Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2020shares | |
Cover [Abstract] | |
Entity Registrant Name | CAMPBELL STRATEGIC ALLOCATION FUND LP |
Entity Central Index Key | 0000910467 |
Current Fiscal Year End Date | --12-31 |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Sep. 30, 2020 |
Document Fiscal Year Focus | 2020 |
Document Fiscal Period Focus | Q3 |
Entity Address, State or Province | MD |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | false |
Entity Emerging Growth Company | false |
Entity Shell Company | false |
Entity Common Stock, Shares Outstanding | 67,365.223 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 | |||
Investment Owned | |||||
Fixed income securities in futures brokers trading accounts | $ 19,891,790 | $ 28,785,653 | |||
Fixed income securities | 80,196,153 | 118,680,954 | |||
Short term Investments | 0 | 3,076 | |||
Net unrealized gain (loss) on open futures contracts | 2,261,770 | (4,168,853) | |||
Credit default swaps | 412,214 | 0 | |||
Fixed Income Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 100,087,943 | [1] | $ 147,466,607 | [2] | |
% of Net Asset Value | 74.60% | 90.00% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 7,880,716 | $ 10,509,364 | |||
% of Net Asset Value | 5.87% | 6.41% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,875,842 | $ 8,083,815 | |||
% of Net Asset Value | 5.12% | 4.93% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Credit Cards [Member] | |||||
Investment Owned | |||||
Fair value | $ 551,548 | $ 1,495,173 | |||
% of Net Asset Value | 0.41% | 0.91% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 441,692 | $ 563,774 | |||
% of Net Asset Value | 0.33% | 0.35% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Utility Rate Reduction Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 11,634 | $ 366,602 | |||
% of Net Asset Value | 0.01% | 0.22% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,125,184 | $ 1,145,043 | |||
% of Net Asset Value | 0.84% | 0.70% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | Singapore [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,145,043 | ||||
% of Net Asset Value | 0.70% | ||||
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,125,184 | ||||
% of Net Asset Value | 0.84% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Investment Owned | |||||
Fair value | $ 33,641,310 | $ 53,031,084 | |||
% of Net Asset Value | 25.08% | 32.36% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Australia [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 249,971 | $ 1,392,117 | |||
% of Net Asset Value | 0.19% | 0.85% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 599,772 | ||||
% of Net Asset Value | 0.37% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Spain [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 806,563 | ||||
% of Net Asset Value | 0.49% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,679,728 | ||||
% of Net Asset Value | 1.02% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,064,294 | $ 2,223,543 | |||
% of Net Asset Value | 0.79% | 1.36% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,753,828 | ||||
% of Net Asset Value | 2.80% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 28,573,217 | $ 46,329,361 | |||
% of Net Asset Value | 21.30% | 28.27% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,828,928 | $ 1,547,565 | |||
% of Net Asset Value | 1.36% | 0.94% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 9,757,433 | ||||
% of Net Asset Value | 5.95% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,099,493 | ||||
% of Net Asset Value | 0.67% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,598,677 | ||||
% of Net Asset Value | 1.94% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 15,510,601 | $ 16,563,388 | |||
% of Net Asset Value | 11.56% | 10.11% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,388,481 | $ 1,098,672 | |||
% of Net Asset Value | 2.53% | 0.67% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,246,530 | $ 16,262,810 | |||
% of Net Asset Value | 3.91% | 9.93% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 37,548,943 | $ 44,068,583 | |||
% of Net Asset Value | 27.98% | 26.90% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,917,378 | $ 366,759 | |||
% of Net Asset Value | 1.43% | 0.23% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,780,186 | ||||
% of Net Asset Value | 2.31% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,761,020 | $ 2,864,957 | |||
% of Net Asset Value | 2.80% | 1.75% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 915,229 | ||||
% of Net Asset Value | 0.56% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,157,326 | $ 2,904,359 | |||
% of Net Asset Value | 1.61% | 1.77% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 980,181 | ||||
% of Net Asset Value | 0.60% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,323,610 | ||||
% of Net Asset Value | 0.99% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,136,799 | ||||
% of Net Asset Value | 1.30% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 250,061 | ||||
% of Net Asset Value | 0.15% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,885,444 | $ 1,886,738 | |||
% of Net Asset Value | 1.40% | 1.15% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 26,504,165 | $ 33,900,299 | |||
% of Net Asset Value | 19.75% | 20.69% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 545,907 | $ 1,434,626 | |||
% of Net Asset Value | 0.41% | 0.87% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,027,244 | $ 7,073,288 | |||
% of Net Asset Value | 4.49% | 4.32% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,124,263 | ||||
% of Net Asset Value | 1.30% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,556,538 | $ 3,177,393 | |||
% of Net Asset Value | 1.90% | 1.94% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 10,176,765 | $ 12,781,953 | |||
% of Net Asset Value | 7.59% | 7.80% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Health Care [Member] | |||||
Investment Owned | |||||
Fair value | $ 911,879 | ||||
% of Net Asset Value | 0.68% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,758,181 | $ 2,931,869 | |||
% of Net Asset Value | 2.06% | 1.79% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Materials [Member] | |||||
Investment Owned | |||||
Fair value | $ 476,967 | $ 481,657 | |||
% of Net Asset Value | 0.35% | 0.29% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,050,684 | $ 2,568,233 | |||
% of Net Asset Value | 2.27% | 1.57% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,327,017 | ||||
% of Net Asset Value | 0.81% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Investment Owned | |||||
Fair value | $ 19,891,790 | $ 38,712,533 | |||
% of Net Asset Value | 14.83% | 23.63% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 10/15/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 134,996 | |||
% of Net Asset Value | 0.10% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 11/12/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 7,674,187 | |||
% of Net Asset Value | 5.72% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 12/17/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 12,082,607 | |||
