Document_and_Entity_Informatio
Document and Entity Information | 6 Months Ended |
Jun. 30, 2014 | |
Document and Entity Information [Abstract] | ' |
Entity Registrant Name | 'CAMPBELL STRATEGIC ALLOCATION FUND LP |
Entity Central Index Key | '0000910467 |
Current Fiscal Year End Date | '--12-31 |
Entity Well-known Seasoned Issuer | 'No |
Entity Voluntary Filers | 'No |
Entity Current Reporting Status | 'Yes |
Entity Filer Category | 'Non-accelerated Filer |
Entity Common Stock, Shares Outstanding | 248,061.02 |
Document Fiscal Year Focus | '2014 |
Document Fiscal Period Focus | 'Q2 |
Document Type | '10-Q |
Amendment Flag | 'false |
Document Period End Date | 30-Jun-14 |
CONDENSED_SCHEDULE_OF_INVESTME
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
Investment Owned | ' | ' | ||
Short term investments | $15,201,546 | $523 | ||
Net unrealized gain (loss) on open futures contracts | 12,353,485 | 15,878,659 | ||
Net unrealized gain (loss) on open forward currency contracts | 6,630,449 | 3,613,827 | ||
Fixed Income Securities [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 525,268,071 | [1] | 668,737,374 | [2] |
% of Net Asset Value (in hundredths) | 90.03% | 94.15% | ||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 12,428,344 | ' | ||
% of Net Asset Value (in hundredths) | 2.13% | ' | ||
Fixed Income Securities [Member] | Bank Deposits [Member] | Finland [Member] | Financials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 21,053,508 | ||
% of Net Asset Value (in hundredths) | ' | 2.96% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 196,171,175 | 196,783,792 | ||
% of Net Asset Value (in hundredths) | 33.62% | 27.71% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 849,450 | ' | ||
% of Net Asset Value (in hundredths) | 0.14% | ' | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | Cayman Islands [Member] | Energy [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 18,589,411 | ||
% of Net Asset Value (in hundredths) | ' | 2.62% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 2,483,896 | ' | ||
% of Net Asset Value (in hundredths) | 0.43% | ' | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 192,837,829 | 178,194,381 | ||
% of Net Asset Value (in hundredths) | 33.05% | 25.09% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 7,191,674 | ' | ||
% of Net Asset Value (in hundredths) | 1.23% | ' | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 11,708,897 | 14,999,763 | ||
% of Net Asset Value (in hundredths) | 2.00% | 2.11% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 29,855,743 | 14,999,447 | ||
% of Net Asset Value (in hundredths) | 5.12% | 2.11% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 11,319,976 | 74,261,729 | ||
% of Net Asset Value (in hundredths) | 1.94% | 10.46% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 64,292,905 | 39,991,100 | ||
% of Net Asset Value (in hundredths) | 11.02% | 5.63% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Health Care [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 30,399,937 | ' | ||
% of Net Asset Value (in hundredths) | 5.21% | ' | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 10,659,145 | 19,994,490 | ||
% of Net Asset Value (in hundredths) | 1.83% | 2.82% | ||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 27,409,552 | 13,947,852 | ||
% of Net Asset Value (in hundredths) | 4.70% | 1.96% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 178,393,645 | 239,753,632 | ||
% of Net Asset Value (in hundredths) | 30.58% | 33.75% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Materials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 20,062,860 | 20,047,500 | ||
% of Net Asset Value (in hundredths) | 3.44% | 2.82% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 158,330,785 | 219,706,132 | ||
% of Net Asset Value (in hundredths) | 27.14% | 30.93% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 8,069,648 | 21,302,694 | ||
% of Net Asset Value (in hundredths) | 1.38% | 3.00% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 41,801,258 | 29,215,372 | ||
% of Net Asset Value (in hundredths) | 7.17% | 4.11% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 2,260,383 | ' | ||
% of Net Asset Value (in hundredths) | 0.39% | ' | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 94,993,731 | 161,885,555 | ||
% of Net Asset Value (in hundredths) | 16.28% | 22.79% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Health Care [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 7,300,781 | 7,302,511 | ||
% of Net Asset Value (in hundredths) | 1.25% | 1.03% | ||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 3,904,984 | ' | ||
% of Net Asset Value (in hundredths) | 0.67% | ' | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 138,274,907 | 211,146,442 | ||
% of Net Asset Value (in hundredths) | 23.70% | 29.73% | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | Multi-National [Member] | Multi-National Agency [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 30,746,925 | ||
% of Net Asset Value (in hundredths) | ' | 4.33% | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 180,399,517 | ||
% of Net Asset Value (in hundredths) | ' | 25.40% | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 07/03/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 20,999,970 | [3] | ' | |
% of Net Asset Value (in hundredths) | 3.60% | ' | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 07/17/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 72,274,937 | [3] | ' | |
% of Net Asset Value (in hundredths) | 12.39% | ' | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 07/24/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | 45,000,000 | [3] | ' | |
% of Net Asset Value (in hundredths) | 7.71% | ' | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/02/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 124,799,973 | [3] | |
% of Net Asset Value (in hundredths) | ' | 17.57% | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/09/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 49,099,810 | [3] | |
% of Net Asset Value (in hundredths) | ' | 6.91% | ||
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/27/2014 [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Fair value | ' | 6,499,734 | [3] | |
% of Net Asset Value (in hundredths) | ' | 0.92% | ||
Short Term Investments [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Short term investments | 15,201,546 | 523 | ||
% of Net Asset Value (in hundredths) | 2.61% | 0.00% | ||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Short term investments | 15,201,546 | 523 | ||
% of Net Asset Value (in hundredths) | 2.61% | 0.00% | ||
Futures Contracts [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 12,353,485 | 15,878,659 | ||
% of Net Asset Value (in hundredths) | 2.12% | 2.24% | ||
Futures Contracts [Member] | Long [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 13,946,751 | 11,946,452 | ||
% of Net Asset Value (in hundredths) | 2.39% | 1.68% | ||
Futures Contracts [Member] | Long [Member] | Agriculture [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | -2,507,727 | -705,908 | ||
% of Net Asset Value (in hundredths) | -0.43% | -0.10% | ||
Futures Contracts [Member] | Long [Member] | Energy [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | -1,818,511 | -1,362,566 | ||
% of Net Asset Value (in hundredths) | -0.31% | -0.19% | ||
Futures Contracts [Member] | Long [Member] | Metals [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 8,602,090 | 54,589 | ||
% of Net Asset Value (in hundredths) | 1.48% | 0.01% | ||
Futures Contracts [Member] | Long [Member] | Stock Indices [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 2,002,456 | 16,433,730 | ||
% of Net Asset Value (in hundredths) | 0.34% | 2.31% | ||
Futures Contracts [Member] | Long [Member] | Short-Term Interest Rates [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 196,523 | -2,327,528 | ||
% of Net Asset Value (in hundredths) | 0.03% | -0.33% | ||
Futures Contracts [Member] | Long [Member] | Long-Term Interest Rates [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 7,471,920 | -145,865 | ||
% of Net Asset Value (in hundredths) | 1.28% | -0.02% | ||
Futures Contracts [Member] | Short [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | -1,593,266 | 3,932,207 | ||
% of Net Asset Value (in hundredths) | -0.27% | 0.56% | ||
Futures Contracts [Member] | Short [Member] | Agriculture [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 3,609,766 | 2,764,321 | ||
% of Net Asset Value (in hundredths) | 0.62% | 0.39% | ||
Futures Contracts [Member] | Short [Member] | Energy [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | ' | 43,930 | ||
% of Net Asset Value (in hundredths) | ' | 0.01% | ||
Futures Contracts [Member] | Short [Member] | Metals [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | -5,103,303 | -1,055,846 | ||
% of Net Asset Value (in hundredths) | -0.87% | -0.15% | ||
Futures Contracts [Member] | Short [Member] | Stock Indices [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | 424,430 | -6,955 | ||
% of Net Asset Value (in hundredths) | 0.07% | 0.00% | ||
Futures Contracts [Member] | Short [Member] | Short-Term Interest Rates [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | -524,159 | 788,320 | ||
% of Net Asset Value (in hundredths) | -0.09% | 0.11% | ||
Futures Contracts [Member] | Short [Member] | Long-Term Interest Rates [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open futures contracts | ' | 1,398,437 | ||
% of Net Asset Value (in hundredths) | ' | 0.20% | ||
Forward Currency Contracts [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open forward currency contracts | 6,630,449 | 3,613,827 | ||
% of Net Asset Value (in hundredths) | 1.14% | 0.51% | ||
Forward Currency Contracts [Member] | Long [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open forward currency contracts | 23,626,837 | -2,868,780 | ||
% of Net Asset Value (in hundredths) | 4.05% | -0.40% | ||
Forward Currency Contracts [Member] | Short [Member] | ' | ' | ||
Investment Owned | ' | ' | ||
Net unrealized gain (loss) on open forward currency contracts | ($16,996,388) | $6,482,607 | ||
% of Net Asset Value (in hundredths) | -2.91% | 0.91% | ||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $99,999,937 deposited with the futures brokers and $38,274,970 deposited with the interbank market makers. | |||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $124,799,973 deposited with the futures brokers and $55,599,544 deposited with the interbank market makers. | |||
