Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2016shares | |
Document and Entity Information [Abstract] | |
Entity Registrant Name | CAMPBELL STRATEGIC ALLOCATION FUND LP |
Entity Central Index Key | 910,467 |
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 | 188,755.265 |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | Q1 |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Mar. 31, 2016 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |||
Investment Owned | |||||
Short term investments | $ 1,758 | $ 1,939 | |||
Net unrealized gain (loss) on open futures contracts | 7,431,854 | (8,091,705) | |||
Net unrealized gain (loss) on open forward currency contracts | 51,310 | 1,430,552 | |||
Fixed Income Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 493,203,324 | [1] | $ 502,827,157 | [2] | |
% of Net Asset Value | 94.27% | 92.18% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 34,310,206 | $ 32,574,755 | |||
% of Net Asset Value | 6.56% | 5.97% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 21,082,345 | $ 20,040,567 | |||
% of Net Asset Value | 4.03% | 3.67% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Credit Cards [Member] | |||||
Investment Owned | |||||
Fair value | $ 8,698,823 | $ 8,818,510 | |||
% of Net Asset Value | 1.66% | 1.62% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,841,857 | $ 3,029,800 | |||
% of Net Asset Value | 0.74% | 0.55% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Utility Rate Reduction Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 687,181 | $ 685,878 | |||
% of Net Asset Value | 0.13% | 0.13% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,144,829 | ||||
% of Net Asset Value | 1.17% | ||||
Fixed Income Securities [Member] | Bank Deposits [Member] | Switzerland | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,144,829 | ||||
% of Net Asset Value | 1.17% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Investment Owned | |||||
Fair value | $ 178,086,571 | $ 153,401,962 | |||
% of Net Asset Value | 34.04% | 28.12% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,609,718 | ||||
% of Net Asset Value | 0.50% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 175,476,853 | ||||
% of Net Asset Value | 33.54% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 749,893 | $ 11,030,011 | |||
% of Net Asset Value | 0.14% | 2.02% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 37,480,382 | $ 23,279,813 | |||
% of Net Asset Value | 7.17% | 4.27% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,623,824 | $ 16,122,016 | |||
% of Net Asset Value | 2.41% | 2.96% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 10,880,978 | $ 10,074,868 | |||
% of Net Asset Value | 2.08% | 1.85% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 35,322,458 | $ 28,619,747 | |||
% of Net Asset Value | 6.75% | 5.25% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Health Care [Member] | |||||
Investment Owned | |||||
Fair value | $ 9,994,384 | $ 20,178,845 | |||
% of Net Asset Value | 1.91% | 3.70% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 13,408,446 | $ 6,574,969 | |||
% of Net Asset Value | 2.56% | 1.20% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,923,697 | ||||
% of Net Asset Value | 0.75% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 14,645,779 | $ 14,047,005 | |||
% of Net Asset Value | 2.80% | 2.57% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 36,447,012 | $ 23,474,688 | |||
% of Net Asset Value | 6.97% | 4.30% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 147,817,589 | $ 173,843,316 | |||
% of Net Asset Value | 28.25% | 31.87% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,300,581 | ||||
% of Net Asset Value | 0.79% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 169,542,735 | ||||
% of Net Asset Value | 31.08% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 16,649,689 | $ 15,690,868 | |||
% of Net Asset Value | 3.18% | 2.88% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 37,062,021 | $ 37,805,699 | |||
% of Net Asset Value | 7.08% | 6.93% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,321,290 | $ 12,918,157 | |||
% of Net Asset Value | 0.83% | 2.37% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 78,048,220 | $ 90,334,411 | |||
% of Net Asset Value | 14.92% | 16.56% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Health Care [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,528,112 | $ 8,890,619 | |||
% of Net Asset Value | 1.25% | 1.63% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,208,257 | $ 3,902,981 | |||
% of Net Asset Value | 0.99% | 0.71% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Investment Owned | |||||
Fair value | $ 126,844,129 | $ 143,007,124 | |||
% of Net Asset Value | 24.25% | 26.22% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/14/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 8,409,680 | |||
% of Net Asset Value | 1.61% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/21/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 14,999,070 | |||
% of Net Asset Value | 2.87% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/28/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 42,214,807 | |||
% of Net Asset Value | 8.07% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/05/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 12,039,073 | |||
% of Net Asset Value | 2.30% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/26/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 28,192,922 | |||
% of Net Asset Value | 5.39% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/23/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 14,992,965 | |||
% of Net Asset Value | 2.86% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/30/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 5,995,612 | |||
% of Net Asset Value | 1.15% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/28/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 44,996,310 | |||
% of Net Asset Value | 8.25% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/04/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 21,018,360 | |||
% of Net Asset Value | 3.85% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/25/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 76,992,454 | |||
% of Net Asset Value | 14.12% | ||||
Short Term Investments [Member] | |||||
Investment Owned | |||||
Short term investments | $ 1,758 | $ 1,939 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Investment Owned | |||||
Short term investments | $ 1,758 | $ 1,939 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Futures Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 7,431,854 | $ (8,091,705) | |||
