Document and Entity Information
Document and Entity Information | 12 Months Ended |
Dec. 31, 2019 | |
Cover [Abstract] | |
Entity Registrant Name | FUTURES PORTFOLIO FUND L.P. |
Entity Central Index Key | 0000861441 |
Document Type | 10-K |
Document Period End Date | Dec. 31, 2019 |
Entity File Number | 000-50728 |
Entity Incorporation, State or Country Code | MD |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Entity Reporting Status Current | Yes |
Entity Interactive Data Current | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | false |
Entity Emerging Growth | false |
Entity Shell Company | false |
Entity Well-known Season Issuer | No |
Entity Voluntary Filer | No |
Document Fiscal Period Focus | FY |
Document Fiscal Year Focus | 2019 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Equity in broker trading accounts | |||
Cash | $ 64,814,573 | $ 27,926,584 | |
Net unrealized gain (loss) on open futures contracts | [1] | 187,200 | 2,148,112 |
Net unrealized gain (loss) on open forward currency contracts | [1] | (189,715) | 155,058 |
Total equity in broker trading accounts | 64,812,058 | 30,229,754 | |
Cash and cash equivalents | 5,174,304 | 18,259,197 | |
Investment in SMFSF, at fair value (cost $25,620,952 and $30,659,588) | 22,738,951 | 27,423,206 | |
Investments in securities, at fair value (cost $161,352,357 and $217,418,518) | 162,552,581 | 217,055,133 | |
General Partner 1% allocation receivable | 165,532 | ||
Exchange membership, at fair value (cost $189,000 and $189,000) | 62,500 | 145,500 | |
Total assets | 255,340,394 | 293,278,322 | |
Liabilities and Partners' Capital (Net Asset Value) Liabilities | |||
Trading Advisor management fees payable | 586,747 | 369,048 | |
Trading Advisor incentive fees payable | 602,408 | 492,547 | |
Commissions and other trading fees payable on open contracts | 55,213 | 50,074 | |
Cash Manager fees payable | 48,576 | 55,890 | |
General Partner management and performance fees payable | 315,840 | 362,658 | |
General Partner 1% allocation payable | 80,477 | ||
Selling agent fees payable - General Partner | 285,554 | 326,024 | |
Broker dealer servicing fees payable - General Partner | 11,224 | 13,539 | |
Administrative fee payable - General Partner | 58,569 | 67,240 | |
Redemptions payable | 4,780,643 | 5,057,655 | |
Subscriptions received in advance | 266,000 | 224,523 | |
Total liabilities | 7,091,251 | 7,019,198 | |
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 248,249,143 | 286,259,124 | |
Total liabilities and partners' capital (net asset value) | 255,340,394 | 293,278,322 | |
Class A [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 166,191,101 | 189,019,997 | |
Class A2 [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 544,240 | 146,018 | |
Class A3 [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 86,512 | ||
Class B [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 66,498,788 | 79,984,663 | |
Class I [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | 1,846,574 | 3,440,608 | |
Class R [Member] | |||
Partners' Capital (Net Asset Value) | |||
Total partners' capital (net asset value) | $ 13,081,928 | $ 13,667,838 | |
[1] | See the condensed schedule of investments for further description. |
Statements of Financial Condi_2
Statements of Financial Condition (Parenthetical) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Investment in SMFSF, cost | $ 25,620,952 | $ 30,659,588 |
Investments in securities, cost | 161,352,357 | 217,418,518 |
Exchange membership, cost | $ 189,000 | $ 189,000 |
General partner allocation percentage | 1.00% | |
Class A [Member] | ||
Partners' Capital, units outstanding | 41,522.9804 | 48,319.8508 |
Class A2 [Member] | ||
Partners' Capital, units outstanding | 526.3226 | 146.5000 |
Class A3 [Member] | ||
Partners' Capital, units outstanding | 86.0607 | 0 |
Class B [Member] | ||
Partners' Capital, units outstanding | 10,608.5075 | 13,290.4576 |
Class I [Member] | ||
Partners' Capital, units outstanding | 1,769.1082 | 3,466.2779 |
Class R [Member] | ||
Partners' Capital, units outstanding | 12,549.5403 | 13,683.8897 |
Condensed Schedule of Investmen
Condensed Schedule of Investments U.S. Treasury Securities - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value | $ 162,552,581 | $ 217,055,133 | |
% of Partners' Capital (Net Asset Value) | 65.47% | 75.82% | |
Investment Owned, at Cost | $ 161,352,357 | $ 217,418,518 | |
U.S. Treasury Securities [Member] | |||
Fair Value | $ 26,617,666 | $ 67,375,307 | |
% of Partners' Capital (Net Asset Value) | 10.72% | 23.54% | |
Investment Owned, at Cost | $ 26,521,176 | $ 67,200,708 | |
U.S. Treasury Securities [Member] | 2.29 % U.S. Treasury Due 2019-01-17 [Member] | |||
Face Value | $ 10,000,000 | ||
% Yield | [1] | 2.29% | |
Fair Value | $ 9,989,327 | ||
% of Partners' Capital (Net Asset Value) | 3.49% | ||
U.S. Treasury Securities [Member] | 1.50 % U.S. Treasury Due 2019-2-28 [Member] | |||
Face Value | $ 10,000,000 | ||
% Yield | [1] | 1.50% | |
Fair Value | $ 10,036,567 | ||
% of Partners' Capital (Net Asset Value) | 3.50% | ||
U.S. Treasury Securities [Member] | 2.34 % U.S. Treasury Due 2019-02-14 [Member] | |||
Face Value | $ 10,000,000 | ||
% Yield | [1] | 2.34% | |
Fair Value | $ 9,970,594 | ||
% of Partners' Capital (Net Asset Value) | 3.48% | ||
U.S. Treasury Securities [Member] | 1.00 % U.S. Treasury Due 2019-03-15 [Member] | |||
Face Value | $ 6,000,000 | ||
% Yield | [1] | 1.00% | |
Fair Value | $ 6,001,041 | ||
% of Partners' Capital (Net Asset Value) | 2.10% | ||
U.S. Treasury Securities [Member] | 2.35 % U.S. Treasury Due 2019-03-21 [Member] | |||
Face Value | $ 10,000,000 | ||
% Yield | [1] | 2.35% | |
Fair Value | $ 9,948,667 | ||
% of Partners' Capital (Net Asset Value) | 3.48% | ||
U.S. Treasury Securities [Member] | 1.25 % U.S. Treasury Due 2019-04-30 [Member] | |||
Face Value | $ 9,000,000 | ||
% Yield | [1] | 1.25% | |
Fair Value | $ 8,982,278 | ||
% of Partners' Capital (Net Asset Value) | 3.14% | ||
U.S. Treasury Securities [Member] | 0.88 % U.S. Treasury Due 2019-05-15 [Member] | |||
Face Value | $ 3,975,000 | ||
% Yield | [1] | 0.88% | |
Fair Value | $ 3,956,063 | ||
% of Partners' Capital (Net Asset Value) | 1.38% | ||
U.S. Treasury Securities [Member] | 1.38 % U.S. Treasury Due 2019-07-31 [Member] | |||
Face Value | $ 8,500,000 | ||
% Yield | [1] | 1.38% | |
Fair Value | $ 8,490,770 | ||
% of Partners' Capital (Net Asset Value) | 2.97% | ||
U.S. Treasury Securities [Member] | 1.38 % U.S. Treasury Due 2020-01-31 [Member] | |||
Face Value | $ 8,500,000 | ||
% Yield | [1] | 1.38% | |
Fair Value | $ 8,547,582 | ||
% of Partners' Capital (Net Asset Value) | 3.44% | ||
U.S. Treasury Securities [Member] | 1.38 % U.S. Treasury Due 2020-02-15 [Member] | |||
Face Value | $ 6,000,000 | ||
% Yield | [1] | 1.38% | |
Fair Value | $ 6,028,349 | ||
% of Partners' Capital (Net Asset Value) | 2.43% | ||
U.S. Treasury Securities [Member] | 1.63 % U.S. Treasury Due 2020-03-15 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 1.63% | |
Fair Value | $ 4,018,661 | ||
% of Partners' Capital (Net Asset Value) | 1.62% | ||
U.S. Treasury Securities [Member] | 1.50 % U.S. Treasury Due 2020-04-15 [Member] | |||
Face Value | $ 8,000,000 | ||
% Yield | [1] | 1.50% | |
Fair Value | $ 8,023,074 | ||
% of Partners' Capital (Net Asset Value) | 3.23% | ||
[1] | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities. |
Condensed Schedule of Investm_2
Condensed Schedule of Investments Commercial Paper - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value | $ 162,552,581 | $ 217,055,133 | |
% of Partners' Capital (Net Asset Value) | 65.47% | 75.82% | |
Investment Owned, at Cost | $ 161,352,357 | $ 217,418,518 | |
Commercial Paper [Member] | |||
Fair Value | $ 32,964,810 | $ 37,438,570 | |
% of Partners' Capital (Net Asset Value) | 13.27% | 13.08% | |
Investment Owned, at Cost | $ 32,910,123 | $ 37,358,676 | |
Commercial Paper [Member] | U.S. Commercial Paper [Member] | |||
Fair Value | $ 18,976,795 | $ 30,346,125 | |
% of Partners' Capital (Net Asset Value) | 7.64% | 10.60% | |
Investment Owned, at Cost | $ 18,946,261 | $ 30,285,187 | |
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Aerospace [Member] | 2.54% General Dynamics Corporation Due 2019-01-09 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.54% | |
Fair Value | $ 1,499,158 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Aerospace [Member] | 2.71 % Northrop Grumman Corporation Due 2019-01-16 [Member] | |||
Face Value | $ 500,000 | ||
% Yield | [1] | 2.71% | |
Fair Value | $ 499,440 | ||
% of Partners' Capital (Net Asset Value) | 0.17% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 2.69% Hyundai Capital America Due 2019-01-08 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 2.69% | |
Fair Value | $ 1,299,325 | ||
% of Partners' Capital (Net Asset Value) | 0.45% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 2.44% Nissan Motor Acceptance Corporation Due 2019-01-07 [Member] | |||
Face Value | $ 300,000 | ||
% Yield | [1] | 2.44% | |
Fair Value | $ 299,879 | ||
% of Partners' Capital (Net Asset Value) | 0.11% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 2.45% Nissan Motor Acceptance Corporation Due 2019-01-14 [Member] | |||
Face Value | $ 800,000 | ||
% Yield | [1] | 2.45% | |
Fair Value | $ 799,298 | ||
% of Partners' Capital (Net Asset Value) | 0.28% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 3.19% VW Credit, Inc.Due 2019-03-30 [Member] | |||
Face Value | $ 1,200,000 | ||
% Yield | [1] | 3.19% | |
Fair Value | $ 1,191,810 | ||
% of Partners' Capital (Net Asset Value) | 0.42% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 1.71% Hyundai Capital America Due 2020-01-13 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.71% | |
Fair Value | $ 1,299,198 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Automotive [Member] | 1.67% VW Credit, Inc.Due 2020-01-07 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.67% | |
Fair Value | $ 1,299,578 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Banks [Member] | 2.47% Cafco, LLC Due 2019-01-11 [Member] | |||
Face Value | $ 1,200,000 | ||
% Yield | [1] | 2.47% | |
Fair Value | $ 1,199,183 | ||
% of Partners' Capital (Net Asset Value) | 0.42% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Banks [Member] | 2.62% Mitsubishi UFJ Trust & Banking Corporation (U.S.A.) Due 2019-01-30 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.62% | |
Fair Value | $ 1,496,858 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Banks [Member] | 2.52% Nieuw Amsterdam Receivables Corporation Due 2019-01-7 [Member] | |||
Face Value | $ 300,000 | ||
% Yield | [1] | 2.52% | |
Fair Value | $ 299,875 | ||
% of Partners' Capital (Net Asset Value) | 0.11% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Banks [Member] | 1.82 % Mitsubishi UFJ Trust & Banking Corporation (U.S.A.) Due 2020-02-14 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.82% | |
Fair Value | $ 1,396,817 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Beverages [Member] | 2.67% Brown-Forman Corporation Due 2019-01-11 [Member] | |||
Face Value | $ 1,700,000 | ||
% Yield | [1] | 2.67% | |
Fair Value | $ 1,698,749 | ||
% of Partners' Capital (Net Asset Value) | 0.59% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Beverages [Member] | 0.85% Brown-Forman Corporation Due 2020-01-02 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 0.85% | |
Fair Value | $ 1,399,934 | ||
% of Partners' Capital (Net Asset Value) | 0.57% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.69% American Express Credit Corporation Due 2019-02-07 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 2.69% | |
Fair Value | $ 1,396,158 | ||
% of Partners' Capital (Net Asset Value) | 0.49% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.50% CME Group Inc Due 2019-01-03 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.50% | |
Fair Value | $ 1,499,793 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.67% DCAT, LLC Due 2019-02-04 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.67% | |
Fair Value | $ 1,496,246 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.54% Fairway Financial Corporation Due 2019-01-16 [Member] | |||
Face Value | $ 1,000,000 | ||
% Yield | [1] | 2.54% | |
Fair Value | $ 998,950 | ||
% of Partners' Capital (Net Asset Value) | 0.35% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.52% Gotham Funding Corporation Due 2019-01-10 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 2.52% | |
Fair Value | $ 1,399,125 | ||
% of Partners' Capital (Net Asset Value) | 0.49% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.78% Liberty Street Funding LLC Due 2019-03-01 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.78% | |
Fair Value | $ 1,493,240 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.65% Manhattan Asset Funding Company LLC Due 2019-02-15 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 2.65% | |
Fair Value | $ 1,395,398 | ||
% of Partners' Capital (Net Asset Value) | 0.49% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.60% National Rural Utilities Cooperative Finance Corp. Due 2019-02-06 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 2.60% | |
Fair Value | $ 1,296,646 | ||
% of Partners' Capital (Net Asset Value) | 0.45% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 2.72% Thunder Bay Funding, LLC Due 2019-02-19 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 2.72% | |
Fair Value | $ 1,394,855 | ||
% of Partners' Capital (Net Asset Value) | 0.49% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.87% Regency Markets No. 1, LLC Due 2020-01-16 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.87% | |
Fair Value | $ 1,398,833 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.84% American Express Credit Corporation Due 2020-02-19 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.84% | |
Fair Value | $ 1,296,674 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.66% CRC Funding LLC Due 2020-01-15 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.66% | |
Fair Value | $ 1,399,031 | ||
% of Partners' Capital (Net Asset Value) | 0.57% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.55% DCAT, LLC Due 2020-01-08 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.55% | |
Fair Value | $ 1,299,553 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.84% Gotham Funding Corporation Due 2020-03-03 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.84% | |
Fair Value | $ 1,295,813 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Diversified financial services [Member] | 1.80% Manhattan Asset Funding Company LLC Due 2020-02-10 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.80% | |
Fair Value | $ 1,397,122 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 2.72% NextEra Energy Capital Holdings, Inc. Due 2019-01-10 [Member] | |||
Face Value | $ 1,200,000 | ||
% Yield | [1] | 2.72% | |
Fair Value | $ 1,199,190 | ||
% of Partners' Capital (Net Asset Value) | 0.42% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 2.52% One Gas, Inc. Due 2019-01-15 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.52% | |
Fair Value | $ 1,498,542 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 3.02% WEC Energy Group Inc. Due 2019-01-18 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 3.02% | |
Fair Value | $ 1,497,875 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 1.72% Centerpoint Energy Resources Corp. Due 2020-01-09 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.72% | |
Fair Value | $ 1,399,396 | ||
% of Partners' Capital (Net Asset Value) | 0.57% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 1.59% Exxon Mobil Corporation Due 2020-02-04 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 1.59% | |
Fair Value | $ 1,497,677 | ||
% of Partners' Capital (Net Asset Value) | 0.61% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Machinery [Member] | 2.67% Caterpillar Financial Services Corporation Due 2019-01-25 [Member] | |||
Face Value | $ 1,600,000 | ||
% Yield | [1] | 2.67% | |
Fair Value | $ 1,597,173 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Machinery [Member] | 2.67% Parker-Hannifin Corporation Due 2019-01-02 [Member] | |||
Face Value | $ 400,000 | ||
% Yield | [1] | 2.67% | |
Fair Value | $ 399,971 | ||
% of Partners' Capital (Net Asset Value) | 0.15% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | REIT [Member] | 2.47% Simon Property Group, L.P. Due 2019-01-07 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.47% | |
Fair Value | $ 1,499,388 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | REIT [Member] | 1.74% Simon Property Group, L.P. Due 2020-01-29 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.74% | |
Fair Value | $ 1,298,180 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | U.S. Commercial Paper [Member] | Manufacturing [Member] | 1.65% Koch Industries, Inc. Due 2020-01-17 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.65% | |
Fair Value | $ 1,298,989 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | |||
Fair Value | $ 13,988,015 | $ 7,092,445 | |
% of Partners' Capital (Net Asset Value) | 5.63% | 2.48% | |
Investment Owned, at Cost | $ 13,963,862 | $ 7,073,489 | |
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Automotive [Member] | 3.02% Magna International Inc Due 2019-01-08 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 3.02% | |