[3] | Pledged as collateral for the trading of futures or forward positions. |
CONDENSED_SCHEDULE_OF_INVESTME1
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 |
Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Fixed Income Securities [Member] | Short Term Investments [Member] | Short Term Investments [Member] | Short Term Investments [Member] | Short Term Investments [Member] | |
Asset Backed Securities [Member] | Bank Deposits [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Commercial Paper [Member] | Corporate Bonds [Member] | Corporate Bonds [Member] | Corporate Bonds [Member] | Corporate Bonds [Member] | Corporate Bonds [Member] | Corporate Bonds [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Government And Agency Obligations [Member] | Money Market Funds [Member] | Money Market Funds [Member] | |||||
United States [Member] | Finland [Member] | Switzerland [Member] | Cayman Islands [Member] | United Kingdom [Member] | United States [Member] | United States [Member] | United Kingdom [Member] | United Kingdom [Member] | United States [Member] | United States [Member] | Multi-National [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | United States [Member] | |||||||||||
Auto Loans [Member] | Financials [Member] | Financials [Member] | Energy [Member] | Financials [Member] | Materials [Member] | Materials [Member] | Multi-National Agency [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills [Member] | ||||||||||||||||||
U.S. Treasury Bills Due 07/03/2014 [Member] | U.S. Treasury Bills Due 07/17/2014 [Member] | U.S. Treasury Bills Due 07/24/2014 [Member] | U.S. Treasury Bills Due 01/02/2014 [Member] | U.S. Treasury Bills Due 01/09/2014 [Member] | U.S. Treasury Bills Due 02/27/2014 [Member] | ||||||||||||||||||||||||||||
Investment Owned | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cost | $524,840,542 | $668,323,918 | $12,428,520 | $21,000,000 | $196,161,026 | $196,768,948 | $849,423 | $18,588,544 | $2,483,826 | $192,827,777 | $178,180,404 | $177,976,089 | $239,405,453 | $20,000,000 | $20,000,000 | $157,976,089 | $219,405,453 | $138,274,907 | $211,149,517 | $30,750,000 | $180,399,517 | ' | ' | ' | ' | ' | ' | ' | ' | $15,201,546 | $523 | $15,201,546 | $523 |
Maturity face value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 21,000,000 | 72,275,000 | 45,000,000 | 124,800,000 | 49,100,000 | 6,500,000 | ' | ' | ' | ' |
Due date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3-Jul-14 | 17-Jul-14 | 24-Jul-14 | 2-Jan-14 | 9-Jan-14 | 27-Feb-14 | ' | ' | ' | ' |
Fixed income securities deposited with futures brokers | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 99,999,937 | 124,799,973 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fixed income securities deposited with interbank market makers | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $38,274,970 | $55,599,544 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
STATEMENTS_OF_FINANCIAL_CONDIT
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Equity in futures broker trading accounts | ' | ' |
Cash | $61,464,291 | $38,252,871 |
Fixed income securities (cost $99,999,937 and $124,799,973, respectively) | 99,999,937 | 124,799,973 |
Net unrealized gain (loss) on open futures contracts | 12,353,485 | 15,878,659 |
Total equity in futures broker trading accounts | 173,817,713 | 178,931,503 |
Cash and cash equivalents | 2,147,649 | 158,320 |
Short term investments (cost $15,201,546 and $523, respectively) | 15,201,546 | 523 |
Fixed income securities (cost $424,840,605 and $543,523,945, respectively) | 425,268,134 | 543,937,401 |
Net unrealized gain (loss) on open forward currency contracts | 6,630,449 | 3,613,827 |
Receivable for securities sold | 5,500,000 | 0 |
Interest receivable | 496,959 | 984,975 |
Total assets | 629,062,450 | 727,626,549 |
LIABILITIES | ' | ' |
Accounts payable | 263,778 | 393,695 |
Brokerage fee payable | 3,502,234 | 4,239,893 |
Payable for securities purchased | 28,139,853 | 0 |
Accrued commissions and other trading fees on open contracts | 125,561 | 128,320 |
Offering costs payable | 150,240 | 265,023 |
Redemptions payable | 13,425,532 | 12,274,381 |
Total liabilities | 45,607,198 | 17,301,312 |
PARTNERS' CAPITAL (Net Asset Value) | ' | ' |
General Partner - 1,106.508 redeemable units outstanding at June 30, 2014 and December 31, 2013 | 2,602,573 | 2,833,856 |
Limited Partners - 246,954.515 and 276,246.741 redeemable units outstanding at June 30, 2014 and December 31, 2013 | 580,852,679 | 707,491,381 |
Total partners' capital (Net Asset Value) | 583,455,252 | 710,325,237 |
Total liabilities and partners' capital (Net Asset Value) | $629,062,450 | $727,626,549 |
STATEMENTS_OF_FINANCIAL_CONDIT1
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Equity in futures broker trading accounts | ' | ' |
Fixed income securities, cost | $99,999,937 | $124,799,973 |
Short term investments, cost | 15,201,546 | 523 |
Fixed income securities, cost | $424,840,605 | $543,523,945 |
PARTNERS' CAPITAL (Net Asset Value) | ' | ' |
General Partner, redeemable units outstanding (in units) | 1,106.51 | 1,106.51 |
Limited Partners, redeemable units outstanding (in units) | 246,954.52 | 276,246.74 |
STATEMENTS_OF_OPERATIONS_Unaud
STATEMENTS OF OPERATIONS (Unaudited) (USD $) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |
Futures trading gains (losses) | ' | ' | ' | ' |
Realized | $28,429,879 | $53,032,047 | ($17,235,720) | $60,947,316 |
Change in unrealized | 7,954,066 | -3,720,354 | -3,525,174 | 10,308,633 |
Brokerage commissions | -990,360 | -1,334,205 | -2,135,479 | -2,761,980 |
Net gain (loss) from futures trading | 35,393,585 | 47,977,488 | -22,896,373 | 68,493,969 |
Forward currency trading gains (losses) | ' | ' | ' | ' |
Realized | -6,785,422 | 4,247,976 | -16,315,186 | 55,076,763 |
Change in unrealized | 3,680,757 | -5,018,885 | 3,016,622 | -24,616,314 |
Brokerage commissions | -53,904 | -66,384 | -121,632 | -149,368 |
Net gain (loss) from forward currency trading | -3,158,569 | -837,293 | -13,420,196 | 30,311,081 |
Total net trading gain (loss) | 32,235,016 | 47,140,195 | -36,316,569 | 98,805,050 |
Investment income | ' | ' | ' | ' |
Interest income | 450,354 | 699,909 | 1,099,564 | 1,457,125 |
Realized gain (loss) on fixed income securities | 103 | 74,902 | 103 | 66,822 |
Change in unrealized gain (loss) on fixed income securities | -29,128 | -276,030 | 14,073 | -74,455 |
Total investment income | 421,329 | 498,781 | 1,113,740 | 1,449,492 |
Expenses | ' | ' | ' | ' |
Brokerage fee | 10,553,759 | 14,381,512 | 22,020,647 | 28,446,939 |
Operating expenses | 280,421 | 369,147 | 588,919 | 718,872 |
Total expenses | 10,834,180 | 14,750,659 | 22,609,566 | 29,165,811 |
Net investment income (loss) | -10,412,851 | -14,251,878 | -21,495,826 | -27,716,319 |
NET INCOME (LOSS) | $21,822,165 | $32,888,317 | ($57,812,395) | $71,088,731 |
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average units outstanding during the period) | $83.91 | $106.74 | ($216.41) | $225.65 |
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT (in dollars per unit) | $83.40 | $100.63 | ($209.02) | $216.20 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 260,055.23 | 308,110.76 | 267,138.78 | 315,045.05 |
STATEMENTS_OF_CASH_FLOWS_Unaud
STATEMENTS OF CASH FLOWS (Unaudited) (USD $) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |
Cash flows from (for) operating activities | ' | ' | ' | ' |
Net income (loss) | $21,822,165 | $32,888,317 | ($57,812,395) | $71,088,731 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ' | ' | ' | ' |
Net change in unrealized on futures, forwards and fixed income | ' | ' | 494,479 | 14,382,136 |
(Increase) decrease in receivable for securities sold | ' | ' | -5,500,000 | 0 |
Increase (decrease) in payable for securities purchased | ' | ' | 28,139,853 | 0 |
(Increase) decrease in interest receivable | ' | ' | 488,016 | 202,735 |
Increase (decrease) in accounts payable and accrued expenses | ' | ' | -870,335 | -185,586 |
Purchases of investments | ' | ' | -7,070,126,257 | -10,010,768,952 |
Sales/maturities of investments | ' | ' | 7,198,408,610 | 10,045,340,588 |
Net cash from (for) operating activities | ' | ' | 93,221,971 | 120,059,652 |
Cash flows from (for) financing activities | ' | ' | ' | ' |
Redemption of units | ' | ' | -66,974,346 | -72,269,296 |
Offering costs paid | ' | ' | -1,046,876 | -1,580,640 |
Net cash from (for) financing activities | ' | ' | -68,021,222 | -73,849,936 |
Net increase (decrease) in cash and cash equivalents | ' | ' | 25,200,749 | 46,209,716 |
Unrestricted cash | ' | ' | ' | ' |
Beginning of period | ' | ' | 38,411,191 | 36,098,773 |
End of period | 63,611,940 | 82,308,489 | 63,611,940 | 82,308,489 |
End of period cash and cash equivalents consists of: | ' | ' | ' | ' |
Cash in futures broker trading accounts | 61,464,291 | 81,988,461 | 61,464,291 | 81,988,461 |
Cash and cash equivalents | 2,147,649 | 320,028 | 2,147,649 | 320,028 |
Total end of period cash and cash equivalents | $63,611,940 | $82,308,489 | $63,611,940 | $82,308,489 |
STATEMENTS_OF_CHANGES_IN_PARTN
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) (USD $) | General Partner [Member] | Limited Partners [Member] | Total |
Balances at Dec. 31, 2012 | $5,536,580 | $772,502,530 | $778,039,110 |
Balances (in units) at Dec. 31, 2012 | 2,324.05 | 324,267.72 | 326,591.77 |
Net income (loss) | 566,128 | 70,522,603 | 71,088,731 |
Redemptions | -2,000,000 | -62,123,864 | -64,123,864 |
Redemptions (in units) | -748.988 | -24,291.11 | -25,040.10 |
Offering costs | -9,915 | -1,411,308 | -1,421,223 |
Balances at Jun. 30, 2013 | 4,092,793 | 779,489,961 | 783,582,754 |
Balances (in units) at Jun. 30, 2013 | 1,575.06 | 299,976.61 | 301,551.67 |
Balances at Dec. 31, 2013 | 2,833,856 | 707,491,381 | 710,325,237 |
Balances (in units) at Dec. 31, 2013 | 1,106.51 | 276,246.74 | 277,353.25 |
Net income (loss) | -227,427 | -57,584,968 | -57,812,395 |
Redemptions | 0 | -68,125,497 | -68,125,497 |
Redemptions (in units) | 0 | -29,292.23 | -29,292.23 |
Offering costs | -3,856 | -928,237 | -932,093 |
Balances at Jun. 30, 2014 | $2,602,573 | $580,852,679 | $583,455,252 |
Balances (in units) at Jun. 30, 2014 | 1,106.51 | 246,954.52 | 248,061.02 |
STATEMENTS_OF_CHANGES_IN_PARTN1
