 3,840,920 $ 1,213,788 $ 8,156,068 Change in unrealized (348,277) (1,917,872) (327,245) (1,763,353) Total realized and change in unrealized net gain (loss) from futures trading $ 574,672 $ 1,923,048 $ 886,543 $ 6,392,715 Net gain (loss) from forward trading Realized $ (230,130) $ 28,629 $ (79,647) $ 86,467 Change in unrealized (75,773) 44,447 146 137,529 Total realized and change in unrealized net gain (loss) from forward trading $ (305,903) $ 73,076 $ (79,501) $ 223,996 Net gain (loss) from swap trading Realized $ (2,136,220) $ — $ (2,136,220) $ — Change in unrealized $ 2,175,686 $ 1,129,397 $ (5,550,103) $ 760,814 Total realized and change in unrealized net gain (loss) from swap trading $ 39,466 $ 1,129,397 $ (7,686,323) $ 760,814 Total realized and change in unrealized net gain (loss) from futures, forward and swap trading $ 308,235 $ 3,125,521 $ (6,879,281) $ 7,377,525 The tables below show the gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition: Offsetting of Derivative Assets As of September 30, 2020 Net Amount of Gross Amounts Unrealized Gain/(Loss) Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Assets Financial Condition Financial Condition U.S. and foreign futures contracts $ 908,060 $ (833,498) $ 74,562 Forward contracts 87,678 (156,605) (68,927) Swap contracts — (2,512,664) (2,512,664) Total derivatives $ 995,738 $ (3,502,767) $ (2,507,029) Offsetting of Derivative Liabilities As of September 30, 2020 Net Amount of Gross Amounts Unrealized Gain Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Liabilities Financial Condition Financial Condition U.S. and foreign futures contracts $ 833,498 $ (833,498) $ — Forward contracts 156,605 (156,605) — Swap contracts 2,512,664 (2,512,664) — Total derivatives $ 3,502,767 $ (3,502,767) $ — Derivatives Assets and Liabilities and Collateral Received by Counterparty As of September 30, 2020 Gross Amounts Not Offset in the Consolidated Statements of Financial Condition Net Amount of Unrealized Gain/(Loss) Presented in the Consolidated Statements of Financial Cash Collateral Counterparty Financial Condition Instruments Received Net Amount ADM Investor Services, Inc. $ (23,924) $ — $ — $ (23,924) Deutsche Bank AG (2,512,664) — — (2,512,664) SG Americas Securities, LLC 29,559 — — 29,559 Total $ (2,507,029) $ — $ — $ (2,507,029) Offsetting of Derivative Assets As of December 31, 2019 Net Amount of Gross Amounts Unrealized Gain/(Loss) Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Assets Financial Condition Financial Condition U.S. and foreign futures contracts $ 1,385,860 $ (984,053) $ 401,807 Forward contracts 67,730 (136,803) (69,073) Swap contracts 3,650,232 (612,793) 3,037,439 Total derivatives $ 5,103,822 $ (1,733,649) $ 3,370,173 Offsetting of Derivative Liabilities As of December 31, 2019 Net Amount of Gross Amounts Unrealized Gain Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Liabilities Financial Condition Financial Condition U.S. and foreign futures contracts $ 984,053 $ (984,053) $ — Forward contracts 136,803 (136,803) — Swap contracts 612,793 (612,793) — Total derivatives $ 1,733,649 $ (1,733,649) $ — Derivatives Assets and Liabilities and Collateral Received by Counterparty As of December 31, 2019 Gross Amounts Not Offset in the Consolidated Statements of Financial Condition Net Amount of Unrealized Gain/(Loss) Presented in the Consolidated Statements of Financial Cash Collateral Counterparty Financial Condition Instruments Received Net Amount ADM Investor Services, Inc. $ (75,551) $ — $ — $ (75,551) Deutsche Bank AG 3,037,439 — — 3,037,439 SG Americas Securities, LLC 408,285 — — 408,285 Total $ 3,370,173 $ — $ — $ 3,370,173 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events | |
Subsequent Events | Note 11. Subsequent Events The Partnership has evaluated subsequent events for potential recognition and/or disclosure through date of issuance of the accompanying consolidated financial statements. Subsequent to September 30, 2020, there were transfers between unit classes totaling approximately $22,300. The swap effective April 5, 2016 was terminated effective July 1, 2020, and the Partnership no longer accesses Winton as a reference trader through an off-exchange swap transaction. Effective October 1, 2020, Sterling Partners Quantitative Investments LLC (“Sterling”) became a trading advisor of the Partnership. Effective October 1, 2020, the Partnership began utilizing Rosenthal Collins Group Division of Marex Spectron as one of its clearing brokers. |
Nature of Business and Signif_2
Nature of Business and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Nature of Business and Significant Accounting Policies | |
Accounting Principles | Accounting Principles: Pursuant to rules and regulations of the SEC, consolidated financial statements of the Partnership are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Partnership is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic (“ASC”) 946, Financial Services – Investment Companies . |
Consolidation | Consolidation: The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation. |
Use of estimates | Use of estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. |
Cash and cash equivalents | Cash and cash equivalents: Cash and cash equivalents may include cash, overnight investments, commercial paper, U.S. treasury bills, money market funds and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition. |
Valuation of investments | Valuation of investments: All investments are used for trading purposes and recorded at their fair value, as described in Note 2. Substantially all of the Partnership’s assets and liabilities are considered financial instruments and are recorded at fair value or at carrying amounts that approximate fair value because of the short maturity of the instruments. |
Investment transactions, investment income and expenses | Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts and securities are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities are reported in the consolidated statement of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210-20, Balance Sheet, Offsetting . Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statement of operations. Interest income and expense is recognized under the accrual basis. Dividend income is recognized on the ex-dividend date. Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership. |