Fair Value | $ 1,299,242 | ||
% of Partners' Capital (Net Asset Value) | 0.45% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Automotive [Member] | 0.91% Nationwide Building Society Due 2020-01-02 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 0.91% | |
Fair Value | $ 1,499,924 | ||
% of Partners' Capital (Net Asset Value) | 0.61% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Banks [Member] | 2.67% Sumitomo Mitsui Banking Corporation Due 2019-02-05 [Member] | |||
Face Value | $ 1,200,000 | ||
% Yield | [1] | 2.67% | |
Fair Value | $ 1,196,908 | ||
% of Partners' Capital (Net Asset Value) | 0.42% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Banks [Member] | 1.86% DNB Bank ASA Due 2020-02-13 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 1.86% | |
Fair Value | $ 1,496,596 | ||
% of Partners' Capital (Net Asset Value) | 0.60% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Banks [Member] | 1.78% Sumitomo Mitsui Banking Corporation Due 2020-01-27 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.78% | |
Fair Value | $ 1,298,263 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Beverages [Member] | 1.81% Diageo Capital plc Due 2020-01-21 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.81% | |
Fair Value | $ 1,398,522 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Diversified financial services [Member] | 2.56% Anglesea Funding Plc Due 2019-01-02 [Member] | |||
Face Value | $ 1,200,000 | ||
% Yield | [1] | 2.56% | |
Fair Value | $ 1,199,915 | ||
% of Partners' Capital (Net Asset Value) | 0.42% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Diversified financial services [Member] | 2.53% Ontario Teachers' Finance Trust Due 2019-01-14 [Member] | |||
Face Value | $ 800,000 | ||
% Yield | [1] | 2.53% | |
Fair Value | $ 799,275 | ||
% of Partners' Capital (Net Asset Value) | 0.28% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Diversified financial services [Member] | 1.71% Longship Funding Designated Activity Company Due 2020-01-08 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 1.71% | |
Fair Value | $ 1,499,431 | ||
% of Partners' Capital (Net Asset Value) | 0.60% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Diversified financial services [Member] | 1.75% Ontario Teachers' Finance Trust Due 2020-02-03 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.75% | |
Fair Value | $ 1,397,690 | ||
% of Partners' Capital (Net Asset Value) | 0.57% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Chemical [Member] | 2.69% Nutrien Ltd Due 2019-01-07 [Member] | |||
Face Value | $ 1,100,000 | ||
% Yield | [1] | 2.69% | |
Fair Value | $ 1,099,511 | ||
% of Partners' Capital (Net Asset Value) | 0.38% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Chemical [Member] | 1.76% Nutrien Ltd Due 2020-01-10 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.76% | |
Fair Value | $ 1,399,314 | ||
% of Partners' Capital (Net Asset Value) | 0.56% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Engineering [Member] | 2.77% La Compagnie De Telephone Bell Du Canada Ou Bell Canada Due 2019-01-22 [Member] | |||
Face Value | $ 1,500,000 | ||
% Yield | [1] | 2.77% | |
Fair Value | $ 1,497,594 | ||
% of Partners' Capital (Net Asset Value) | 0.53% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Insurance [Member] | 1.58% Prudential plc Due 2020-01-06 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.58% | |
Fair Value | $ 1,299,657 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Telecommunications [Member] | 1.78% Rogers Communications Inc. Due 2020-01-14 [Member] | |||
Face Value | $ 1,400,000 | ||
% Yield | [1] | 1.78% | |
Fair Value | $ 1,399,030 | ||
% of Partners' Capital (Net Asset Value) | 0.57% | ||
Commercial Paper [Member] | Foreign Commercial Paper [Member] | Telecommunications [Member] | 1.63% Bell Canada, Inc. Due 2020-01-07 [Member] | |||
Face Value | $ 1,300,000 | ||
% Yield | [1] | 1.63% | |
Fair Value | $ 1,299,588 | ||
% of Partners' Capital (Net Asset Value) | 0.52% | ||
[1] | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities. |
Condensed Schedule of Investm_3
Condensed Schedule of Investments Corporate Notes - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value | $ 162,552,581 | $ 217,055,133 | |
% of Partners' Capital (Net Asset Value) | 65.47% | 75.82% | |
Investment Owned, at Cost | $ 161,352,357 | $ 217,418,518 | |
Corporate Notes [Member] | |||
Fair Value | $ 92,279,322 | $ 100,547,018 | |
% of Partners' Capital (Net Asset Value) | 37.17% | 35.13% | |
Investment Owned, at Cost | $ 91,256,255 | $ 101,163,730 | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | |||
Fair Value | $ 74,454,771 | $ 72,501,563 | |
% of Partners' Capital (Net Asset Value) | 29.99% | 25.33% | |
Investment Owned, at Cost | $ 73,603,993 | $ 72,986,920 | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Aerospace [Member] | 3.35% United Technologies Corporation Due 2021-08-16 [Member] | |||
Face Value | $ 5,000,000 | $ 5,000,000 | |
% Yield | [1] | 3.35% | 3.35% |
Fair Value | $ 5,178,972 | $ 5,049,063 | |
% of Partners' Capital (Net Asset Value) | 2.09% | 1.77% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Aerospace [Member] | 2.70% Boeing Company 2022-05-01 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 2.70% | |
Fair Value | $ 4,074,640 | ||
% of Partners' Capital (Net Asset Value) | 1.64% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Agriculture [Member] | 4.75% Altria Group, Inc. Due 2021-05-05 [Member] | |||
Face Value | $ 4,850,000 | $ 4,850,000 | |
% Yield | [1] | 4.75% | 4.75% |
Fair Value | $ 5,053,651 | $ 4,992,536 | |
% of Partners' Capital (Net Asset Value) | 2.04% | 1.74% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 3.20% Citigroup Inc. Due 2020-01-10 [Member] | |||
Face Value | $ 4,250,000 | ||
% Yield | [1] | 3.20% | |
Fair Value | $ 4,287,007 | ||
% of Partners' Capital (Net Asset Value) | 1.50% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 2.55% JPMorgan Chase And Co Due 2020-10-29 [Member] | |||
Face Value | $ 4,000,000 | $ 5,000,000 | |
% Yield | [1] | 2.55% | 2.55% |
Fair Value | $ 4,030,675 | $ 4,965,408 | |
% of Partners' Capital (Net Asset Value) | 1.62% | 1.73% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 3.71% JPMorgan Chase & Co. Due 2020-10-29 [Member] | |||
Face Value | $ 3,000,000 | ||
% Yield | [1] | 3.71% | |
Fair Value | $ 3,047,949 | ||
% of Partners' Capital (Net Asset Value) | 1.06% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 2.60% Wells Fargo Bank, National Association Due 2021-01-15 [Member] | |||
Face Value | $ 4,750,000 | $ 4,750,000 | |
% Yield | [1] | 2.60% | 2.60% |
Fair Value | $ 4,833,343 | $ 4,747,762 | |
% of Partners' Capital (Net Asset Value) | 1.95% | 1.66% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 3.13% JPMorgan Chase & Co. Due 2020-10-29 [Member] | |||
Face Value | $ 3,000,000 | ||
% Yield | [1] | 3.13% | |
Fair Value | $ 3,040,470 | ||
% of Partners' Capital (Net Asset Value) | 1.22% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Banks [Member] | 2.80% SunTrust Bank Due 2021-05-17 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 2.80% | |
Fair Value | $ 4,085,233 | ||
% of Partners' Capital (Net Asset Value) | 1.65% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Beverages [Member] | 2.65% Anheuser-Busch Inbev Finance Inc Due 2021-02-01 [Member] | |||
Face Value | $ 1,954,000 | ||
% Yield | [1] | 2.65% | |
Fair Value | $ 1,942,162 | ||
% of Partners' Capital (Net Asset Value) | 0.68% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Diversified financial services [Member] | 7.50% Goldman Sachs Group, Inc. Due 2019-02-15 [Member] | |||
Face Value | $ 2,600,000 | ||
% Yield | [1] | 7.50% | |
Fair Value | $ 2,686,173 | ||
% of Partners' Capital (Net Asset Value) | 0.94% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Diversified financial services [Member] | 3.53% Goldman Sachs Group, Inc. Due 2019-04-25 [Member] | |||
Face Value | $ 2,250,000 | ||
% Yield | [1] | 3.53% | |
Fair Value | $ 2,268,737 | ||
% of Partners' Capital (Net Asset Value) | 0.79% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Diversified financial services [Member] | 2.45% Morgan Stanley Due 2019-02-01 [Member] | |||
Face Value | $ 3,000,000 | ||
% Yield | [1] | 2.45% | |
Fair Value | $ 3,029,155 | ||
% of Partners' Capital (Net Asset Value) | 1.06% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Diversified financial services [Member] | 3.00% Goldman Sachs Group, Inc. Due 2022-04-26 [Member] | |||
Face Value | $ 4,250,000 | ||
% Yield | [1] | 3.00% | |
Fair Value | $ 4,329,852 | ||
% of Partners' Capital (Net Asset Value) | 1.75% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Energy [Member] | 2.80% Enterprise Products Operating LLC Due 2021-02-15 [Member] | |||
Face Value | $ 4,850,000 | ||
% Yield | [1] | 2.80% | |
Fair Value | $ 4,945,364 | ||
% of Partners' Capital (Net Asset Value) | 1.99% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Food [Member] | 3.20% General Mills, Inc. Due 2021-04-16 [Member] | |||
Face Value | $ 3,000,000 | $ 3,000,000 | |
% Yield | [1] | 3.20% | 3.20% |
Fair Value | $ 3,065,870 | $ 3,004,190 | |
% of Partners' Capital (Net Asset Value) | 1.23% | 1.05% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Healthcare [Member] | 2.13% CVS Health Corporation Due 2021-06-1 [Member] | |||
Face Value | $ 3,000,000 | $ 3,000,000 | |
% Yield | [1] | 2.13% | 2.13% |
Fair Value | $ 3,006,261 | $ 2,907,453 | |
% of Partners' Capital (Net Asset Value) | 1.21% | 1.02% | |
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Healthcare [Member] | 3.40% Halfmoon Parent, Inc. Due 2021-09-17 [Member] | |||
Face Value | $ 5,000,000 | ||
% Yield | [1] | 3.40% | |
Fair Value | $ 5,037,511 | ||
% of Partners' Capital (Net Asset Value) | 1.77% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Healthcare [Member] | 3.40% Cigna Corporation Due 2021-09-17 [Member] | |||
Face Value | $ 5,000,000 | ||
% Yield | [1] | 3.40% | |
Fair Value | $ 5,161,766 | ||
% of Partners' Capital (Net Asset Value) | 2.08% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Media [Member] | 3.50% Discovery Communications, LLC. Due 2019-09-20 [Member] | |||
Face Value | $ 3,000,000 | ||
% Yield | [1] | 3.50% | |
Fair Value | $ 3,000,982 | ||
% of Partners' Capital (Net Asset Value) | 1.05% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Media [Member] | 4.38% NBCUniversal Media, LLC Due 2021-04-01 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 4.38% | |
Fair Value | $ 4,167,918 | ||
% of Partners' Capital (Net Asset Value) | 1.68% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Pharmaceutical [Member] | 3.06% Amgen Inc. Due 2020-05-11 [Member] | |||
Face Value | $ 4,200,000 | ||
% Yield | [1] | 3.06% | |
Fair Value | $ 4,212,691 | ||
% of Partners' Capital (Net Asset Value) | 1.47% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Pharmaceutical [Member] | 2.98% Bayer US Finance II LLC Due 2019-06-25 [Member] | |||
Face Value | $ 3,500,000 | ||
% Yield | [1] | 3.45% | |
Fair Value | $ 3,455,729 | ||
% of Partners' Capital (Net Asset Value) | 1.21% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Pharmaceutical [Member] | 2.58% Bayer US Finance II LLC Due 2021-06-25 [Member] | |||
Face Value | $ 3,500,000 | ||
% Yield | [1] | 2.58% | |
Fair Value | $ 3,507,703 | ||
% of Partners' Capital (Net Asset Value) | 1.41% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Pharmaceutical [Member] | 2.60% Bristol-Myers Squibb Company Due 2022-05-16 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 2.60% | |
Fair Value | $ 4,077,500 | ||
% of Partners' Capital (Net Asset Value) | 1.64% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Pharmaceutical [Member] | 2.35% Amgen Inc. Due 2020-05-11 [Member] | |||
Face Value | $ 4,200,000 | ||
% Yield | [1] | 2.35% | |
Fair Value | $ 4,217,523 | ||
% of Partners' Capital (Net Asset Value) | 1.70% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Software [Member] | 2.25% Oracle Corporation Due 2019-10-08 [Member] | |||
Face Value | $ 3,500,000 | ||
% Yield | [1] | 2.25% | |
Fair Value | $ 3,501,671 | ||
% of Partners' Capital (Net Asset Value) | 1.22% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Telecommunication [Member] | 3.50% Apple Inc. Due 2019-02-22 [Member] | |||
Face Value | $ 3,000,000 | ||
% Yield | [1] | 3.50% | |
Fair Value | $ 3,014,395 | ||
% of Partners' Capital (Net Asset Value) | 1.05% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Telecommunication [Member] | 3.13% Cisco Systems, Inc. Due 2019-09-20 [Member] | |||
Face Value | $ 2,500,000 | ||
% Yield | [1] | 3.13% | |
Fair Value | $ 2,503,085 | ||
% of Partners' Capital (Net Asset Value) | 0.87% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Telecommunication [Member] | 2.50% Apple Inc. Due 2022-09-02 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 2.50% | |
Fair Value | $ 4,099,716 | ||
% of Partners' Capital (Net Asset Value) | 1.65% | ||
Corporate Notes [Member] | U.S. Corporate Notes [Member] | Telecommunication [Member] | 3.00% AT&T Inc. Due 2022-06-30 [Member] | |||
Face Value | $ 3,500,000 | ||
% Yield | [1] | 3.00% | |
Fair Value | $ 3,578,314 | ||
% of Partners' Capital (Net Asset Value) | 1.44% | ||
Corporate Notes [Member] | U.S. Commercial Paper [Member] | Energy [Member] | 2.80% Enterprise Products Operating LLC Due 2021-02-15 [Member] | |||
Face Value | $ 4,850,000 | ||
% Yield | [1] | 2.80% | |
Fair Value | $ 4,847,904 | ||
% of Partners' Capital (Net Asset Value) | 1.69% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | |||
Fair Value | $ 17,824,551 | $ 28,045,455 | |
% of Partners' Capital (Net Asset Value) | 7.18% | 9.80% | |
Investment Owned, at Cost | $ 17,652,262 | $ 28,176,810 | |
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Banks [Member] | 3.08% ABN AMRO Bank N.V. Due 2019-01-18 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 3.08% | |
Fair Value | $ 4,026,145 | ||
% of Partners' Capital (Net Asset Value) | 1.41% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Banks [Member] | 2.20% Danske Bank A/S Due 2020-03-02 [Member] | |||
Face Value | $ 5,500,000 | $ 5,500,000 | |
% Yield | [1] | 2.20% | 2.20% |
Fair Value | $ 5,539,634 | $ 5,421,142 | |
% of Partners' Capital (Net Asset Value) | 2.23% | 1.89% | |
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Energy [Member] | 1.68% BP Capital Markets P.L.C. Due 2019-05-03 [Member] | |||
Face Value | $ 5,500,000 | ||
% Yield | [1] | 1.68% | |
Fair Value | $ 5,488,176 | ||
% of Partners' Capital (Net Asset Value) | 1.92% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Energy [Member] | 1.38% Shell International Finance B.V. Due 2019-09-12 [Member] | |||
Face Value | $ 1,000,000 | ||
% Yield | [1] | 1.38% | |
Fair Value | $ 993,303 | ||
% of Partners' Capital (Net Asset Value) | 0.35% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Energy [Member] | 2.13% Shell International Finance B.V. Due 2020-05-11 [Member] | |||
Face Value | $ 2,500,000 | $ 2,500,000 | |
% Yield | [1] | 2.13% | 2.13% |
Fair Value | $ 2,507,384 | $ 2,481,653 | |
% of Partners' Capital (Net Asset Value) | 1.01% | 0.87% | |
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Pharmaceutical [Member] | 4.03% Allergan Funding SCS Due 2020-03-12 [Member] | |||
Face Value | $ 2,250,000 | ||
% Yield | [1] | 4.03% | |
Fair Value | $ 2,261,856 | ||
% of Partners' Capital (Net Asset Value) | 0.79% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Pharmaceutical [Member] | 3.14% Allergan Funding SCS Due 2020-03-12 [Member] | |||
Face Value | $ 2,250,000 | ||
% Yield | [1] | 3.14% | |
Fair Value | $ 2,259,476 | ||
% of Partners' Capital (Net Asset Value) | 0.91% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Insurance [Member] | 3.31% AIA Group Limited Due 2021-09-20 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 3.31% | |
Fair Value | $ 3,985,136 | ||
% of Partners' Capital (Net Asset Value) | 1.39% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Insurance [Member] | 2.43% AIA Group Limited Due 2021-09-20 [Member] | |||
Face Value | $ 4,000,000 | ||
% Yield | [1] | 2.43% | |
Fair Value | $ 4,003,233 | ||
% of Partners' Capital (Net Asset Value) | 1.61% | ||
Corporate Notes [Member] | Foreign Corporate Notes [Member] | Manufacturing [Member] | 2.34% GE Capital International Funding Company Due 2020-11-15 [Member] | |||
Face Value | $ 3,500,000 | $ 3,500,000 | |
% Yield | [1] | 2.34% | 2.34% |
Fair Value | $ 3,514,824 | $ 3,388,044 | |
% of Partners' Capital (Net Asset Value) | 1.42% | 1.18% | |
[1] | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities. |
Condensed Schedule of Investm_4
Condensed Schedule of Investments U.S. Asset Backed Securities - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value | $ 162,552,581 | $ 217,055,133 | |
% of Partners' Capital (Net Asset Value) | 65.47% | 75.82% | |
Investment Owned, at Cost | $ 161,352,357 | $ 217,418,518 | |
U.S. Asset Backed Securities [Member] | |||
Fair Value | $ 10,690,783 | $ 11,694,238 | |
% of Partners' Capital (Net Asset Value) | 4.31% | 4.07% | |
Investment Owned, at Cost | $ 10,664,803 | $ 11,695,404 | |
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.40% Americredit Automobile Receivables Trust 2015-2 Due 2021-01-08 [Member] | |||
Face Value | $ 535,461 | ||
% Yield | [1] | 2.40% | |
Fair Value | $ 535,220 | ||