% of Net Asset Value | 9.01% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/02/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 6,875,000 | |||
% of Net Asset Value | 4.20% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/16/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 1,848,998 | |||
% of Net Asset Value | 1.13% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/13/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 17,774,205 | |||
% of Net Asset Value | 10.85% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/12/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 12,214,330 | |||
% of Net Asset Value | 7.45% | ||||
Short Term Investments [Member] | |||||
Investment Owned | |||||
Short term Investments | $ 3,076 | ||||
% of Net Asset Value | 0.00% | ||||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Investment Owned | |||||
Short term Investments | $ 3,076 | ||||
% of Net Asset Value | 0.00% | ||||
Futures Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 2,261,770 | $ (4,168,853) | |||
% of Net Asset Value | 1.69% | (2.53%) | |||
Futures Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 1,297,144 | $ (1,193,868) | |||
% of Net Asset Value | 0.97% | (0.73%) | |||
Futures Contracts [Member] | Long [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 687,002 | $ 61,364 | |||
% of Net Asset Value | 0.51% | 0.04% | |||
Futures Contracts [Member] | Long [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (4,416) | $ 529,188 | |||
% of Net Asset Value | 0.00% | 0.32% | |||
Futures Contracts [Member] | Long [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 261,091 | $ 1,141,530 | |||
% of Net Asset Value | 0.19% | 0.70% | |||
Futures Contracts [Member] | Long [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (262,329) | $ 128,401 | |||
% of Net Asset Value | (0.19%) | 0.08% | |||
Futures Contracts [Member] | Long [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 36,224 | $ (409,618) | |||
% of Net Asset Value | 0.03% | (0.25%) | |||
Futures Contracts [Member] | Long [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 579,572 | $ (2,644,733) | |||
% of Net Asset Value | 0.43% | (1.62%) | |||
Futures Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 964,626 | $ (2,974,985) | |||
% of Net Asset Value | 0.72% | (1.80%) | |||
Futures Contracts [Member] | Short [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (75,410) | $ (1,529,207) | |||
% of Net Asset Value | (0.06%) | (0.93%) | |||
Futures Contracts [Member] | Short [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 846,075 | $ 311,400 | |||
% of Net Asset Value | 0.63% | 0.19% | |||
Futures Contracts [Member] | Short [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 287,564 | $ (2,366,834) | |||
% of Net Asset Value | 0.22% | (1.44%) | |||
Futures Contracts [Member] | Short [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (76,974) | $ 42,062 | |||
% of Net Asset Value | (0.06%) | 0.03% | |||
Futures Contracts [Member] | Short [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 34,602 | $ (207) | |||
% of Net Asset Value | 0.03% | 0.00% | |||
Futures Contracts [Member] | Short [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (51,231) | $ 567,801 | |||
% of Net Asset Value | (0.04%) | 0.35% | |||
Forward Currency Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (705,636) | $ (1,422,358) | |||
% of Net Asset Value | (0.53%) | (0.87%) | |||
Forward Currency Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (4,858,162) | $ 11,794,066 | |||
% of Net Asset Value | (3.62%) | 7.20% | |||
Forward Currency Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 4,152,526 | $ (13,216,424) | |||
% of Net Asset Value | 3.09% | (8.07%) | |||
Credit Default Swaps [Member] | |||||
Investment Owned | |||||
Credit default swaps | $ 412,214 | ||||
% of Net Asset Value | 0.31% | ||||
Credit Default Swaps [Member] | Centrally Cleared - Sell Protection [Member] | |||||
Investment Owned | |||||
Credit default swaps | $ 412,214 | ||||
% of Net Asset Value | 0.31% | ||||
Interest Rate Swaps [Member] | |||||
Investment Owned | |||||
Interest rate swaps | $ 451,199 | ||||
% of Net Asset Value | 0.34% | ||||
Interest Rate Swaps [Member] | Receive Fixed Interest Rate [Member] | |||||
Investment Owned | |||||
Interest rate swaps | $ 453,384 | ||||
% of Net Asset Value | 0.34% | ||||
Interest Rate Swaps [Member] | Pay Fixed Interest Rate [Member] | |||||
Investment Owned | |||||
Interest rate swaps | $ (2,185) | ||||
% of Net Asset Value | 0.00% | ||||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $19,891,790 deposited with the futures broker. | ||||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers. | ||||
[3] | Pledged as collateral for the trading of futures positions. | ||||
[4] | Pledged as collateral for the trading of futures and forward positions. |
CONDENSED SCHEDULE OF INVESTM_2
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with interbank market makers | $ 9,926,880 | |
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | $ 99,790,097 | 147,317,185 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 7,826,310 | 10,469,597 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 1,125,171 | 1,145,035 |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 33,617,069 | 53,031,704 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 249,803 | 1,392,419 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 599,779 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Spain [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 806,584 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,679,537 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,057,971 | 2,223,438 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,753,846 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 28,555,449 | 46,329,947 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 37,329,860 | 43,962,238 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,910,000 | 364,988 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | ||
Investment Owned | ||
Cost | 3,774,685 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,752,367 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 2,144,593 | 2,893,453 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 980,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,304,712 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | ||
Investment Owned | ||
Cost | 2,129,873 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,880,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 26,338,188 | 33,819,239 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 19,891,687 | 38,708,611 |
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 | 19,891,790 | 28,785,653 |
Fixed income securities deposited with interbank market makers | 9,926,880 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 10/15/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 135,000 | |
Due date | Oct. 15, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 11/12/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 7,675,000 | |
Due date | Nov. 12, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 12/17/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 12,085,000 | |
Due date | Dec. 17, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/02/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 6,875,000 | |