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) (USD $) | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) [Abstract] | ' | ' | ' | ' | ' | ' |
Net Asset Value per General and Limited Partner Unit (in dollars per unit) | $2,352.06 | $2,268.66 | $2,561.08 | $2,598.50 | $2,497.87 | $2,382.30 |
FINANCIAL_HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
FINANCIAL HIGHLIGHTS [Abstract] | ' | |||||||||||
FINANCIAL HIGHLIGHTS | ' | |||||||||||
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. | ||||||||||||
FINANCIAL HIGHLIGHTS | ||||||||||||
For the Three Months and Six Months Ended June 30, 2014 and 2013 (Unaudited) | ||||||||||||
The following information presents per unit operating performance data and other supplemental financial data for the three months and six months ended June 30, 2014 and 2013. This information has been derived from information presented in the unaudited financial statements. | ||||||||||||
Three Months Ended | Six Months Ended | |||||||||||
June 30, | June 30, | |||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||
Per Unit Performance | ||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period | $ | 2,268.66 | $ | 2,497.87 | $ | 2,561.08 | $ | 2,382.30 | ||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (1) | 125.19 | 149.29 | -125.06 | 308.69 | ||||||||
Net investment income (loss) (1) | -40.04 | -46.26 | -80.47 | -87.98 | ||||||||
Total net income (loss) from operations | 85.15 | 103.03 | -205.53 | 220.71 | ||||||||
Offering costs (1) | -1.75 | -2.4 | -3.49 | -4.51 | ||||||||
Net asset value per unit at end of period | $ | 2,352.06 | $ | 2,598.50 | $ | 2,352.06 | $ | 2,598.50 | ||||
Total Return(3) | 3.68% | 4.03% | -8.16% | 9.08% | ||||||||
Supplemental Data | ||||||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee (4) | 7.30% | 7.36% | 7.18% | 7.33% | ||||||||
Performance fee (3) | 0.00% | 0.00 % | 0.00% | 0.00% | ||||||||
Total expenses | 7.30% | 7.36 % | 7.18% | 7.33% | ||||||||
Net investment income (loss) (2),(4) | -7.02% | (7.11)% | -6.83% | -6.97% | ||||||||
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions. | ||||||||||||
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |||||||||||
(2) | Excludes performance fee. | |||||||||||
(3) | Not annualized | |||||||||||
(4) | Annualized |
ORGANIZATION_AND_SUMMARY_OF_SI
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ' | |||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | ' | |||||||||||
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | ||||||||||||
A. General Description of the Fund | ||||||||||||
Campbell Strategic Allocation Fund, L.P. (the "Fund") is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts and forward currency contracts. | ||||||||||||
Effective January 6, 2012, Units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading, operations, or monthly statements, etc., and redemptions will continue to be offered on a monthly basis. | ||||||||||||
B. Regulation | ||||||||||||
As a registrant with the Securities and Exchange Commission (the "SEC"), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1933. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (the "futures brokers") and interbank market makers through which the Fund trades. | ||||||||||||
C. Method of Reporting | ||||||||||||
The Fund's financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund's management. Actual results may differ from these estimates. | ||||||||||||
These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund's Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2013. | ||||||||||||
The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Update ("ASU") 2013-08, Financial Services - Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements. ASU 2013-08 requires that investments are presented on a fair value basis, see Note 1.D. for a discussion of fair value. | ||||||||||||
Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. 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 a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Accounting Standards Codification ("ASC") 210-20, "Offsetting - Balance Sheet." The fair value of futures (exchange-traded) contracts is based on the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. | ||||||||||||
The fixed income investments, other than U.S. Treasury Bills, are held at the custodian and marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills are held at the futures brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes. | ||||||||||||
The short term investments represent cash held at the custodian and invested overnight in a money market fund. | ||||||||||||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||||||||||||
D. Fair Value | ||||||||||||
The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures ("ASC 820"). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||||||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). | ||||||||||||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund's exchange-traded futures contracts and short term investments fall into this category. | ||||||||||||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. | ||||||||||||
Level 3 inputs are unobservable inputs for an asset or liability (including the Fund's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of June 30, 2014 and December 31, 2013, and for the periods ended June 30, 2014 and 2013, the Fund did not have any Level 3 assets or liabilities. | ||||||||||||
The following tables set forth by level within the fair value hierarchy the Fund's investments accounted for at fair value on a recurring basis as of June 30, 2014 and December 31, 2013. | ||||||||||||
Fair Value at June 30, 2014 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 15,201,546 | $ | 0 | $ | 0 | $ | 15,201,546 | ||||
Fixed income securities | 0 | 525,268,071 | 0 | 525,268,071 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 12,353,485 | 0 | 0 | 12,353,485 | ||||||||
Forward currency contracts | 0 | 6,630,449 | 0 | 6,630,449 | ||||||||
Total | $ | 27,555,031 | $ | 531,898,520 | $ | 0 | $ | 559,453,551 | ||||
Fair Value at December 31, 2013 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 523 | $ | 0 | $ | 0 | $ | 523 | ||||
Fixed income securities | 0 | 668,737,374 | 0 | 668,737,374 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 15,878,659 | 0 | 0 | 15,878,659 | ||||||||
Forward currency contracts | 0 | 3,613,827 | 0 | 3,613,827 | ||||||||
Total | $ | 15,879,182 | $ | 672,351,201 | $ | 0 | $ | 688,230,383 | ||||
There were no transfers to or from Level 1 to Level 2 for the period ended June 30, 2014 or the year ended December 31, 2013. | ||||||||||||
The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 8. See Condensed Schedules of Investments for additional detail categorization. | ||||||||||||
E. Cash and Cash Equivalents | ||||||||||||
Cash and cash equivalents includes cash and overnight money market investments at financial institutions. | ||||||||||||
F. Income Taxes | ||||||||||||
The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner's respective share of the Fund's income and expenses as reported for income tax purposes. | ||||||||||||
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2010 through 2013 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. | ||||||||||||
G. Offering Costs | ||||||||||||
Campbell & Company, Inc. ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of June 30, 2014 and December 31, 2013, the Fund has the potential remaining reimbursement amount of approximately $41.4 million and $42.3 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company. | ||||||||||||
The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At June 30, 2014 and December 31, 2013, the amount of unreimbursed offering costs incurred by Campbell & Company is $154,339 and $263,563, respectively. At June 30, 2014, and December 31, 2013, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $150,240 and $265,023, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners' capital. | ||||||||||||
H. Foreign Currency Transactions | ||||||||||||
The Fund's functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. | ||||||||||||
I. Recently Issued Accounting Pronouncements | ||||||||||||
In June 2013, the FASB issued ASU 2013-08. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company's status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. As of January 1, 2014, the Fund adopted the provisions of ASU 2013-08. The adoption of ASU 2013-08 did not have a material impact on the Fund's financial statement disclosures. | ||||||||||||
GENERAL_PARTNER_AND_COMMODITY_
GENERAL PARTNER AND COMMODITY TRADING ADVISOR | 6 Months Ended |
Jun. 30, 2014 | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | ' |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR | ' |
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR | |
The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company's aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions. | |
Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required. | |
The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the broker for execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading and management services rendered. The amount paid to the futures broker and interbank market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net assets. | |
Campbell & Company is also paid a quarterly performance fee of 20% of the Fund's aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting for investment income. In determining the brokerage and performance fees ("the fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Fund's bank, futures broker or cash management accounts. |
CASH_MANAGER_AND_CUSTODIAN
CASH MANAGER AND CUSTODIAN | 6 Months Ended |
Jun. 30, 2014 | |
CASH MANAGER AND CUSTODIAN [Abstract] | ' |
CASH MANAGER AND CUSTODIAN | ' |
Note 3. CASH MANAGER AND CUSTODIAN | |
Prior to March 2014, Horizon Cash Management, LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. In February 2014, the Fund signed an agreement with PNC Capital Advisors, LLC to replace Horizon Cash Management, LLC as the cash manager for the Fund effective March 1, 2014. Both Horizon Cash Management, LLC and PNC Capital Advisors, LLC are registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940. | |