% of Partners' Capital (Net Asset Value) | 0.19% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 3.11% AmeriCredit Automobile Receivables Trust 2018-3 Due 2022-01-18 [Member] | |||
Face Value | $ 253,596 | $ 675,000 | |
% Yield | [1] | 3.11% | 3.11% |
Fair Value | $ 254,487 | $ 676,258 | |
% of Partners' Capital (Net Asset Value) | 0.10% | 0.24% | |
U.S. Asset Backed Securities [Member] | Automotive [Member] | 3.02% Capital Auto Receivables Asset Trust 2018-2 Due 2021-02-22 [Member] | |||
Face Value | $ 220,524 | $ 745,000 | |
% Yield | [1] | 3.02% | 3.02% |
Fair Value | $ 220,927 | $ 745,278 | |
% of Partners' Capital (Net Asset Value) | 0.09% | 0.26% | |
U.S. Asset Backed Securities [Member] | Automotive [Member] | 1.64% CarMax Auto Owner Trust 2017-3 Due 2020-09-15 [Member] | |||
Face Value | $ 141,983 | ||
% Yield | [1] | 1.64% | |
Fair Value | $ 141,716 | ||
% of Partners' Capital (Net Asset Value) | 0.05% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.88% Drive Auto Receivables Trust 2018-2 Due 2021-06-15 [Member] | |||
Face Value | $ 575,000 | ||
% Yield | [1] | 2.88% | |
Fair Value | $ 575,081 | ||
% of Partners' Capital (Net Asset Value) | 0.20% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 3.01% Drive Auto Receivables Trust 2018-3 Due 2021-11-15 [Member] | |||
Face Value | $ 500,000 | ||
% Yield | [1] | 3.01% | |
Fair Value | $ 500,019 | ||
% of Partners' Capital (Net Asset Value) | 0.17% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.31% Ford Credit Auto Owner Trust 2014-REV2 Due 2026-04-15 [Member] | |||
Face Value | $ 700,000 | ||
% Yield | [1] | 2.31% | |
Fair Value | $ 695,819 | ||
% of Partners' Capital (Net Asset Value) | 0.24% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 1.72% GM Financial Automobile Leasing Trust 2017-2 Due 2020-01-21 [Member] | |||
Face Value | $ 89,815 | ||
% Yield | [1] | 1.72% | |
Fair Value | $ 89,650 | ||
% of Partners' Capital (Net Asset Value) | 0.03% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.39% GM Financial Automobile Leasing Trust 2018-1 Due 2020-04-20 [Member] | |||
Face Value | $ 406,675 | ||
% Yield | [1] | 2.39% | |
Fair Value | $ 405,845 | ||
% of Partners' Capital (Net Asset Value) | 0.14% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.89% GM Financial Automobile Leasing Trust 2018-3 Due 2020-09-21 [Member] | |||
Face Value | $ 55,198 | $ 800,000 | |
% Yield | [1] | 2.89% | 2.89% |
Fair Value | $ 55,266 | $ 799,834 | |
% of Partners' Capital (Net Asset Value) | 0.02% | 0.28% | |
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.55% GM Financial Consumer Automobile Receivables Trust 2018-2 Due 2021-05-17 [Member] | |||
Face Value | $ 73,041 | $ 450,153 | |
% Yield | [1] | 2.55% | 2.55% |
Fair Value | $ 73,153 | $ 449,389 | |
% of Partners' Capital (Net Asset Value) | 0.03% | 0.16% | |
U.S. Asset Backed Securities [Member] | Automotive [Member] | 1.48% Hyundai Auto Receivables Trust 2017-A Due 2020-02-18 [Member] | |||
Face Value | $ 36,011 | ||
% Yield | [1] | 1.48% | |
Fair Value | $ 36,010 | ||
% of Partners' Capital (Net Asset Value) | 0.01% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.20% Mercedes- Benz Auto Lease Trust 2018-A Due 2020-15-04 [Member] | |||
Face Value | $ 470,747 | ||
% Yield | [1] | 2.20% | |
Fair Value | $ 470,176 | ||
% of Partners' Capital (Net Asset Value) | 0.16% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.66% Mercedes-Benz Auto Lease Trust 2017-A Due 2019-08-15 [Member] | |||
Face Value | $ 43,358 | ||
% Yield | [1] | 2.66% | |
Fair Value | $ 43,407 | ||
% of Partners' Capital (Net Asset Value) | 0.02% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 1.64% Nissan Auto Lease Trust 2017-A Due 2019-09-16 [Member] | |||
Face Value | $ 163,259 | ||
% Yield | [1] | 1.64% | |
Fair Value | $ 163,162 | ||
% of Partners' Capital (Net Asset Value) | 0.06% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.08% Santander Drive Auto Receivables Trust 2016-2 Due 2021-02-16 [Member] | |||
Face Value | $ 96,418 | ||
% Yield | [1] | 2.08% | |
Fair Value | $ 96,438 | ||
% of Partners' Capital (Net Asset Value) | 0.03% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.02% Santander Retail Auto Lease Trust 2017-A Due 2020-03-20 [Member] | |||
Face Value | $ 208,158 | ||
% Yield | [1] | 2.02% | |
Fair Value | $ 207,518 | ||
% of Partners' Capital (Net Asset Value) | 0.07% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.32% Tesla Auto Lease Trust 2018-A Due 2019-12-20 [Member] | |||
Face Value | $ 128,432 | ||
% Yield | [1] | 2.32% | |
Fair Value | $ 128,170 | ||
% of Partners' Capital (Net Asset Value) | 0.04% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.30% AmeriCredit Automobile Receivables Trust 2017-1 Due 2022-02-18 [Member] | |||
Face Value | $ 900,000 | ||
% Yield | [1] | 2.30% | |
Fair Value | $ 901,420 | ||
% of Partners' Capital (Net Asset Value) | 0.37% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.04% AmeriCredit Automobile Receivables Trust 2017-4 Due 2022-07-18 [Member] | |||
Face Value | $ 451,554 | ||
% Yield | [1] | 2.04% | |
Fair Value | $ 451,795 | ||
% of Partners' Capital (Net Asset Value) | 0.18% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.43% AmeriCredit Automobile Receivables Trust 2019-2 Due 2022-09-19 [Member] | |||
Face Value | $ 283,888 | ||
% Yield | [1] | 2.43% | |
Fair Value | $ 284,678 | ||
% of Partners' Capital (Net Asset Value) | 0.11% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 3.26% BMW Vehicle Lease Trust 2018-1 Due 2021-07-20 [Member] | |||
Face Value | $ 772,000 | ||
% Yield | [1] | 3.26% | |
Fair Value | $ 779,225 | ||
% of Partners' Capital (Net Asset Value) | 0.31% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.65% Capital Auto Receivables Asset Trust 2016-3 Due 2024-01-22 [Member] | |||
Face Value | $ 250,000 | ||
% Yield | [1] | 2.65% | |
Fair Value | $ 250,578 | ||
% of Partners' Capital (Net Asset Value) | 0.10% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.26% Carmax Auto Owner Trust 2016-4 Due 2022-07-15 [Member] | |||
Face Value | $ 400,000 | ||
% Yield | [1] | 2.26% | |
Fair Value | $ 401,167 | ||
% of Partners' Capital (Net Asset Value) | 0.16% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 3.18% GM Financial Automobile Leasing Trust 2018-3 Due 2021-06-21 [Member] | |||
Face Value | $ 100,000 | ||
% Yield | [1] | 3.18% | |
Fair Value | $ 100,589 | ||
% of Partners' Capital (Net Asset Value) | 0.04% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.41% Mercedes-Benz Auto Lease Trust 2018-A Due 2020-02-16 [Member] | |||
Face Value | $ 52,232 | ||
% Yield | [1] | 2.41% | |
Fair Value | $ 52,320 | ||
% of Partners' Capital (Net Asset Value) | 0.02% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.56% NextGear Floorplan Master Owner Trust , Series 2017-2 Due 2020-10-15 [Member] | |||
Face Value | $ 150,000 | ||
% Yield | [1] | 2.56% | |
Fair Value | $ 150,672 | ||
% of Partners' Capital (Net Asset Value) | 0.06% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.58% Santander Drive Auto Receivables Trust 2017-1 Due 2022-05-16 [Member] | |||
Face Value | $ 333,632 | ||
% Yield | [1] | 2.58% | |
Fair Value | $ 334,317 | ||
% of Partners' Capital (Net Asset Value) | 0.14% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.29% Santander Retail Auto Lease Trust 2019-B Due 2022-04-20 [Member] | |||
Face Value | $ 500,000 | ||
% Yield | [1] | 2.29% | |
Fair Value | $ 501,326 | ||
% of Partners' Capital (Net Asset Value) | 0.20% | ||
U.S. Asset Backed Securities [Member] | Automotive [Member] | 2.13% Tesla Auto Lease Trust 2019-A Due 2022-04-20 [Member] | |||
Face Value | $ 525,000 | ||
% Yield | [1] | 2.13% | |
Fair Value | $ 525,261 | ||
% of Partners' Capital (Net Asset Value) | 0.21% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 2.91% Capital One Multi-Asset Execution Trust Due 2019-04-15 [Member] | |||
Face Value | $ 325,000 | ||
% Yield | [1] | 2.91% | |
Fair Value | $ 325,686 | ||
% of Partners' Capital (Net Asset Value) | 0.11% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 2.87% Chase Issuance Trust Due 2019-05-15 [Member] | |||
Face Value | $ 175,000 | ||
% Yield | [1] | 2.87% | |
Fair Value | $ 175,352 | ||
% of Partners' Capital (Net Asset Value) | 0.06% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 1.58% Chase Issuance Trust Due 2019-08-15 [Member] | |||
Face Value | $ 600,000 | ||
% Yield | [1] | 1.58% | |
Fair Value | $ 595,537 | ||
% of Partners' Capital (Net Asset Value) | 0.21% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 1.64% Discover Card Execution Note Trust Due 2019-1-15 [Member] | |||
Face Value | $ 600,000 | ||
% Yield | [1] | 1.64% | |
Fair Value | $ 599,987 | ||
% of Partners' Capital (Net Asset Value) | 0.21% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 2.04% Barclays Dryrock Issuance Trust, Series 2017-2 Due 2020-07-15 [Member] | |||
Face Value | $ 400,000 | ||
% Yield | [1] | 2.04% | |
Fair Value | $ 400,647 | ||
% of Partners' Capital (Net Asset Value) | 0.16% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | 1.88% Discover Card Execution Note Trust Due 2020-08-17 [Member] | |||
Face Value | $ 400,000 | ||
% Yield | [1] | 1.88% | |
Fair Value | $ 400,350 | ||
% of Partners' Capital (Net Asset Value) | 0.16% | ||
U.S. Asset Backed Securities [Member] | Credit Card [Member] | World Financial Network Credit Card Master Note Trust Series 2017-C Due 2024-08-15 [Member] | |||
Face Value | $ 820,000 | ||
% Yield | [1] | 2.31% | |
Fair Value | $ 822,189 | ||
% of Partners' Capital (Net Asset Value) | 0.34% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 1.85% CNH Equipment Trust 2015-A Due 2021-04-15 [Member] | |||
Face Value | $ 171,137 | ||
% Yield | [1] | 1.85% | |
Fair Value | $ 170,566 | ||
% of Partners' Capital (Net Asset Value) | 0.06% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 1.59% CNH Equipment Trust 2017-B Due 2020-11-16 [Member] | |||
Face Value | $ 135,325 | ||
% Yield | [1] | 1.59% | |
Fair Value | $ 135,008 | ||
% of Partners' Capital (Net Asset Value) | 0.05% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 1.97% Dell Equipment Finance Trust 2017-2 Due 2020-02-24 [Member] | |||
Face Value | $ 263,997 | ||
% Yield | [1] | 1.97% | |
Fair Value | $ 263,234 | ||
% of Partners' Capital (Net Asset Value) | 0.09% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 2.09% Dell Equipment Finance Trust 2018-1 Due 2020-10-22 [Member] | |||
Face Value | $ 121,415 | $ 500,000 | |
% Yield | [1] | 2.09% | 2.80% |
Fair Value | $ 121,496 | $ 500,952 | |
% of Partners' Capital (Net Asset Value) | 0.05% | 0.17% | |
U.S. Asset Backed Securities [Member] | Equipment [Member] | 1.92% Verizon Owner Trust 2017-2 Due 2020-12-20 [Member] | |||
Face Value | $ 205,263 | $ 475,000 | |
% Yield | [1] | 1.92% | 1.92% |
Fair Value | $ 205,342 | $ 470,419 | |
% of Partners' Capital (Net Asset Value) | 0.08% | 0.16% | |
U.S. Asset Backed Securities [Member] | Equipment [Member] | 2.06% Verizon Owner Trust 2017-3 Due 2022-04-20 [Member] | |||
Face Value | $ 922,784 | $ 1,175,000 | |
% Yield | [1] | 2.06% | 2.06% |
Fair Value | $ 923,583 | $ 1,161,674 | |
% of Partners' Capital (Net Asset Value) | 0.37% | 0.41% | |
U.S. Asset Backed Securities [Member] | Equipment [Member] | 2.27% DLL 2019-2 LLC Due 2022-05-20 [Member] | |||
Face Value | $ 500,000 | ||
% Yield | [1] | 2.27% | |
Fair Value | $ 500,832 | ||
% of Partners' Capital (Net Asset Value) | 0.21% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 2.97% GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 Due 2021-06-15 [Member] | |||
Face Value | $ 479,846 | ||
% Yield | [1] | 2.97% | |
Fair Value | $ 482,010 | ||
% of Partners' Capital (Net Asset Value) | 0.19% | ||
U.S. Asset Backed Securities [Member] | Equipment [Member] | 2.84% MMAF Equipment Finance LLC Series 2019-A Due 2022-01-10 [Member] | |||
Face Value | $ 806,676 | ||
% Yield | [1] | 2.84% | |
Fair Value | $ 811,592 | ||
% of Partners' Capital (Net Asset Value) | 0.33% | ||
U.S. Asset Backed Securities [Member] | Student Loans [Member] | 2.70% Navient Student Loan Trust 2018-1 Due 1967-03-25 [Member] | |||
Face Value | $ 213,293 | ||
% Yield | [1] | 2.70% | |
Fair Value | $ 213,387 | ||
% of Partners' Capital (Net Asset Value) | 0.07% | ||
U.S. Asset Backed Securities [Member] | Student Loans [Member] | 2.75% Navient Student Loan Trust 2018-2 Due 1967-03-25 [Member] | |||
Face Value | $ 278,555 | ||
% Yield | [1] | 2.75% | |
Fair Value | $ 278,705 | ||
% of Partners' Capital (Net Asset Value) | 0.10% | ||
U.S. Asset Backed Securities [Member] | Student Loans [Member] | 3.11% SLM Student Loan Trust 2011-2 Due 2027-11-25 [Member] | |||
Face Value | $ 44,538 | ||
% Yield | [1] | 3.11% | |
Fair Value | $ 44,741 | ||
% of Partners' Capital (Net Asset Value) | 0.02% | ||
U.S. Asset Backed Securities [Member] | Student Loans [Member] | 2.39% SLM Student Loan Trust 2011-2 Due 2027-11-25 [Member] | |||
Face Value | $ 26,574 | ||
% Yield | [1] | 2.39% | |
Fair Value | $ 26,622 | ||
% of Partners' Capital (Net Asset Value) | 0.01% | ||
U.S. Asset Backed Securities [Member] | Student Loans [Member] | 2.64% Sofi Professional Loan Program 2018-B Trust Due 2047-08-25 [Member] | |||
Face Value | $ 657,427 | ||
% Yield | [1] | 2.64% | |
Fair Value | $ 658,939 | ||
% of Partners' Capital (Net Asset Value) | 0.27% | ||
[1] | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities. |
Condensed Schedule of Investm_5
Condensed Schedule of Investments Open Futures Contracts - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value | $ 162,552,581 | $ 217,055,133 | |
% of Partners' Capital (Net Asset Value) | 65.47% | 75.82% | |
Investment Owned, at Cost | $ 161,352,357 | $ 217,418,518 | |
U.S. Futures Contracts [Member] | |||
Fair Value | $ 954,227 | $ 1,360,617 | |
% of Partners' Capital (Net Asset Value) | 0.37% | 0.47% | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | |||
Fair Value | $ 1,842,300 | $ (7,652,541) | |
% of Partners' Capital (Net Asset Value) | 0.73% | (2.68%) | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Agricultural Commodities [Member] | |||
Fair Value | $ 275,964 | $ 66,814 | |
% of Partners' Capital (Net Asset Value) | 0.11% | 0.02% | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Currencies [Member] | |||
Fair Value | $ 993,230 | $ 182,729 | |
% of Partners' Capital (Net Asset Value) | 0.40% | 0.06% | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Energy [Member] | |||
Fair Value | $ 179,104 | $ (1,434,763) | |
% of Partners' Capital (Net Asset Value) | 0.07% | (0.50%) | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Equity Indices [Member] | |||
Fair Value | $ 1,049,270 | $ (188,683) | |
% of Partners' Capital (Net Asset Value) | 0.42% | (0.07%) | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Interest Rate Instruments [Member] | |||
Fair Value | $ (650,711) | $ 698,695 | |
% of Partners' Capital (Net Asset Value) | (0.26%) | 0.24% | |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Metals [Member] | |||
Fair Value | $ (163,448) | $ (6,940,650) | [1] |
% of Partners' Capital (Net Asset Value) | (0.07%) | (2.42%) | [1] |
U.S. Futures Contracts [Member] | Long U.S. Futures Contracts [Member] | Single Stock Futures [Member] | |||
Fair Value | $ 158,891 | $ (36,683) | |
% of Partners' Capital (Net Asset Value) | 0.06% | (0.01%) | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | |||
Fair Value | $ (888,073) | $ 9,013,158 | |
% of Partners' Capital (Net Asset Value) | (0.36%) | 3.15% | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Agricultural Commodities [Member] | |||
Fair Value | $ (611,155) | $ 865,115 | |
% of Partners' Capital (Net Asset Value) | (0.25%) | 0.30% | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Currencies [Member] | |||
Fair Value | $ (1,107,362) | $ (413,137) | |
% of Partners' Capital (Net Asset Value) | (0.45%) | (0.14%) | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Energy [Member] | |||
Fair Value | $ 354,367 | $ 1,978,283 | |
% of Partners' Capital (Net Asset Value) | 0.14% | 0.69% | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Equity Indices [Member] | |||
Fair Value | $ (10,129) | $ 1,261,593 | |
% of Partners' Capital (Net Asset Value) | 0.00% | 0.44% | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Interest Rate Instruments [Member] | |||
Fair Value | $ 7,668 | $ (1,223,198) | |
% of Partners' Capital (Net Asset Value) | 0.00% | (0.43%) | |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Metals [Member] | |||
Fair Value | $ 485,172 | $ 6,492,571 | [1] |
% of Partners' Capital (Net Asset Value) | 0.20% | 2.27% | [1] |
U.S. Futures Contracts [Member] | Short U.S. Futures Contracts [Member] | Single Stock Futures [Member] | |||
Fair Value | $ (6,634) | $ 51,931 | |
% of Partners' Capital (Net Asset Value) | 0.00% | 0.02% | |
Foreign Futures Contracts [Member] | |||
Fair Value | $ (767,027) | $ 787,495 | |
% of Partners' Capital (Net Asset Value) | (0.31%) | 0.28% | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | |||
Fair Value | $ (1,758,169) | $ 1,372,006 | |
% of Partners' Capital (Net Asset Value) | (0.71%) | 0.48% | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Agricultural Commodities [Member] | |||
Fair Value | $ 67,579 | $ 10,178 | |
% of Partners' Capital (Net Asset Value) | 0.03% | 0.00% | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Currencies [Member] | |||