% of Net Asset Value | 1.42% | (1.48%) | |||
Futures Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,557,684 | $ (39,873) | |||
% of Net Asset Value | 0.87% | (0.01%) | |||
Futures Contracts [Member] | Long [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (446,420) | $ 18,361 | |||
% of Net Asset Value | (0.08%) | 0.00% | |||
Futures Contracts [Member] | Long [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 60,602 | ||||
% of Net Asset Value | 0.01% | ||||
Futures Contracts [Member] | Long [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (623,186) | $ 278,027 | |||
% of Net Asset Value | (0.12%) | 0.05% | |||
Futures Contracts [Member] | Long [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 166,480 | $ (470,212) | |||
% of Net Asset Value | 0.03% | (0.09%) | |||
Futures Contracts [Member] | Long [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 903,241 | $ (394,828) | |||
% of Net Asset Value | 0.17% | (0.07%) | |||
Futures Contracts [Member] | Long [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,557,569 | $ 468,177 | |||
% of Net Asset Value | 0.87% | 0.09% | |||
Futures Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 2,874,170 | $ (8,051,832) | |||
% of Net Asset Value | 0.55% | (1.47%) | |||
Futures Contracts [Member] | Short [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 1,684,151 | $ 575,270 | |||
% of Net Asset Value | 0.32% | 0.11% | |||
Futures Contracts [Member] | Short [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 820,745 | $ (5,755,777) | |||
% of Net Asset Value | 0.16% | (1.05%) | |||
Futures Contracts [Member] | Short [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 832,426 | $ (2,661,677) | |||
% of Net Asset Value | 0.16% | (0.49%) | |||
Futures Contracts [Member] | Short [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 340,258 | $ (87,595) | |||
% of Net Asset Value | 0.07% | (0.02%) | |||
Futures Contracts [Member] | Short [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (289,134) | $ (44,997) | |||
% of Net Asset Value | (0.06%) | (0.01%) | |||
Futures Contracts [Member] | Short [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (514,276) | $ (77,056) | |||
% of Net Asset Value | 0.10% | (0.01%) | |||
Forward Currency Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 51,310 | $ 1,430,552 | |||
% of Net Asset Value | 0.01% | 0.26% | |||
Forward Currency Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 32,803,004 | $ (6,621,688) | |||
% of Net Asset Value | 6.27% | (1.21%) | |||
Forward Currency Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (32,751,694) | $ 8,052,240 | |||
% of Net Asset Value | (6.26%) | 1.47% | |||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $87,203,077 deposited with the futures brokers and $39,641,052 deposited with the interbank market makers. | ||||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $89,991,900 deposited with the futures brokers and $53,015,224 deposited with the interbank market makers. | ||||
[3] | Pledged as collateral for the trading of futures or forward positions. |
CONDENSED SCHEDULE OF INVESTME3
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Investment Owned | ||
Fixed income securities deposited with futures brokers | $ 87,203,077 | $ 89,991,900 |
Fixed income securities deposited with interbank market makers | 406,000,247 | 412,835,257 |
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | 493,187,876 | 503,187,047 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 34,314,480 | 32,635,227 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 6,140,840 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 178,086,118 | 153,390,527 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland | Financials [Member] | ||
Investment Owned | ||
Cost | 2,609,601 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 175,476,517 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 147,818,654 | 174,143,646 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 4,322,342 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 169,821,304 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 126,827,784 | 143,017,647 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with futures brokers | 87,203,077 | 89,991,900 |
Fixed income securities deposited with interbank market makers | 39,641,052 | 53,015,224 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/14/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 8,410,000 | |
Due date | Apr. 14, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/21/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 15,000,000 | |
Due date | Apr. 21, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/28/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 42,220,000 | |
Due date | Apr. 28, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/05/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 12,040,000 | |
Due date | May 5, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/26/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 28,200,000 | |
Due date | May 26, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/23/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 15,000,000 | |
Due date | Jun. 23, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/30/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 6,000,000 | |
Due date | Jun. 30, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/28/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 45,000,000 | |
Due date | Jan. 28, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/04/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 21,020,000 | |
Due date | Feb. 4, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/25/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 77,000,000 | |
Due date | Feb. 25, 2016 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 1,758 | $ 1,939 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 1,758 | $ 1,939 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Equity in futures broker trading accounts | ||
Cash | $ 30,101,535 | $ 51,239,065 |
Restricted cash | 0 | 5,107,473 |
Fixed income securities (cost $87,191,940 and $89,998,647, respectively) | 87,203,077 | 89,991,900 |
Net unrealized gain (loss) on open futures contracts | 7,431,854 | (8,091,705) |
Total equity in futures broker trading accounts | 124,736,466 | 138,246,733 |
Cash and cash equivalents | 260,431 | 644,164 |
Short term investments (cost $1,758 and $1,939, respectively) | 1,758 | 1,939 |
Fixed income securities (cost $405,995,936 and $413,188,400, respectively) | 406,000,247 | 412,835,257 |
Net unrealized gain (loss) on open forward currency contracts | 51,310 | 1,430,552 |
Interest receivable | 324,655 | 716,514 |