The Fund opened a custodial account at the Northern Trust Company (the "custodian") and has granted the cash manager authority to make certain investments on behalf of the Fund provided such investments are consistent with the investment guidelines created by the general partner. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund's custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. | |
DEPOSITS_WITH_FUTURES_BROKERS
DEPOSITS WITH FUTURES BROKERS | 6 Months Ended |
Jun. 30, 2014 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | ' |
DEPOSITS WITH FUTURES BROKERS | ' |
Note 4. DEPOSITS WITH FUTURES BROKERS | |
The Fund deposits assets with UBS Securities LLC and Goldman, Sachs & Co. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Fund typically earns interest income on its assets deposited with the futures brokers. |
DEPOSITS_WITH_INTERBANK_MARKET
DEPOSITS WITH INTERBANK MARKET MAKERS | 6 Months Ended |
Jun. 30, 2014 | |
DEPOSITS WITH INTERBANK MARKET MAKERS [Abstract] | ' |
DEPOSITS WITH INTERBANK MARKET MAKERS | ' |
Note 5. DEPOSITS WITH INTERBANK MARKET MAKERS | |
The Fund’s counterparties with regard to its forward currency transactions are The Royal Bank of Scotland PLC ("RBS") and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement with both RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS and UBS were considered investment grade as of June 30, 2014. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with RBS and UBS. The Fund typically earns interest income on its assets deposited with the RBS and UBS. |
OPERATING_EXPENSES
OPERATING EXPENSES | 6 Months Ended |
Jun. 30, 2014 | |
OPERATING EXPENSES [Abstract] | ' |
OPERATING EXPENSES | ' |
Note 6. OPERATING EXPENSES | |
Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the six months ended June 30, 2014 and 2013. | |
SUBSCRIPTIONS_DISTRIBUTIONS_AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 6 Months Ended |
Jun. 30, 2014 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ' |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | ' |
Note 7. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | |
Investments in the Fund were made by subscription agreement, subject to acceptance by Campbell & Company. | |
The Fund is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A limited partner may request and receive redemption of units owned, subject to restrictions in the Amended Agreement of Limited Partnership. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company. |
TRADING_ACTIVITIES_AND_RELATED
TRADING ACTIVITIES AND RELATED RISKS | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ' | |||||||||||
TRADING ACTIVITIES AND RELATED RISKS | ' | |||||||||||
Note 8. TRADING ACTIVITIES AND RELATED RISKS | ||||||||||||
The Fund engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Fund trades a portfolio focused on financial futures, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. | ||||||||||||
Market Risk | ||||||||||||
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund's open positions and, consequently, in its earnings and cash flow. The Fund's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund's open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1. C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives. | ||||||||||||
The Fund adopted the provisions of ASC 815, Derivatives and Hedging, ("ASC 815"). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity's financial position, financial performance and cash flows. | ||||||||||||
The following tables summarize quantitative information required by ASC 815. The fair value of the Fund's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of June 30, 2014 and December 31, 2013 are as follows: | ||||||||||||
Type of | Statements | Asset | Liability | Net | ||||||||
Instrument * | of Financial | Derivatives at | Derivatives at | |||||||||
Condition Location | 30-Jun-14 | 30-Jun-14 | ||||||||||
Fair Value | Fair Value | |||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 4,945,481 | $ | -3,843,442 | $ | 1,102,039 | |||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 102,878 | -1,921,389 | -1,818,511 | ||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 8,731,413 | -5,232,626 | 3,498,787 | ||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 4,938,624 | -2,511,738 | 2,426,886 | ||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 286,386 | -614,022 | -327,636 | ||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 7,658,371 | -186,451 | 7,471,920 | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 27,445,467 | -20,815,018 | 6,630,449 | ||||||||
Totals | $ | 54,108,620 | $ | -35,124,686 | $ | 18,983,934 | ||||||
* Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
Type of | Statements | Asset | Liability | Net | ||||||||
Instrument * | of Financial | Derivatives at | Derivatives at | |||||||||
Condition Location | 31-Dec-13 | 31-Dec-13 | ||||||||||
Fair Value | Fair Value | |||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 3,547,428 | $ | -1,489,015 | $ | 2,058,413 | |||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 66,870 | -1,385,506 | -1,318,636 | ||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 4,683,858 | -5,685,115 | -1,001,257 | ||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 16,591,607 | -164,832 | 16,426,775 | ||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 902,280 | -2,441,488 | -1,539,208 | ||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,522,996 | -270,424 | 1,252,572 | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 29,519,154 | -25,905,327 | 3,613,827 | ||||||||
Totals | $ | 56,834,193 | $ | -37,341,707 | $ | 19,492,486 | ||||||
* Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
The trading gains and losses of the Fund's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and six months ended June 30, 2014 and 2013 is as follows: | ||||||||||||
Type of Instrument | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
for the Three Months Ended | for the Three Months Ended | |||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Agriculture Contracts | $ | -1,562,720 | $ | 251,162 | ||||||||
Energy Contracts | -2,433,517 | -1,598,572 | ||||||||||
Metal Contracts | 2,146,948 | 49,917,981 | ||||||||||
Stock Indices Contracts | 18,277,326 | 7,206,881 | ||||||||||
Short-Term Interest Rate Contracts | -5,725,266 | -3,841,213 | ||||||||||
Long-Term Interest Rate Contracts | 25,666,541 | -2,499,051 | ||||||||||
Forward Currency Contracts | -3,104,665 | -770,909 | ||||||||||
Total | $ | 33,264,647 | $ | 48,666,279 | ||||||||
Type of Instrument | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
for the Six Months Ended | for the Six Months Ended | |||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Agriculture Contracts | $ | -887,363 | $ | 2,461,566 | ||||||||
Energy Contracts | -15,947,755 | -6,885,240 | ||||||||||
Metal Contracts | -12,737,364 | 63,432,476 | ||||||||||
Stock Indices Contracts | -13,857,986 | 37,925,966 | ||||||||||
Short-Term Interest Rate Contracts | -7,939,080 | -14,780,592 | ||||||||||
Long-Term Interest Rate Contracts | 30,591,107 | -10,688,644 | ||||||||||
Forward Currency Contracts | -13,298,564 | 30,460,449 | ||||||||||
Total | $ | -34,077,005 | $ | 101,925,981 | ||||||||
Line Item in the | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
Statements of Operations | for the Three Months Ended | for the Three Months Ended | ||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Futures trading gains (losses): | ||||||||||||
Realized ** | $ | 28,415,248 | $ | 53,157,542 | ||||||||
Change in unrealized | 7,954,064 | -3,720,354 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||
Realized | -6,785,422 | 4,247,976 | ||||||||||
Change in unrealized | 3,680,757 | -5,018,885 | ||||||||||
Total | $ | 33,264,647 | $ | 48,666,279 | ||||||||
** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. | ||||||||||||
Line Item in the | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
Statements of Operations | for the Six Months Ended | for the Six Months Ended | ||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Futures trading gains (losses): | ||||||||||||
Realized ** | $ | -17,253,265 | $ | 61,156,899 | ||||||||
Change in unrealized | -3,525,176 | 10,308,633 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||
Realized | -16,315,186 | 55,076,763 | ||||||||||
Change in unrealized | 3,016,622 | -24,616,314 | ||||||||||
Total | $ | -34,077,005 | $ | 101,925,981 | ||||||||
** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. | ||||||||||||
For the three months ended June 30, 2014 and 2013 the monthly average of futures contracts bought and sold was approximately 82,100 and 120,200, respectively, and the monthly average of notional value of forward currency contracts was $5,377,300,000 and $5,859,500,000 respectively. | ||||||||||||
For the six months ended June 30, 2014 and 2013 the monthly average of futures contracts bought and sold was approximately 89,300 and 121,000, respectively, and the monthly average of notional value of forward currency contracts was $6,086,100,000 and $6,558,800,000 respectively. | ||||||||||||
Open contracts generally mature within twelve months; as of June 30, 2014, the latest maturity date for open futures contracts is September 2015 and the latest maturity date for open forward currency contracts is September 2014. However, the Fund intends to close all futures and offset all foreign currency contracts prior to maturity. | ||||||||||||
Credit Risk | ||||||||||||
The Fund trades futures contracts on exchanges that require margin deposits with the futures broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures 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 total cash and other property deposited. | ||||||||||||
The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. 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 entered into International Swaps and Derivatives Association Master Agreements (“ISDA Agreements”) with UBS AG and RBS. Under the terms of each ISDA agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained. | ||||||||||||
Under the terms of each of the agreements similar to a master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Fund, as defined in respective account documents, UBS Securities and Goldman have the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency in its account resulting from such transactions. | ||||||||||||