Due date | Jan. 2, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/16/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 1,850,000 | |
Due date | Jan. 16, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/13/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 17,805,000 | |
Due date | Feb. 13, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/12/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 12,250,000 | |
Due date | Mar. 12, 2020 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 3,076 | |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 3,076 | |
Credit Default Swaps [Member] | ||
Investment Owned | ||
Cost | $ 491,806 | |
Credit Default Swaps [Member] | Centrally Cleared - Sell Protection [Member] | ||
Investment Owned | ||
Cost | 491,806 | |
Interest Rate Swaps [Member] | ||
Investment Owned | ||
Cost | 281,277 | |
Interest Rate Swaps [Member] | Receive Fixed Interest Rate [Member] | ||
Investment Owned | ||
Cost | 279,320 | |
Interest Rate Swaps [Member] | Pay Fixed Interest Rate [Member] | ||
Investment Owned | ||
Cost | $ 1,957 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Equity in futures brokers trading accounts | ||
Cash | $ 9,306,489 | $ 8,760,955 |
Restricted cash | 544,944 | 2,311,537 |
Fixed income securities (cost $19,891,687 and $28,782,516, respectively) | 19,891,790 | 28,785,653 |
Net unrealized gain (loss) on open futures contracts | 2,261,770 | (4,168,853) |
Total equity in futures brokers trading accounts | 32,004,993 | 35,689,292 |
Cash and cash equivalents | 576,627 | 693,006 |
Cash at interbank market maker | 7,066,228 | 5,141,739 |
Restricted cash at interbank market maker | 11,670,816 | 7,963,188 |
Cash at swaps broker | 1,697,625 | 0 |
Restricted cash at swaps broker | 4,650,309 | 0 |
Short term investments (cost $0 and $3,076, respectively) | 0 | 3,076 |
Fixed income securities (cost $79,898,410 and $118,534,669, respectively) | 80,196,153 | 118,680,954 |
Credit default index swaps (cost $491,806 and $0, respectively) | 412,214 | 0 |
Interest rate swaps (cost $281,277 and $0, respectively) | 451,199 | 0 |
Due from swaps broker | 17,877 | 0 |
Interest receivable | 141,678 | 284,924 |
Total assets | 138,885,719 | 168,456,179 |
LIABILITIES | ||
Accounts payable | 160,115 | 245,160 |
Brokerage fee payable | 804,636 | 972,132 |
Net unrealized loss on forward currency contracts | 705,636 | 1,422,358 |
Accrued commissions and other trading fees on open contracts | 31,367 | 67,189 |
Offering costs payable | 51,076 | 70,313 |
Redemptions payable | 2,975,662 | 1,825,504 |
Total liabilities | 4,728,492 | 4,602,656 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2020 and December 31, 2019 | 0 | 0 |
Limited Partners - 67,365.223 and 74,725.829 redeemable units outstanding at September 30, 2020 and December 31, 2019 | 134,157,227 | 163,853,523 |
Total partners' capital (Net Asset Value) | 134,157,227 | 163,853,523 |
Total liabilities and partners' capital (Net Asset Value) | $ 138,885,719 | $ 168,456,179 |
STATEMENTS OF FINANCIAL CONDI_2
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 19,891,687 | $ 28,782,516 |
Short term investments, cost | 0 | 3,076 |
Fixed income securities, cost | 79,898,410 | 118,534,669 |
Credit default index swaps, cost | 491,806 | 0 |
Interest rate swaps, cost | $ 281,277 | $ 0 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner, redeemable units outstanding (in units) | 0 | 0 |
Limited Partners, redeemable units outstanding (in units) | 67,365.223 | 74,725.829 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Futures trading gains (losses) | ||||
Realized | $ (7,166,326) | $ 16,955,842 | $ (15,897,993) | $ 38,453,492 |
Change in unrealized | 1,486,490 | (5,678,297) | 6,430,623 | (3,342,066) |
Brokerage commissions | (315,278) | (255,366) | (855,258) | (814,815) |
Net gain (loss) from futures trading | (5,995,114) | 11,022,179 | (10,322,628) | 34,296,611 |
Forward currency trading gains (losses) | ||||
Realized | (3,501,984) | (301,828) | 3,205,835 | 2,165,363 |
Change in unrealized | 1,191,188 | 3,034,226 | 716,722 | (3,130,164) |
Brokerage commissions | (33,974) | (27,151) | (82,124) | (104,341) |
Net gain (loss) from forward currency trading | (2,344,770) | 2,705,247 | 3,840,433 | (1,069,142) |
Swap trading gains (losses) | ||||
Realized | 266,524 | 0 | 266,524 | 0 |
Change in unrealized | 90,330 | 0 | 90,330 | 0 |
Net gain (loss) from swap trading | 356,854 | 0 | 356,854 | 0 |
Total net trading gain (loss) | (7,983,030) | 13,727,426 | (6,125,341) | 33,227,469 |
Investment income | ||||
Interest income | 234,886 | 1,100,127 | 1,456,025 | 3,408,722 |
Realized gain (loss) on fixed income securities | 20,887 | 7,956 | 40,613 | 10,100 |
Change in unrealized gain (loss) on fixed income securities | (49,274) | 14,438 | 148,424 | 384,407 |
Total investment income | 206,499 | 1,122,521 | 1,645,062 | 3,803,229 |
Expenses | ||||
Brokerage fee | 2,517,276 | 3,419,317 | 8,344,240 | 9,903,830 |
Operating expenses | 167,555 | 211,580 | 499,566 | 592,987 |
Total expenses | 2,684,831 | 3,630,897 | 8,843,806 | 10,496,817 |
Net investment income (loss) | (2,478,332) | (2,508,376) | (7,198,744) | (6,693,588) |
NET INCOME (LOSS) | $ (10,461,362) | $ 11,219,050 | $ (13,324,085) | $ 26,533,881 |
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (149.55) | $ 140.31 | $ (184.96) | $ 318.29 |
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT (in dollars per unit) | $ (151.64) | $ 135.93 | $ (201.24) | $ 314.81 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 69,953.500 | 79,960.188 | 72,038.345 | 83,364.848 |
STATEMENTS OF CASH FLOWS (Unaud
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ (13,324,085) | $ 26,533,881 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards, swaps and investments | (7,386,099) | 6,087,823 |
(Increase) decrease in interest receivable | 143,246 | 124,643 |
(Increase) decrease in due from swaps broker | (17,877) | 0 |
Increase (decrease) in accounts payable and accrued expenses | (288,363) | 10,074 |
Payments for swap contracts | (5,579,255) | 0 |
Proceeds from swap contracts | 4,806,172 | 0 |
Purchases of investments | (977,668,498) | (1,471,874,920) |
Sales/maturities of investments | 1,025,198,662 | 1,472,340,209 |
Net cash from (for) operating activities | 25,883,903 | 33,221,710 |
Cash flows from (for) financing activities | ||
Redemption of units | (14,690,939) | (26,096,557) |
Offering costs paid | (550,351) | (635,974) |
Net cash from (for) financing activities | (15,241,290) | (26,732,531) |
Net increase (decrease) in cash, cash equivalents and restricted cash | 10,642,613 | 6,489,179 |
Cash, cash equivalents and restricted cash at beginning of period | 24,870,425 | 28,167,754 |
Cash, cash equivalents and restricted cash at end of period | $ 35,513,038 | $ 34,656,933 |
STATEMENTS OF CASH FLOWS (Una_2
STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2018 |
Equity in futures brokers trading accounts | ||||
Cash | $ 9,306,489 | $ 8,760,955 | ||
Restricted cash | 544,944 | 2,311,537 | ||
Cash and cash equivalents | 576,627 | 693,006 | ||
Cash at interbank market maker | 7,066,228 | 5,141,739 | ||
Restricted cash at interbank market maker | 11,670,816 | 7,963,188 | ||
Cash at swaps broker | 1,697,625 | 0 | ||