Commissions | Commissions: Commissions and other trading fees are expensed when contracts are opened and closed, and are reflected separately in the consolidated statement of operations. |
Redemptions payable | Redemptions payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from Equity , redemptions approved by the General Partner prior to month end with a fixed effective date and fixed amount are recorded as redemptions payable as of month end. |
Income taxes | Income taxes: No provision for income taxes has been made in these consolidated financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes. The Partnership follows the provisions of ASC 740, Income Taxes . FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. If a tax position does not meet the minimum statutory threshold to avoid payment of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the consolidated statement of operations in the period in which the position is claimed or expected to be claimed. As of September 30, 2020, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2017. |
Organization and offering costs | Organization and offering costs: The General Partner has incurred all expenses in connection with the organization and the continuous public offering of partnership interests and is reimbursed by the Partnership. In addition, the General Partner continues to compensate wholesalers for services rendered to certain Limited Partners. This reimbursement is made monthly and the reimbursement amounts are listed by class in Note 5. In no event, however, will the monthly reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0% annually, of the net asset value of the Partnership. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed these limits in any prior year, provided that the maximum amount reimbursed by the Partnership will not exceed the overall limit set forth above. Amounts reimbursed by the Partnership with respect to the organization and the continuous public offering expenses are charged to expense from operations at the time of reimbursement or accrual. If the Partnership terminates prior to completion of payment of the calculated amounts to the General Partner, the General Partner will not be entitled to any additional payments, and the Partnership will have no further obligation to the General Partner. As of September 30, 2020, unreimbursed organization and offering costs incurred by the General Partner were approximately $172,000 and may be reimbursed by the Partnership in the future. |
Foreign currency transactions | Foreign currency transactions: The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the consolidated statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. |
Swap contracts | Swap contracts: Certain Trading Companies of the Partnership strategically allocate a portion or all of their assets to total return swaps selected at the direction of the General Partner. A swap is a bilaterally negotiated agreement between two parties to exchange cash flows based upon an asset, rate or some other reference index. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of commodities or other investments representing a particular index. A Trading Company’s investment in swap agreements will likely vary over time due to cash flows, asset allocations and market movements. The swap agreements serve to diversify the investment holdings of the Partnership and to provide access to programs and commodity trading advisors that would not otherwise be available to the Partnership, and are not used for hedging purposes. Changes in the value of the swap agreements are recognized as unrealized gains or losses in the consolidated statement of operations by marking to market on a daily basis to reflect the value of the swap agreement at the end of each day as reported by the swap counterparty. The final exchange amount based on the swap value at the termination of the swap agreement will be recorded as a realized gain or loss in the consolidated statement of operations. Through its Trading Companies, the Partnership has entered into total return swaps with Deutsche Bank AG. The Partnership maintains cash as collateral to secure its obligations under the swaps. As of September 30, 2020 and December 31, 2019, the notional value of the swaps were $12,589,399 and $29,622,256, respectively, and the cash margin balance was $5,150,000 and $5,082,500, respectively, which is included in equity in brokers’ trading accounts on the consolidated statements of financial condition. The swap effective July 1, 2015 has a termination date of June 30, 2025. The swap effective April 5, 2016 had a termination date of April 30, 2024 and was terminated effective July 1, 2020. |
Statement of cash flows | Statement of cash flows: The Partnership has elected not to provide statements of cash flows as permitted by FASB ASC 230, Statement of Cash Flows . The Partnership noted that as of and for the periods ended September 30, 2020 and 2019, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented. |
Recent accounting pronouncements | Recent accounting pronouncements: In June 2016, the FASB issued ASU 2016-13 Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments . The new guidance requires an entity to measure all expected credit losses for financial assets held at the reporting date based on historical experience, current conditions, and reasonable and supportable forecasts as opposed to delaying recognition until the loss was probable of occurring. The guidance is effective for annual and interim periods beginning after December 15, 2019. The Partnership adopted ASU 2016-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13 Fair Value Measurement (Topic 820) Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement . The amendments in this update apply to all entities that are required, under existing GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in this update modify the disclosure requirements on fair value measurements in Topic 820. The guidance is effective for fiscal years beginning after December 15, 2019. The Partnership adopted ASU 2018-13 on January 1, 2020 and the adoption did not have a material impact on its consolidated financial statements. In March 2020, the FASB issued ASU 2020-04 Reference Rate Reform . The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. The Partnership is currently evaluating the impact of the guidance on the Partnership's consolidated financial statements and disclosures. The Partnership did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the nine months ended September 30, 2020. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Measurements | |