Total assets | 531,374,867 | 553,875,159 |
LIABILITIES | ||
Accounts payable | 237,241 | 401,392 |
Brokerage fee payable | 3,097,164 | 3,227,278 |
Accrued commissions and other trading fees on open contracts | 73,651 | 95,209 |
Offering costs payable | 121,607 | 130,828 |
Redemptions payable | 4,679,443 | 4,557,645 |
Total liabilities | 8,209,106 | 8,412,352 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner - 235.103 redeemable units outstanding at March 31, 2016 and December 31, 2015 | 651,626 | 658,220 |
Limited Partners - 188,520.162 and 194,593.327 redeemable units outstanding at March 31, 2016 and December 31, 2015 | 522,514,135 | 544,804,587 |
Total partners' capital (Net Asset Value) | 523,165,761 | 545,462,807 |
Total liabilities and partners' capital (Net Asset Value) | $ 531,374,867 | $ 553,875,159 |
STATEMENTS OF FINANCIAL CONDIT5
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Equity in futures broker trading accounts | ||
Fixed income securities, cost | $ 87,191,940 | $ 89,998,647 |
Short term investments, cost | 1,758 | 1,939 |
Fixed income securities, cost | $ 405,995,936 | $ 413,188,400 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner, redeemable units outstanding (in units) | 235.103 | 235.103 |
Limited Partners, redeemable units outstanding (in units) | 188,520.162 | 194,593.327 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Futures trading gains (losses) | ||
Realized | $ (17,859,907) | $ 57,641,363 |
Change in unrealized | 15,523,559 | (10,497,791) |
Brokerage commissions | (622,083) | (797,958) |
Net gain (loss) from futures trading | (2,958,431) | 46,345,614 |
Forward currency trading gains (losses) | ||
Realized | 8,446,924 | 18,168,652 |
Change in unrealized | (1,379,242) | 3,454,351 |
Brokerage commissions | (41,563) | (63,149) |
Net gain (loss) from forward currency trading | 7,026,119 | 21,559,854 |
Total net trading gain (loss) | 4,067,688 | 67,905,468 |
Investment income | ||
Interest income | 802,502 | 805,230 |
Realized gain (loss) on fixed income securities | 0 | 196,747 |
Change in unrealized gain (loss) on fixed income securities | 375,338 | (147,093) |
Total investment income | 1,177,840 | 854,884 |
Expenses | ||
Brokerage fee | 9,631,317 | 12,576,929 |
Operating expenses | 291,602 | 359,379 |
Total expenses | 9,922,919 | 12,936,308 |
Net investment income (loss) | (8,745,079) | (12,081,424) |
NET INCOME (LOSS) | $ (4,677,391) | $ 55,824,044 |
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average units outstanding during the period) (in dollars per unit) | $ (24.29) | $ 251.22 |
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT (in dollars per unit) | $ (28.05) | $ 247.79 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 192,556.310 | 222,211.456 |
STATEMENTS OF CASH FLOWS (Unaud
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ (4,677,391) | $ 55,824,044 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards and investments | (14,519,655) | 7,190,533 |
(Increase) decrease in restricted cash | 5,107,473 | 0 |
Increase (decrease) in payable for securities purchased | 0 | 3,095,400 |
(Increase) decrease in interest receivable | 391,859 | (49,126) |
Increase (decrease) in accounts payable and accrued expenses | (315,823) | 196,561 |
Purchases of investments | (1,492,231,536) | (2,565,468,357) |
Sales/maturities of investments | 1,502,230,888 | 2,532,105,269 |
Net cash from (for) operating activities | (4,014,185) | 32,894,324 |
Cash flows from (for) financing activities | ||
Redemption of units | (17,163,328) | (18,720,525) |
Offering costs paid | (343,750) | (750,442) |
Net cash from (for) financing activities | (17,507,078) | (19,470,967) |
Net increase (decrease) in cash and cash equivalents | (21,521,263) | 13,423,357 |
Unrestricted cash | ||
Beginning of period | 51,883,229 | 77,657,233 |
End of period | 30,361,966 | 91,080,590 |
End of period cash and cash equivalents consists of: | ||
Cash in futures broker trading accounts | 30,101,535 | 90,705,337 |
Cash and cash equivalents | 260,431 | 375,253 |
End of period | $ 30,361,966 | $ 91,080,590 |
STATEMENTS OF CHANGES IN PARTNE
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) | General Partner [Member] | Limited Partners [Member] | Total |
Balances at Dec. 31, 2014 | $ 1,782,549 | $ 674,699,913 | $ 676,482,462 |
Balances (in units) at Dec. 31, 2014 | 589.787 | 223,236.152 | 223,825.939 |
Net income (loss) | $ 147,708 | $ 55,676,336 | $ 55,824,044 |
Redemptions | $ 0 | $ (16,791,973) | $ (16,791,973) |
Redemptions (in units) | 0 | (5,204.800) | (5,204.800) |
Offering costs | $ (1,565) | $ (589,425) | $ (590,990) |
Balances at Mar. 31, 2015 | $ 1,928,692 | $ 712,994,851 | $ 714,923,543 |
Balances (in units) at Mar. 31, 2015 | 589.787 | 218,031.352 | 218,621.139 |
Balances at Dec. 31, 2015 | $ 658,220 | $ 544,804,587 | $ 545,462,807 |
Balances (in units) at Dec. 31, 2015 | 235.103 | 194,593.327 | 194,828.430 |
Net income (loss) | $ (6,185) | $ (4,671,206) | $ (4,677,391) |
Redemptions | $ 0 | $ (17,285,126) | $ (17,285,126) |
Redemptions (in units) | 0 | (6,073.165) | (6,073.165) |
Offering costs | $ (409) | $ (334,120) | $ (334,529) |
Balances at Mar. 31, 2016 | $ 651,626 | $ 522,514,135 | $ 523,165,761 |
Balances (in units) at Mar. 31, 2016 | 235.103 | 188,520.162 | 188,755.265 |
STATEMENTS OF CHANGES IN PARTN9
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) [Abstract] | ||||
Net Asset Value per General and Limited Partner Unit (in dollars per unit) | 2,771.66 | 2,799.71 | 3,270.15 | 3,022.36 |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS - $ / shares | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | 2,799.71 | 3,022.36 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 19.11 | 304.82 |
Net investment income (loss) (in dollars per unit) | [1] | (45.42) | (54.37) |
Total net income (loss) from operations (in dollars per unit) | (26.31) | 250.45 | |
Offering costs (in dollars per unit) | [1] | (1.74) | (2.66) |
Net asset value per unit at end of period (in dollars per unit) | 2,771.66 | 3,270.15 | |
Total Return | [2] | (1.00%) | 8.20% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 7.30% | 7.36% |
Performance fee | [2] | 0.00% | 0.00% |
Total expenses | 7.30% | 7.36% | |
Net investment income (loss) | [3],[4] | (6.44%) | (6.88%) |
[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 SIG
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2016 | |