Restricted cash at swaps broker | 4,650,309 | 0 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 35,513,038 | $ 24,870,425 | $ 34,656,933 | $ 28,167,754 |
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, 2018 | $ 0 | $ 187,246,042 | $ 187,246,042 |
Balances (in units) at Dec. 31, 2018 | 0 | 89,103.635 | 89,103.635 |
Net income (loss) | $ 0 | $ 6,210,990 | $ 6,210,990 |
Redemptions | $ 0 | $ (10,837,698) | $ (10,837,698) |
Redemptions (in units) | 0 | (5,132.100) | (5,132.100) |
Offering costs | $ 0 | $ (222,791) | $ (222,791) |
Balances at Mar. 31, 2019 | $ 0 | $ 182,396,543 | $ 182,396,543 |
Balances (in units) at Mar. 31, 2019 | 0 | 83,971.535 | 83,971.535 |
Balances at Dec. 31, 2018 | $ 0 | $ 187,246,042 | $ 187,246,042 |
Balances (in units) at Dec. 31, 2018 | 0 | 89,103.635 | 89,103.635 |
Net income (loss) | $ 26,533,881 | ||
Balances at Sep. 30, 2019 | $ 0 | $ 188,132,476 | $ 188,132,476 |
Balances (in units) at Sep. 30, 2019 | 0 | 77,861.368 | 77,861.368 |
Balances at Mar. 31, 2019 | $ 0 | $ 182,396,543 | $ 182,396,543 |
Balances (in units) at Mar. 31, 2019 | 0 | 83,971.535 | 83,971.535 |
Net income (loss) | $ 0 | $ 9,103,841 | $ 9,103,841 |
Redemptions | $ 0 | $ (7,190,366) | $ (7,190,366) |
Redemptions (in units) | 0 | (3,239.772) | (3,239.772) |
Offering costs | $ 0 | $ (215,876) | $ (215,876) |
Balances at Jun. 30, 2019 | $ 0 | $ 184,094,142 | $ 184,094,142 |
Balances (in units) at Jun. 30, 2019 | 0 | 80,731.763 | 80,731.763 |
Net income (loss) | $ 0 | $ 11,219,050 | $ 11,219,050 |
Redemptions | $ 0 | $ (6,976,935) | $ (6,976,935) |
Redemptions (in units) | 0 | (2,870.395) | (2,870.395) |
Offering costs | $ 0 | $ (203,781) | $ (203,781) |
Balances at Sep. 30, 2019 | $ 0 | $ 188,132,476 | $ 188,132,476 |
Balances (in units) at Sep. 30, 2019 | 0 | 77,861.368 | 77,861.368 |
Balances at Dec. 31, 2019 | $ 0 | $ 163,853,523 | $ 163,853,523 |
Balances (in units) at Dec. 31, 2019 | 0 | 74,725.829 | 74,725.829 |
Net income (loss) | $ 0 | $ 7,678,859 | $ 7,678,859 |
Redemptions | $ 0 | $ (4,780,012) | $ (4,780,012) |
Redemptions (in units) | 0 | (2,063.891) | (2,063.891) |
Offering costs | $ 0 | $ (206,947) | $ (206,947) |
Balances at Mar. 31, 2020 | $ 0 | $ 166,545,423 | $ 166,545,423 |
Balances (in units) at Mar. 31, 2020 | 0 | 72,661.938 | 72,661.938 |
Balances at Dec. 31, 2019 | $ 0 | $ 163,853,523 | $ 163,853,523 |
Balances (in units) at Dec. 31, 2019 | 0 | 74,725.829 | 74,725.829 |
Net income (loss) | $ (13,324,085) | ||
Balances at Sep. 30, 2020 | $ 0 | $ 134,157,227 | $ 134,157,227 |
Balances (in units) at Sep. 30, 2020 | 0 | 67,365.223 | 67,365.223 |
Balances at Mar. 31, 2020 | $ 0 | $ 166,545,423 | $ 166,545,423 |
Balances (in units) at Mar. 31, 2020 | 0 | 72,661.938 | 72,661.938 |
Net income (loss) | $ 0 | $ (10,541,582) | $ (10,541,582) |
Redemptions | $ 0 | $ (3,943,483) | $ (3,943,483) |
Redemptions (in units) | 0 | (1,786.399) | (1,786.399) |
Offering costs | $ 0 | $ (164,543) | $ (164,543) |
Balances at Jun. 30, 2020 | $ 0 | $ 151,895,815 | $ 151,895,815 |
Balances (in units) at Jun. 30, 2020 | 0 | 70,875.539 | 70,875.539 |
Net income (loss) | $ 0 | $ (10,461,362) | $ (10,461,362) |
Redemptions | $ 0 | $ (7,117,602) | $ (7,117,602) |
Redemptions (in units) | 0 | (3,510.316) | (3,510.316) |
Offering costs | $ 0 | $ (159,624) | $ (159,624) |
Balances at Sep. 30, 2020 | $ 0 | $ 134,157,227 | $ 134,157,227 |
Balances (in units) at Sep. 30, 2020 | 0 | 67,365.223 | 67,365.223 |
STATEMENTS OF CHANGES IN PART_2
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) [Abstract] | ||||||||
Net Asset Value per General and Limited Partner Unit (in dollars per unit) | $ 1,991.49 | $ 2,143.13 | $ 2,292.06 | $ 2,192.73 | $ 2,416.25 | $ 2,280.32 | $ 2,172.12 | $ 2,101.44 |
FINANCIAL HIGHLIGHTS (Unaudited
FINANCIAL HIGHLIGHTS (Unaudited) - $ / shares | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | ||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,143.13 | $ 2,280.32 | $ 2,192.73 | $ 2,101.44 | |
Income (loss) from operations: | |||||
Total net trading gains (losses) (in dollars per unit) | [1] | (113.93) | 169.85 | (93.94) | 402.81 |
Net investment income (loss) (in dollars per unit) | [1] | (35.43) | (31.37) | (99.93) | (80.29) |
Total net income (loss) from operations (in dollars per unit) | (149.36) | 138.48 | (193.87) | 322.52 | |
Offering costs (in dollars per unit) | [1] | (2.28) | (2.55) | (7.37) | (7.71) |
Net asset value per unit at end of period (in dollars per unit) | $ 1,991.49 | $ 2,416.25 | $ 1,991.49 | $ 2,416.25 | |
Total Return | [2] | (7.08%) | 5.96% | (9.18%) | 14.98% |
Ratios to average net asset value: | |||||
Expenses prior to performance fee | [3] | 7.45% | 7.61% | 7.50% | 7.55% |
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% |
Total expenses | 7.45% | 7.61% | 7.50% | 7.55% | |
Net investment income (loss) | [3],[4] | (6.88%) | (5.26%) | (6.10%) | (4.82%) |
[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 | 9 Months Ended |
Sep. 30, 2020 | |
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, forward currency contracts, and centrally cleared swap 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 the futures commission merchants (“futures brokers”), interbank market makers, and centrally cleared swaps broker 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, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein. 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. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Fund’s consolidated balance sheets is equal to the unsettled fair value of such instruments. Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. 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. For centrally cleared swap contracts, the Fund uses current market quotations provided by an independent external pricing source to determine fair value. 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 September 30, 2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019, 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 September 30, 2020 and December 31, 2019. Fair Value at September 30, 2020 Description Level 1 Level 2 Level 3 Total Investments Fixed income securities $ 0 $ 100,087,943 $ 0 $ 100,087,943 Other Financial Instruments Exchange-traded futures contracts 2,261,770 0 0 2,261,770 Forward currency contracts 0 (705,636 ) 0 (705,636 ) Credit default index swap contracts 0 412,214 0 412,214 Interest rate swap contracts 0 451,199 0 451,199 Total $ 2,261,770 $ 100,245,720 $ 0 $ 102,507,490 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,076 $ 0 $ 0 $ 3,076 Fixed income securities 0 147,466,607 0 147,466,607 Other Financial Instruments Exchange-traded futures contracts (4,168,853 ) 0 0 (4,168,853 ) Forward currency contracts 0 (1,422,358 ) 0 (1,422,358 ) Total $ (4,165,777 ) $ 146,044,249 $ 0 $ 141,878,472 The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. 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 2016 through 2019 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 September 30, 2020 and December 31, 2019, the Fund has the potential remaining reimbursement amount of approximately $34.2 million and $34.7 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 September 30, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $51,076 and $70,313, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital. H. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. I. Recently Issued Accounting Pronouncements In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined. J. Reclassifications Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market makers on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 11 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