The amount of required margin and good faith deposits with the futures broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at June 30, 2014 and December 31, 2013 was $138,274,907 and $180,399,517, respectively, which equals 24% and 25% of Net Asset Value, respectively. The cash deposited with interbank market makers at June 30, 2014 and December 31, 2013 was $130,442 and $97,130, respectively, which equals 0% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash at June 30, 2014 or December 31, 2013. | ||||||||||||
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the Collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the Collateral tables. | ||||||||||||
Offsetting of Derivative Assets | ||||||||||||
As of June 30, 2014 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Unrealized Gain Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 13,333,608 | $ | (7,210,853) | $ | 6,122,755 | |||||
Futures contracts | Goldman Sachs | 13,329,545 | -7,098,815 | 6,230,730 | ||||||||
Total futures contracts | 26,663,153 | -14,309,668 | 12,353,485 | |||||||||
Forward currency contracts | UBS AG | 13,722,734 | -10,407,509 | 3,315,225 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 13,722,733 | -10,407,509 | 3,315,224 | ||||||||
Total forward currency contracts | 27,445,467 | -20,815,018 | 6,630,449 | |||||||||
Total derivatives | $ | 54,108,620 | $ | (35,124,686) | $ | 18,983,934 | ||||||
Derivatives Assets and Collateral Received by Counterparty | ||||||||||||
As of June 30, 2014 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||
UBS Securities LLC | $ | 6,122,755 | $ | 0 | $ | 0 | $ | 6,122,755 | ||||
Goldman Sachs | 6,230,730 | 0 | 0 | 6,230,730 | ||||||||
UBS AG | 3,315,225 | 0 | 0 | 3,315,225 | ||||||||
Royal Bank of Scotland | 3,315,224 | 0 | 0 | 3,315,224 | ||||||||
Total | $ | 18,983,934 | $ | 0 | $ | 0 | $ | 18,983,934 | ||||
Offsetting of Derivative Liabilities | ||||||||||||
As of June 30, 2014 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Unrealized Loss Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 7,210,853 | $ | (7,210,853) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 7,098,815 | -7,098,815 | 0 | ||||||||
Total futures contracts | 14,309,668 | -14,309,668 | 0 | |||||||||
Forward currency contracts | UBS AG | 10,407,509 | -10,407,509 | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 10,407,509 | -10,407,509 | 0 | ||||||||
Total forward currency contracts | 20,815,018 | -20,815,018 | 0 | |||||||||
Total derivatives | $ | 35,124,686 | $ | -35,124,686 | $ | 0 | ||||||
Derivatives Liabilities and Collateral Pledged by Counterparty | ||||||||||||
As of June 30, 2014 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||
UBS AG | 0 | 0 | 0 | 0 | ||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Offsetting of Derivative Assets | ||||||||||||
As of December 31, 2013 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Assets | Gross Amount Offset in the Statements of Financial Condition | Net Amount of Unrealized Gain Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 13,530,175 | $ | -5,732,516 | $ | 7,797,659 | |||||
Futures contracts | Goldman Sachs | 13,784,864 | -5,703,864 | 8,081,000 | ||||||||
Total futures contracts | 27,315,039 | -11,436,380 | 15,878,659 | |||||||||
Forward currency contracts | UBS AG | 14,955,374 | -13,194,763 | 1,760,611 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 14,563,780 | -12,710,564 | 1,853,216 | ||||||||
Total forward currency contracts | 29,519,154 | -25,905,327 | 3,613,827 | |||||||||
Total derivatives | $ | 56,834,193 | $ | -37,341,707 | $ | 19,492,486 | ||||||
Derivatives Assets and Collateral Received by Counterparty | ||||||||||||
As of December 31, 2013 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||
UBS Securities LLC | $ | 7,797,659 | $ | 0 | $ | 0 | $ | 7,797,659 | ||||
Goldman Sachs | 8,081,000 | 0 | 0 | 8,081,000 | ||||||||
UBS AG | 1,760,611 | 0 | 0 | 1,760,611 | ||||||||
Royal Bank of Scotland | 1,853,216 | 0 | 0 | 1,853,216 | ||||||||
Total | $ | 19,492,486 | $ | 0 | $ | 0 | $ | 19,492,486 | ||||
Offsetting of Derivative Liabilities | ||||||||||||
As of December 31, 2013 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Liabilities | Gross Amount Offset in the Statements of Financial Condition | Net Amount of Unrealized Loss Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 5,732,516 | $ | -5,732,516 | $ | 0 | |||||
Futures contracts | Goldman Sachs | 5,703,864 | -5,703,864 | 0 | ||||||||
Total futures contracts | 11,436,380 | -11,436,380 | 0 | |||||||||
Forward currency contracts | UBS AG | 13,194,763 | -13,194,763 | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 12,710,564 | -12,710,564 | 0 | ||||||||
Total forward currency contracts | 25,905,327 | -25,905,327 | 0 | |||||||||
Total derivatives | $ | 37,341,707 | $ | -37,341,707 | $ | 0 | ||||||
Derivatives Liabilities and Collateral Pledged by Counterparty | ||||||||||||
As of December, 2013 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||
UBS AG | 0 | 0 | 0 | 0 | ||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company's basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company's attempt to manage the risk of the Fund's open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per "risk unit" of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Fund's non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. | ||||||||||||
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund's assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. | ||||||||||||
INDEMNIFICATIONS
INDEMNIFICATIONS | 6 Months Ended |
Jun. 30, 2014 | |
INDEMNIFICATIONS [Abstract] | ' |
INDEMNIFICATIONS | ' |
Note 9. INDEMNIFICATIONS | |
In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any future obligation under these indemnifications to be remote. |
INTERIM_FINANCIAL_STATEMENTS
INTERIM FINANCIAL STATEMENTS | 6 Months Ended |
Jun. 30, 2014 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | ' |
INTERIM FINANCIAL STATEMENTS | ' |
Note 10. INTERIM FINANCIAL STATEMENTS | |
The statements of financial condition, including the condensed schedule of investments, as of June 30, 2014 and December 31, 2013, the statements of operations and financial highlights for the three months and six months ended June 30, 2014 and 2013, and the statements of cash flows and changes in partners' capital (Net Asset Value) for the six months ended June 30, 2014 and 2013 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of June 30, 2014, and the results of operations and financial highlights for the three months and six months ended June 30, 2014 and 2013, and cash flows and changes in partners' capital (Net Asset Value) for the six months ended June 30, 2014 and 2013. |
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2014 | |
SUBSEQUENT EVENTS [Abstract] | ' |
SUBSEQUENT EVENTS | ' |
Note 11. SUBSEQUENT EVENTS | |
Management of the Fund has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record. | |
ORGANIZATION_AND_SUMMARY_OF_SI1
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ' | |||||||||||
Use of Estimates | ' | |||||||||||
The Fund's financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund's management. Actual results may differ from these estimates. | ||||||||||||
Investments | ' | |||||||||||
The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Update ("ASU") 2013-08, Financial Services - Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements. ASU 2013-08 requires that investments are presented on a fair value basis, see Note 1.D. for a discussion of fair value. | ||||||||||||
Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. 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 a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Accounting Standards Codification ("ASC") 210-20, "Offsetting - Balance Sheet." The fair value of futures (exchange-traded) contracts is based on the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. | ||||||||||||
The fixed income investments, other than U.S. Treasury Bills, are held at the custodian and marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills are held at the futures brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes. | ||||||||||||
The short term investments represent cash held at the custodian and invested overnight in a money market fund. | ||||||||||||
Net Asset Value per Unit | ' | |||||||||||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||||||||||||
Fair Value | ' | |||||||||||
D. Fair Value | ||||||||||||
The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures ("ASC 820"). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||||||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). | ||||||||||||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund's exchange-traded futures contracts and short term investments fall into this category. | ||||||||||||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. | ||||||||||||
Level 3 inputs are unobservable inputs for an asset or liability (including the Fund's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of June 30, 2014 and December 31, 2013, and for the periods ended June 30, 2014 and 2013, the Fund did not have any Level 3 assets or liabilities. | ||||||||||||
The following tables set forth by level within the fair value hierarchy the Fund's investments accounted for at fair value on a recurring basis as of June 30, 2014 and December 31, 2013. | ||||||||||||
Fair Value at June 30, 2014 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 15,201,546 | $ | 0 | $ | 0 | $ | 15,201,546 | ||||
Fixed income securities | 0 | 525,268,071 | 0 | 525,268,071 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 12,353,485 | 0 | 0 | 12,353,485 | ||||||||
Forward currency contracts | 0 | 6,630,449 | 0 | 6,630,449 | ||||||||
Total | $ | 27,555,031 | $ | 531,898,520 | $ | 0 | $ | 559,453,551 | ||||
Fair Value at December 31, 2013 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 523 | $ | 0 | $ | 0 | $ | 523 | ||||
Fixed income securities | 0 | 668,737,374 | 0 | 668,737,374 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 15,878,659 | 0 | 0 | 15,878,659 | ||||||||
Forward currency contracts | 0 | 3,613,827 | 0 | 3,613,827 | ||||||||
Total | $ | 15,879,182 | $ | 672,351,201 | $ | 0 | $ | 688,230,383 | ||||
There were no transfers to or from Level 1 to Level 2 for the period ended June 30, 2014 or the year ended December 31, 2013. | ||||||||||||
The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 8. See Condensed Schedules of Investments for additional detail categorization. | ||||||||||||