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, 2015. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included. The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946-10, Financial Services – Investment Companies. 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 value 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 ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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 are 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. 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 March 31, 2016 and December 31, 2015, and for the periods ended March 31, 2016 and 2015, 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 March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,758 $ 0 $ 0 $ 1,758 Fixed income securities 0 493,203,324 0 493,203,324 Other Financial Instruments Exchange-traded futures contracts 7,431,854 0 0 7,431,854 Forward currency contracts 0 51,310 0 51,310 Total $ 7,433,612 $ 493,254,634 $ 0 $ 500,688,246 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,939 $ 0 $ 0 $ 1,939 Fixed income securities 0 502,827,157 0 502,827,157 Other Financial Instruments Exchange-traded futures contracts (8,091,705 ) 0 0 (8,091,705 ) Forward currency contracts 0 1,430,552 0 1,430,552 Total $ (8,089,766 ) $ 504,257,709 $ 0 $ 496,167,943 The Fund recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended March 31, 2016 or the year ended December 31, 2015. The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 9. 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 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. G. Offering Costs Campbell & Company, LP ("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 March 31, 2016 and December 31, 2015, the Fund has the potential remaining reimbursement amount of approximately $38.3 million and $38.6 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 March 31, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $121,607 and $123,499, respectively. At March 31, 2016, and December 31, 2015, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $121,607 and $130,828, 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. |
GENERAL PARTNER AND COMMODITY T
GENERAL PARTNER AND COMMODITY TRADING ADVISOR | 3 Months Ended |
Mar. 31, 2016 | |
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, LP, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. Effective December 2, 2014, Campbell & Company, Inc. changed its name and form of entity to Campbell & Company, LP. Campbell & Company refers to either Campbell & Company, Inc. or Campbell & Company, LP depending on the applicable period discussed. 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 futures brokers 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 brokers 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 brokers or cash management accounts. |
ADMINISTRATOR
ADMINISTRATOR | 3 Months Ended |
Mar. 31, 2016 | |
ADMINISTRATOR [Abstract] | |
ADMINISTRATOR | Note 3. ADMINISTRATOR Northern Trust Hedge Fund Services LLC became the Administrator of the Fund effective January 1, 2015. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 3 Months Ended |
Mar. 31, 2016 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN | Note 4. CASH MANAGER AND CUSTODIAN PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. PNC Capital Advisors, LLC is registered as an investment adviser 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 | 3 Months Ended |
Mar. 31, 2016 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS | Note 5. 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 | 3 Months Ended |
Mar. 31, 2016 | |
DEPOSITS WITH INTERBANK MARKET MAKERS [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKERS | Note 6. 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 ("ISDA Agreement") with 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 March 31, 2016. 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 RBS and UBS. |
OPERATING EXPENSES
OPERATING EXPENSES | 3 Months Ended |
Mar. 31, 2016 | |
OPERATING EXPENSES [Abstract] | |
OPERATING EXPENSES | Note 7. 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 three months ended March 31, 2016 and 2015. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 3 Months Ended |
Mar. 31, 2016 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 8. 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 | 3 Months Ended |
Mar. 31, 2016 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
TRADING ACTIVITIES AND RELATED RISKS | Note 9. 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 March 31, 2016 and December 31, 2015 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2016 Fair Value Liability Derivatives at March 31, 2016 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,446,676 $ (1,208,945 ) $ 1,237,731 Energy Contracts Net unrealized gain (loss) on open futures contracts 1,345,969 (525,224 ) 820,745 Metal Contracts Net unrealized gain (loss) on open futures contracts 1,635,245 (1,426,005 ) 209,240 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 2,269,461 (1,762,723 ) 506,738 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 995,022 (380,915 ) 614,107 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 4,955,861 (912,568 ) 4,043,293 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 33,699,218 (33,647,908 ) 51,310 Totals $ 47,347,452 $ (39,864,288 ) $ 7,483,164 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2015 Fair Value Liability Derivatives at December 31, 2015 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,502,717 $ (1,909,086 ) $ 593,631 Energy Contracts Net unrealized gain (loss) on open futures contracts 1,249,322 (6,944,497 ) (5,695,175 ) Metal Contracts Net unrealized gain (loss) on open futures contracts 1,370,476 (3,754,126 ) (2,383,650 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 560,183 (1,117,990 ) (557,807 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 10,868 (450,693 ) (439,825 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,590,634 (1,199,513 ) 391,121 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 31,083,991 (29,653,439 ) 1,430,552 Totals $ 38,368,191 $ (45,029,344 ) $ (6,661,153 ) * 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 ended March 31, 2016 and 2015 is as follows: Type of Instrument Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Agriculture Contracts $ (7,736,363 ) $ 4,743,958 Energy Contracts 3,093,450 537,428 Metal Contracts (7,673,719 ) (2,588,339 ) Stock Indices Contracts (5,052,411 ) 20,376,566 Short-Term Interest Rate Contracts 583,807 (1,814,846 ) Long Term Interest Rate Contracts 14,354,366 26,142,684 Forward Currency Contracts 7,067,682 21,623,003 Total $ 4,636,812 $ 69,020,454 Line Item in the Statements of Operations Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Futures trading gains (losses): Realized ** $ (17,954,429 ) $ 57,895,242 Change in unrealized 15,523,559 (10,497,791 ) Forward currency trading gains (losses): Realized 8,446,924 18,168,652 Change in unrealized (1,379,242 ) 3,454,351 Total $ 4,636,812 $ 69,020,454 ** 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 March 31, 2016 and 2015, the monthly average of futures contracts bought and sold was approximately 53,500 and 70,500, respectively, and the monthly average of notional value of forward currency contracts was $3,048,500,000 and $4,131,000,000 respectively. Open contracts generally mature within twelve months; as of March 31, 2016, the latest maturity date for open futures contracts is June 2017 and the latest maturity date for open forward currency contracts is June 2016. 