GENERAL PARTNER AND COMMODITY T
GENERAL PARTNER AND COMMODITY TRADING ADVISOR | 9 Months Ended |
Sep. 30, 2020 | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR | Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company’s aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions. Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required. The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the 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, interbank market makers, and swaps broker 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 AND TRANSFER AGEN
ADMINISTRATOR AND TRANSFER AGENT | 9 Months Ended |
Sep. 30, 2020 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT | Note 3. ADMINISTRATOR AND TRANSFER AGENT Effective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Fund. 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Fund. NAV Consulting, Inc. serves as the Transfer Agent of the Fund. The Transfer Agent receives fees at rates agreed upon between the Fund and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 9 Months Ended |
Sep. 30, 2020 | |
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 | 9 Months Ended |
Sep. 30, 2020 | |
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 | 9 Months Ended |
Sep. 30, 2020 | |
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 NatWest Markets Plc (“NatWest”) and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of September 30, 2020. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS. |
DEPOSITS WITH SWAPS BROKER
DEPOSITS WITH SWAPS BROKER | 9 Months Ended |
Sep. 30, 2020 | |
DEPOSITS WITH SWAPS BROKER [Abstract] | |
DEPOSITS WITH SWAPS BROKER | Note 7. DEPOSITS WITH SWAPS BROKER The Fund deposits cash with Goldman Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Fund typically earns interest on its credit balances and pays interest on debit balances with the swaps broker. The Fund pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Fund and the swaps broker. |
OPERATING EXPENSES
OPERATING EXPENSES | 9 Months Ended |
Sep. 30, 2020 | |
OPERATING EXPENSES [Abstract] | |
OPERATING EXPENSES | Note 8. 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 nine months ended September 30, 2020 and 2019. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 9 Months Ended |
Sep. 30, 2020 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 9. 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. |
CREDIT DERIVATIVES AND CREDIT-R
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES | 9 Months Ended |
Sep. 30, 2020 | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES | Note 10. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Fund sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Fund by their maturity for contracts which are outstanding at September 30, 2020 and December 31, 2019. Notional amounts are disclosed as they represent the maximum potential payout. At September 30, 2020 and December 31, 2019, the fair value of such credit derivative contracts sold was $412,214 and $0, respectively. September 30, 2020 December 31, 2019 Credit Default Index Swaps Maturity Date: December 2025 Not Applicable Investment grade $ 20,456,340 $ 0 Non-investment grade $ 13,476,167 $ 0 Total $ 33,932,507 $ 0 The Fund does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts. |
TRADING ACTIVITIES AND RELATED
TRADING ACTIVITIES AND RELATED RISKS | 9 Months Ended |
Sep. 30, 2020 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
TRADING ACTIVITIES AND RELATED RISKS | Note 11. TRADING ACTIVITIES AND RELATED RISKS The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio focused on futures, forward, credit default swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. 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. In February 2020, the Fund transferred all futures contracts held with UBS Securities LLC to Goldman, Sachs & Co., and all forward currency contracts held with UBS to NatWest. Goldman, Sachs & Co and NatWest serve as the sole futures broker and interbank market maker, respectively, for the Fund’s ongoing trading. In July 2020, the Fund began trading centrally cleared swap contracts. 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. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Fund to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. 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 September 30, 2020 and December 31, 2019 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at September 30, 2020 Fair Value Liability Derivatives at September 30, 2020 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 791,997 $ (180,405 ) $ 611,592 Energy Contracts Net unrealized gain (loss) on open futures contracts 893,450 (51,791 ) 841,659 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,046,401 (1,497,746 ) 548,655 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 397,537 (736,840 ) (339,303 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 88,205 (17,379 ) 70,826 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 800,888 (272,547 ) 528,341 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 6,967,462 (7,673,098 ) (705,636 ) Credit Default Index Swap Contracts Credit default index swaps 785,077 (372,863 ) 412,214 Interest Rate Swap Contracts Interest rate swaps 536,868 (85,669 ) 451,199 Totals $ 13,307,885 $ (10,888,338 ) $ 2,419,547 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2019 Fair Value Liability Derivatives at December 31, 2019 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 100,996 $ (1,568,839 ) $ (1,467,843 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 976,245 (135,657 ) 840,588 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,891,613 (4,116,917 ) (1,225,304 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 780,153 (609,690 ) 170,463 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 168,765 (578,590 ) (409,825 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 768,719 (2,845,651 ) (2,076,932 ) Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 12,443,080 (13,865,438 ) (1,422,358 ) Totals $ 18,129,571 $ (23,720,782 ) $ (5,591,211 ) * Derivatives not designated as hedging instruments under ASC 815 The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 2020 and 2019 is as follows: Type of Instrument Trading Gains/(Losses) for the Three Months Ended September 30, 2020 Trading Gains/(Losses) for the Three Months Ended September 30, 2019 Agriculture Contracts $ (3,073,722 ) $ 2,124,808 Energy Contracts (1,513,552 ) (1,818,401 ) Metal Contracts 3,955,446 401,967 Stock Indices Contracts (3,577,912 ) 2,882,175 Short-Term Interest Rate Contracts (25,885 ) (95,220 ) Long-Term Interest Rate Contracts (1,444,211 ) 7,782,216 Forward Currency Contracts (2,310,796 ) 2,732,398 Credit Default Index Swap Contracts 80,147 0 Interest Rate Swap Contracts 276,707 0 Total $ (7,633,778 ) $ 