Schedule of fair value hierarchy for assets and liabilities measured at fair value on a recurring basis | The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2020: Assets Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts U.S. and foreign futures contracts $ 74,562 $ — $ — $ 74,562 Forward currency contracts — (68,927) — (68,927) Swap contracts — (2,512,664) — (2,512,664) Cash and cash equivalents U.S. money market fund 3,751,731 — — 3,751,731 Securities owned U.S. Government-sponsored enterprises — 15,519,543 — 15,519,543 U.S. Government securities — 9,995,194 — 9,995,194 U.S. Exchange-traded funds 7,334,485 — — 7,334,485 Total $ 11,160,778 $ 22,933,146 $ — $ 34,093,924 The following table presents the Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2019: Assets Level 1 Level 2 Level 3 Total Equity in brokers' trading accounts U.S. and foreign futures contracts $ 401,807 $ — $ — $ 401,807 Forward currency contracts — (69,073) — (69,073) Swap contracts — 3,037,439 — 3,037,439 Cash and cash equivalents U.S. money market fund 576,180 — — 576,180 Securities owned U.S. Government-sponsored enterprises — 31,644,430 — 31,644,430 U.S. Government securities — 13,431,977 — 13,431,977 U.S. Exchange-traded funds 5,004,400 — — 5,004,400 Total $ 5,982,387 $ 48,044,773 $ — $ 54,027,160 |
General Partner and Related P_2
General Partner and Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
General Partner and Related Party Transactions | |
Schedule of annualized brokerage charge, organization and offering reimbursement and operating expenses | Organization and Offering Brokerage charge* Reimbursement* Operating Expense* Class A units % % % Class B units % % % Legacy 1 Class units % % % Legacy 2 Class units % % % Global 1 Class units % % % Global 2 Class units % % % Global 3 Class units % % % |
Financial Highlights (Tables)
Financial Highlights (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Financial Highlights | |
Schedule of financial highlights reflecting total return and relevant ratios to Partnership | Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Total return – Class A Units % % % % Total return – Class B Units % % % % Total return – Legacy 1 Class Units % % % % Total return – Legacy 2 Class Units % % % % Total return – Global 1 Class Units % % % % Total return – Global 2 Class Units % % % % Total return – Global 3 Class Units % % % % Ratios as a percentage of average net assets: Expenses prior to incentive fees (1) % % % % Incentive fees (2) % % % % Total expenses % % % % Net investment loss (1) (3) % % % % (1) Annualized. (2) Not annualized. (3) Excludes incentive fee. |
Class A | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Class A Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 845.35 $ 973.27 $ 992.10 $ 946.24 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 4.28 40.09 (123.55) 89.01 Expenses net of interest and dividend income* (11.06) (12.08) (29.98) (33.97) Total income (loss) from operations (6.78) 28.01 (153.53) 55.04 Net asset value per unit at end of period $ 838.57 $ 1,001.28 $ 838.57 $ 1,001.28 |
Class B | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Class B Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 679.29 $ 787.10 $ 799.78 $ 767.31 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.51 32.64 (99.18) 72.21 Expenses net of interest and dividend income* (10.09) (11.24) (27.89) (31.02) Total income (loss) from operations (6.58) 21.40 (127.07) 41.19 Net asset value per unit at end of period $ 672.71 $ 808.50 $ 672.71 $ 808.50 |
Legacy 1 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Legacy 1 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 717.40 $ 807.31 $ 832.28 $ 776.34 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.60 33.26 (103.95) 72.69 Expenses net of interest and dividend income* (5.23) (5.23) (12.56) (13.69) Total income (loss) from operations (1.63) 28.03 (116.51) 59.00 Net asset value per unit at end of period $ 715.77 $ 835.34 $ 715.77 $ 835.34 |
Legacy 2 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Legacy 2 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 695.83 $ 785.00 $ 808.27 $ 756.33 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.49 32.34 (100.92) 71.55 Expenses net of interest and dividend income* (5.50) (5.72) (13.53) (16.26) Total income (loss) from operations (2.01) 26.62 (114.45) 55.29 Net asset value per unit at end of period $ 693.82 $ 811.62 $ 693.82 $ 811.62 |
Global 1 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Global 1 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 723.37 $ 809.59 $ 836.87 $ 777.40 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.64 33.49 (104.53) 73.81 Expenses net of interest and dividend income* (4.30) (4.28) (9.63) (12.41) Total income (loss) from operations (0.66) 29.21 (114.16) 61.40 Net asset value per unit at end of period $ 722.71 $ 838.80 $ 722.71 $ 838.80 |
Global 2 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Global 2 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 704.42 $ 790.36 $ 815.99 $ 759.26 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 3.54 32.79 (101.92) 72.21 Expenses net of interest and dividend income* (4.61) (4.85) (10.72) (13.17) Total income (loss) from operations (1.07) 27.94 (112.64) 59.04 Net asset value per unit at end of period $ 703.35 $ 818.30 $ 703.35 $ 818.30 |
Global 3 Class | |
Financial Highlights | |
Schedule of per unit performance calculations activity related to the Partnership | Global 3 Class Units Three Months Ended Nine Months Ended September 30, September 30, 2020 2019 2020 2019 Per Unit Performance (for unit outstanding throughout the entire period): Net asset value per unit at beginning of period $ 579.61 $ 661.66 $ 677.29 $ 640.57 Income (loss) from operations Net realized and change in unrealized gain (loss) from trading* 1.11 27.39 (85.43) 60.36 Expenses net of interest and dividend income* (4.53) (6.86) (15.67) (18.74) Total income (loss) from operations (3.42) 20.53 (101.10) 41.62 Net asset value per unit at end of period $ 576.19 $ 682.19 $ 576.19 $ 682.19 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments | |
Summary of Fair Values of Derivative Instruments | Consolidated Asset Liability Statements of Financial Derivatives Derivatives Condition Location 9/30/2020 9/30/2020 Fair Value Agricultural contracts Net Unrealized gain (loss) on open futures contracts $ 333,141 $ (34,189) $ 298,952 Currencies contracts Net Unrealized gain (loss) on open futures contracts 3,500 (64,084) (60,584) Energy contracts Net Unrealized gain (loss) on open futures contracts 59,083 (245,924) (186,841) Interest rates contracts Net Unrealized gain (loss) on open futures contracts 114,564 (106,046) 8,518 Meats contracts Net Unrealized gain (loss) on open futures contracts 249 (6,765) (6,516) Metals contracts Net Unrealized gain (loss) on open futures contracts 211,146 (219,720) (8,574) Soft commodities contracts Net Unrealized gain (loss) on open futures contracts 92,871 (45,390) 47,481 Stock indices contracts Net Unrealized gain (loss) on open futures contracts 93,506 (111,380) (17,874) $ 908,060 $ (833,498) $ 74,562 Forward currency contracts Net Unrealized gain (loss) on open forward currency contracts $ 87,678 $ (156,605) $ (68,927) Swap Contracts* Net Unrealized gain (loss) on open swap contracts $ — $ (2,512,664) $ (2,512,664) *At September 30, 2020, the sector exposure of the CTA indices underlying the swaps was: Deutsche Bank total return swap, termination date June 30, 2025 Interest rate contracts 54% Stock indices contracts 12% Forward currency contracts 34% Total 100% Consolidated Asset Liability Statements of Financial Derivatives Derivatives Condition Location 12/31/2019 12/31/2019 Fair Value Agricultural contracts Net Unrealized gain (loss) on open futures contracts $ 201,399 $ (45,915) $ 155,484 Currencies contracts Net Unrealized gain (loss) on open futures contracts 77,837 (71,524) 6,313 Energy contracts Net Unrealized gain (loss) on open futures contracts 399,221 (314,480) 84,741 Interest rates contracts Net Unrealized gain (loss) on open futures contracts 47,095 (324,965) (277,870) Meats contracts Net Unrealized gain (loss) on open futures contracts 1,715 (5,030) (3,315) Metals contracts Net Unrealized gain (loss) on open futures contracts 277,156 (152,572) 124,584 Soft commodities contracts Net Unrealized gain (loss) on open futures contracts 56,283 (3,922) 52,361 Stock indices contracts Net Unrealized gain (loss) on open futures contracts 325,154 (65,645) 259,509 $ 1,385,860 $ (984,053) $ 401,807 Forward currency contracts Net Unrealized gain (loss) on open forward currency contracts $ 67,730 $ (136,803) $ (69,073) Swap Contracts* Net Unrealized gain (loss) on open swap contracts $ 3,650,232 $ (612,793) $ 3,037,439 *At December 31, 2019, the sector exposure of the CTA indices underlying the swaps was: Deutsche Bank total return swap, termination date April 30, 2024 Agricultural contracts 3% Energy contracts 3% Interest rate contracts 46% Metals contracts 5% Stock indices contracts 12% Forward currency contracts 31% Total 100% Deutsche Bank total return swap, termination date July 1, 2020 Interest rate contracts 39% Stock indices contracts 22% Forward currency contracts 39% Total 100% |
Schedule of Effect of Derivative Instruments on the Consolidated Statement of Operations | Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended Type of Contract September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Agriculturals contracts Net gain (loss) from futures trading $ (1,424) $ 63,116 $ (174,647) $ (31,550) Currencies contracts Net gain (loss) from futures trading (126,007) 754,299 153,601 (41,445) Energy contracts Net gain (loss) from futures trading (426,676) (433,057) 57,034 (1,047,055) Interest rates contracts Net gain (loss) from futures trading 113,782 1,628,379 2,247,407 6,672,188 Meats contracts Net gain (loss) from futures trading (40,036) (57,190) 116,424 (119,508) Metals contracts Net gain (loss) from futures trading 923,069 310,738 1,368,668 529,697 Soft commodities contracts Net gain (loss) from futures trading (108,149) 63,227 (161,116) (148,220) Stock indices Net gain (loss) from futures trading 240,113 (406,464) (2,720,828) 578,608 Forward Currency Contracts Net gain (loss) from forward trading (305,903) 73,076 (79,501) 223,996 Swap Contracts Net gain (loss) from swap trading 39,466 1,129,397 (7,686,323) 760,814 $ 308,235 $ 3,125,521 $ (6,879,281) $ 7,377,525 |
Schedule of Line Item in Consolidated Statement of Operations | Line Item in Consolidated Statements of Operations Three Months Ended Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 Net gain (loss) from futures trading Realized $ 922,949 $ 3,840,920 $ 1,213,788 $ 8,156,068 Change in unrealized (348,277) (1,917,872) (327,245) (1,763,353) Total realized and change in unrealized net gain (loss) from futures trading $ 574,672 $ 1,923,048 $ 886,543 $ 6,392,715 Net gain (loss) from forward trading Realized $ (230,130) $ 28,629 $ (79,647) $ 86,467 Change in unrealized (75,773) 44,447 146 137,529 Total realized and change in unrealized net gain (loss) from forward trading $ (305,903) $ 73,076 $ (79,501) $ 223,996 Net gain (loss) from swap trading Realized $ (2,136,220) $ — $ (2,136,220) $ — Change in unrealized $ 2,175,686 $ 1,129,397 $ (5,550,103) $ 760,814 Total realized and change in unrealized net gain (loss) from swap trading $ 39,466 $ 1,129,397 $ (7,686,323) $ 760,814 Total realized and change in unrealized net gain (loss) from futures, forward and swap trading $ 308,235 $ 3,125,521 $ (6,879,281) $ 7,377,525 |
Schedule of Offsetting of Derivative Assets | Offsetting of Derivative Assets As of September 30, 2020 Net Amount of Gross Amounts Unrealized Gain/(Loss) Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Assets Financial Condition Financial Condition U.S. and foreign futures contracts $ 908,060 $ (833,498) $ 74,562 Forward contracts 87,678 (156,605) (68,927) Swap contracts — (2,512,664) (2,512,664) Total derivatives $ 995,738 $ (3,502,767) $ (2,507,029) Offsetting of Derivative Assets As of December 31, 2019 Net Amount of Gross Amounts Unrealized Gain/(Loss) Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Assets Financial Condition Financial Condition U.S. and foreign futures contracts $ 1,385,860 $ (984,053) $ 401,807 Forward contracts 67,730 (136,803) (69,073) Swap contracts 3,650,232 (612,793) 3,037,439 Total derivatives $ 5,103,822 $ (1,733,649) $ 3,370,173 |