Fair Value | $ (17,669) | $ (78,283) | |
% of Partners' Capital (Net Asset Value) | (0.01%) | (0.03%) | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Energy [Member] | |||
Fair Value | $ (11,669) | $ 19,962 | |
% of Partners' Capital (Net Asset Value) | 0.00% | 0.01% | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Equity Indices [Member] | |||
Fair Value | $ (76,733) | $ (1,520,967) | |
% of Partners' Capital (Net Asset Value) | (0.03%) | (0.53%) | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Interest Rate Instruments [Member] | |||
Fair Value | $ (1,754,938) | $ 2,938,406 | [1] |
% of Partners' Capital (Net Asset Value) | (0.71%) | 1.03% | [1] |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Metals [Member] | |||
Fair Value | $ 35,076 | $ 2,710 | |
% of Partners' Capital (Net Asset Value) | 0.01% | 0.00% | |
Foreign Futures Contracts [Member] | Long Foreign Futures Contracts [Member] | Single Stock Futures [Member] | |||
Fair Value | $ 185 | ||
% of Partners' Capital (Net Asset Value) | 0.00% | ||
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | |||
Fair Value | $ 991,142 | $ (584,511) | |
% of Partners' Capital (Net Asset Value) | 0.40% | (0.20%) | |
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Agricultural Commodities [Member] | |||
Fair Value | $ (914) | $ (66,257) | |
% of Partners' Capital (Net Asset Value) | 0.00% | (0.02%) | |
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Currencies [Member] | |||
Fair Value | $ 80,885 | $ 95,922 | |
% of Partners' Capital (Net Asset Value) | 0.03% | 0.03% | |
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Energy [Member] | |||
Fair Value | $ 623,914 | ||
% of Partners' Capital (Net Asset Value) | 0.25% | ||
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Equity Indices [Member] | |||
Fair Value | $ 143,496 | $ 79,455 | |
% of Partners' Capital (Net Asset Value) | 0.06% | 0.03% | |
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Interest Rate Instruments [Member] | |||
Fair Value | $ 143,761 | $ (698,453) | |
% of Partners' Capital (Net Asset Value) | 0.06% | (0.24%) | |
Foreign Futures Contracts [Member] | Short Foreign Futures Contracts [Member] | Metals [Member] | |||
Fair Value | $ 4,822 | ||
% of Partners' Capital (Net Asset Value) | 0.00% | ||
Futures Contracts [Member] | |||
Fair Value | $ 187,200 | $ 2,148,112 | |
% of Partners' Capital (Net Asset Value) | 0.06% | 0.75% | |
U.S. Exchange Forward Currency [Member] | |||
Fair Value | $ (186,184) | $ (30,287) | |
% of Partners' Capital (Net Asset Value) | (0.08%) | (0.01%) | |
U.S. Exchange Forward Currency [Member] | Long U.S. Forward Currency Contracts [Member] | |||
Fair Value | $ 1,142,214 | $ 519,445 | |
% of Partners' Capital (Net Asset Value) | 0.46% | 0.18% | |
U.S. Exchange Forward Currency [Member] | Short U.S. Forward Currency Contracts [Member] | |||
Fair Value | $ (1,328,398) | $ (549,732) | |
% of Partners' Capital (Net Asset Value) | (0.54%) | (0.19%) | |
Foreign Exchange Forward Currency [Member] | |||
Fair Value | $ (3,531) | $ 185,345 | |
% of Partners' Capital (Net Asset Value) | 0.00% | 0.06% | |
Foreign Exchange Forward Currency [Member] | Long Foreign Forward Currency Contracts [Member] | |||
Fair Value | $ (145,721) | $ (197,500) | |
% of Partners' Capital (Net Asset Value) | (0.06%) | (0.07%) | |
Foreign Exchange Forward Currency [Member] | Short Foreign Forward Currency Contracts [Member] | |||
Fair Value | $ 142,190 | $ 382,845 | |
% of Partners' Capital (Net Asset Value) | 0.06% | 0.13% | |
Forward Contracts [Member] | |||
Fair Value | $ (189,715) | $ 155,058 | |
% of Partners' Capital (Net Asset Value) | (0.08%) | 0.05% | |
[1] | No individual futures or forward currency contract position constituted one percent or greater of partners' capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented. |
Statements of Operations
Statements of Operations - USD ($) | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||||
Net realized gain (loss) on: | ||||||
Futures, forward and swap contracts | $ 21,717,540 | $ 8,358,826 | $ 23,750,949 | |||
Investments in SMFSF | (600,755) | (64,475) | 442,126 | |||
Investments in securities and certificates of deposit | (228,885) | (584,903) | 174,166 | |||
Net change in unrealized gain (loss) on: | ||||||
Futures, forward contracts and swap contracts | (2,305,685) | (8,037,263) | 2,273,990 | |||
Investments in SMFSF | 354,381 | (1,694,792) | 1,056,968 | |||
Investments in securities and certificates of deposit | 1,643,633 | (6,890) | (88,535) | |||
Exchange membership | (83,000) | (86,500) | 43,000 | |||
Brokerage commissions and trading expenses | (3,109,619) | (4,248,580) | (4,949,642) | |||
Net realized and change in unrealized gain (loss) on investments | 17,387,610 | (6,364,577) | 22,703,022 | |||
Income | ||||||
Interest income | 7,294,584 | 5,924,353 | 5,288,556 | |||
Expenses | ||||||
Trading Advisor management fees | 4,250,373 | 4,929,797 | 6,647,546 | |||
Trading Advisor incentive fees | 3,602,010 | 626,857 | 4,699,504 | |||
Cash Managers fees | 203,377 | 240,429 | 336,470 | |||
General Partner management and performance fees | 4,033,876 | 4,848,144 | 6,427,712 | |||
Selling agent fees - General Partner | 3,606,761 | 4,349,989 | 5,698,448 | |||
Broker dealer servicing fees - General Partner | 146,324 | 181,268 | 264,944 | |||
General Partner 1% allocation | 80,477 | (165,532) | 19,310 | |||
Administrative fee - General Partner | 791,800 | 936,489 | 1,208,280 | |||
Investment Manager fees | 953,748 | |||||
Distribution (12b-1) fees | 25,397 | |||||
Operating services fee | 130,800 | |||||
Total expenses | 16,714,998 | 15,947,441 | 26,412,159 | |||
Net investment loss | (9,420,414) | (10,023,088) | (21,123,603) | |||
Net income (loss) | 7,967,196 | (16,387,665) | 1,579,419 | |||
Less: net (income) loss attributable to non-controlling interest | 332,291 | |||||
Net income (loss) attributable to the Fund | 7,967,196 | (16,387,665) | 1,911,710 | |||
Class A [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ 4,166,331 | $ (12,435,444) | $ 262,925 | |||
Increase (decrease) in net asset value per unit for the year | $ 90.54 | $ (235.06) | $ 50.88 | |||
Net income (loss) per unit | [1] | $ 93.62 | $ (233.32) | $ 3.75 | ||
Weighted average number of units outstanding (in units) | 53,296.7889 | 53,296.7889 | 70,186.5235 | |||
Class A2 [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ 16,922 | $ (482) | ||||
Increase (decrease) in net asset value per unit for the year | $ 37.33 | $ (3.29) | [2] | |||
Net income (loss) per unit | [1] | $ 47.30 | $ (3.29) | |||
Weighted average number of units outstanding (in units) | 357.7741 | 146.5000 | ||||
Class A3 [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ (1,488) | |||||
Increase (decrease) in net asset value per unit for the year | [3] | $ 5.25 | ||||
Net income (loss) per unit | [1] | $ (23.98) | ||||
Weighted average number of units outstanding (in units) | 62.0304 | |||||
Class B [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ 3,098,701 | $ (3,357,247) | $ 1,088,832 | |||
Increase (decrease) in net asset value per unit for the year | $ 250.24 | $ (248.73) | $ 186.46 | |||
Net income (loss) per unit | [1] | $ 265.77 | $ (230.40) | $ 49.92 | ||
Weighted average number of units outstanding (in units) | 11,659.4612 | 14,571.3605 | 21,810.1053 | |||
Class I [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ 93,607 | $ (106,691) | $ 138,707 | |||
Increase (decrease) in net asset value per unit for the year | $ 51.20 | $ (30.78) | $ 40.26 | |||
Net income (loss) per unit | [1] | $ 38.97 | $ (30.78) | $ 38.89 | ||
Weighted average number of units outstanding (in units) | 2,401.7383 | 3,466.2779 | 3,566.9128 | |||
Class R [Member] | ||||||
Expenses | ||||||
Net income (loss) | $ 593,123 | $ (487,801) | $ 421,246 | |||
Increase (decrease) in net asset value per unit for the year | $ 43.59 | $ (39.22) | $ 38.05 | [4] | ||
Net income (loss) per unit | [1] | $ 44.52 | $ (37.43) | $ 33.19 | ||
Weighted average number of units outstanding (in units) | 13,323.0893 | 13,031.4414 | 12,691.5728 | |||
[1] | based on weighted average number of units outstanding during the year. | |||||
[2] | Class A2 Units were first purchased in December 2018. Total return for 2018 is for the period from first purchase to year end and is not annualized. | |||||
[3] | Class A3 units were first purchased in July 2019. The total return for 2019 is for the period from first purchase to year end and is not annualized. | |||||
[4] | Class R Units were first purchased in April 2017. Total return for 2017 is for the period from first purchase to year end and is not annualized. |
Statements of Operations (Paren
Statements of Operations (Parenthetical) | 12 Months Ended |
Dec. 31, 2019 | |
Income Statement [Abstract] | |
General partner allocation percentage | 1.00% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Cash flows from operating activities | |||
Net income (loss) | $ 7,967,196 | $ (16,387,665) | $ 1,579,419 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||
Net change in unrealized (gain) loss from futures, forwards and swap trading | 2,305,685 | 8,529,763 | (2,362,114) |
Net realized and change in unrealized (gain) loss on SMFSF and fixed income securities | (1,168,374) | 2,351,060 | (1,584,725) |
Purchases of securities and certificates of deposit | (547,522,944) | (544,118,416) | (713,358,772) |
Proceeds from disposition of SMFSF and fixed income securities | 607,878,125 | 568,768,969 | 886,282,982 |
Changes in | |||
Exchange membership | 83,000 | 86,500 | (43,000) |
Trading Advisor management fee payable | 217,699 | (200,141) | (316,335) |
Trading Advisor incentive fee payable | 109,861 | (805,151) | (283,481) |
Commissions and other trading fees payable on open contracts | 5,139 | (33,239) | (39,407) |
Cash Managers fees payable | (7,314) | (19,481) | (27,251) |
General Partner management and performance fees payable | (46,818) | (97,878) | (222,010) |
General Partner 1% allocation receivable/payable | 246,009 | (194,288) | 127,507 |
Selling agent and broker dealer servicing fees payable - General Partner | (44,785) | (94,876) | (196,288) |
Administrative fee payable - General Partner | (8,671) | (21,302) | (38,594) |
Other | 2,000 | ||
Investment Manager fee payable | (16,315) | ||
Distribution (12b-1) fees payable | 370 | ||
Operating services fee payable | (2,238) | ||
Net cash provided by (used in) operating activities | 70,015,808 | 17,763,855 | 169,499,748 |
Cash flows from financing activities | |||
Subscriptions | 11,469,433 | 6,256,533 | 6,390,837 |
Subscriptions received in advance | 266,000 | 224,523 | 287,000 |
Redemptions | (57,948,145) | (68,200,191) | (188,262,404) |
Non-controlling interest - subscriptions | 12,855,910 | ||
Non-controlling interest - redemptions | (9,262,326) | ||
Effect of deconsolidation | (19,504,266) | ||
Net cash provided by (used in) financing activities | (46,212,712) | (61,719,135) | (197,495,249) |
Net increase (decrease) in cash and cash equivalents | 23,803,096 | (43,955,280) | (27,995,501) |
Cash and cash equivalents, beginning of year | 46,185,781 | 90,141,061 | 118,136,562 |
Cash and cash equivalents, end of year | 69,988,877 | 46,185,781 | 90,141,061 |
End of year cash and cash equivalents consists of | |||
Cash in broker trading accounts | 64,814,573 | 27,926,584 | 45,780,428 |
Cash and cash equivalents | 5,174,304 | 18,259,197 | 44,360,633 |
Cash and cash equivalents, end of year | 69,988,877 | 46,185,781 | 90,141,061 |
Supplemental disclosure of cash flow information | |||
Prior year redemptions paid | 5,057,655 | 11,825,677 | 18,217,216 |
Prior year subscriptions received in advance | 244,523 | 287,000 | 2,687,191 |
Supplemental schedule of non-cash financing activities | |||
Redemptions payable | $ 4,780,643 | $ 5,057,655 | $ 11,825,677 |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) | 12 Months Ended |
Dec. 31, 2019 | |
Statement of Cash Flows [Abstract] | |
General partner allocation percentage | 1.00% |
Statements of Changes in Partne
Statements of Changes in Partners' Capital (Net Asset Value) - USD ($) | Class A [Member] | Class A2 [Member] | Class A3 [Member] | Class B [Member] | Class I [Member] | Class R [Member] | Non-Controlling Interest [Member] | Total | |||
Balance at beginning at Dec. 31, 2016 | $ 347,445,757 | $ 177,512,074 | $ 3,763,781 | $ 34,477,673 | $ 563,199,285 | ||||||
Balance at beginning (in units) at Dec. 31, 2016 | 84,825.0303 | 29,193.8071 | 3,828.4541 | ||||||||
Increase (Decrease) in Partners' Capital [Roll Forward] | |||||||||||
Net income (loss) | $ 262,925 | $ 1,088,832 | $ 138,707 | $ 421,246 | (332,291) | 1,579,419 | |||||
Subscriptions | $ 4,210,828 | $ 3,582,200 | $ 500,000 | $ 785,000 | 13,017,620 | 22,095,648 | |||||
Subscriptions (in units) | 1,049.5961 | 593.1117 | 519.3249 | 801.6052 | |||||||
Redemptions | $ (109,127,184) | $ (70,063,639) | $ (855,189) | $ (2,129,913) | (8,993,026) | (191,168,951) | |||||
Redemptions (in units) | (27,302.0042) | (11,836.2255) | (881.5011) | (2,186.9855) | |||||||
Transfers | $ (1,932,003) | $ (11,462,386) | $ 13,394,389 | ||||||||
Transfers (in units) | (490.7801) | (1,889.0556) | 13,399.0197 | ||||||||
Effect of Deconsolidation | $ (38,169,976) | (38,169,976) | |||||||||
Balance at ending at Dec. 31, 2017 | $ 240,860,323 | $ 100,657,081 | $ 3,547,299 | $ 12,470,722 | 357,535,425 | ||||||
Balance at ending (in units) at Dec. 31, 2017 | 58,081.8421 | 16,061.6377 | 3,466.2779 | 12,013.6394 | |||||||
Net asset value per unit at beginning of period (in dollars per unit) at Dec. 31, 2016 | $ 4,096.03 | $ 6,080.47 | $ 983.11 | $ 1,000 | [1] | ||||||
Net asset value per unit at end of period (in dollars per unit) at Dec. 31, 2017 | $ 4,146.91 | $ 1,000 | [2] | $ 6,266.93 | $ 1,023.37 | $ 1,038.05 | [1] | ||||
Increase (Decrease) in Partners' Capital [Roll Forward] | |||||||||||
Net income (loss) | $ (12,435,444) | $ (482) | $ (3,357,247) | $ (106,691) | $ (487,801) | (16,387,665) | |||||
Subscriptions | $ 2,101,833 | $ 146,500 | $ 1,998,200 | $ 2,297,000 | 6,543,533 | ||||||
Subscriptions (in units) | 517.9846 | 146.5000 | 326.3758 | 2,274.1270 | |||||||
Redemptions | $ (39,247,936) | $ (21,572,150) | $ (612,083) | (61,432,169) | |||||||
Redemptions (in units) | (9,717.5796) | (3,466.3744) | (603.8767) | ||||||||
Transfers | $ (2,258,779) | $ 2,258,779 | |||||||||
Transfers (in units) | (562.3963) | 368.8185 | |||||||||
Balance at ending at Dec. 31, 2018 | $ 189,019,997 | $ 146,018 | $ 79,984,663 | $ 3,440,608 | $ 13,667,838 | 286,259,124 | |||||
Balance at ending (in units) at Dec. 31, 2018 | 48,319.8508 | 146.5000 | 0 | 13,290.4576 | 3,466.2779 | 13,683.8897 | |||||
Net asset value per unit at end of period (in dollars per unit) at Dec. 31, 2018 | $ 3,911.85 | $ 996.71 | [2] | $ 1,000 | [3] | $ 6,018.20 | $ 992.59 | $ 998.83 | |||
Increase (Decrease) in Partners' Capital [Roll Forward] | |||||||||||
Net income (loss) | $ 4,166,331 | $ 16,922 | $ (1,488) | $ 3,098,701 | $ 93,607 | $ 593,123 | 7,967,196 | ||||
Subscriptions | $ 8,416,056 | $ 381,300 | $ 88,000 | $ 1,938,600 | $ 250,000 | $ 620,000 | 11,693,956 | ||||
Subscriptions (in units) | 2,129.9459 | 379.8226 | 86.0607 | 303.1254 | 247.1650 | 612.4237 | |||||
Redemptions | $ (35,037,434) | $ (18,897,025) | $ (1,937,641) | $ (1,799,033) | (57,671,133) | ||||||
Redemptions (in units) | (8,832.8800) | (3,045.6841) | (1,944.3347) | (1,746.7731) | |||||||
Transfers | $ (373,849) | $ 373,849 | |||||||||
Transfers (in units) | (93.9364) | 60.6087 | |||||||||
Balance at ending at Dec. 31, 2019 | $ 166,191,101 | $ 544,240 | $ 86,512 | $ 66,498,788 | $ 1,846,574 | $ 13,081,928 | $ 248,249,143 | ||||
Balance at ending (in units) at Dec. 31, 2019 | 41,522.9804 | 526.3226 | 86.0607 | 10,608.5075 | 1,769.1082 | 12,549.5403 | |||||
Net asset value per unit at end of period (in dollars per unit) at Dec. 31, 2019 | $ 4,002.39 | $ 1,034.04 | $ 1,005.25 | [3] | $ 6,268.44 | $ 1,043.79 | $ 1,042.42 | ||||
[1] | Class R Units were first purchased in April 2017. Total return for 2017 is for the period from first purchase to year end and is not annualized. | ||||||||||
[2] | Class A2 Units were first purchased in December 2018. Total return for 2018 is for the period from first purchase to year end and is not annualized. | ||||||||||
[3] | Class A3 units were first purchased in July 2019. The total return for 2019 is for the period from first purchase to year end and is not annualized. |
Organization and Summary of Sig