14,009,943 Type of Instrument Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 Agriculture Contracts $ (2,898,476 ) $ (268,701 ) Energy Contracts 2,928,834 (3,919,817 ) Metal Contracts 7,742,156 (2,319,442 ) Stock Indices Contracts (26,754,257 ) 12,922,892 Short-Term Interest Rate Contracts 8,422,469 8,730,474 Long-Term Interest Rate Contracts 1,091,904 19,966,020 Forward Currency Contracts 3,922,557 (964,801 ) Credit Default Index Swap Contracts 80,147 0 Interest Rate Swap Contracts 276,707 0 Total $ (5,187,959 ) $ 34,146,625 Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended September 30, 2020 Trading Gains/(Losses) for the Three Months Ended September 30, 2019 Futures trading gains (losses): Realized** $ (7,166,326 ) $ 16,955,842 Change in unrealized 1,486,490 (5,678,297 ) Forward currency trading gains (losses): Realized** (3,501,984 ) (301,828 ) Change in unrealized 1,191,188 3,034,226 Swap trading gains (losses): Realized 266,524 0 Change in unrealized 90,330 0 Total $ (7,633,778 ) $ 14,009,943 Line Item in the Statements of Operations Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 Futures trading gains (losses): Realized*** $ (15,897,993 ) $ 38,453,492 Change in unrealized 6,430,623 (3,342,066 ) Forward currency trading gains (losses): Realized*** 3,205,835 2,165,363 Change in unrealized 716,722 (3,130,164 ) Swap trading gains (losses): Realized 266,524 0 Change in unrealized 90,330 0 Total $ (5,187,959 ) $ 34,146,625 ** For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $5,148 and $(58,728), respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $593,508 and $549,760, respectively. *** For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $126,152 and $90,585, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(204,238) and $591,152, respectively. For the three months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 29,800 and 25,100, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $269,300,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $1,246,900,000 and $1,597,300,000, respectively. For the nine months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 26,800 and 25,800, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $269,300,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $1,120,000,000 and $1,862,700,000, respectively. Open contracts generally mature within three months; as of September 30, 2020, the latest maturity date for open futures contracts is December 2021 and the latest maturity date for open forward currency contracts is December 2020. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2025. Credit Risk The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps 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 NatWest. 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, swaps broker, and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2020 and December 31, 2019 was $19,891,790 and $38,712,533, respectively, which equals approximately 15% and 24% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market makers at September 30, 2020 and December 31, 2019 was restricted cash for margin requirements of $16,866,069 and $10,274,725, respectively, which equals approximately 13% and 6% 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 1oss 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 by Counterparty As of September 30, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts Goldman Sachs & Co. $ 5,018,478 $ (2,756,708 ) $ 2,261,770 Forward currency contracts NatWest Markets Plc 6,967,462 (6,967,462 ) 0 Centrally cleared swap contracts Centrally Cleared 1,321,945 (458,532 ) 863,413 Total derivatives $ 13,307,885 $ (10,182,702 ) $ 3,125,183 Derivative Assets and Collateral Received by Counterparty As of September 30, 2020 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Received Goldman Sachs $ 2,261,770 $ 0 $ 0 $ 2,261,770 NatWest Markets Plc 0 0 0 0 Centrally Cleared 863,413 0 0 863,413 Total $ 3,125,183 $ 0 $ 0 $ 3,125,183 Offsetting of Derivative Liabilities by Counterparty As of September 30, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts Goldman Sachs & Co. $ 2,756,708 $ (2,756,708 ) $ 0 Forward currency contracts NatWest Markets Plc 7,673,098 (6,967,462 ) 705,636 Centrally cleared swap contracts Centrally Cleared 458,532 (458,532 ) 0 Total derivatives $ 10,888,338 $ (10,182,702 ) $ 705,636 Derivative Liabilities and Collateral Pledged by Counterparty As of September 30, 2020 Counterparty Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged Goldman Sachs & Co. $ 0 $ 0 $ 0 $ 0 NatWest Markets Plc 705,636 0 (705,636 ) 0 Centrally Cleared 0 0 0 0 Total $ 705,636 $ 0 $ (705,636 ) $ 0 Offsetting of Derivative Assets by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 2,834,912 $ (2,834,912 ) $ 0 Futures contracts Goldman Sachs & Co. 2,851,579 (2,851,579 ) 0 Total futures contracts 5,686,491 (5,686,491 ) 0 Forward currency contracts UBS AG 6,221,540 (6,221,540 ) 0 Forward currency contracts NatWest Markets Plc 6,221,540 (6,221,540 ) 0 Total forward currency contracts 12,443,080 (12,443,080 ) 0 Total derivatives $ 18,129,571 $ (18,129,571 ) $ 0 Derivative Assets and Collateral Received by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Received UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. 0 0 0 0 UBS AG 0 0 0 0 NatWest Markets Plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 4,929,967 $ (2,834,912 ) $ 2,095,055 Futures contracts Goldman Sachs & Co. 4,925,377 (2,851,579 ) 2,073,798 Total futures contracts 9,855,344 (5,686,491 ) 4,168,853 Forward currency contracts UBS AG 6,932,719 (6,221,540 ) 711,179 Forward currency contracts NatWest Markets Plc 6,932,719 (6,221,540 ) 711,179 Total forward currency contracts 13,865,438 (12,443,080 ) 1,422,358 Total derivatives $ 23,720,782 $ (18,129,571 ) $ 5,591,211 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 2,095,055 $ 0 $ (2,095,055 ) $ 0 Goldman Sachs & Co. 2,073,798 0 (2,073,798 ) 0 UBS AG 711,179 (711,179 )* 0 0 NatWest Markets Plc 711,179 0 (711,179 ) 0 Total $ 5,591,211 $ (711,179 ) $ (4,880,032 ) $ 0 * Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers. 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 | 9 Months Ended |
Sep. 30, 2020 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 12. 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 | 9 Months Ended |
Sep. 30, 2020 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 13. INTERIM FINANCIAL STATEMENTS The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 2020 and 2019, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019 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 September 30, 2020 and December 31, 2019, the results of operations and financial highlights for the three months and nine months ended September 30, 2020 and 2019, and cash flows and changes in partners’ capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2020 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 14. 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 S_2