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 a portion of its assets on deposit with PNC Bank. In the event of a financial institution's insolvency, recovery of the Fund's assets on deposit may be limited to account insurance or other protection afforded such deposits. The Fund has entered into 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 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 brokers 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 March 31, 2016 and December 31, 2015 was $126,844,129 and $143,007,124, respectively, which equals approximately 24% and 26% of Net Asset Value, respectively. The cash deposited with the interbank market makers at March 31, 2016 and December 31, 2015 was $199,954 and $207,883, respectively, which equals approximately 0% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures brokers and interbank market makers at March 31, 2016 and December 31, 2015 was restricted cash for margin requirements of $0 and $5,107,473, respectively, which equals approximately 0% and 1% of Net Asset Value, respectively. 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 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 March 31, 2016 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 $ 6,913,446 $ (3,068,820 ) $ 3,844,626 Futures contracts Goldman Sachs 6,734,788 (3,147,560 ) 3,587,228 Total futures contracts 13,648,234 (6,216,380 ) 7,431,854 Forward currency contracts UBS AG 16,846,471 (16,818,651 ) 27,820 Forward currency contracts Royal Bank of Scotland 16,852,747 (16,829,257 ) 23,490 Total forward currency contracts 33,699,218 (33,647,908 ) 51,310 Total derivatives $ 47,347,452 $ (39,864,288 ) $ 7,483,164 Derivatives Assets and Collateral Received by Counterparty As of March 31, 2016 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 $ 3,844,626 $ 0 $ 0 $ 3,844,626 Goldman Sachs 3,587,228 0 0 3,587,228 UBS AG 27,820 0 0 27,820 Royal Bank of Scotland 23,490 0 0 23,490 Total $ 7,483,164 $ 0 $ 0 $ 7,483,164 Offsetting of Derivative Liabilities As of March 31, 2016 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 $ 3,068,820 $ (3,068,820 ) $ 0 Futures contracts Goldman Sachs 3,147,560 (3,147,560 ) 0 Total futures contracts 6,216,380 (6,216,380 ) 0 Forward currency contracts UBS AG 16,818,651 (16,818,651 ) 0 Forward currency contracts Royal Bank of Scotland 16,829,257 (16,829,257 ) 0 Total forward currency contracts 33,647,908 (33,647,908 ) 0 Total derivatives $ 39,864,288 $ (39,864,288 ) $ 0 Derivatives Liabilities and Collateral Pledged by Counterparty As of March 31, 2016 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, 2015 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 $ 3,688,786 $ (3,688,786 ) $ 0 Futures contracts Goldman Sachs 3,595,414 (3,595,414 ) 0 Total futures contracts 7,284,200 (7,284,200 ) 0 Forward currency contracts UBS AG 15,542,073 (14,826,720 ) 715,353 Forward currency contracts Royal Bank of Scotland 15,541,918 (14,826,719 ) 715,199 Total forward currency contracts 31,083,991 (29,653,439 ) 1,430,552 Total derivatives $ 38,368,191 $ (36,937,639 ) $ 1,430,552 Derivatives Assets and Collateral Received by Counterparty As of December 31, 2015 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 $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 UBS AG 715,353 0 0 715,353 Royal Bank of Scotland 715,199 0 0 715,199 Total $ 1,430,552 $ 0 $ 0 $ 1,430,552 Offsetting of Derivative Liabilities As of December 31, 2015 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 $ 7,516,750 $ (3,688,786 ) $ 3,827,964 Futures contracts Goldman Sachs 7,859,155 (3,595,414 ) 4,263,741 Total futures contracts 15,375,905 (7,284,200 ) 8,091,705 Forward currency contracts UBS AG 14,826,720 (14,826,720 ) 0 Forward currency contracts Royal Bank of Scotland 14,826,719 (14,826,719 ) 0 Total forward currency contracts 29,653,439 (29,653,439 ) 0 Total derivatives $ 45,029,344 $ (36,937,639 ) $ 8,091,705 Derivatives Liabilities and Collateral Pledged by Counterparty As of December 31, 2015 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 $ 3,827,964 $ 0 $ (3,827,964 ) $ 0 Goldman Sachs 4,263,741 0 (4,263,741 ) 0 UBS AG 0 0 0 0 Royal Bank of Scotland 0 0 0 0 Total $ 8,091,705 $ 0 $ (8,091,705 ) $ 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 bear 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 | 3 Months Ended |
Mar. 31, 2016 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 10. 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 | 3 Months Ended |
Mar. 31, 2016 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 11. INTERIM FINANCIAL STATEMENTS The statements of financial condition, including the condensed schedules of investments, as of March 31, 2016 and December 31, 2015, and the statements of operations, cash flows, changes in partners' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2016 and 2015 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 March 31, 2016 and December 31, 2015, and the results of operations, cash flows, changes in partners' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2016 and 2015. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2016 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 12. 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 S23
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