Organization and Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Summary of Significant Accounting Policies | 1. Organization and Summary of Significant Accounting Policies Description of the Fund Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”). The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades. Steben & Company, LLC (“General Partner”), is the general partner of the Fund and a Maryland limited liability company registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents. On October 31, 2019, Octavus Group, LLC acquired all of the stock of the General Partner. Octavus Group is the parent company of LoCorr Fund Management LLC, which serves as the investment advisor to multiple alternative investment mutual funds. LoCorr Fund Management LLC operates alternative investment funds with a low correlation to traditional asset classes. The six classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents and are generally intended for clients of registered investment advisors. Class R Units were introduced in March 2017, and on April 1, 2017, approximately $14 million in Class B Units transferred to R Units. Class A2 and A3 Units were introduced in June 2017. At December 31, 2019, the Fund owned approximately $22 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), which represents approximately 38% of that fund. SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company. SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to August 31, 2017, the Fund owned more than 50% of the outstanding shares of SMFSF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFSF were consolidated with the Fund through that date. The portion of SMFSF that was not owned by the Fund was presented as the non-controlling interest. On August 31, 2017, the Fund’s ownership of SMFSF dropped below 50%. With this decrease in ownership, the Fund no longer has effective control of SMFSF, and effective August 31, 2017 no longer consolidates the assets, liabilities and operating results of SMFSF into the Fund. The Fund continues to hold an investment in SMFSF and any changes in the fair value of its investment in SMFSF are reported on the Statement of Operations. The investment in SMFSF is reported on the statements of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. For the years ended December 31, 2019 and 2018, the Fund redeemed $6 million and $5 million, respectively, of its investment in SMFSF. In January 2020 SMFSF was merged into the LoCorr Macro Strategies Fund and the Fund fully redeemed its investment following the merger. Significant Accounting Policies Accounting Principles The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies Consolidation Through August 31, 2017, the accompanying financial statements included the accounts of the Fund and SMFSF, for which the Fund was the majority shareholder. On August 31, 2017, the Fund ceased being the majority shareholder of SMFSF and no longer consolidates that entity into its financial statements. Intercompany accounts and transactions have been eliminated in consolidation. Use of Estimates Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Revenue Recognition Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method. Fair Value of Financial Instruments Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This 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). The three levels of the fair value hierarchy are described below: Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds. Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership. Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment. The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the years ended December 31, 2019 and 2018, there were no such transfers between levels. A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2. The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. Cash and Cash Equivalents Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk. Exchange Membership During 2017, the Fund purchased a membership interest in the Chicago Mercantile Exchange (CME). By purchasing the membership, the Fund will incur reduced fees for transactions on the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations. Brokerage Commissions and Trading Expenses Brokerage commissions and trading expenses include brokerage and other trading fees and are charged to expense when contracts are opened and closed. Redemptions Payable Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to year-end. These redemptions have been recorded using the year end net asset value per Unit. Income Taxes The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained 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 asset or liability in the current year. Management has determined there are no material uncertain income tax positions through December 31, 2019. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2016. Foreign Currency Transactions The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations. Reclassification Certain amounts in the 2018 and 2017 financial statements may have been reclassified to conform to the 2019 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss). New Accounting Pronouncements Fair Value Disclosures In August 2018, the FASB issued guidance updating the disclosure requirements for fair value measurement and the fair value hierarchy. Primarily, the guidance added or modified certain disclosures regarding Level 3 fair value measurements and removed certain disclosures involving transfers between Level 1 and Level 2 of the fair value hierarchy. Historically, the Fund has not had any Level 3 fair value measurements and has not had any transfers between Level 1 and Level 2 on the fair value hierarchy. The update is effective beginning after December 15, 2019, although early adoption is permitted. The Fund anticipates no impact of adopting this guidance. |
Fair Value Disclosures
Fair Value Disclosures | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures | 2. Fair Value Disclosures The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements: At December 31, 2019 Level 1 Level 2 Total Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts* $ 187,200 $ — $ 187,200 Net unrealized gain (loss) on open forward currency contracts* — (189,715 ) (189,715 ) Cash and cash equivalents: Money market fund 4,326,784 — 4,326,784 Investment in SMFSF 22,738,951 — 22,738,951 Investments in securities: U.S. Treasury securities* 26,617,666 — 26,617,666 Asset backed securities* — 10,690,783 10,690,783 Commercial paper* — 32,964,810 32,964,810 Corporate notes* — 92,279,322 92,279,322 Exchange membership — 62,500 62,500 Total $ 53,870,601 $ 135,807,700 $ 189,678,301 *See the condensed schedule of investments for further description. At December 31, 2018 Level 1 Level 2 Total Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts* $ 2,148,112 $ — $ 2,148,112 Net unrealized gain (loss) on open forward currency contracts* — 155,058 155,058 Cash and cash equivalents: Money market fund 14,836,223 — 14,836,223 Investment in SMFSF 27,423,206 — 27,423,206 Investments in securities: U.S. Treasury securities* 67,375,307 — 67,375,307 Asset backed securities* — 11,694,238 11,694,238 Commercial paper* — 37,438,570 37,438,570 Corporate notes* — 100,547,018 100,547,018 Exchange membership — 145,500 145,500 Total $ 111,782,848 $ 149,980,384 $ 261,763,232 *See the condensed schedule of investments for further description. There were no Level 3 holdings at December 31, 2019 and 2018, or during the three years ended December 31, 2019. In addition to the financial instruments listed above, substantially all the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments. |
Derivative Instruments Disclosu
Derivative Instruments Disclosures | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments Disclosures | 3. Derivative Instruments Disclosures The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At December 31, 2019 and 2018, the Fund’s derivative contracts had the following impact on the statements of financial condition: December 31, 2019 Derivative Assets and Liabilities, at fair value Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts Agricultural commodities $ 495,307 $ (763,833 ) $ (268,526 ) Currencies 1,281,520 (1,332,436 ) (50,916 ) Energy 1,418,955 (273,239 ) 1,145,716 Equity indices 1,802,335 (696,431 ) 1,105,904 Interest rate instruments 355,541 (2,609,761 ) (2,254,220 ) Metals 9,213,100 (8,856,300 ) 356,800 Single stock futures 188,986 (36,544 ) 152,442 Net unrealized gain (loss) on open futures contracts $ 14,755,744 $ (14,568,544 ) $ 187,200 Net unrealized gain (loss) on open forward currency contracts $ 1,810,575 $ (2,000,290 ) $ (189,715 ) At December 31, 2019, there were 24,843 open futures contracts and 4,249 open forward currency contracts. The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2019 were: Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Assets in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount Deutsche Bank AG $ (173,480 ) $ — $ — $ (173,480 ) Deutsche Bank Securities, Inc. (223,065 ) — — (223,065 ) JP Morgan Securities, LLC 548,538 — — 548,538 SG Americas Securities, LLC (165,943 ) — — (165,943 ) Société Générale International Limited 11,435 — — 11,435 Total $ (2,515 ) $ — $ — $ (2,515 ) December 31, 2018 Derivative Assets and Liabilities, at fair value Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts Agricultural commodities $ 1,218,664 $ (342,814 ) $ 875,850 Currencies 760,876 (973,645 ) (212,769 ) Energy 2,141,913 (1,578,431 ) 563,482 Equity indices 2,064,863 (2,433,465 ) (368,602 ) Interest rate instruments 3,725,805 (2,010,355 ) 1,715,450 Metals 8,434,167 (8,874,714 ) (440,547 ) Single stock futures 81,038 (65,790 ) 15,248 Net unrealized gain (loss) on open futures contracts $ 18,427,326 $ (16,279,214 ) $ 2,148,112 Net unrealized gain (loss) on open forward currency contracts $ 2,315,077 $ (2,160,019 ) $ 155,058 At December 31, 2018, there were 26,433 open futures contracts and 2,198 open forward currency contracts. The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2018 were: Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Assets in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount Deutsche Bank AG $ (125,958 ) $ — $ — $ (125,958 ) Deutsche Bank Securities, Inc. (204,863 ) — — (204,863 ) JP Morgan Securities, LLC (208,608 ) — — (208,608 ) SG Americas Securities, LLC 2,561,583 — — 2,561,583 Société Générale International Limited 281,016 — — 281,016 Total $ 2,303,170 $ — $ — $ 2,303,170 For the years ended December 31, 2019, 2018 and 2017, the Fund’s futures and forwards contracts had the following impact on the statements of operations: 2019 2018 Types of Exposure Net realized gain (loss) Net change Net realized gain (loss) Net change Futures contracts Agricultural commodities $ (2,676,743 ) $ (1,144,375 ) $ (2,561,835 ) $ (89,298 ) Currencies (475,972 ) 161,853 (788,025 ) (912,945 ) Energy (8,168,871 ) 582,233 14,523,103 (3,362,912 ) Equity indices 9,018,161 1,474,506 (4,387,205 ) (2,541,388 ) Interest rate instruments 23,349,604 (3,969,669 ) 1,473,055 3,062,855 Metals (380,443 ) 797,346 1,917,247 (2,919,410 ) Single stock futures 274,580 137,194 (102,236 ) (19,207 ) Total futures contracts 20,940,316 (1,960,912 ) 10,074,104 (6,782,305 ) Forward currency contracts 680,518 (344,773 ) (1,375,239 ) (1,747,458 ) Total futures, forward currency and swap contracts $ 21,620,834 $ (2,305,685 ) $ 8,698,865 $ (8,529,763 ) 2017 Types of Exposure Net realized gain (loss) Net change Futures contracts Agricultural commodities $ (6,968,291 ) $ 274,000 Currencies (7,944,502 ) 34,900 Energy (16,322,348 ) 1,714,614 Equity indices 85,262,449 (792,640 ) Interest rate instruments (21,099,792 ) (3,289,779 ) Metals (5,438,472 ) 3,067,571 Single stock futures 2,546,268 206,565 Total futures contracts 30,035,312 1,215,231 Forward currency contracts (7,815,159 ) 1,146,883 Swap contract $ 22,220,153 $ 2,362,114 Total futures, forward currency and swap contracts $ (6,968,291 ) $ 274,000 For the years ended December 31, 2019, 2018 and 2017, the number of futures contracts closed was 988,640, 1,846,304 and 2,003,372, respectively, and the number of forward currency contracts closed was 1,141,483, 449,669 and 236,846, respectively. |
General Partner
General Partner | 12 Months Ended |
Dec. 31, 2019 | |
General Partner | |
General Partner | 4. General Partner At December 31, 2019, 2018 and 2017, and for the years then ended, the General Partner did not maintain a capital balance in the Fund. The following fees are paid to the General Partner: ■ General Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, A3, B and R Units equal to 1/12 th th ■ General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of any Net New Trading Profits of the Class I Units calculated monthly. In determining Net New Trading Profits, any trading losses incurred by the Class I Units in prior periods is carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Class I units exceed any losses from prior periods. The general partner performance fee is payable quarterly in arrears. ■ Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12 th ■ Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12 th ■ Administrative Fee – the Fund incurs a monthly fee equal to 1/12 th Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations. The following fees were paid to the General Partner during the period in which it consolidated SMFSF: ■ Management fee – SMFSF incurs a monthly fee equal to 1/12 th ■ Distribution (12b-1) fee – SMFSF incurs a monthly 12b-1 fee of 1/12 th th ■ Operating Services fee – SMFSF incurs a monthly fee equal to 1/12 th |
Trading Advisors and Cash Manag
Trading Advisors and Cash Managers | 12 Months Ended |
Dec. 31, 2019 | |
Trading Advisor And Cash Managers | |
Trading Advisors and Cash Managers | 5. Trading Advisors and Cash Managers The Fund has advisory agreements with various trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0% to 3% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement). Principal Global Investors, LLC serves as the cash manager for the Fund. Prior to December 31, 2017, J.P. Morgan Investment Management, Inc. also served as a cash manager (collectively, the “Cash Managers”). The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% and 1/12th of 0.14% of the investments in securities and certificates of deposit as of the period ended December 31, 2019 and 2018, respectively. |
Deposits with Brokers
Deposits with Brokers | 12 Months Ended |
Dec. 31, 2019 | |
Deposits With Brokers | |
Deposits with Brokers | 6. Deposits with Brokers To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At December 31, 2019 and 2018, the Fund had assets totaling $64,812,057 and $60,138,342, respectively, with brokers and margin deposit requirements of $40,682,048 and $38,554,368, respectively. |
Subscriptions, Distributions an
Subscriptions, Distributions and Redemptions | 12 Months Ended |
Dec. 31, 2019 | |
Partners' Capital Notes [Abstract] | |
Subscriptions, Distributions and Redemptions | 7. Subscriptions, Distributions and Redemptions Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A, A2, A3, B and R units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, A2, A3, B, I or R interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At December 31, 2019 and 2018, the Fund received advance subscriptions of $266,000 and $224,523, respectively, which were recognized as subscriptions to the Fund subsequent to period-end. The Fund is not required to make distributions but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, A2, A3, B, I or R Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement. The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or other self-regulatory organization regulations. |
Trading Activities and Related
Trading Activities and Related Risks | 12 Months Ended |
Dec. 31, 2019 | |
Trading Activities And Related Risks | |
Trading Activities and Related Risks | 8. Trading Activities and Related Risks The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract. Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 (or none of) the total cash and other property deposited. The Fund uses with SG Americas Securities, LLC, JP Morgan Securities, LLC, and Deutsche Bank Securities, Inc. as its futures brokers. The Fund uses Société Générale International Limited and Deutsche Bank AG as its forward currency counterparties. For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward currency contracts purchased, and unlimited liability on such contracts sold short. In addition to market risk, upon entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse 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 where 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 currency 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 clearinghouse backed by a group of financial institutions; thus there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund. The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits. Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the statement of financial condition. The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments. Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at December 31, 2019. Country or Region U.S. Treasury Commercial Corporate Notes Asset Backed Total % of Partners’ United States $ 26,617,666 $ 18,976,795 $ 74,454,771 $ 10,690,783 $ 130,740,015 52.66 % Denmark — — 5,539,634 — 5,539,634 2.23 % Canada — 5,495,622 — — 5,495,622 2.22 % Ireland — 1,499,431 3,514,824 — 5,014,255 2.02 % United Kingdom — 4,198,103 — — 4,198,103 1.69 % Hong Kong — — 4,003,233 — 4,003,233 1.61 % Luxumbourg — — 2,259,476 — 2,259,476 0.91 % Netherlands — — 2,507,384 — 2,507,384 1.01 % Norway — 1,496,596 — — 1,496,596 0.60 % Japan — 1,298,263 — — 1,298,263 0.52 % Total $ 26,617,666 $ 32,964,810 $ 92,279,322 $ 10,690,783 $ 162,552,581 65.47 % The following table presents the exposure at December 31, 2018. Country or Region U.S. Treasury Commercial Corporate Notes Asset Backed Total % of Partners’ United States $ 67,375,307 $ 30,346,125 $ 72,501,563 $ 11,694,238 $ 181,917,233 63.55 % Netherlands — — 7,501,101 — 7,501,101 2.62 % United Kingdom — — 5,488,176 — 5,488,176 1.92 % Denmark — — 5,421,142 — 5,421,142 1.89 % Canada — 4,695,622 — — 4,695,622 1.64 % Ireland — 1,199,915 3,388,044 — 4,587,959 1.60 % Hong Kong — — 3,985,136 — 3,985,136 1.39 % Luxumbourg — — 2,261,856 — 2,261,856 0.79 % Japan — 1,196,908 — — 1,196,908 0.42 % Total $ 67,375,307 $ 37,438,570 $ 100,547,018 $ 11,694,238 $ 217,055,133 75.82 % |