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Basis of Accounting | 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 | Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Fund’s consolidated balance sheets is equal to the unsettled fair value of such instruments. Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. 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. For centrally cleared swap contracts, the Fund uses current market quotations provided by an independent external pricing source to determine fair value. 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 September 30, 2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019, 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 September 30, 2020 and December 31, 2019. Fair Value at September 30, 2020 Description Level 1 Level 2 Level 3 Total Investments Fixed income securities $ 0 $ 100,087,943 $ 0 $ 100,087,943 Other Financial Instruments Exchange-traded futures contracts 2,261,770 0 0 2,261,770 Forward currency contracts 0 (705,636 ) 0 (705,636 ) Credit default index swap contracts 0 412,214 0 412,214 Interest rate swap contracts 0 451,199 0 451,199 Total $ 2,261,770 $ 100,245,720 $ 0 $ 102,507,490 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,076 $ 0 $ 0 $ 3,076 Fixed income securities 0 147,466,607 0 147,466,607 Other Financial Instruments Exchange-traded futures contracts (4,168,853 ) 0 0 (4,168,853 ) Forward currency contracts 0 (1,422,358 ) 0 (1,422,358 ) Total $ (4,165,777 ) $ 146,044,249 $ 0 $ 141,878,472 The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. 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 2016 through 2019 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 September 30, 2020 and December 31, 2019, the Fund has the potential remaining reimbursement amount of approximately $34.2 million and $34.7 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 September 30, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $51,076 and $70,313, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital. |
Foreign Currency Transactions | H. Foreign Currency Transactions |
Recently Issued Accounting Pronouncements | I. Recently Issued Accounting Pronouncements In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined. |
Reclassifications | J. Reclassifications Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market makers on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 11 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
ORGANIZATION AND SUMMARY OF S_3
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
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 September 30, 2020 and December 31, 2019. Fair Value at September 30, 2020 Description Level 1 Level 2 Level 3 Total Investments Fixed income securities $ 0 $ 100,087,943 $ 0 $ 100,087,943 Other Financial Instruments Exchange-traded futures contracts 2,261,770 0 0 2,261,770 Forward currency contracts 0 (705,636 ) 0 (705,636 ) Credit default index swap contracts 0 412,214 0 412,214 Interest rate swap contracts 0 451,199 0 451,199 Total $ 2,261,770 $ 100,245,720 $ 0 $ 102,507,490 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,076 $ 0 $ 0 $ 3,076 Fixed income securities 0 147,466,607 0 147,466,607 Other Financial Instruments Exchange-traded futures contracts (4,168,853 ) 0 0 (4,168,853 ) Forward currency contracts 0 (1,422,358 ) 0 (1,422,358 ) Total $ (4,165,777 ) $ 146,044,249 $ 0 $ 141,878,472 |
CREDIT DERIVATIVES AND CREDIT_2
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |
Credit Default Index Swaps | At September 30, 2020 and December 31, 2019, the fair value of such credit derivative contracts sold was $412,214 and $0, respectively. September 30, 2020 December 31, 2019 Credit Default Index Swaps Maturity Date: December 2025 Not Applicable Investment grade $ 20,456,340 $ 0 Non-investment grade $ 13,476,167 $ 0 Total $ 33,932,507 $ 0 |
TRADING ACTIVITIES AND RELATE_2
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
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 September 30, 2020 and December 31, 2019 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at September 30, 2020 Fair Value Liability Derivatives at September 30, 2020 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 791,997 $ (180,405 ) $ 611,592 Energy Contracts Net unrealized gain (loss) on open futures contracts 893,450 (51,791 ) 841,659 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,046,401 (1,497,746 ) 548,655 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 397,537 (736,840 ) (339,303 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 88,205 (17,379 ) 70,826 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 800,888 (272,547 ) 528,341 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 6,967,462 (7,673,098 ) (705,636 ) Credit Default Index Swap Contracts Credit default index swaps 785,077 (372,863 ) 412,214 Interest Rate Swap Contracts Interest rate swaps 536,868 (85,669 ) 451,199 Totals $ 13,307,885 $ (10,888,338 ) $ 2,419,547 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2019 Fair Value Liability Derivatives at December 31, 2019 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 100,996 $ (1,568,839 ) $ (1,467,843 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 976,245 (135,657 ) 840,588 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,891,613 (4,116,917 ) (1,225,304 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 780,153 (609,690 ) 170,463 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 168,765 (578,590 ) (409,825 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 768,719 (2,845,651 ) (2,076,932 ) Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 12,443,080 (13,865,438 ) (1,422,358 ) Totals $ 18,129,571 $ (23,720,782 ) $ (5,591,211 ) * Derivatives not designated as hedging instruments under ASC 815 |
Trading Gains and Losses of the Fund's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 2020 and 2019 is as follows: Type of Instrument Trading Gains/(Losses) for the Three Months Ended September 30, 2020 Trading Gains/(Losses) for the Three Months Ended September 30, 2019 Agriculture Contracts $ (3,073,722 ) $ 2,124,808 Energy Contracts (1,513,552 ) (1,818,401 ) Metal Contracts 3,955,446 401,967 Stock Indices Contracts (3,577,912 ) 2,882,175 Short-Term Interest Rate Contracts (25,885 ) (95,220 ) Long-Term Interest Rate Contracts (1,444,211 ) 7,782,216 Forward Currency Contracts (2,310,796 ) 2,732,398 Credit Default Index Swap Contracts 80,147 0 Interest Rate Swap Contracts 276,707 0 Total $ (7,633,778 ) $ 14,009,943 Type of Instrument Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 Agriculture Contracts $ (2,898,476 ) $ (268,701 ) Energy Contracts 2,928,834 (3,919,817 ) Metal Contracts 7,742,156 (2,319,442 ) Stock Indices Contracts (26,754,257 ) 12,922,892 Short-Term Interest Rate Contracts 8,422,469 8,730,474 Long-Term Interest Rate Contracts 1,091,904 19,966,020 Forward Currency Contracts 3,922,557 (964,801 ) Credit Default Index Swap Contracts 80,147 0 Interest Rate Swap Contracts 276,707 0 Total $ (5,187,959 ) $ 34,146,625 Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended September 30, 2020 Trading Gains/(Losses) for the Three Months Ended September 30, 2019 Futures trading gains (losses): Realized** $ (7,166,326 ) $ 16,955,842 Change in unrealized 1,486,490 (5,678,297 ) Forward currency trading gains (losses): Realized** (3,501,984 ) (301,828 ) Change in unrealized 1,191,188 3,034,226 Swap trading gains (losses): Realized 266,524 0 Change in unrealized 90,330 0 Total $ (7,633,778 ) $ 14,009,943 Line Item in the Statements of Operations Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 Futures trading gains (losses): Realized*** $ (15,897,993 ) $ 38,453,492 Change in unrealized 6,430,623 (3,342,066 ) Forward currency trading gains (losses): Realized*** 3,205,835 2,165,363 Change in unrealized 716,722 (3,130,164 ) Swap trading gains (losses): Realized 266,524 0 Change in unrealized 90,330 0 Total $ (5,187,959 ) $ 34,146,625 ** For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $5,148 and $(58,728), respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $593,508 and $549,760, respectively. *** For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $126,152 and $90,585, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(204,238) and $591,152, respectively. |