Schedule of Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities As of September 30, 2020 Net Amount of Gross Amounts Unrealized Gain Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Liabilities Financial Condition Financial Condition U.S. and foreign futures contracts $ 833,498 $ (833,498) $ — Forward contracts 156,605 (156,605) — Swap contracts 2,512,664 (2,512,664) — Total derivatives $ 3,502,767 $ (3,502,767) $ — Offsetting of Derivative Liabilities As of December 31, 2019 Net Amount of Gross Amounts Unrealized Gain Offset in the Presented in Gross Amount of Consolidated the Consolidated Recognized Statements of Statements of Type of Instrument Liabilities Financial Condition Financial Condition U.S. and foreign futures contracts $ 984,053 $ (984,053) $ — Forward contracts 136,803 (136,803) — Swap contracts 612,793 (612,793) — Total derivatives $ 1,733,649 $ (1,733,649) $ — |
Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty | Derivatives Assets and Liabilities and Collateral Received by Counterparty As of September 30, 2020 Gross Amounts Not Offset in the Consolidated Statements of Financial Condition Net Amount of Unrealized Gain/(Loss) Presented in the Consolidated Statements of Financial Cash Collateral Counterparty Financial Condition Instruments Received Net Amount ADM Investor Services, Inc. $ (23,924) $ — $ — $ (23,924) Deutsche Bank AG (2,512,664) — — (2,512,664) SG Americas Securities, LLC 29,559 — — 29,559 Total $ (2,507,029) $ — $ — $ (2,507,029) Derivatives Assets and Liabilities and Collateral Received by Counterparty As of December 31, 2019 Gross Amounts Not Offset in the Consolidated Statements of Financial Condition Net Amount of Unrealized Gain/(Loss) Presented in the Consolidated Statements of Financial Cash Collateral Counterparty Financial Condition Instruments Received Net Amount ADM Investor Services, Inc. $ (75,551) $ — $ — $ (75,551) Deutsche Bank AG 3,037,439 — — 3,037,439 SG Americas Securities, LLC 408,285 — — 408,285 Total $ 3,370,173 $ — $ — $ 3,370,173 |
Nature of Business and Signif_3
Nature of Business and Significant Accounting Policies (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($)class | Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Assets allocated to GP 1, GP 8, GP 9 and GP 11 | $ 0 | $ 0 | |||
Assets allocated to GP 11 | $ 0 | ||||
Classes of interests | |||||
Number of classes of limited partner interests | class | 7 | ||||
Income taxes | |||||
Income taxes | 0 | $ 0 | $ 0 | $ 0 | |
Debt | |||||
Debt carried by partners | 0 | $ 0 | 0 | $ 0 | |
General Partner | |||||
Organization and offering costs | |||||
Unreimbursed organization and offering costs | 172,000 | $ 172,000 | |||
General Partner | Maximum | |||||
Organization and offering costs | |||||
Allowable monthly reimbursement of organization and offering costs as a percent of net Partnership asset value | 0.083% | ||||
Allowable annual reimbursement of organization and offering costs as a percent of net Partnership asset value | 1.00% | ||||
Swap Contracts | Deutsche Bank Total Return Swap | |||||
Swap contracts | |||||
Derivative notional value | 12,589,399 | $ 12,589,399 | 29,622,256 | ||
Cash margin balance | $ 5,150,000 | $ 5,150,000 | $ 5,082,500 |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value Measurements | ||
Investments Owned, Fair Value | $ 32,849,222 | $ 50,080,807 |
Amount of transfers among Levels 1, 2, and 3 | 0 | 0 |
Recurring basis | ||
Fair Value Measurements | ||
Total - Assets | 34,093,924 | 54,027,160 |
Recurring basis | Futures Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | 74,562 | 401,807 |
Recurring basis | Forward Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (68,927) | (69,073) |
Recurring basis | Swap Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (2,512,664) | 3,037,439 |
Recurring basis | U.S. money market fund | ||
Fair Value Measurements | ||
Cash and cash equivalents | 3,751,731 | 576,180 |
Recurring basis | U.S. Government-sponsored enterprises | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 15,519,543 | 31,644,430 |
Recurring basis | U.S. Government securities | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 9,995,194 | 13,431,977 |
Recurring basis | U.S. Exchange Traded Funds | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 7,334,485 | 5,004,400 |
Recurring basis | Level 1 | ||
Fair Value Measurements | ||
Total - Assets | 11,160,778 | 5,982,387 |
Recurring basis | Level 1 | Futures Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | 74,562 | 401,807 |
Recurring basis | Level 1 | U.S. money market fund | ||
Fair Value Measurements | ||
Cash and cash equivalents | 3,751,731 | 576,180 |
Recurring basis | Level 1 | U.S. Exchange Traded Funds | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 7,334,485 | 5,004,400 |
Recurring basis | Level 2 | ||
Fair Value Measurements | ||
Total - Assets | 22,933,146 | 48,044,773 |
Recurring basis | Level 2 | Forward Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (68,927) | (69,073) |
Recurring basis | Level 2 | Swap Contracts | ||
Fair Value Measurements | ||
Open derivative contracts, fair value | (2,512,664) | 3,037,439 |
Recurring basis | Level 2 | U.S. Government-sponsored enterprises | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | 15,519,543 | 31,644,430 |
Recurring basis | Level 2 | U.S. Government securities | ||
Fair Value Measurements | ||
Investments Owned, Fair Value | $ 9,995,194 | $ 13,431,977 |
Commodity Trading Advisors an_2
Commodity Trading Advisors and Reference Traders (Details) | 9 Months Ended |
Sep. 30, 2020 | |
Minimum | |
Commodity Trading Advisors and Reference Traders | |
Annual percentage of allocated net assets paid as a management fee to commodity trading advisors and reference traders | 0.20% |
Percentage of new trading profits on allocated net assets paid as a incentive fee to commodity trading advisors and reference traders | 0.00% |
Maximum | |
Commodity Trading Advisors and Reference Traders | |
Annual percentage of allocated net assets paid as a management fee to commodity trading advisors and reference traders | 1.00% |
Percentage of new trading profits on allocated net assets paid as a incentive fee to commodity trading advisors and reference traders | 20.00% |
General Partner and Related P_3
General Partner and Related Party Transactions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
General Partner and Related Party Transactions | ||||
Brokerage charge | $ 539,098 | $ 800,841 | $ 1,784,734 | $ 2,512,606 |
Incentive fees | 28,809 | 202,572 | 91,470 | 439,477 |
Organizational and offering costs | 32,848 | 50,587 | 110,773 | 159,055 |
Operating expenses | 28,812 | 44,019 | $ 96,747 | 138,294 |