Cash and Cash Equivalents | ' | |||||||||||
E. Cash and Cash Equivalents | ||||||||||||
Cash and cash equivalents includes cash and overnight money market investments at financial institutions. | ||||||||||||
Income Taxes | ' | |||||||||||
F. Income Taxes | ||||||||||||
The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner's respective share of the Fund's income and expenses as reported for income tax purposes. | ||||||||||||
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2010 through 2013 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. | ||||||||||||
Offering Costs | ' | |||||||||||
G. Offering Costs | ||||||||||||
Campbell & Company, Inc. ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of June 30, 2014 and December 31, 2013, the Fund has the potential remaining reimbursement amount of approximately $41.4 million and $42.3 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company. | ||||||||||||
The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At June 30, 2014 and December 31, 2013, the amount of unreimbursed offering costs incurred by Campbell & Company is $154,339 and $263,563, respectively. At June 30, 2014, and December 31, 2013, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $150,240 and $265,023, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners' capital. | ||||||||||||
Foreign Currency Transactions | ' | |||||||||||
H. Foreign Currency Transactions | ||||||||||||
The Fund's functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. | ||||||||||||
Recently Issued Accounting Pronouncements | ' | |||||||||||
I. Recently Issued Accounting Pronouncements | ||||||||||||
In June 2013, the FASB issued ASU 2013-08. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company's status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. As of January 1, 2014, the Fund adopted the provisions of ASU 2013-08. The adoption of ASU 2013-08 did not have a material impact on the Fund's financial statement disclosures. | ||||||||||||
FINANCIAL_HIGHLIGHTS_Tables
FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
FINANCIAL HIGHLIGHTS [Abstract] | ' | |||||||||||
Financial Highlights | ' | |||||||||||
The following information presents per unit operating performance data and other supplemental financial data for the three months and six months ended June 30, 2014 and 2013. This information has been derived from information presented in the unaudited financial statements. | ||||||||||||
Three Months Ended | Six Months Ended | |||||||||||
June 30, | June 30, | |||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||
Per Unit Performance | ||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period | $ | 2,268.66 | $ | 2,497.87 | $ | 2,561.08 | $ | 2,382.30 | ||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (1) | 125.19 | 149.29 | -125.06 | 308.69 | ||||||||
Net investment income (loss) (1) | -40.04 | -46.26 | -80.47 | -87.98 | ||||||||
Total net income (loss) from operations | 85.15 | 103.03 | -205.53 | 220.71 | ||||||||
Offering costs (1) | -1.75 | -2.4 | -3.49 | -4.51 | ||||||||
Net asset value per unit at end of period | $ | 2,352.06 | $ | 2,598.50 | $ | 2,352.06 | $ | 2,598.50 | ||||
Total Return(3) | 3.68% | 4.03% | -8.16% | 9.08% | ||||||||
Supplemental Data | ||||||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee (4) | 7.30% | 7.36% | 7.18% | 7.33% | ||||||||
Performance fee (3) | 0.00% | 0.00 % | 0.00% | 0.00% | ||||||||
Total expenses | 7.30% | 7.36 % | 7.18% | 7.33% | ||||||||
Net investment income (loss) (2),(4) | -7.02% | (7.11)% | -6.83% | -6.97% | ||||||||
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions. | ||||||||||||
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |||||||||||
(2) | Excludes performance fee. | |||||||||||
(3) | Not annualized | |||||||||||
(4) | Annualized |
ORGANIZATION_AND_SUMMARY_OF_SI2
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ' | |||||||||||
Investments Accounted for at Fair Value on a Recurring Basis | ' | |||||||||||
The following tables set forth by level within the fair value hierarchy the Fund's investments accounted for at fair value on a recurring basis as of June 30, 2014 and December 31, 2013. | ||||||||||||
Fair Value at June 30, 2014 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 15,201,546 | $ | 0 | $ | 0 | $ | 15,201,546 | ||||
Fixed income securities | 0 | 525,268,071 | 0 | 525,268,071 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 12,353,485 | 0 | 0 | 12,353,485 | ||||||||
Forward currency contracts | 0 | 6,630,449 | 0 | 6,630,449 | ||||||||
Total | $ | 27,555,031 | $ | 531,898,520 | $ | 0 | $ | 559,453,551 | ||||
Fair Value at December 31, 2013 | ||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments | ||||||||||||
Short term investments | $ | 523 | $ | 0 | $ | 0 | $ | 523 | ||||
Fixed income securities | 0 | 668,737,374 | 0 | 668,737,374 | ||||||||
Other Financial Instruments | ||||||||||||
Exchange-traded futures contracts | 15,878,659 | 0 | 0 | 15,878,659 | ||||||||
Forward currency contracts | 0 | 3,613,827 | 0 | 3,613,827 | ||||||||
Total | $ | 15,879,182 | $ | 672,351,201 | $ | 0 | $ | 688,230,383 |
TRADING_ACTIVITIES_AND_RELATED1
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 6 Months Ended | |||||||||||
Jun. 30, 2014 | ||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ' | |||||||||||
Fair Value of the Fund's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition | ' | |||||||||||
The following tables summarize quantitative information required by ASC 815. The fair value of the Fund's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of June 30, 2014 and December 31, 2013 are as follows: | ||||||||||||
Type of | Statements | Asset | Liability | Net | ||||||||
Instrument * | of Financial | Derivatives at | Derivatives at | |||||||||
Condition Location | 30-Jun-14 | 30-Jun-14 | ||||||||||
Fair Value | Fair Value | |||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 4,945,481 | $ | -3,843,442 | $ | 1,102,039 | |||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 102,878 | -1,921,389 | -1,818,511 | ||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 8,731,413 | -5,232,626 | 3,498,787 | ||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 4,938,624 | -2,511,738 | 2,426,886 | ||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 286,386 | -614,022 | -327,636 | ||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 7,658,371 | -186,451 | 7,471,920 | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 27,445,467 | -20,815,018 | 6,630,449 | ||||||||
Totals | $ | 54,108,620 | $ | -35,124,686 | $ | 18,983,934 | ||||||
* Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
Type of | Statements | Asset | Liability | Net | ||||||||
Instrument * | of Financial | Derivatives at | Derivatives at | |||||||||
Condition Location | 31-Dec-13 | 31-Dec-13 | ||||||||||
Fair Value | Fair Value | |||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 3,547,428 | $ | -1,489,015 | $ | 2,058,413 | |||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 66,870 | -1,385,506 | -1,318,636 | ||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 4,683,858 | -5,685,115 | -1,001,257 | ||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 16,591,607 | -164,832 | 16,426,775 | ||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 902,280 | -2,441,488 | -1,539,208 | ||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,522,996 | -270,424 | 1,252,572 | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 29,519,154 | -25,905,327 | 3,613,827 | ||||||||
Totals | $ | 56,834,193 | $ | -37,341,707 | $ | 19,492,486 | ||||||
* Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||
Trading Gains and Losses of the Fund's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | ' | |||||||||||
The trading gains and losses of the Fund's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and six months ended June 30, 2014 and 2013 is as follows: | ||||||||||||
Type of Instrument | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
for the Three Months Ended | for the Three Months Ended | |||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Agriculture Contracts | $ | -1,562,720 | $ | 251,162 | ||||||||
Energy Contracts | -2,433,517 | -1,598,572 | ||||||||||
Metal Contracts | 2,146,948 | 49,917,981 | ||||||||||
Stock Indices Contracts | 18,277,326 | 7,206,881 | ||||||||||
Short-Term Interest Rate Contracts | -5,725,266 | -3,841,213 | ||||||||||
Long-Term Interest Rate Contracts | 25,666,541 | -2,499,051 | ||||||||||
Forward Currency Contracts | -3,104,665 | -770,909 | ||||||||||
Total | $ | 33,264,647 | $ | 48,666,279 | ||||||||
Type of Instrument | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
for the Six Months Ended | for the Six Months Ended | |||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Agriculture Contracts | $ | -887,363 | $ | 2,461,566 | ||||||||
Energy Contracts | -15,947,755 | -6,885,240 | ||||||||||
Metal Contracts | -12,737,364 | 63,432,476 | ||||||||||
Stock Indices Contracts | -13,857,986 | 37,925,966 | ||||||||||
Short-Term Interest Rate Contracts | -7,939,080 | -14,780,592 | ||||||||||
Long-Term Interest Rate Contracts | 30,591,107 | -10,688,644 | ||||||||||
Forward Currency Contracts | -13,298,564 | 30,460,449 | ||||||||||
Total | $ | -34,077,005 | $ | 101,925,981 | ||||||||
Line Item in the | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
Statements of Operations | for the Three Months Ended | for the Three Months Ended | ||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Futures trading gains (losses): | ||||||||||||
Realized ** | $ | 28,415,248 | $ | 53,157,542 | ||||||||
Change in unrealized | 7,954,064 | -3,720,354 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||
Realized | -6,785,422 | 4,247,976 | ||||||||||
Change in unrealized | 3,680,757 | -5,018,885 | ||||||||||
Total | $ | 33,264,647 | $ | 48,666,279 | ||||||||
** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. | ||||||||||||
Line Item in the | Trading Gains / (Losses) | Trading Gains / (Losses) | ||||||||||
Statements of Operations | for the Six Months Ended | for the Six Months Ended | ||||||||||
30-Jun-14 | 30-Jun-13 | |||||||||||
Futures trading gains (losses): | ||||||||||||
Realized ** | $ | -17,253,265 | $ | 61,156,899 | ||||||||
Change in unrealized | -3,525,176 | 10,308,633 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||