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 Codification ("ASC") 946-10, Financial Services – Investment Companies. 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 value 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 ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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 are 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. 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 March 31, 2016 and December 31, 2015, and for the periods ended March 31, 2016 and 2015, 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 March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,758 $ 0 $ 0 $ 1,758 Fixed income securities 0 493,203,324 0 493,203,324 Other Financial Instruments Exchange-traded futures contracts 7,431,854 0 0 7,431,854 Forward currency contracts 0 51,310 0 51,310 Total $ 7,433,612 $ 493,254,634 $ 0 $ 500,688,246 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,939 $ 0 $ 0 $ 1,939 Fixed income securities 0 502,827,157 0 502,827,157 Other Financial Instruments Exchange-traded futures contracts (8,091,705 ) 0 0 (8,091,705 ) Forward currency contracts 0 1,430,552 0 1,430,552 Total $ (8,089,766 ) $ 504,257,709 $ 0 $ 496,167,943 The Fund recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended March 31, 2016 or the year ended December 31, 2015. The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 9. 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 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
Offering Costs | G. Offering Costs Campbell & Company, LP ("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 March 31, 2016 and December 31, 2015, the Fund has the potential remaining reimbursement amount of approximately $38.3 million and $38.6 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 March 31, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $121,607 and $123,499, respectively. At March 31, 2016, and December 31, 2015, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $121,607 and $130,828, 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. |
ORGANIZATION AND SUMMARY OF S24
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,758 $ 0 $ 0 $ 1,758 Fixed income securities 0 493,203,324 0 493,203,324 Other Financial Instruments Exchange-traded futures contracts 7,431,854 0 0 7,431,854 Forward currency contracts 0 51,310 0 51,310 Total $ 7,433,612 $ 493,254,634 $ 0 $ 500,688,246 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,939 $ 0 $ 0 $ 1,939 Fixed income securities 0 502,827,157 0 502,827,157 Other Financial Instruments Exchange-traded futures contracts (8,091,705 ) 0 0 (8,091,705 ) Forward currency contracts 0 1,430,552 0 1,430,552 Total $ (8,089,766 ) $ 504,257,709 $ 0 $ 496,167,943 |
TRADING ACTIVITIES AND RELATE25
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2016 Fair Value Liability Derivatives at March 31, 2016 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,446,676 $ (1,208,945 ) $ 1,237,731 Energy Contracts Net unrealized gain (loss) on open futures contracts 1,345,969 (525,224 ) 820,745 Metal Contracts Net unrealized gain (loss) on open futures contracts 1,635,245 (1,426,005 ) 209,240 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 2,269,461 (1,762,723 ) 506,738 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 995,022 (380,915 ) 614,107 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 4,955,861 (912,568 ) 4,043,293 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 33,699,218 (33,647,908 ) 51,310 Totals $ 47,347,452 $ (39,864,288 ) $ 7,483,164 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2015 Fair Value Liability Derivatives at December 31, 2015 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,502,717 $ (1,909,086 ) $ 593,631 Energy Contracts Net unrealized gain (loss) on open futures contracts 1,249,322 (6,944,497 ) (5,695,175 ) Metal Contracts Net unrealized gain (loss) on open futures contracts 1,370,476 (3,754,126 ) (2,383,650 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 560,183 (1,117,990 ) (557,807 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 10,868 (450,693 ) (439,825 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,590,634 (1,199,513 ) 391,121 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 31,083,991 (29,653,439 ) 1,430,552 Totals $ 38,368,191 $ (45,029,344 ) $ (6,661,153 ) * 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 ended March 31, 2016 and 2015 is as follows: Type of Instrument Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Agriculture Contracts $ (7,736,363 ) $ 4,743,958 Energy Contracts 3,093,450 537,428 Metal Contracts (7,673,719 ) (2,588,339 ) Stock Indices Contracts (5,052,411 ) 20,376,566 Short-Term Interest Rate Contracts 583,807 (1,814,846 ) Long Term Interest Rate Contracts 14,354,366 26,142,684 Forward Currency Contracts 7,067,682 21,623,003 Total $ 4,636,812 $ 69,020,454 Line Item in the Statements of Operations Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Futures trading gains (losses): Realized ** $ (17,954,429 ) $ 57,895,242 Change in unrealized 15,523,559 (10,497,791 ) Forward currency trading gains (losses): Realized 8,446,924 18,168,652 Change in unrealized (1,379,242 ) 3,454,351 Total $ 4,636,812 $ 69,020,454 ** 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 March 31, 2016 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 $ 6,913,446 $ (3,068,820 ) $ 3,844,626 Futures contracts Goldman Sachs 6,734,788 (3,147,560 ) 3,587,228 Total futures contracts 13,648,234 (6,216,380 ) 7,431,854 Forward currency contracts UBS AG 16,846,471 (16,818,651 ) 27,820 Forward currency contracts Royal Bank of Scotland 16,852,747 (16,829,257 ) 23,490 Total forward currency contracts 33,699,218 (33,647,908 ) 51,310 Total derivatives $ 47,347,452 $ (39,864,288 ) $ 7,483,164 Derivatives Assets and Collateral Received by Counterparty As of March 31, 2016 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 $ 3,844,626 $ 0 $ 0 $ 3,844,626 Goldman Sachs 3,587,228 0 0 3,587,228 UBS AG 27,820 0 0 27,820 Royal Bank of Scotland 23,490 0 0 23,490 Total $ 7,483,164 $ 0 $ 0 $ 7,483,164 Offsetting of Derivative Assets As of December 31, 2015 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 $ 3,688,786 $ (3,688,786 ) $ 0 Futures contracts Goldman Sachs 3,595,414 (3,595,414 ) 0 Total futures contracts 7,284,200 (7,284,200 ) 0 Forward currency contracts UBS AG 15,542,073 (14,826,720 ) 715,353 Forward currency contracts Royal Bank of Scotland 15,541,918 (14,826,719 ) 715,199 Total forward currency contracts 31,083,991 (29,653,439 ) 1,430,552 Total derivatives $ 38,368,191 $ (36,937,639 ) $ 1,430,552 Derivatives Assets and Collateral Received by Counterparty As of December 31, 2015 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 $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 UBS AG 715,353 0 0 715,353 Royal Bank of Scotland 715,199 0 0 715,199 Total $ 1,430,552 $ 0 $ 0 $ 1,430,552 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities As of March 31, 2016 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 $ 3,068,820 $ (3,068,820 ) $ 0 Futures contracts Goldman Sachs 3,147,560 (3,147,560 ) 0 Total futures contracts 6,216,380 (6,216,380 ) 0 Forward currency contracts UBS AG 16,818,651 (16,818,651 ) 0 Forward currency contracts Royal Bank of Scotland 16,829,257 (16,829,257 ) 0 Total forward currency contracts 33,647,908 (33,647,908 ) 0 Total derivatives $ 39,864,288 $ (39,864,288 ) $ 0 Derivatives Liabilities and Collateral Pledged by Counterparty As of March 31, 2016 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, 2015 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 $ 7,516,750 $ (3,688,786 ) $ 3,827,964 Futures contracts Goldman Sachs 7,859,155 (3,595,414 ) 4,263,741 Total futures contracts 15,375,905 (7,284,200 ) 8,091,705 Forward currency contracts UBS AG 14,826,720 (14,826,720 ) 0 Forward currency contracts Royal Bank of Scotland 14,826,719 (14,826,719 ) 0 Total forward currency contracts 29,653,439 (29,653,439 ) 0 Total derivatives $ 45,029,344 $ (36,937,639 ) $ 8,091,705 Derivatives Liabilities and Collateral Pledged by Counterparty As of December 31, 2015 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 $ 3,827,964 $ 0 $ (3,827,964 ) $ 0 Goldman Sachs 4,263,741 0 (4,263,741 ) 0 UBS AG 0 0 0 0 Royal Bank of Scotland 0 0 0 0 Total $ 8,091,705 $ 0 $ (8,091,705 ) $ 0 |