Maximum | ||||
General Partner and Related Party Transactions | ||||
Percent of the notional amount of a swap transaction used as the basis for fees paid to a counterparty | 0.50% | |||
Percentage of average month-end net assets as basis for determining operating expense reimbursements | 0.25% | |||
General Partner | ||||
General Partner and Related Party Transactions | ||||
Minimum ownership of units as a percentage of all capital contributions of all Partners to the Partnership, option one | 1.00% | |||
Value of minimum ownership of units, option two | $ 25,000 | |||
Percentage of total capital contributions of all partners and all related limited partnerships used in computation of minimum net worth, option one | 5.00% | |||
Percentage of Units being offered for sale in the Partnership used in computation of minimum net worth, option one | 5.00% | |||
Amount of minimum net worth required to be maintained, option two | $ 50,000 | |||
Amount of maximum net worth required to be maintained | $ 1,000,000 | |||
Percentage of General Partners limited partnership interest in the entity treated as a general partnership interest | 10.00% | |||
Minimum amount to which the general partner will reduce the brokerage charge after offset of transaction costs and consulting fees | $ 0 | |||
General Partner | Class A | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 7.00% | |||
Organization and Offering Reimbursement (as a percent) | 0.10% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Class B | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 7.45% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Legacy 1 Class | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 4.50% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Legacy 2 Class | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 4.75% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Global 1 Class | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 3.95% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Global 2 Class | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 4.20% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
General Partner | Global 3 Class | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge (as a percent) | 5.95% | |||
Organization and Offering Reimbursement (as a percent) | 0.30% | |||
Operating Expense (as a percent) | 0.25% | |||
EMC | ||||
General Partner and Related Party Transactions | ||||
Brokerage charge | 21,800 | 17,700 | $ 61,200 | 57,400 |
Incentive fees | $ 0 | $ 0 | $ 0 | $ 0 |
Redemptions and Allocation of_2
Redemptions and Allocation of Net Income or Loss (Details) | 9 Months Ended |
Sep. 30, 2020USD ($) | |
Class A | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Class B | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Legacy 1 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Legacy 2 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 1 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 2 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Global 3 Class | |
Redemptions | |
Notice period by Limited Partner for redemption of Limited Partner units | 10 days |
Notice period by General Partner for redemption of Limited Partner units | 15 days |
Minimum period of holding of units after which no redemption fees are applicable | 1 year |
Redemption fees applicable for stockholders who redeem units on or after one-year anniversary of subscriptions | $ 0 |
Lock in period for redemption of units following subscription | 3 months |
Financial Highlights (Details)
Financial Highlights (Details) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Ratios as a percentage of average net assets: | ||||
Expenses prior to incentive fees (as a percent) | 5.28% | 5.21% | 5.15% | 5.18% |
Incentive fees (as a percent) | 0.06% | 0.29% | 0.18% | 0.61% |
Total expenses (as a percent) | 5.34% | 5.50% | 5.33% | 5.79% |
Net investment loss (as a percent) | (4.57%) | (3.40%) | (3.95%) | (3.55%) |
Class A | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.80%) | 2.88% | (15.48%) | 5.82% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 845.35 | $ 973.27 | $ 992.10 | $ 946.24 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 4.28 | 40.09 | (123.55) | 89.01 |
Expenses net of interest and dividend income (in dollars per unit) | (11.06) | (12.08) | (29.98) | (33.97) |
Total income (loss) from operations (in dollars per unit) | (6.78) | 28.01 | (153.53) | 55.04 |
Net asset value per unit at end of period (in dollars per unit) | $ 838.57 | $ 1,001.28 | $ 838.57 | $ 1,001.28 |
Class B | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.97%) | 2.72% | (15.89%) | 5.37% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 679.29 | $ 787.10 | $ 799.78 | $ 767.31 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 3.51 | 32.64 | (99.18) | 72.21 |
Expenses net of interest and dividend income (in dollars per unit) | (10.09) | (11.24) | (27.89) | (31.02) |
Total income (loss) from operations (in dollars per unit) | (6.58) | 21.40 | (127.07) | 41.19 |
Net asset value per unit at end of period (in dollars per unit) | $ 672.71 | $ 808.50 | $ 672.71 | $ 808.50 |
Legacy 1 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.23%) | 3.47% | (14.00%) | 7.60% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 717.40 | $ 807.31 | $ 832.28 | $ 776.34 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 3.60 | 33.26 | (103.95) | 72.69 |
Expenses net of interest and dividend income (in dollars per unit) | (5.23) | (5.23) | (12.56) | (13.69) |
Total income (loss) from operations (in dollars per unit) | (1.63) | 28.03 | (116.51) | 59 |
Net asset value per unit at end of period (in dollars per unit) | $ 715.77 | $ 835.34 | $ 715.77 | $ 835.34 |
Legacy 2 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.29%) | 3.39% | (14.16%) | 7.31% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 695.83 | $ 785 | $ 808.27 | $ 756.33 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 3.49 | 32.34 | (100.92) | 71.55 |
Expenses net of interest and dividend income (in dollars per unit) | (5.50) | (5.72) | (13.53) | (16.26) |
Total income (loss) from operations (in dollars per unit) | (2.01) | 26.62 | (114.45) | 55.29 |
Net asset value per unit at end of period (in dollars per unit) | $ 693.82 | $ 811.62 | $ 693.82 | $ 811.62 |