Realized | -16,315,186 | 55,076,763 | ||||||||||
Change in unrealized | 3,016,622 | -24,616,314 | ||||||||||
Total | $ | -34,077,005 | $ | 101,925,981 | ||||||||
** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. | ||||||||||||
Offsetting of Derivative Assets and Collateral Received by Counterparty | ' | |||||||||||
Offsetting of Derivative Assets | ||||||||||||
As of June 30, 2014 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Unrealized Gain Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 13,333,608 | $ | (7,210,853) | $ | 6,122,755 | |||||
Futures contracts | Goldman Sachs | 13,329,545 | -7,098,815 | 6,230,730 | ||||||||
Total futures contracts | 26,663,153 | -14,309,668 | 12,353,485 | |||||||||
Forward currency contracts | UBS AG | 13,722,734 | -10,407,509 | 3,315,225 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 13,722,733 | -10,407,509 | 3,315,224 | ||||||||
Total forward currency contracts | 27,445,467 | -20,815,018 | 6,630,449 | |||||||||
Total derivatives | $ | 54,108,620 | $ | (35,124,686) | $ | 18,983,934 | ||||||
Derivatives Assets and Collateral Received by Counterparty | ||||||||||||
As of June 30, 2014 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||
UBS Securities LLC | $ | 6,122,755 | $ | 0 | $ | 0 | $ | 6,122,755 | ||||
Goldman Sachs | 6,230,730 | 0 | 0 | 6,230,730 | ||||||||
UBS AG | 3,315,225 | 0 | 0 | 3,315,225 | ||||||||
Royal Bank of Scotland | 3,315,224 | 0 | 0 | 3,315,224 | ||||||||
Total | $ | 18,983,934 | $ | 0 | $ | 0 | $ | 18,983,934 | ||||
Offsetting of Derivative Assets | ||||||||||||
As of December 31, 2013 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Assets | Gross Amount Offset in the Statements of Financial Condition | Net Amount of Unrealized Gain Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 13,530,175 | $ | -5,732,516 | $ | 7,797,659 | |||||
Futures contracts | Goldman Sachs | 13,784,864 | -5,703,864 | 8,081,000 | ||||||||
Total futures contracts | 27,315,039 | -11,436,380 | 15,878,659 | |||||||||
Forward currency contracts | UBS AG | 14,955,374 | -13,194,763 | 1,760,611 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 14,563,780 | -12,710,564 | 1,853,216 | ||||||||
Total forward currency contracts | 29,519,154 | -25,905,327 | 3,613,827 | |||||||||
Total derivatives | $ | 56,834,193 | $ | -37,341,707 | $ | 19,492,486 | ||||||
Derivatives Assets and Collateral Received by Counterparty | ||||||||||||
As of December 31, 2013 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||
UBS Securities LLC | $ | 7,797,659 | $ | 0 | $ | 0 | $ | 7,797,659 | ||||
Goldman Sachs | 8,081,000 | 0 | 0 | 8,081,000 | ||||||||
UBS AG | 1,760,611 | 0 | 0 | 1,760,611 | ||||||||
Royal Bank of Scotland | 1,853,216 | 0 | 0 | 1,853,216 | ||||||||
Total | $ | 19,492,486 | $ | 0 | $ | 0 | $ | 19,492,486 | ||||
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | ' | |||||||||||
Offsetting of Derivative Liabilities | ||||||||||||
As of June 30, 2014 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amount of Unrealized Loss Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 7,210,853 | $ | (7,210,853) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 7,098,815 | -7,098,815 | 0 | ||||||||
Total futures contracts | 14,309,668 | -14,309,668 | 0 | |||||||||
Forward currency contracts | UBS AG | 10,407,509 | -10,407,509 | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 10,407,509 | -10,407,509 | 0 | ||||||||
Total forward currency contracts | 20,815,018 | -20,815,018 | 0 | |||||||||
Total derivatives | $ | 35,124,686 | $ | -35,124,686 | $ | 0 | ||||||
Derivatives Liabilities and Collateral Pledged by Counterparty | ||||||||||||
As of June 30, 2014 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||
UBS AG | 0 | 0 | 0 | 0 | ||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Offsetting of Derivative Liabilities | ||||||||||||
As of December 31, 2013 | ||||||||||||
Type of Instrument | Counterparty | Gross Amount of Recognized Liabilities | Gross Amount Offset in the Statements of Financial Condition | Net Amount of Unrealized Loss Presented in the | ||||||||
Statements of Financial Condition | ||||||||||||
Futures contracts | UBS Securities LLC | $ | 5,732,516 | $ | -5,732,516 | $ | 0 | |||||
Futures contracts | Goldman Sachs | 5,703,864 | -5,703,864 | 0 | ||||||||
Total futures contracts | 11,436,380 | -11,436,380 | 0 | |||||||||
Forward currency contracts | UBS AG | 13,194,763 | -13,194,763 | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 12,710,564 | -12,710,564 | 0 | ||||||||
Total forward currency contracts | 25,905,327 | -25,905,327 | 0 | |||||||||
Total derivatives | $ | 37,341,707 | $ | -37,341,707 | $ | 0 | ||||||
Derivatives Liabilities and Collateral Pledged by Counterparty | ||||||||||||
As of December, 2013 | ||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||
Counterparty | Net Amount of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||
UBS AG | 0 | 0 | 0 | 0 | ||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||
FINANCIAL_HIGHLIGHTS_Details
FINANCIAL HIGHLIGHTS (Details) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |||||
Per Unit Performance (for a unit outstanding throughout the entire period) [Abstract] | ' | ' | ' | ' | ||||
Net asset value per unit at beginning of period (in dollars per unit) | $2,268.66 | $2,497.87 | $2,561.08 | $2,382.30 | ||||
Income (loss) from operations: [Abstract] | ' | ' | ' | ' | ||||
Total net trading gains (losses) (in dollars per unit) | $125.19 | [1] | $149.29 | [1] | ($125.06) | [1] | $308.69 | [1] |
Net investment income (loss) (in dollars per unit) | ($40.04) | [1] | ($46.26) | [1] | ($80.47) | [1] | ($87.98) | [1] |
Total net income (loss) from operations (in dollars per unit) | $85.15 | $103.03 | ($205.53) | $220.71 | ||||
Offering costs (in dollars per unit) | ($1.75) | [1] | ($2.40) | [1] | ($3.49) | [1] | ($4.51) | [1] |
Net asset value per unit at end of period (in dollars per unit) | $2,352.06 | $2,598.50 | $2,352.06 | $2,598.50 | ||||
Total Return (in hundredths) | 3.68% | [2] | 4.03% | [2] | -8.16% | [2] | 9.08% | [2] |
Ratios to average net asset value [Abstract] | ' | ' | ' | ' | ||||
Expenses prior to performance fee (in hundredths) | 7.30% | [3] | 7.36% | [3] | 7.18% | [3] | 7.33% | [3] |
Performance fee (in hundredths) | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] |
Total expenses (in hundredths) | 7.30% | 7.36% | 7.18% | 7.33% | ||||
Net investment income (loss) (in hundredths) | -7.02% | [3],[4] | -7.11% | [3],[4] | -6.83% | [3],[4] | -6.97% | [3],[4] |
[1] | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |||||||
[2] | Not annualized. | |||||||
[3] | Annualized. | |||||||
[4] | Excludes performance fee. |
ORGANIZATION_AND_SUMMARY_OF_SI3
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) (USD $) | 6 Months Ended | |
Jun. 30, 2014 | Dec. 31, 2013 | |
Offering Costs [Abstract] | ' | ' |
Percentage of aggregate subscriptions accepted during initial and continuous offerings (in hundredths) | 2.50% | ' |
Maximum potential remaining reimbursement for offering costs | $41,400,000 | $42,300,000 |
Unreimbursed offering costs | 154,339 | 263,563 |
Offering costs payable | 150,240 | 265,023 |
Recurring [Member] | ' | ' |
Investments [Abstract] | ' | ' |
Short term investments | 15,201,546 | 523 |
Fixed income securities | 525,268,071 | 668,737,374 |
Other Financial Instruments [Abstract] | ' | ' |
Exchange-traded futures contracts | 12,353,485 | 15,878,659 |
Forward currency contracts | 6,630,449 | 3,613,827 |
Total | 559,453,551 | 688,230,383 |
Transfers from Level 1 to Level 2 | 0 | 0 |
Transfers from Level 2 to Level 1 | 0 | 0 |
Recurring [Member] | Level 1 [Member] | ' | ' |
Investments [Abstract] | ' | ' |
Short term investments | 15,201,546 | 523 |
Fixed income securities | 0 | 0 |
Other Financial Instruments [Abstract] | ' | ' |
Exchange-traded futures contracts | 12,353,485 | 15,878,659 |
Forward currency contracts | 0 | 0 |
Total | 27,555,031 | 15,879,182 |
Recurring [Member] | Level 2 [Member] | ' | ' |
Investments [Abstract] | ' | ' |
Short term investments | 0 | 0 |
Fixed income securities | 525,268,071 | 668,737,374 |
Other Financial Instruments [Abstract] | ' | ' |
Exchange-traded futures contracts | 0 | 0 |
Forward currency contracts | 6,630,449 | 3,613,827 |
Total | 531,898,520 | 672,351,201 |
Recurring [Member] | Level 3 [Member] | ' | ' |
Investments [Abstract] | ' | ' |
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Other Financial Instruments [Abstract] | ' | ' |
Exchange-traded futures contracts | 0 | 0 |
Forward currency contracts | 0 | 0 |
Total | $0 | $0 |
GENERAL_PARTNER_AND_COMMODITY_1
GENERAL PARTNER AND COMMODITY TRADING ADVISOR (Details) (USD $) | 6 Months Ended |
Jun. 30, 2014 | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | ' |
Minimum percentage of net aggregate contributions (in hundredths) | 1.00% |
Minimum capital contributed by all limited partnerships (in hundredths) | 5.00% |
Minimum net worth required by Amended Agreement of Limited Partnership | $50,000 |
Maximum net worth required by Amended Agreement of Limited Partnership | 1,000,000 |
Monthly brokerage fee percentage (in hundredths) | 0.58% |
Annualized brokerage fee percentage (in hundredths) | 7.00% |
Execution and clearing costs fee | $4 |
Annualized fee percentage to compensate selling agents for ongoing services rendered (in hundredths) | 4.00% |
Annualized fee percentage retained for trading and management services rendered (in hundredths) | 3.00% |
Monthly maximum percentage of month-end net assets paid to broker and interbank market makers for execution and clearing costs (in hundredths) | 0.08% |
Annualized maximum percentage of month-end net assets used to calculate amount paid to broker and interbank market makers for execution and clearing costs (in hundredths) | 1.00% |
Quarterly performance fee percentage (in hundredths) | 20.00% |
DEPOSITS_WITH_INTERBANK_MARKET1
DEPOSITS WITH INTERBANK MARKET MAKERS (Details) | 6 Months Ended |
Jun. 30, 2014 | |
Counterparty | |
DEPOSITS WITH INTERBANK MARKET MAKERS [Abstract] | ' |
Number of major rating agencies reporting credit ratings for RBS and UBS as investment grade | 3 |
OPERATING_EXPENSES_Details
OPERATING EXPENSES (Details) | 6 Months Ended | |||
Jun. 30, 2014 | Jun. 30, 2013 | |||
OPERATING EXPENSES [Abstract] | ' | ' | ||
Maximum annual percentage of average month-end Net Asset Value of Fund used to limit operating expenses (in hundredths) | 0.50% | ' | ||