Indemnifications
Indemnifications | 12 Months Ended |
Dec. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Indemnifications | 9. Indemnifications In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications. |
Financial Highlights
Financial Highlights | 12 Months Ended |
Dec. 31, 2019 | |
Investment Company, Financial Highlights [Abstract] | |
Financial Highlights | 10. Financial Highlights The following information presents per unit operating performance data and other ratios for the years ended December 31, 2019, 2018 and 2017, assuming the unit was outstanding throughout the entire year: 2019 Class A Class A2 Class A3††† Class B Class I Class R Per Unit Operating Performance Net asset value per unit, beginning of period $ 3,911.85 $ 996.71 $ 1,000.00 $ 6,018.20 $ 992.59 $ 998.83 Net realized and change in unrealized gain (loss) on investments (1) 256.20 63.88 12.50 397.19 66.35 65.24 Net investment income (loss) (1) (165.66 ) (26.55 ) (7.25 ) (146.95 ) (15.15 ) (21.65 ) Total income (loss) from operations 90.54 37.33 5.25 250.24 51.20 43.59 Net asset value per unit, end of period $ 4,002.39 $ 1,034.04 $ 1,005.25 $ 6,268.44 $ 1,043.79 $ 1,042.42 Total return 2.31 % 3.75 % 0.53 % 4.16 % 5.16 % 4.36 % Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 6.87 % 5.58 % 2.70 % 5.06 % 4.14 % 4.82 % General Partner 1% allocation 0.02 % 0.05 % (0.03 %) 0.04 % 0.04 % 0.04 % Net total expenses 6.89 % 5.63 % 2.67 % 5.10 % 4.18 % 4.86 % Net investment income (loss) (2) (3) (4.13 )% (2.51 )% (0.78 )% (2.33 )% (1.45 )% (2.06 )% 2018 Class A Class A2†† Class B Class I Class R Per Unit Operating Performance Net asset value per unit, beginning of period $ 4,146.91 $ 1,000.00 $ 6,266.93 $ 1,023.37 $ 1,038.05 Net realized and change in unrealized gain (loss) on investments (1) (84.38 ) (1.80 ) (129.61 ) (21.82 ) (21.91 ) Net investment income (loss) (1) (150.68 ) (1.49 ) (119.12 ) (8.96 ) (17.31 ) Total income (loss) from operations (235.06 ) (3.29 ) (248.73 ) (30.78 ) (39.22 ) Net asset value per unit, end of period $ 3,911.85 $ 996.71 $ 6,018.20 $ 992.59 $ 998.83 Total return (5.67 )% (0.33 )% (3.97 )% (3.01 )% (3.78 )% Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 5.62 % 0.54 % 3.81 % 2.76 % 3.60 % General Partner 1% allocation (0.06 )% 0.00 % (0.04 )% (0.03 )% (0.04 )% Net total expenses 5.56 % 0.54 % 3.77 % 2.73 % 3.56 % Net investment income (loss) (2) (3) (3.78 )% (0.15 )% (1.97 )% (0.92 )% (1.73 )% 2017 Class A Class A2 Class B Class I Class R† Per Unit Operating Performance Net asset value per unit, beginning of period $ 4,096.03 $ — $ 6,080.47 $ 983.11 $ 1,000.00 Net realized and change in unrealized gain (loss) on investments (1) 274.94 — 415.13 67.05 62.87 Net investment income (loss) (1) (224.06 ) — (228.67 ) (26.79 ) (24.82 ) Total income (loss) from operations 50.88 — 186.46 40.26 38.05 Net asset value per unit, end of period $ 4,146.91 $ — $ 6,266.93 $ 1,023.37 $ 1,038.05 Total return 1.24 % — 3.07 % 4.10 % 3.80 % Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 6.86 % — 5.06 % 3.97 % 4.61 % General Partner 1% allocation 0.00 % — 0.01 % 0.04 % 0.03 % Net total expenses 6.86 % — 5.07 % 4.01 % 4.64 % Net investment income (loss) (2) (3) (5.61 )% — (3.81 )% (2.72 )% (3.31 )% † Class R Units were first purchased in April 2017. Total return for 2017 is for the period from first purchase to year end and is not annualized. †† Class A2 Units were first purchased in December 2018. Total return for 2018 is for the period from first purchase to year end and is not annualized. ††† Class A3 units were first purchased in July 2019. The total return for 2019 is for the period from first purchase to year end and is not annualized. Total returns are calculated based on the change in value of a Class A, Class A2, Class B, Class I or Class R Unit during the year. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) (2) (3) |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | 11. Subsequent Events The recent global outbreak of COVID-19 has disrupted economic markets. The extent of the economic impact is uncertain at this time, and it is unclear if this event will have a positive or negative impact on the performance of the Fund. Subsequent to year end, there were $266,000 of contributions and $11,929,666 of redemptions from the Fund. |
Deconsolidation of Steben Manag
Deconsolidation of Steben Managed Futures Strategy Fund | 12 Months Ended |
Dec. 31, 2019 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Deconsolidation of Steben Managed Futures Strategy Fund | 12. Deconsolidation of Steben Managed Futures Strategy Fund As of August 31, 2017, the Fund no longer has effective control of the financial and operating policies of SMFSF as it no longer owns a majority of the outstanding shares of that mutual fund. Accordingly, the Fund deconsolidated the related assets, liabilities and non-controlling interest in SMFSF on that date. The Fund did not receive any consideration in the deconsolidation of SMFSF and there was no gain or loss upon deconsolidation. The assets and liabilities which the Fund deconsolidated were: Assets August 31, 2017 Equity in broker trading accounts Cash $ 17,813,620 Net unrealized gain (loss) on open futures contracts 1,206,044 Net unrealized gain (loss) on open forward currency contracts 74,520 Total equity in broker trading accounts 19,094,184 Cash and cash equivalents 1,690,646 Investments in securities, at fair value 53,611,230 Subscription receivable 543,627 Liabilities Trading advisor management fees 112,367 Distribution (12b-1) fees payable 3,331 Operating services fee payable 15,410 Redemptions payable 35,760 Net assets deconsolidated 74,772,819 Less: non-controlling interest (38,169,976 ) Fair value of interest retained $ 36,602,843 On the statement of cash flows, the balance of cash and cash equivalents deconsolidated on August 31, 2017 was $19,504,266. On the statement of operations, the income and expenses incurred by SMFSF during the period of consolidation are recognized as income and expenses of the Fund pursuant to the principles of consolidation. Income and expenses incurred by SMFSF following deconsolidation on August 31, 2017 are not directly recognized by the Fund, but they do impact the net asset value of SMFSF and consequently the fair value of the Fund’s investment in SMFSF. Realized gains (losses) and changes in unrealized gains (losses) on the Fund’s investment in SMFSF following deconsolidation on August 31, 2017 are recognized on the Fund’s statement of operations. |
Organization and Summary of S_2
Organization and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Accounting Principles | Accounting Principles The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies |
Consolidation | Consolidation Through August 31, 2017, the accompanying financial statements included the accounts of the Fund and SMFSF, for which the Fund was the majority shareholder. On August 31, 2017, the Fund ceased being the majority shareholder of SMFSF and no longer consolidates that entity into its financial statements. Intercompany accounts and transactions have been eliminated in consolidation. |
Use of Estimates | Use of Estimates Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. |
Revenue Recognition | Revenue Recognition Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method. |
Fair Value of Financial Instruments | Fair Value of Financial Instruments Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This 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). The three levels of the fair value hierarchy are described below: Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds. Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership. Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment. The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the years ended December 31, 2019 and 2018, there were no such transfers between levels. A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2. The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk. |
Exchange Membership | Exchange Membership During 2017, the Fund purchased a membership interest in the Chicago Mercantile Exchange (CME). By purchasing the membership, the Fund will incur reduced fees for transactions on the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations. |
Brokerage Commissions and Trading Expenses | Brokerage Commissions and Trading Expenses Brokerage commissions and trading expenses include brokerage and other trading fees and are charged to expense when contracts are opened and closed. |
Redemptions Payable | Redemptions Payable Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to year-end. These redemptions have been recorded using the year end net asset value per Unit. |
Income Taxes | Income Taxes The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained 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 asset or liability in the current year. Management has determined there are no material uncertain income tax positions through December 31, 2019. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2016. |
Foreign Currency Transactions | Foreign Currency Transactions The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations. |
Reclassification | Reclassification Certain amounts in the 2018 and 2017 financial statements may have been reclassified to conform to the 2019 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss). |
New Accounting Pronouncements | New Accounting Pronouncements Fair Value Disclosures In August 2018, the FASB issued guidance updating the disclosure requirements for fair value measurement and the fair value hierarchy. Primarily, the guidance added or modified certain disclosures regarding Level 3 fair value measurements and removed certain disclosures involving transfers between Level 1 and Level 2 of the fair value hierarchy. Historically, the Fund has not had any Level 3 fair value measurements and has not had any transfers between Level 1 and Level 2 on the fair value hierarchy. The update is effective beginning after December 15, 2019, although early adoption is permitted. The Fund anticipates no impact of adopting this guidance. |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Schedule of assets and liabilities measured on recurring basis | The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements: At December 31, 2019 Level 1 Level 2 Total Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts* $ 187,200 $ — $ 187,200 Net unrealized gain (loss) on open forward currency contracts* — (189,715 ) (189,715 ) Cash and cash equivalents: Money market fund 4,326,784 — 4,326,784 Investment in SMFSF 22,738,951 — 22,738,951 Investments in securities: U.S. Treasury securities* 26,617,666 — 26,617,666 Asset backed securities* — 10,690,783 10,690,783 Commercial paper* — 32,964,810 32,964,810 Corporate notes* — 92,279,322 92,279,322 Exchange membership — 62,500 62,500 Total $ 53,870,601 $ 135,807,700 $ 189,678,301 *See the condensed schedule of investments for further description. At December 31, 2018 Level 1 Level 2 Total Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts* $ 2,148,112 $ — $ 2,148,112 Net unrealized gain (loss) on open forward currency contracts* — 155,058 155,058 Cash and cash equivalents: Money market fund 14,836,223 — 14,836,223 Investment in SMFSF 27,423,206 — 27,423,206 Investments in securities: U.S. Treasury securities* 67,375,307 — 67,375,307 Asset backed securities* — 11,694,238 11,694,238 Commercial paper* — 37,438,570 37,438,570 Corporate notes* — 100,547,018 100,547,018 Exchange membership — 145,500 145,500 Total $ 111,782,848 $ 149,980,384 $ 261,763,232 *See the condensed schedule of investments for further description. |
Derivative Instruments Disclo_2
Derivative Instruments Disclosures (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of derivative contracts impact on the consolidated statements of financial position | The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At December 31, 2019 and 2018, the Fund’s derivative contracts had the following impact on the statements of financial condition: December 31, 2019 Derivative Assets and Liabilities, at fair value Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts Agricultural commodities $ 495,307 $ (763,833 ) $ (268,526 ) Currencies 1,281,520 (1,332,436 ) (50,916 ) Energy 1,418,955 (273,239 ) 1,145,716 Equity indices 1,802,335 (696,431 ) 1,105,904 Interest rate instruments 355,541 (2,609,761 ) (2,254,220 ) Metals 9,213,100 (8,856,300 ) 356,800 Single stock futures 188,986 (36,544 ) 152,442 Net unrealized gain (loss) on open futures contracts $ 14,755,744 $ (14,568,544 ) $ 187,200 Net unrealized gain (loss) on open forward currency contracts $ 1,810,575 $ (2,000,290 ) $ (189,715 ) December 31, 2018 Derivative Assets and Liabilities, at fair value Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts Agricultural commodities $ 1,218,664 $ (342,814 ) $ 875,850 Currencies 760,876 (973,645 ) (212,769 ) Energy 2,141,913 (1,578,431 ) 563,482 Equity indices 2,064,863 (2,433,465 ) (368,602 ) Interest rate instruments 3,725,805 (2,010,355 ) 1,715,450 Metals 8,434,167 (8,874,714 ) (440,547 ) Single stock futures 81,038 (65,790 ) 15,248 Net unrealized gain (loss) on open futures contracts $ 18,427,326 $ (16,279,214 ) $ 2,148,112 Net unrealized gain (loss) on open forward currency contracts $ 2,315,077 $ (2,160,019 ) $ 155,058 |
Schedule of financial assets, derivative assets, and cash collateral held by counterparties | The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2019 were: Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Assets in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount Deutsche Bank AG $ (173,480 ) $ — $ — $ (173,480 ) Deutsche Bank Securities, Inc. (223,065 ) — — (223,065 ) JP Morgan Securities, LLC 548,538 — — 548,538 SG Americas Securities, LLC (165,943 ) — — (165,943 ) Société Générale International Limited 11,435 — — 11,435 Total $ (2,515 ) $ — $ — $ (2,515 ) The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2018 were: Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Assets in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount Deutsche Bank AG $ (125,958 ) $ — $ — $ (125,958 ) Deutsche Bank Securities, Inc. (204,863 ) — — (204,863 ) JP Morgan Securities, LLC (208,608 ) — — (208,608 ) SG Americas Securities, LLC 2,561,583 — — 2,561,583 Société Générale International Limited 281,016 — — 281,016 Total $ 2,303,170 $ — $ — $ 2,303,170 |
Schedule of derivative contracts had the following impact on the statements of operations | For the years ended December 31, 2019, 2018 and 2017, the Fund’s futures and forwards contracts had the following impact on the statements of operations: 2019 2018 Types of Exposure Net realized gain (loss) Net change Net realized gain (loss) Net change Futures contracts Agricultural commodities $ (2,676,743 ) $ (1,144,375 ) $ (2,561,835 ) $ (89,298 ) Currencies (475,972 ) 161,853 (788,025 ) (912,945 ) Energy (8,168,871 ) 582,233 14,523,103 (3,362,912 ) Equity indices 9,018,161 1,474,506 (4,387,205 ) (2,541,388 ) Interest rate instruments 23,349,604 (3,969,669 ) 1,473,055 3,062,855 Metals (380,443 ) 797,346 1,917,247 (2,919,410 ) Single stock futures 274,580 137,194 (102,236 ) (19,207 ) Total futures contracts 20,940,316 (1,960,912 ) 10,074,104 (6,782,305 ) Forward currency contracts 680,518 (344,773 ) (1,375,239 ) (1,747,458 ) Total futures, forward currency and swap contracts $ 21,620,834 $ (2,305,685 ) $ 8,698,865 $ (8,529,763 ) 2017 Types of Exposure Net realized gain (loss) Net change Futures contracts Agricultural commodities $ (6,968,291 ) $ 274,000 Currencies (7,944,502 ) 34,900 Energy (16,322,348 ) 1,714,614 Equity indices 85,262,449 (792,640 ) Interest rate instruments (21,099,792 ) (3,289,779 ) Metals (5,438,472 ) 3,067,571 Single stock futures 2,546,268 206,565 Total futures contracts 30,035,312 1,215,231 Forward currency contracts (7,815,159 ) 1,146,883 Swap contract $ 22,220,153 $ 2,362,114 Total futures, forward currency and swap contracts $ (6,968,291 ) $ 274,000 |
Trading Activities and Relate_2
Trading Activities and Related Risks (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Trading Activities And Related Risks | |
Schedule of exposure in investments | Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at December 31, 2019. Country or Region U.S. Treasury Commercial Corporate Notes Asset Backed Total % of Partners’ United States $ 26,617,666 $ 18,976,795 $ 74,454,771 $ 10,690,783 $ 130,740,015 52.66 % Denmark — — 5,539,634 — 5,539,634 2.23 % Canada — 5,495,622 — — 5,495,622 2.22 % Ireland — 1,499,431 3,514,824 — 5,014,255 2.02 % United Kingdom — 4,198,103 — — 4,198,103 1.69 % Hong Kong — — 4,003,233 — 4,003,233 1.61 % Luxumbourg — — 2,259,476 — 2,259,476 0.91 % Netherlands — — 2,507,384 — 2,507,384 1.01 % Norway — 1,496,596 — — 1,496,596 0.60 % Japan — 1,298,263 — — 1,298,263 0.52 % Total $ 26,617,666 $ 32,964,810 $ 92,279,322 $ 10,690,783 $ 162,552,581 65.47 % The following table presents the exposure at December 31, 2018. Country or Region U.S. Treasury Commercial Corporate Notes Asset Backed Total % of Partners’ United States $ 67,375,307 $ 30,346,125 $ 72,501,563 $ 11,694,238 $ 181,917,233 63.55 % Netherlands — — 7,501,101 — 7,501,101 2.62 % United Kingdom — — 5,488,176 — 5,488,176 1.92 % Denmark — — 5,421,142 — 5,421,142 1.89 % Canada — 4,695,622 — — 4,695,622 1.64 % Ireland — 1,199,915 3,388,044 — 4,587,959 1.60 % Hong Kong — — 3,985,136 — 3,985,136 1.39 % Luxumbourg — — 2,261,856 — 2,261,856 0.79 % Japan — 1,196,908 — — 1,196,908 0.42 % Total $ 67,375,307 $ 37,438,570 $ 100,547,018 $ 11,694,238 $ 217,055,133 75.82 % |