ORGANIZATION AND SUMMARY OF S26
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Income Taxes [Abstract] | ||
Reserves for uncertain tax positions | $ 0 | |
Increase in unrecognized tax benefits within twelve months | 0 | |
Decrease in unrecognized tax benefits within twelve months | $ 0 | |
Offering Costs [Abstract] | ||
Maximum percentage of aggregate subscriptions accepted during initial and continuous offerings | 2.50% | |
Maximum potential remaining reimbursement for offering costs | $ 38,300,000 | $ 38,600,000 |
Unreimbursed offering costs | 121,607 | 123,499 |
Offering costs payable | 121,607 | 130,828 |
Recurring [Member] | ||
Investments [Abstract] | ||
Short term investments | 1,758 | 1,939 |
Fixed income securities | 493,203,324 | 502,827,157 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 7,431,854 | (8,091,705) |
Forward currency contracts | 51,310 | 1,430,552 |
Total | 500,688,246 | 496,167,943 |
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 | 1,758 | 1,939 |
Fixed income securities | 0 | 0 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 7,431,854 | (8,091,705) |
Forward currency contracts | 0 | 0 |
Total | 7,433,612 | (8,089,766) |
Recurring [Member] | Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 493,203,324 | 502,827,157 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 0 | 0 |
Forward currency contracts | 51,310 | 1,430,552 |
Total | 493,254,634 | 504,257,709 |
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 |
Federal Tax Authority [Member] | Minimum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,012 | |
Federal Tax Authority [Member] | Maximum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,015 | |
State Tax Authorities [Member] | Minimum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,012 | |
State Tax Authorities [Member] | Maximum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,015 |
GENERAL PARTNER AND COMMODITY27
GENERAL PARTNER AND COMMODITY TRADING ADVISOR (Details) | 3 Months Ended |
Mar. 31, 2016USD ($) | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | |
Minimum percentage of net aggregate contributions | 1.00% |
Minimum percentage of capital contributed by all limited partnerships | 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 | 0.5833% |
Annualized brokerage fee percentage | 7.00% |
Execution and clearing costs fee | $ 4 |
Annualized fee percentage to compensate selling agents for ongoing services rendered | 4.00% |
Annualized fee percentage retained for trading and management services rendered | 3.00% |
Monthly maximum percentage of month-end net assets paid to broker and interbank market makers for execution and clearing costs | 0.0833% |
Annualized maximum percentage of month-end net assets used to calculate amount paid to broker and interbank market makers for execution and clearing costs | 1.00% |
Quarterly performance fee percentage | 20.00% |
DEPOSITS WITH INTERBANK MARKE28
DEPOSITS WITH INTERBANK MARKET MAKERS (Details) | 3 Months Ended |
Mar. 31, 2016Counterparty | |
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) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
OPERATING EXPENSES [Abstract] | |||
Maximum annual percentage of average month-end Net Asset Value of Fund used to limit operating expenses | 0.50% | ||
Actual operating expenses as a percentage of average month-end Net Asset Value | [1] | ||
[1] | Less than 0.5%. |
SUBSCRIPTIONS, DISTRIBUTIONS 30
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) | 3 Months Ended |
Mar. 31, 2016 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
Number of business days advance written notice is required for monthly redemptions | 10 days |
TRADING ACTIVITIES AND RELATE31
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 7,483,164 | $ 1,430,552 |
Liability derivatives at fair value | 0 | (8,091,705) |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 47,347,452 | 38,368,191 |
Liability derivatives at fair value | (39,864,288) | (45,029,344) |
Net | 7,483,164 | (6,661,153) |
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 | 2,446,676 | 2,502,717 |
Liability derivatives at fair value | (1,208,945) | (1,909,086) |
Net | 1,237,731 | 593,631 |
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 | 1,345,969 | 1,249,322 |
Liability derivatives at fair value | (525,224) | (6,944,497) |
Net | 820,745 | (5,695,175) |
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 | 1,635,245 | 1,370,476 |
Liability derivatives at fair value | (1,426,005) | (3,754,126) |
Net | 209,240 | (2,383,650) |
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 | 2,269,461 | 560,183 |
Liability derivatives at fair value | (1,762,723) | (1,117,990) |
Net | 506,738 | (557,807) |
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 | 995,022 | 10,868 |
Liability derivatives at fair value | (380,915) | (450,693) |
Net | 614,107 | (439,825) |
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 | 4,955,861 | 1,590,634 |
Liability derivatives at fair value | (912,568) | (1,199,513) |
Net | 4,043,293 | 391,121 |
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 | 33,699,218 | 31,083,991 |
Liability derivatives at fair value | (33,647,908) | (29,653,439) |
Net | $ 51,310 | $ 1,430,552 |
TRADING ACTIVITIES AND RELATE32
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | ||
Mar. 31, 2016USD ($)Contract | Mar. 31, 2015USD ($)Contract | ||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ 4,636,812 | $ 69,020,454 | |
Derivatives [Abstract] | |||
Average number of months until maturity for open contracts | 12 months | ||
Futures Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | [1] | $ (17,954,429) | 57,895,242 |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 15,523,559 | (10,497,791) | |