Actual operating expenses as a percentage of average month-end Net Asset Value (in hundredths) | ' | [1] | ' | [1] |
[1] | Less than 0.5%. |
SUBSCRIPTIONS_DISTRIBUTIONS_AN1
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) | 6 Months Ended |
Jun. 30, 2014 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ' |
Number of business days advance written notice is required for monthly redemptions | '10 days |
TRADING_ACTIVITIES_AND_RELATED2
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | $18,983,934 | $19,492,486 |
Liability derivatives at fair value | 0 | 0 |
Not Designated as Hedging Instruments [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 54,108,620 | 56,834,193 |
Liability derivatives at fair value | -35,124,686 | -37,341,707 |
Net | 18,983,934 | 19,492,486 |
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 4,945,481 | 3,547,428 |
Liability derivatives at fair value | -3,843,442 | -1,489,015 |
Net | 1,102,039 | 2,058,413 |
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 102,878 | 66,870 |
Liability derivatives at fair value | -1,921,389 | -1,385,506 |
Net | -1,818,511 | -1,318,636 |
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 8,731,413 | 4,683,858 |
Liability derivatives at fair value | -5,232,626 | -5,685,115 |
Net | 3,498,787 | -1,001,257 |
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 4,938,624 | 16,591,607 |
Liability derivatives at fair value | -2,511,738 | -164,832 |
Net | 2,426,886 | 16,426,775 |
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 286,386 | 902,280 |
Liability derivatives at fair value | -614,022 | -2,441,488 |
Net | -327,636 | -1,539,208 |
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 7,658,371 | 1,522,996 |
Liability derivatives at fair value | -186,451 | -270,424 |
Net | 7,471,920 | 1,252,572 |
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ' | ' |
Derivatives at Fair Value, Net [Abstract] | ' | ' |
Asset derivatives at fair value | 27,445,467 | 29,519,154 |
Liability derivatives at fair value | -20,815,018 | -25,905,327 |
Net | $6,630,449 | $3,613,827 |
TRADING_ACTIVITIES_AND_RELATED3
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations (Details) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | $33,264,647 | $48,666,279 | ($34,077,005) | $101,925,981 | ||||
Derivatives [Abstract] | ' | ' | ' | ' | ||||
Average number of months until maturity for open contracts | ' | ' | '12 months | ' | ||||
Futures Contracts [Member] | ' | ' | ' | ' | ||||
Derivatives [Abstract] | ' | ' | ' | ' | ||||
Monthly average of contracts bought and sold | 82,100 | 120,200 | 89,300 | 121,000 | ||||
Futures Contracts [Member] | Maximum [Member] | ' | ' | ' | ' | ||||
Derivatives [Abstract] | ' | ' | ' | ' | ||||
Latest maturity date for open contracts | ' | ' | 30-Sep-15 | ' | ||||
Forward Currency Contracts [Member] | ' | ' | ' | ' | ||||
Derivatives [Abstract] | ' | ' | ' | ' | ||||
Monthly average notional value | 5,377,300,000 | 5,859,500,000 | 6,086,100,000 | 6,558,800,000 | ||||
Forward Currency Contracts [Member] | Maximum [Member] | ' | ' | ' | ' | ||||
Derivatives [Abstract] | ' | ' | ' | ' | ||||
Latest maturity date for open contracts | ' | ' | 30-Sep-14 | ' | ||||
Futures Trading Gains (Losses) - Realized [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 28,415,246 | [1] | 53,157,542 | [1] | -17,253,267 | [1] | 61,156,899 | [1] |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 7,954,066 | -3,720,354 | -3,525,174 | 10,308,633 | ||||
Forward Currency Trading Gains (Losses) - Realized [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | -6,785,422 | 4,247,976 | -16,315,186 | 55,076,763 | ||||
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 3,680,757 | -5,018,885 | 3,016,622 | -24,616,314 | ||||
Agriculture Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | -1,562,720 | 251,162 | -887,363 | 2,461,566 | ||||
Energy Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | -2,433,517 | -1,598,572 | -15,947,755 | -6,885,240 | ||||
Metal Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 2,146,948 | 49,917,981 | -12,737,364 | 63,432,476 | ||||
Stock Indices Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 18,277,326 | 7,206,881 | -13,857,986 | 37,925,966 | ||||
Short-Term Interest Rate Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | -5,725,266 | -3,841,213 | -7,939,080 | -14,780,592 | ||||
Long-Term Interest Rate Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | 25,666,541 | -2,499,051 | 30,591,107 | -10,688,644 | ||||
Forward Currency Contracts [Member] | ' | ' | ' | ' | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ' | ' | ' | ' | ||||
Trading gains (losses) | ($3,104,665) | ($770,909) | ($13,298,564) | $30,460,449 | ||||
[1] | Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. |
TRADING_ACTIVITIES_AND_RELATED4
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) (USD $) | 6 Months Ended | |
Jun. 30, 2014 | Dec. 31, 2013 | |
Credit Risk [Abstract] | ' | ' |
Percentage of Net Asset Value required for margin and good faith deposits, low end (in hundredths) | 10.00% | ' |
Percentage of Net Asset Value required for margin and good faith deposits, high end (in hundredths) | 30.00% | ' |
Fair value of securities held to satisfy margin and good faith deposits | $138,274,907 | $180,399,517 |
Actual margin and good faith deposits as a percentage of Net Asset Value (in hundredths) | 24.00% | 25.00% |
Cash deposited with interbank market makers | 130,442 | 97,130 |
Actual cash deposited with interbank market makers as a percentage of Net Asset Value (in hundredths) | 0.00% | 0.00% |
Restricted cash for margin requirements | $0 | $0 |
Maximum margin-to-equity ratio (in hundredths) | 30.00% | ' |
TRADING_ACTIVITIES_AND_RELATED5
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | $54,108,620 | $56,834,193 |
Gross amounts offset in the Statements of Financial Condition | -35,124,686 | -37,341,707 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 18,983,934 | 19,492,486 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 18,983,934 | 19,492,486 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 18,983,934 | 19,492,486 |
Futures Contracts [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 26,663,153 | 27,315,039 |
Gross amounts offset in the Statements of Financial Condition | -14,309,668 | -11,436,380 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 12,353,485 | 15,878,659 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 12,353,485 | 15,878,659 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 13,333,608 | 13,530,175 |
Gross amounts offset in the Statements of Financial Condition | -7,210,853 | -5,732,516 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,122,755 | 7,797,659 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,122,755 | 7,797,659 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 6,122,755 | 7,797,659 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 13,329,545 | 13,784,864 |
Gross amounts offset in the Statements of Financial Condition | -7,098,815 | -5,703,864 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,230,730 | 8,081,000 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,230,730 | 8,081,000 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 6,230,730 | 8,081,000 |
Forward Currency Contracts [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 27,445,467 | 29,519,154 |
Gross amounts offset in the Statements of Financial Condition | -20,815,018 | -25,905,327 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,630,449 | 3,613,827 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,630,449 | 3,613,827 |
Forward Currency Contracts [Member] | UBS AG [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 13,722,734 | 14,955,374 |
Gross amounts offset in the Statements of Financial Condition | -10,407,509 | -13,194,763 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,315,225 | 1,760,611 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,315,225 | 1,760,611 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 3,315,225 | 1,760,611 |
Forward Currency Contracts [Member] | Royal Bank of Scotland [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Assets [Abstract] | ' | ' |
Gross amount of recognized assets | 13,722,733 | 14,563,780 |
Gross amounts offset in the Statements of Financial Condition | -10,407,509 | -12,710,564 |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,315,224 | 1,853,216 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ' | ' |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,315,224 | 1,853,216 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | $3,315,224 | $1,853,216 |
TRADING_ACTIVITIES_AND_RELATED6
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | $35,124,686 | $37,341,707 |
Gross amounts offset in the Statements of Financial Condition | -35,124,686 | -37,341,707 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Futures Contracts [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 14,309,668 | 11,436,380 |
Gross amounts offset in the Statements of Financial Condition | -14,309,668 | -11,436,380 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 7,210,853 | 5,732,516 |
Gross amounts offset in the Statements of Financial Condition | -7,210,853 | -5,732,516 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange Traded [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 7,098,815 | 5,703,864 |
Gross amounts offset in the Statements of Financial Condition | -7,098,815 | -5,703,864 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 20,815,018 | 25,905,327 |
Gross amounts offset in the Statements of Financial Condition | -20,815,018 | -25,905,327 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Forward Currency Contracts [Member] | UBS AG [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 10,407,509 | 13,194,763 |
Gross amounts offset in the Statements of Financial Condition | -10,407,509 | -13,194,763 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | Royal Bank of Scotland [Member] | Over the Counter [Member] | ' | ' |
Offsetting of Derivative Liabilities [Abstract] | ' | ' |
Gross amount of recognized liabilities | 10,407,509 | 12,710,564 |
Gross amounts offset in the Statements of Financial Condition | -10,407,509 | -12,710,564 |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ' | ' |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | $0 | $0 |