Financial Highlights (Tables)
Financial Highlights (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Investment Company, Financial Highlights [Abstract] | |
Schedule of per unit operating performance data and other ratios | The following information presents per unit operating performance data and other ratios for the years ended December 31, 2019, 2018 and 2017, assuming the unit was outstanding throughout the entire year: 2019 Class A Class A2 Class A3††† Class B Class I Class R Per Unit Operating Performance Net asset value per unit, beginning of period $ 3,911.85 $ 996.71 $ 1,000.00 $ 6,018.20 $ 992.59 $ 998.83 Net realized and change in unrealized gain (loss) on investments (1) 256.20 63.88 12.50 397.19 66.35 65.24 Net investment income (loss) (1) (165.66 ) (26.55 ) (7.25 ) (146.95 ) (15.15 ) (21.65 ) Total income (loss) from operations 90.54 37.33 5.25 250.24 51.20 43.59 Net asset value per unit, end of period $ 4,002.39 $ 1,034.04 $ 1,005.25 $ 6,268.44 $ 1,043.79 $ 1,042.42 Total return 2.31 % 3.75 % 0.53 % 4.16 % 5.16 % 4.36 % Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 6.87 % 5.58 % 2.70 % 5.06 % 4.14 % 4.82 % General Partner 1% allocation 0.02 % 0.05 % (0.03 %) 0.04 % 0.04 % 0.04 % Net total expenses 6.89 % 5.63 % 2.67 % 5.10 % 4.18 % 4.86 % Net investment income (loss) (2) (3) (4.13 )% (2.51 )% (0.78 )% (2.33 )% (1.45 )% (2.06 )% 2018 Class A Class A2†† Class B Class I Class R Per Unit Operating Performance Net asset value per unit, beginning of period $ 4,146.91 $ 1,000.00 $ 6,266.93 $ 1,023.37 $ 1,038.05 Net realized and change in unrealized gain (loss) on investments (1) (84.38 ) (1.80 ) (129.61 ) (21.82 ) (21.91 ) Net investment income (loss) (1) (150.68 ) (1.49 ) (119.12 ) (8.96 ) (17.31 ) Total income (loss) from operations (235.06 ) (3.29 ) (248.73 ) (30.78 ) (39.22 ) Net asset value per unit, end of period $ 3,911.85 $ 996.71 $ 6,018.20 $ 992.59 $ 998.83 Total return (5.67 )% (0.33 )% (3.97 )% (3.01 )% (3.78 )% Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 5.62 % 0.54 % 3.81 % 2.76 % 3.60 % General Partner 1% allocation (0.06 )% 0.00 % (0.04 )% (0.03 )% (0.04 )% Net total expenses 5.56 % 0.54 % 3.77 % 2.73 % 3.56 % Net investment income (loss) (2) (3) (3.78 )% (0.15 )% (1.97 )% (0.92 )% (1.73 )% 2017 Class A Class A2 Class B Class I Class R† Per Unit Operating Performance Net asset value per unit, beginning of period $ 4,096.03 $ — $ 6,080.47 $ 983.11 $ 1,000.00 Net realized and change in unrealized gain (loss) on investments (1) 274.94 — 415.13 67.05 62.87 Net investment income (loss) (1) (224.06 ) — (228.67 ) (26.79 ) (24.82 ) Total income (loss) from operations 50.88 — 186.46 40.26 38.05 Net asset value per unit, end of period $ 4,146.91 $ — $ 6,266.93 $ 1,023.37 $ 1,038.05 Total return 1.24 % — 3.07 % 4.10 % 3.80 % Other Financial Ratios Ratios to average net asset value Expenses prior to General Partner 1% allocation (2) 6.86 % — 5.06 % 3.97 % 4.61 % General Partner 1% allocation 0.00 % — 0.01 % 0.04 % 0.03 % Net total expenses 6.86 % — 5.07 % 4.01 % 4.64 % Net investment income (loss) (2) (3) (5.61 )% — (3.81 )% (2.72 )% (3.31 )% † Class R Units were first purchased in April 2017. Total return for 2017 is for the period from first purchase to year end and is not annualized. †† Class A2 Units were first purchased in December 2018. Total return for 2018 is for the period from first purchase to year end and is not annualized. ††† Class A3 units were first purchased in July 2019. The total return for 2019 is for the period from first purchase to year end and is not annualized. Total returns are calculated based on the change in value of a Class A, Class A2, Class B, Class I or Class R Unit during the year. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions. (1) (2) (3) |
Deconsolidation of Steben Man_2
Deconsolidation of Steben Managed Futures Strategy Fund (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Schedule of assets and liabilities which the fund deconsolidated | The assets and liabilities which the Fund deconsolidated were: Assets August 31, 2017 Equity in broker trading accounts Cash $ 17,813,620 Net unrealized gain (loss) on open futures contracts 1,206,044 Net unrealized gain (loss) on open forward currency contracts 74,520 Total equity in broker trading accounts 19,094,184 Cash and cash equivalents 1,690,646 Investments in securities, at fair value 53,611,230 Subscription receivable 543,627 Liabilities Trading advisor management fees 112,367 Distribution (12b-1) fees payable 3,331 Operating services fee payable 15,410 Redemptions payable 35,760 Net assets deconsolidated 74,772,819 Less: non-controlling interest (38,169,976 ) Fair value of interest retained $ 36,602,843 |
Organization and Summary of S_3
Organization and Summary of Significant Accounting Policies (Details Narrative) - USD ($) | Apr. 01, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Aug. 31, 2017 |
Steben Managed Futures Strategy Fund [Member] | ||||
Total redemption amount | $ 6,000,000 | $ 5,000,000 | ||
Ownership interest | 38.00% | 50.00% | ||
Class R [Member] | ||||
Capital unit conversion | $ 14,000,000 | |||
Class R [Member] | General Partner [Member] | ||||
Percentage of management fees | 1.50% | |||
Class A [Member] | ||||
Percentage of selling agent fee | 2.00% | |||
Class A [Member] | General Partner [Member] | ||||
Percentage of management fees | 1.50% | |||
Class B [Member] | ||||
Percentage of broker dealer servicing fee | 0.20% | |||
Class B [Member] | General Partner [Member] | ||||
Percentage of management fees | 1.50% | |||
Class I [Member] | ||||
Total redemption amount | $ 22,000,000 | |||
Class I [Member] | General Partner [Member] | ||||
Percentage of management fees | 0.75% | |||
Percentage of performance fee | 7.50% | |||
Class A2 [Member] | ||||
Percentage of sales commission | 3.00% | |||
Percentage of offering price | 0.60% | |||
Class A2 [Member] | General Partner [Member] | ||||
Percentage of management fees | 1.50% | |||
Class A3 [Member] | ||||
Percentage of sales commission | 2.00% | |||
Percentage of offering price | 0.75% | |||
Class A3 [Member] | General Partner [Member] | ||||
Percentage of management fees | 1.50% |
Fair Value Disclosures (Details
Fair Value Disclosures (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | ||
Equity in broker trading accounts: | ||||
Net unrealized gain (loss) on open futures contracts | [1] | $ 187,200 | $ 2,148,112 | |
Net unrealized gain (loss) on open forward currency contracts | [1] | (189,715) | 155,058 | |
Recurring [Member] | ||||
Equity in broker trading accounts: | ||||
Net unrealized gain (loss) on open futures contracts | [1] | 187,200 | 2,148,112 | |
Net unrealized gain (loss) on open forward currency contracts | [1] | (189,715) | 155,058 | |
Cash and cash equivalents: | ||||
Money market fund | 4,326,784 | 14,836,223 | ||
Total | 189,678,301 | 261,763,232 | ||
Recurring [Member] | Level 1 [Member] | ||||
Equity in broker trading accounts: | ||||
Net unrealized gain (loss) on open futures contracts | [1] | 187,200 | 2,148,112 | |
Cash and cash equivalents: | ||||
Money market fund | 4,326,784 | 14,836,223 | ||
Total | 53,870,601 | 111,782,848 | ||
Recurring [Member] | Level 2 [Member] | ||||
Equity in broker trading accounts: | ||||
Net unrealized gain (loss) on open forward currency contracts | (189,715) | [1] | 155,058 | |
Cash and cash equivalents: | ||||
Total | 135,807,700 | 149,980,384 | ||
Recurring [Member] | Investment In SMFSF [Member] | Steben Managed Futures Strategy Fund [Member] | ||||
Cash and cash equivalents: | ||||
Total | 22,738,951 | 27,423,206 | ||
Recurring [Member] | Investment In SMFSF [Member] | Steben Managed Futures Strategy Fund [Member] | Level 1 [Member] | ||||
Cash and cash equivalents: | ||||
Total | 22,738,951 | 27,423,206 | ||
Recurring [Member] | Corporate Notes [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 92,279,322 | 100,547,018 | |
Recurring [Member] | Corporate Notes [Member] | Level 2 [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 92,279,322 | 100,547,018 | |
Recurring [Member] | Exchange Membership [Member] | ||||
Cash and cash equivalents: | ||||
Total | 62,500 | 145,500 | ||
Recurring [Member] | Exchange Membership [Member] | Level 2 [Member] | ||||
Cash and cash equivalents: | ||||
Total | 62,500 | 145,500 | ||
Recurring [Member] | U.S. Treasury Securities [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 26,617,666 | 67,375,307 | |
Recurring [Member] | U.S. Treasury Securities [Member] | Level 1 [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 26,617,666 | 67,375,307 | |
Recurring [Member] | Commercial Paper [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 32,964,810 | 37,438,570 | |
Recurring [Member] | Commercial Paper [Member] | Level 2 [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 32,964,810 | 37,438,570 | |
Recurring [Member] | U.S. Asset Backed Securities [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | 10,690,783 | 11,694,238 | |
Recurring [Member] | U.S. Asset Backed Securities [Member] | Level 2 [Member] | ||||
Cash and cash equivalents: | ||||
Total | [1] | $ 10,690,783 | $ 11,694,238 | |
[1] | See the condensed schedule of investments for further description. |
Derivative Instruments Disclo_3
Derivative Instruments Disclosures (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | |
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | [1] | $ 187,200 | $ 2,148,112 |
Net unrealized gain (loss) on open forward currency contracts | [1] | (189,715) | 155,058 |
Not Designated as Hedging Instrument [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 187,200 | 2,148,112 | |
Net unrealized gain (loss) on open forward currency contracts | (189,715) | 155,058 | |
Not Designated as Hedging Instrument [Member] | Agricultural Commodities [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (268,526) | 875,850 | |
Not Designated as Hedging Instrument [Member] | Currencies [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (50,916) | (212,769) | |
Not Designated as Hedging Instrument [Member] | Energy [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 1,145,716 | 563,482 | |
Not Designated as Hedging Instrument [Member] | Equity Indices [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 1,105,904 | (368,602) | |
Not Designated as Hedging Instrument [Member] | Interest Rate Instruments [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (2,254,220) | 1,715,450 | |
Not Designated as Hedging Instrument [Member] | Metals [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 356,800 | (440,547) | |
Not Designated as Hedging Instrument [Member] | Single Stock Futures [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 152,442 | 15,248 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 14,755,744 | 18,427,326 | |
Net unrealized gain (loss) on open forward currency contracts | 1,810,575 | 2,315,077 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Agricultural Commodities [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 495,307 | 1,218,664 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Currencies [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 1,281,520 | 760,876 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Energy [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 1,418,955 | 2,141,913 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Equity Indices [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 1,802,335 | 2,064,863 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Interest Rate Instruments [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 355,541 | 3,725,805 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Metals [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 9,213,100 | 8,434,167 | |
Not Designated as Hedging Instrument [Member] | Assets [Member] | Single Stock Futures [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | 188,986 | 81,038 | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (14,568,544) | (16,279,214) | |
Net unrealized gain (loss) on open forward currency contracts | (2,000,290) | (2,160,019) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Agricultural Commodities [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (763,833) | (342,814) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Currencies [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (1,332,436) | (973,645) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Energy [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (273,239) | (1,578,431) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Equity Indices [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (696,431) | (2,433,465) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Interest Rate Instruments [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (2,609,761) | (2,010,355) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Metals [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | (8,856,300) | (8,874,714) | |
Not Designated as Hedging Instrument [Member] | Liabilities [Member] | Single Stock Futures [Member] | |||
Equity in broker trading accounts: | |||
Net unrealized gain (loss) on open futures contracts | $ (36,544) | $ (65,790) | |
[1] | See the condensed schedule of investments for further description. |
Derivative Instruments Disclo_4
Derivative Instruments Disclosures (Details 1) - Not Designated as Hedging Instrument [Member] - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | $ (2,515) | $ 2,303,170 |
Net Amount | (2,515) | 2,303,170 |
Deutsche Bank AG [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | (173,480) | (125,958) |
Net Amount | (173,480) | (125,958) |
Deutsche Bank Securities, Inc. [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | (223,065) | (204,863) |
Net Amount | (223,065) | (204,863) |
JP Morgan Securities, LLC [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | 548,538 | (208,608) |
Net Amount | 548,538 | (208,608) |
SG Americas Securities, LLC [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | (165,943) | 2,561,583 |
Net Amount | (165,943) | 2,561,583 |
Societe Generale International Limited [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Amount of Assets in the Statement of Financial Condition | 11,435 | 281,016 |
Net Amount | $ 11,435 | $ 281,016 |
Derivative Instruments Disclo_5
Derivative Instruments Disclosures (Details 2) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net change in unrealized gain (loss) | $ 2,305,685 | $ 8,529,763 | $ (2,362,114) |
Not Designated as Hedging Instrument [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | 20,940,316 | 10,074,104 | 30,035,312 |
Net change in unrealized gain (loss), future contracts | (1,960,912) | (6,782,305) | 1,215,231 |
Net realized gain (loss), forward currency contracts | 680,518 | (1,375,239) | (7,815,159) |
Net change in unrealized gain (loss), forward currency contracts | (344,773) | (1,747,458) | 1,146,883 |
Net realized gain (loss), Investment in swap contract | 22,220,153 | ||
Net change in unrealized gain (loss), Investment in swap contract | 2,362,114 | ||
Net realized gain (loss) | 21,620,834 | 8,698,865 | (6,968,291) |
Net change in unrealized gain (loss) | (2,305,685) | (8,529,763) | 274,000 |
Not Designated as Hedging Instrument [Member] | Agricultural Commodities [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | (2,676,743) | (2,561,835) | (6,968,291) |
Net change in unrealized gain (loss), future contracts | (1,144,375) | (89,298) | 274,000 |
Not Designated as Hedging Instrument [Member] | Currencies [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | (475,972) | (788,025) | (7,944,502) |
Net change in unrealized gain (loss), future contracts | 161,853 | (912,945) | 34,900 |
Not Designated as Hedging Instrument [Member] | Energy [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | (8,168,871) | 14,523,103 | (16,322,348) |
Net change in unrealized gain (loss), future contracts | 582,233 | (3,362,912) | 1,714,614 |
Not Designated as Hedging Instrument [Member] | Equity Indices [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | 9,018,161 | (4,387,205) | 85,262,449 |
Net change in unrealized gain (loss), future contracts | 1,474,506 | (2,541,388) | (792,640) |
Not Designated as Hedging Instrument [Member] | Interest Rate Instruments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | 23,349,604 | 1,473,055 | (21,099,792) |
Net change in unrealized gain (loss), future contracts | (3,969,669) | 3,062,855 | (3,289,779) |
Not Designated as Hedging Instrument [Member] | Metals [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | (380,443) | 1,917,247 | (5,438,472) |
Net change in unrealized gain (loss), future contracts | 797,346 | (2,919,410) | 3,067,571 |