Global 1 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.09%) | 3.61% | (13.64%) | 7.90% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 723.37 | $ 809.59 | $ 836.87 | $ 777.40 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 3.64 | 33.49 | (104.53) | 73.81 |
Expenses net of interest and dividend income (in dollars per unit) | (4.30) | (4.28) | (9.63) | (12.41) |
Total income (loss) from operations (in dollars per unit) | (0.66) | 29.21 | (114.16) | 61.40 |
Net asset value per unit at end of period (in dollars per unit) | $ 722.71 | $ 838.80 | $ 722.71 | $ 838.80 |
Global 2 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.15%) | 3.53% | (13.80%) | 7.78% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 704.42 | $ 790.36 | $ 815.99 | $ 759.26 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 3.54 | 32.79 | (101.92) | 72.21 |
Expenses net of interest and dividend income (in dollars per unit) | (4.61) | (4.85) | (10.72) | (13.17) |
Total income (loss) from operations (in dollars per unit) | (1.07) | 27.94 | (112.64) | 59.04 |
Net asset value per unit at end of period (in dollars per unit) | $ 703.35 | $ 818.30 | $ 703.35 | $ 818.30 |
Global 3 Class | ||||
Financial Highlights | ||||
Total return (as a percent) | (0.59%) | 3.10% | (14.93%) | 6.50% |
Per Unit Performance (for unit outstanding throughout the entire period): | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 579.61 | $ 661.66 | $ 677.29 | $ 640.57 |
Income (loss) from operations: | ||||
Net realized and change in unrealized gain (loss) from trading (in dollars per unit) | 1.11 | 27.39 | (85.43) | 60.36 |
Expenses net of interest and dividend income (in dollars per unit) | (4.53) | (6.86) | (15.67) | (18.74) |
Total income (loss) from operations (in dollars per unit) | (3.42) | 20.53 | (101.10) | 41.62 |
Net asset value per unit at end of period (in dollars per unit) | $ 576.19 | $ 682.19 | $ 576.19 | $ 682.19 |
Trading Activities and Relate_2
Trading Activities and Related Risks (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Trading Activities and Related Risks | ||
Cash and cash equivalents | $ 10,936,941 | $ 10,866,216 |
FCMs, interbank market makers and swap counterparties | ||
Trading Activities and Related Risks | ||
Required margin and good faith deposits, low end of the range (as a percent) | 5.00% | |
Required margin and good faith deposits, high end of the range (as a percent) | 35.00% | |
Cash and cash equivalents | $ 10,936,941 | $ 10,866,216 |
Cash deposited with trading counterparties, percent of net asset value | 24.75% | 17.20% |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Fair Values of Derivative Instruments | ||
Asset Derivatives | $ 995,738 | $ 5,103,822 |
Liability Derivatives | $ (3,502,767) | $ (1,733,649) |
Agriculturals | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 3.00% | |
Energy | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 3.00% | |
Interest rates | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 46.00% | |
Interest rates | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 54.00% | |
Interest rates | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 39.00% | |
Metals | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 5.00% | |
Stock indices | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 12.00% | |
Stock indices | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 12.00% | |
Stock indices | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 22.00% | |
Futures Contracts | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | $ 908,060 | $ 1,385,860 |
Liability Derivatives | (833,498) | (984,053) |
Fair Value | 74,562 | 401,807 |
Futures Contracts | Agriculturals | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 333,141 | 201,399 |
Liability Derivatives | (34,189) | (45,915) |
Fair Value | 298,952 | 155,484 |
Futures Contracts | Currencies | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 3,500 | 77,837 |
Liability Derivatives | (64,084) | (71,524) |
Fair Value | (60,584) | 6,313 |
Futures Contracts | Energy | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 59,083 | 399,221 |
Liability Derivatives | (245,924) | (314,480) |
Fair Value | (186,841) | 84,741 |
Futures Contracts | Interest rates | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 114,564 | 47,095 |
Liability Derivatives | (106,046) | (324,965) |
Fair Value | 8,518 | (277,870) |
Futures Contracts | Meats | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 249 | 1,715 |
Liability Derivatives | (6,765) | (5,030) |
Fair Value | (6,516) | (3,315) |
Futures Contracts | Metals | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 211,146 | 277,156 |
Liability Derivatives | (219,720) | (152,572) |
Fair Value | (8,574) | 124,584 |
Futures Contracts | Soft commodities | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 92,871 | 56,283 |
Liability Derivatives | (45,390) | (3,922) |
Fair Value | 47,481 | 52,361 |
Futures Contracts | Stock indices | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 93,506 | 325,154 |
Liability Derivatives | (111,380) | (65,645) |
Fair Value | (17,874) | 259,509 |
Forward Contracts | ||
Fair Values of Derivative Instruments | ||
Fair Value | (68,927) | (69,073) |
Forward Contracts | Currencies | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | 87,678 | 67,730 |
Liability Derivatives | (156,605) | (136,803) |
Fair Value | $ (68,927) | $ (69,073) |
Forward Contracts | Currencies | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 31.00% | |
Forward Contracts | Currencies | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 34.00% | |
Forward Contracts | Currencies | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 39.00% | |
Swap Contracts | ||
Fair Values of Derivative Instruments | ||
Asset Derivatives | $ 3,650,232 | |
Liability Derivatives | $ (2,512,664) | (612,793) |
Fair Value | $ (2,512,664) | $ 3,037,439 |
Swap Contracts | Deutsche Bank Total Return Swap Terminating April 30, 2024 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 100.00% | |
Swap Contracts | Deutsche Bank Total Return Swap Terminating June 30, 2025 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 100.00% | |
Swap Contracts | Deutsche Bank Total Return Swap Terminating July 1, 2020 | ||
Fair Values of Derivative Instruments | ||
Sector exposure index | 100.00% |
Derivative Instruments - Effect
Derivative Instruments - Effect of Derivatives on Statement of Operations (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($)instrument | Sep. 30, 2019USD ($)instrument | Sep. 30, 2020USD ($)instrument | Sep. 30, 2019USD ($)instrument | |