Forward Currency Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 8,446,924 | 18,168,652 | |
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ (1,379,242) | $ 3,454,351 | |
Futures Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average of contracts bought and sold | Contract | 53,500 | 70,500 | |
Futures Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Latest maturity date for open contracts | Jun. 30, 2017 | ||
Forward Currency Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average notional value | $ 3,048,500,000 | $ 4,131,000,000 | |
Forward Currency Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Latest maturity date for open contracts | Jun. 30, 2016 | ||
Agriculture Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ (7,736,363) | 4,743,958 | |
Energy Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 3,093,450 | 537,428 | |
Metal Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | (7,673,719) | (2,588,339) | |
Stock Indices Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | (5,052,411) | 20,376,566 | |
Short-Term Interest Rate Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 583,807 | (1,814,846) | |
Long-Term Interest Rate Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 14,354,366 | 26,142,684 | |
Forward Currency Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ 7,067,682 | $ 21,623,003 | |
[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 RELATE33
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Credit Risk [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 126,844,129 | $ 143,007,124 |
Actual margin and good faith deposits as a percentage of Net Asset Value | 24.00% | 26.00% |
Cash deposited with interbank market makers | $ 199,954 | $ 207,883 |
Actual cash deposited with interbank market makers as a percentage of Net Asset Value | 0.00% | 0.00% |
Restricted cash for margin requirements | $ 0 | $ 5,107,473 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 0.00% | 1.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATE34
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | $ 47,347,452 | $ 38,368,191 |
Gross amount offset in the Statements of Financial Condition | (39,864,288) | (36,937,639) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 7,483,164 | 1,430,552 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 7,483,164 | 1,430,552 |
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 | 7,483,164 | 1,430,552 |
Futures Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 13,648,234 | 7,284,200 |
Gross amount offset in the Statements of Financial Condition | (6,216,380) | (7,284,200) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 7,431,854 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 7,431,854 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 6,913,446 | 3,688,786 |
Gross amount offset in the Statements of Financial Condition | (3,068,820) | (3,688,786) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,844,626 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,844,626 | 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 received | 0 | 0 |
Net amount | 3,844,626 | 0 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 6,734,788 | 3,595,414 |
Gross amount offset in the Statements of Financial Condition | (3,147,560) | (3,595,414) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,587,228 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 3,587,228 | 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 received | 0 | 0 |
Net amount | 3,587,228 | 0 |
Forward Currency Contracts [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 33,699,218 | 31,083,991 |
Gross amount offset in the Statements of Financial Condition | (33,647,908) | (29,653,439) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 51,310 | 1,430,552 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 51,310 | 1,430,552 |
Forward Currency Contracts [Member] | UBS AG [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 16,846,471 | 15,542,073 |
Gross amount offset in the Statements of Financial Condition | (16,818,651) | (14,826,720) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 27,820 | 715,353 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 27,820 | 715,353 |
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 | 27,820 | 715,353 |
Forward Currency Contracts [Member] | Royal Bank of Scotland [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 16,852,747 | 15,541,918 |
Gross amount offset in the Statements of Financial Condition | (16,829,257) | (14,826,719) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 23,490 | 715,199 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 23,490 | 715,199 |
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 | $ 23,490 | $ 715,199 |
TRADING ACTIVITIES AND RELATE35
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | $ 39,864,288 | $ 45,029,344 |
Gross amount offset in the Statements of Financial Condition | (39,864,288) | (36,937,639) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 8,091,705 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 8,091,705 |
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 | (8,091,705) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 6,216,380 | 15,375,905 |
Gross amount offset in the Statements of Financial Condition | (6,216,380) | (7,284,200) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 8,091,705 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 8,091,705 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 3,068,820 | 7,516,750 |
Gross amount offset in the Statements of Financial Condition | (3,068,820) | (3,688,786) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 3,827,964 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 3,827,964 |
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 | (3,827,964) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 3,147,560 | 7,859,155 |
Gross amount offset in the Statements of Financial Condition | (3,147,560) | (3,595,414) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 4,263,741 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 4,263,741 |
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 | (4,263,741) |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 33,647,908 | 29,653,439 |
Gross amount offset in the Statements of Financial Condition | (33,647,908) | (29,653,439) |
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 | 16,818,651 | 14,826,720 |
Gross amount offset in the Statements of Financial Condition | (16,818,651) | (14,826,720) |
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 | 16,829,257 | 14,826,719 |
Gross amount offset in the Statements of Financial Condition | (16,829,257) | (14,826,719) |
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 |