Not Designated as Hedging Instrument [Member] | Single Stock Futures [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net realized gain (loss), future contracts | 274,580 | (102,236) | 2,546,268 |
Net change in unrealized gain (loss), future contracts | $ 137,194 | $ (19,207) | $ 206,565 |
Derivative Instruments Disclo_6
Derivative Instruments Disclosures (Details Narrative) - Number | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Number of futures contracts open | 24,843 | 26,433 | |
Number of forward currency contracts open | 4,249 | 2,198 | |
Number of futures contracts closed | 988,640 | 1,846,304 | 2,003,372 |
Number of forward currency contracts closed | 1,141,483 | 449,669 | 236,846 |
General Partner (Details Narrat
General Partner (Details Narrative) - General Partner [Member] | 12 Months Ended |
Dec. 31, 2019 | |
Description of admistrative expenses payable fee | Equal to 1/12th of 0.45% of the month-end net asset value |
Description of terms of partnership agreement | Each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations. |
Steben Managed Futures Strategy Fund [Member] | |
Description of management fee | Equal to 1/12th of 1.75% of the month-end net asset value |
Description of operating services Fee | Equal to 1/12th of 0.24% of the month-end net asset value |
Class A [Member] | |
Description of management fee | Equal to 1/12th of 1.5% of the month-end net asset value |
Percentage of management fees | 1.50% |
Description of selling agent fees | Equal to 1/12th of 2% of the month-end net asset value |
Class A [Member] | Steben Managed Futures Strategy Fund [Member] | |
Description of distribution fee | Monthly 12b-1 fee of 1/12th of 0.25% of the month-end net asset value |
Class A2 [Member] | |
Description of management fee | Equal to 1/12th of 1.5% of the month-end net asset value. |
Percentage of management fees | 1.50% |
Description of selling agent fees | sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. |
Class A3 [Member] | |
Description of management fee | Equal to 1/12th of 1.5% of the month-end net asset value. |
Percentage of management fees | 1.50% |
Description of selling agent fees | sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. |
Class B [Member] | |
Description of management fee | Equal to 1/12th of 1.5% of the month-end net asset value. |
Percentage of management fees | 1.50% |
Description of broker dealer servicing fee | Equal to 1/12th of 0.2% of the month-end net asset value |
Class R [Member] | |
Description of management fee | Equal to 1/12th of 1.5% of the month-end net asset value. |
Percentage of management fees | 1.50% |
Class I [Member] | |
Description of management fee | Equal to 1/12th of 0.75% of the month-end net asset value. |
Percentage of management fees | 0.75% |
Description of performance fee | Equal to 7.5% of any Net New Trading Profits of the Class I Units calculated monthly. |
Class C [Member] | Steben Managed Futures Strategy Fund [Member] | |
Description of distribution fee | 1/12th of 1% of the month-end value |
Trading Advisors and Cash Man_2
Trading Advisors and Cash Managers (Details Narrative) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Cash Managers [Member] | ||
Cash management services | 0.11% | 0.14% |
Minimum [Member] | Trading Advisor [Member] | ||
Management fee | 0.00% | |
Incentive fee | 0.00% | |
Maximum [Member] | Trading Advisor [Member] | ||
Management fee | 3.00% | |
Incentive fee | 30.00% |
Deposits with Brokers (Details
Deposits with Brokers (Details Narrative) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Deposits With Brokers | ||
Margin deposit asset requirement | $ 40,682,048 | $ 38,554,368 |
Fund assets totaling | $ 64,812,057 | $ 60,138,342 |
Subscriptions, Distributions _2
Subscriptions, Distributions and Redemptions (Details Narrative) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Capital Unit [Line Items] | ||
Subscriptions received in advance | $ 266,000 | $ 224,523 |
Class A [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | 10,000 | |
Class A2 [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | 10,000 | |
Class A3 [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | 10,000 | |
Class B [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | 10,000 | |
Class R [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | 10,000 | |
Class I [Member] | ||
Capital Unit [Line Items] | ||
Minimum investment amount | $ 2,000,000 |
Trading Activities and Relate_3
Trading Activities and Related Risks (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Total debt securities and certificates of deposit | $ 162,552,581 | $ 217,055,133 |
% of Partners' Capital (Net Asset Value) (in percent) | 65.47% | 75.82% |
Japan [Member] | ||
Total debt securities and certificates of deposit | $ 1,298,263 | $ 1,196,908 |
% of Partners' Capital (Net Asset Value) (in percent) | 0.52% | 0.42% |
Norway [Member] | ||
Total debt securities and certificates of deposit | $ 1,496,596 | |
% of Partners' Capital (Net Asset Value) (in percent) | 0.60% | |
United States [Member] | ||
Total debt securities and certificates of deposit | $ 130,740,015 | $ 181,917,233 |
% of Partners' Capital (Net Asset Value) (in percent) | 52.66% | 63.55% |
Luxumbourg [Member] | ||
Total debt securities and certificates of deposit | $ 2,259,476 | $ 2,261,856 |
% of Partners' Capital (Net Asset Value) (in percent) | 0.91% | 0.79% |
Canada [Member] | ||
Total debt securities and certificates of deposit | $ 5,495,622 | $ 4,695,622 |
% of Partners' Capital (Net Asset Value) (in percent) | 2.22% | 1.64% |
United Kingdom [Member] | ||
Total debt securities and certificates of deposit | $ 4,198,103 | $ 5,488,176 |
% of Partners' Capital (Net Asset Value) (in percent) | 1.69% | 1.92% |
Denmark [Member] | ||
Total debt securities and certificates of deposit | $ 5,539,634 | $ 5,421,142 |
% of Partners' Capital (Net Asset Value) (in percent) | 2.23% | 1.89% |
Hong Kong [Member] | ||
Total debt securities and certificates of deposit | $ 4,003,233 | $ 3,985,136 |
% of Partners' Capital (Net Asset Value) (in percent) | 1.61% | 1.39% |
Netherlands [Member] | ||
Total debt securities and certificates of deposit | $ 2,507,384 | $ 7,501,101 |
% of Partners' Capital (Net Asset Value) (in percent) | 1.01% | 2.62% |
Ireland [Member] | ||
Total debt securities and certificates of deposit | $ 5,014,255 | $ 4,587,959 |
% of Partners' Capital (Net Asset Value) (in percent) | 2.02% | 1.60% |
Commercial Paper [Member] | ||
Total debt securities and certificates of deposit | $ 32,964,810 | $ 37,438,570 |
% of Partners' Capital (Net Asset Value) (in percent) | 13.27% | 13.08% |
Commercial Paper [Member] | Japan [Member] | ||
Total debt securities and certificates of deposit | $ 1,298,263 | $ 1,196,908 |
Commercial Paper [Member] | Norway [Member] | ||
Total debt securities and certificates of deposit | 1,496,596 | |
Commercial Paper [Member] | United States [Member] | ||
Total debt securities and certificates of deposit | 18,976,795 | 30,346,125 |
Commercial Paper [Member] | Canada [Member] | ||
Total debt securities and certificates of deposit | 5,495,622 | 4,695,622 |
Commercial Paper [Member] | United Kingdom [Member] | ||
Total debt securities and certificates of deposit | 4,198,103 | |
Commercial Paper [Member] | Ireland [Member] | ||
Total debt securities and certificates of deposit | 1,499,431 | 1,199,915 |
U.S. Treasury Securities [Member] | ||
Total debt securities and certificates of deposit | $ 26,617,666 | $ 67,375,307 |
% of Partners' Capital (Net Asset Value) (in percent) | 10.72% | 23.54% |
U.S. Treasury Securities [Member] | United States [Member] | ||
Total debt securities and certificates of deposit | $ 26,617,666 | $ 67,375,307 |
Corporate Notes [Member] | ||
Total debt securities and certificates of deposit | $ 92,279,322 | $ 100,547,018 |
% of Partners' Capital (Net Asset Value) (in percent) | 37.17% | 35.13% |
Corporate Notes [Member] | United States [Member] | ||
Total debt securities and certificates of deposit | $ 74,454,771 | $ 72,501,563 |
Corporate Notes [Member] | Luxumbourg [Member] | ||
Total debt securities and certificates of deposit | 2,259,476 | 2,261,856 |
Corporate Notes [Member] | United Kingdom [Member] | ||
Total debt securities and certificates of deposit | 5,488,176 | |
Corporate Notes [Member] | Denmark [Member] | ||
Total debt securities and certificates of deposit | 5,539,634 | 5,421,142 |
Corporate Notes [Member] | Hong Kong [Member] | ||
Total debt securities and certificates of deposit | 4,003,233 | 3,985,136 |
Corporate Notes [Member] | Netherlands [Member] | ||
Total debt securities and certificates of deposit | 2,507,384 | 7,501,101 |
Corporate Notes [Member] | Ireland [Member] | ||
Total debt securities and certificates of deposit | 3,514,824 | 3,388,044 |
U.S. Asset Backed Securities [Member] | ||
Total debt securities and certificates of deposit | $ 10,690,783 | $ 11,694,238 |
% of Partners' Capital (Net Asset Value) (in percent) | 4.31% | 4.07% |
U.S. Asset Backed Securities [Member] | United States [Member] | ||
Total debt securities and certificates of deposit | $ 10,690,783 | $ 11,694,238 |
Financial Highlights (Details)
Financial Highlights (Details) - $ / shares | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||||
Class A [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 3,911.85 | $ 4,146.91 | $ 4,096.03 | |||
Net realized and change in unrealized gain (loss) on investments | [1] | 256.20 | (84.38) | 274.94 | ||
Net investment income (loss) | [1] | (165.66) | (150.68) | (224.06) | ||
Total income (loss) from operations | 90.54 | (235.06) | 50.88 | |||
Net asset value per unit at end of period (in dollars per unit) | $ 4,002.39 | $ 3,911.85 | $ 4,146.91 | |||
Total return | 2.31% | (5.67%) | 1.24% | |||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2] | 6.87% | 5.62% | 6.86% | ||
General Partner 1% allocation | 0.02% | (0.06%) | 0.00% | |||
Net total expenses | 6.89% | 5.56% | 6.86% | |||
Net investment income (loss) | [2],[3] | (4.13%) | (3.78%) | (5.61%) | ||
Class A2 [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | [4] | $ 996.71 | $ 1,000 | |||
Net realized and change in unrealized gain (loss) on investments | [1] | 63.88 | (1.80) | [4] | ||
Net investment income (loss) | [1] | (26.55) | (1.49) | [4] | ||
Total income (loss) from operations | 37.33 | (3.29) | [4] | |||
Net asset value per unit at end of period (in dollars per unit) | $ 1,034.04 | $ 996.71 | [4] | $ 1,000 | [4] | |
Total return | 3.75% | (0.33%) | [4] | |||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2] | 5.58% | 0.54% | [4] | ||
General Partner 1% allocation | 0.05% | 0.00% | [4] | |||
Net total expenses | 5.63% | 0.54% | [4] | |||
Net investment income (loss) | [2],[3] | (2.51%) | (0.15%) | [4] | ||
Class A3 [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | [5] | $ 1,000 | ||||
Net realized and change in unrealized gain (loss) on investments | [1],[5] | 12.50 | ||||
Net investment income (loss) | [1],[5] | (7.25) | ||||
Total income (loss) from operations | [5] | 5.25 | ||||
Net asset value per unit at end of period (in dollars per unit) | [5] | $ 1,005.25 | $ 1,000 | |||
Total return | [5] | 0.53% | ||||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2],[5] | 2.70% | ||||
General Partner 1% allocation | [5] | (0.03%) | ||||
Net total expenses | [5] | 2.67% | ||||
Net investment income (loss) | [2],[3],[5] | (0.78%) | ||||
Class B [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 6,018.20 | 6,266.93 | 6,080.47 | |||
Net realized and change in unrealized gain (loss) on investments | [1] | 397.19 | (129.61) | 415.13 | ||
Net investment income (loss) | [1] | (146.95) | (119.12) | (228.67) | ||
Total income (loss) from operations | 250.24 | (248.73) | 186.46 | |||
Net asset value per unit at end of period (in dollars per unit) | $ 6,268.44 | $ 6,018.20 | $ 6,266.93 | |||
Total return | 4.16% | (3.97%) | 3.07% | |||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2] | 5.06% | 3.81% | 5.06% | ||
General Partner 1% allocation | 0.04% | (0.04%) | 0.01% | |||
Net total expenses | 5.10% | 3.77% | 5.07% | |||
Net investment income (loss) | [2],[3] | (2.33%) | (1.97%) | (3.81%) | ||
Class I [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 992.59 | $ 1,023.37 | $ 983.11 | |||
Net realized and change in unrealized gain (loss) on investments | [1] | 66.35 | (21.82) | 67.05 | ||
Net investment income (loss) | [1] | (15.15) | (8.96) | (26.79) | ||
Total income (loss) from operations | 51.20 | (30.78) | 40.26 | |||
Net asset value per unit at end of period (in dollars per unit) | $ 1,043.79 | $ 992.59 | $ 1,023.37 | |||
Total return | 5.16% | (3.01%) | 4.10% | |||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2] | 4.14% | 2.76% | 3.97% | ||
General Partner 1% allocation | 0.04% | (0.03%) | 0.04% | |||
Net total expenses | 4.18% | 2.73% | 4.01% | |||
Net investment income (loss) | [2],[3] | (1.45%) | (0.92%) | (2.72%) | ||
Class R [Member] | ||||||
Per Unit Operating Performance | ||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 998.83 | $ 1,038.05 | [6] | $ 1,000 | [6] | |
Net realized and change in unrealized gain (loss) on investments | [1] | 65.24 | (21.91) | 62.87 | [6] | |
Net investment income (loss) | [1] | (21.65) | (17.31) | (24.82) | [6] | |
Total income (loss) from operations | 43.59 | (39.22) | 38.05 | [6] | ||
Net asset value per unit at end of period (in dollars per unit) | $ 1,042.42 | $ 998.83 | $ 1,038.05 | [6] | ||
Total return | 4.36% | (3.78%) | 3.80% | [6] | ||
Ratios to average net asset value | ||||||
Expenses prior to General Partner 1% allocation | [2] | 4.82% | 3.60% | 4.61% | [6] | |
General Partner 1% allocation | 0.04% | (0.04%) | 0.03% | [6] | ||
Net total expenses | 4.86% | 3.56% | 4.64% | [6] | ||
Net investment income (loss) | [2],[3] | (2.06%) | (1.73%) | (3.31%) | [6] | |
[1] | The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, A2, B, I or R Units outstanding during the period. Net realized and change in unrealized gain (loss) on investments is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. Such balancing amount may differ from the calculation of net realized and change in unrealized gain (loss) on investment per unit due to the timing of investment gains and losses during the period relative to the number of units outstanding. | |||||
[2] | The net investment income (loss) includes interest income and excludes net realized and net change in unrealized gain (loss) from investment activities as shown in the statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net investment gain (loss) in the statements of operations. The resulting amount is divided by the average net asset value for the period. | |||||
[3] | Ratio excludes General Partner 1% allocation. | |||||
[4] | Class A2 Units were first purchased in December 2018. Total return for 2018 is for the period from first purchase to year end and is not annualized. | |||||
[5] | Class A3 units were first purchased in July 2019. The total return for 2019 is for the period from first purchase to year end and is not annualized. | |||||
[6] | Class R Units were first purchased in April 2017. Total return for 2017 is for the period from first purchase to year end and is not annualized. |
Subsequent Events (Details Narr
Subsequent Events (Details Narrative) - USD ($) | 3 Months Ended | 12 Months Ended | ||
Mar. 23, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Contributions | $ 11,693,956 | $ 6,543,533 | $ 22,095,648 | |
Subsequent Event [Member] | ||||
Contributions | $ 266,000 | |||
Redemption of fund | $ 11,929,666 |
Deconsolidation of Steben Man_3
Deconsolidation of Steben Managed Futures Strategy Fund (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | Aug. 31, 2017 | |
Equity in broker trading accounts | ||||
Net unrealized gain (loss) on open futures contracts | [1] | $ 187,200 | $ 2,148,112 | |
Net unrealized gain (loss) on open forward currency contracts | [1] | (189,715) | 155,058 | |
Total equity in broker trading accounts | 64,812,058 | 30,229,754 | ||
Investments in securities, at fair value | 162,552,581 | 217,055,133 | ||
Liabilities | ||||
Trading advisor management fees | 586,747 | 369,048 | ||
Redemptions payable | $ 4,780,643 | $ 5,057,655 | ||
Steben Managed Futures Strategy Fund [Member] | ||||
Equity in broker trading accounts | ||||
Cash | $ 17,813,620 | |||
Net unrealized gain (loss) on open futures contracts | 1,206,044 | |||
Net unrealized gain (loss) on open forward currency contracts | 74,520 | |||
Total equity in broker trading accounts | 19,094,184 | |||
Cash and cash equivalents | 1,690,646 | |||
Investments in securities, at fair value | 53,611,230 | |||
Subscription receivable | 543,627 | |||
Liabilities | ||||
Trading advisor management fees | 112,367 | |||
Distribution (12b-1) fees payable | 3,331 | |||
Operating services fee payable | 15,410 | |||
Redemptions payable | 35,760 | |||
Net assets deconsolidated | 74,772,819 | |||
Less: non-controlling interest | (38,169,976) | |||
Fair value of interest retained | $ 36,602,843 | |||
[1] | See the condensed schedule of investments for further description. |
Deconsolidation of Steben Man_4
Deconsolidation of Steben Managed Futures Strategy Fund (Details Narrative) | 1 Months Ended |
Aug. 31, 2017USD ($) | |
Steben Managed Futures Strategy Fund [Member] | |
Deconsolidation of cash and cash equivalents | $ 19,504,266 |