Derivative Instruments | ||||
Rarely exceeded margin-to-equity ratio (as a percent) | 25.00% | |||
Futures, Forward, and Swap Contracts | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 308,235 | $ 3,125,521 | $ (6,879,281) | $ 7,377,525 |
Futures Contracts | ||||
Derivative Instruments | ||||
Monthly average number of derivative instruments bought and sold | instrument | 3,551 | 7,586 | 3,876 | 8,587 |
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 574,672 | $ 1,923,048 | $ 886,543 | $ 6,392,715 |
Futures Contracts | Agriculturals | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (1,424) | 63,116 | (174,647) | (31,550) |
Futures Contracts | Currencies | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (126,007) | 754,299 | 153,601 | (41,445) |
Futures Contracts | Energy | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (426,676) | (433,057) | 57,034 | (1,047,055) |
Futures Contracts | Interest rates | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 113,782 | 1,628,379 | 2,247,407 | 6,672,188 |
Futures Contracts | Meats | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (40,036) | (57,190) | 116,424 | (119,508) |
Futures Contracts | Metals | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | 923,069 | 310,738 | 1,368,668 | 529,697 |
Futures Contracts | Soft commodities | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (108,149) | 63,227 | (161,116) | (148,220) |
Futures Contracts | Stock indices | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 240,113 | $ (406,464) | $ (2,720,828) | $ 578,608 |
Forward Contracts | ||||
Derivative Instruments | ||||
Monthly average number of derivative instruments bought and sold | instrument | 131 | 305 | 249 | 266 |
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ (305,903) | $ 73,076 | $ (79,501) | $ 223,996 |
Forward Contracts | Currencies | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | (305,903) | 73,076 | (79,501) | 223,996 |
Swap Contracts | ||||
Effect of Derivative Instruments on the Consolidated Statement of Operations | ||||
Gains (losses) on derivatives instruments | $ 39,466 | $ 1,129,397 | $ (7,686,323) | $ 760,814 |
Derivative Instruments - Deriva
Derivative Instruments - Derivatives by Line Item in Statement of Operations (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Futures, Forward, and Swap Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Total realized and changed in unrealized net gain (loss) | $ 308,235 | $ 3,125,521 | $ (6,879,281) | $ 7,377,525 |
Futures Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Realized | 922,949 | 3,840,920 | 1,213,788 | 8,156,068 |
Change in unrealized | (348,277) | (1,917,872) | (327,245) | (1,763,353) |
Total realized and changed in unrealized net gain (loss) | 574,672 | 1,923,048 | 886,543 | 6,392,715 |
Forward Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Realized | (230,130) | 28,629 | (79,647) | 86,467 |
Change in unrealized | (75,773) | 44,447 | 146 | 137,529 |
Total realized and changed in unrealized net gain (loss) | (305,903) | 73,076 | (79,501) | 223,996 |
Swap Contracts | ||||
Net gain (loss) from futures and forward currency trading | ||||
Realized | (2,136,220) | (2,136,220) | ||
Change in unrealized | 2,175,686 | 1,129,397 | (5,550,103) | 760,814 |
Total realized and changed in unrealized net gain (loss) | $ 39,466 | $ 1,129,397 | $ (7,686,323) | $ 760,814 |
Derivative Instruments - Offset
Derivative Instruments - Offsetting of Derivative Assets (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | $ 995,738 | $ 5,103,822 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (3,502,767) | (1,733,649) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 3,370,173 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (2,507,029) | |
Futures Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | 908,060 | 1,385,860 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (833,498) | (984,053) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 74,562 | 401,807 |
Forward Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | 87,678 | 67,730 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (156,605) | (136,803) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (68,927) | (69,073) |
Swap Contracts | ||
Offsetting of Derivative Assets | ||
Gross Amount of Recognized Assets | 3,650,232 | |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (2,512,664) | (612,793) |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ 3,037,439 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ (2,512,664) |
Derivative Instruments - Offs_2
Derivative Instruments - Offsetting of Derivative Liabilities (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | $ 3,502,767 | $ 1,733,649 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (3,502,767) | (1,733,649) |
Futures Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 833,498 | 984,053 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (833,498) | (984,053) |
Forward Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 156,605 | 136,803 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | (156,605) | (136,803) |
Swap Contracts | ||
Offsetting of Derivative Liabilities | ||
Gross Amount of Recognized Liabilities | 2,512,664 | 612,793 |
Gross Amounts Offset in the Consolidated Statement of Financial Condition | $ (2,512,664) | $ (612,793) |
Derivative Instruments - Collat
Derivative Instruments - Collateral by Counterparty (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ 3,370,173 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | $ (2,507,029) | |
Net Amount | 3,370,173 | |
Net Amount | (2,507,029) | |
ADM Investor Services, Inc. | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (23,924) | (75,551) |
Net Amount | (23,924) | (75,551) |
Deutsche Bank AG | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 3,037,439 | |
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | (2,512,664) | |
Net Amount | 3,037,439 | |
Net Amount | (2,512,664) | |
SG Americas Securities, LLC | ||
Derivatives Assets and Liabilities Collateral Received by Counterparty | ||
Net Amount of Unrealized Gain Presented in the Consolidated Statement of Financial Condition | 29,559 | 408,285 |
Net Amount | $ 29,559 | $ 408,285 |
Subsequent Events (Details)
Subsequent Events (Details) | 2 Months Ended |
Nov. 16, 2020USD ($) | |
Subsequent Event | |
Subsequent Events | |
Transfers between Partner unit classes | $ 22,300 |