Offsetting of Derivative Assets and Collateral Received by Counterparty | Offsetting of Derivative Assets by Counterparty As of September 30, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts Goldman Sachs & Co. $ 5,018,478 $ (2,756,708 ) $ 2,261,770 Forward currency contracts NatWest Markets Plc 6,967,462 (6,967,462 ) 0 Centrally cleared swap contracts Centrally Cleared 1,321,945 (458,532 ) 863,413 Total derivatives $ 13,307,885 $ (10,182,702 ) $ 3,125,183 Derivative Assets and Collateral Received by Counterparty As of September 30, 2020 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Received Goldman Sachs $ 2,261,770 $ 0 $ 0 $ 2,261,770 NatWest Markets Plc 0 0 0 0 Centrally Cleared 863,413 0 0 863,413 Total $ 3,125,183 $ 0 $ 0 $ 3,125,183 Offsetting of Derivative Assets by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 2,834,912 $ (2,834,912 ) $ 0 Futures contracts Goldman Sachs & Co. 2,851,579 (2,851,579 ) 0 Total futures contracts 5,686,491 (5,686,491 ) 0 Forward currency contracts UBS AG 6,221,540 (6,221,540 ) 0 Forward currency contracts NatWest Markets Plc 6,221,540 (6,221,540 ) 0 Total forward currency contracts 12,443,080 (12,443,080 ) 0 Total derivatives $ 18,129,571 $ (18,129,571 ) $ 0 Derivative Assets and Collateral Received by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Received UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. 0 0 0 0 UBS AG 0 0 0 0 NatWest Markets Plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities by Counterparty As of September 30, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts Goldman Sachs & Co. $ 2,756,708 $ (2,756,708 ) $ 0 Forward currency contracts NatWest Markets Plc 7,673,098 (6,967,462 ) 705,636 Centrally cleared swap contracts Centrally Cleared 458,532 (458,532 ) 0 Total derivatives $ 10,888,338 $ (10,182,702 ) $ 705,636 Derivative Liabilities and Collateral Pledged by Counterparty As of September 30, 2020 Counterparty Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged Goldman Sachs & Co. $ 0 $ 0 $ 0 $ 0 NatWest Markets Plc 705,636 0 (705,636 ) 0 Centrally Cleared 0 0 0 0 Total $ 705,636 $ 0 $ (705,636 ) $ 0 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 4,929,967 $ (2,834,912 ) $ 2,095,055 Futures contracts Goldman Sachs & Co. 4,925,377 (2,851,579 ) 2,073,798 Total futures contracts 9,855,344 (5,686,491 ) 4,168,853 Forward currency contracts UBS AG 6,932,719 (6,221,540 ) 711,179 Forward currency contracts NatWest Markets Plc 6,932,719 (6,221,540 ) 711,179 Total forward currency contracts 13,865,438 (12,443,080 ) 1,422,358 Total derivatives $ 23,720,782 $ (18,129,571 ) $ 5,591,211 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 2,095,055 $ 0 $ (2,095,055 ) $ 0 Goldman Sachs & Co. 2,073,798 0 (2,073,798 ) 0 UBS AG 711,179 (711,179 )* 0 0 NatWest Markets Plc 711,179 0 (711,179 ) 0 Total $ 5,591,211 $ (711,179 ) $ (4,880,032 ) $ 0 * Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers. |
ORGANIZATION AND SUMMARY OF S_4
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Recurring [Member] - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Investments [Abstract] | ||
Short term investments | $ 3,076 | |
Fixed income securities | $ 100,087,943 | 147,466,607 |
Total | 102,507,490 | 141,878,472 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 2,261,770 | (4,168,853) |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (705,636) | (1,422,358) |
Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 412,214 | |
Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 451,199 | |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 3,076 | |
Fixed income securities | 0 | 0 |
Total | 2,261,770 | (4,165,777) |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 2,261,770 | (4,168,853) |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 1 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | |
Fixed income securities | 100,087,943 | 147,466,607 |
Total | 100,245,720 | 146,044,249 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (705,636) | (1,422,358) |
Level 2 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 412,214 | |
Level 2 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 451,199 | |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | $ 0 |
Level 3 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 3 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 |
ORGANIZATION AND SUMMARY OF S_5
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) | 9 Months Ended |
Sep. 30, 2020USD ($) | |
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 |
Federal Tax Authority [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
State Tax Authorities [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
ORGANIZATION AND SUMMARY OF S_6
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Offering Costs [Abstract] | ||
Maximum percentage of aggregate subscriptions accepted during initial and continuous offerings | 2.50% | |
Maximum potential remaining reimbursement for offering costs | $ 34,200,000 | $ 34,700,000 |
Unreimbursed offering costs | 51,076 | 70,313 |
Offering costs payable | $ 51,076 | $ 70,313 |
GENERAL PARTNER AND COMMODITY_2
GENERAL PARTNER AND COMMODITY TRADING ADVISOR (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2020USD ($)$ / RoundTurn | |
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 |
Maximum net worth required by Amended Agreement of Limited Partnership | $ 1,000 |
Monthly brokerage fee percentage | 0.5833% |
Annualized brokerage fee percentage | 7.00% |
Execution and clearing costs fee | $ / RoundTurn | 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 for execution and clearing costs | 0.0833% |
Annualized maximum percentage of month-end net assets used to calculate amount paid for execution and clearing costs | 1.00% |
Quarterly performance fee percentage | 20.00% |
DEPOSITS WITH INTERBANK MARKE_2
DEPOSITS WITH INTERBANK MARKET MAKERS (Details) | Sep. 30, 2020Counterparty |
UBS AG [Member] | |
Deposits with Interbank Market Makers [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for interbank market maker | 3 |
NatWest Markets Plc [Member] | |
Deposits with Interbank Market Makers [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for interbank market maker | 3 |
OPERATING EXPENSES (Details)
OPERATING EXPENSES (Details) | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | ||
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 _2
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) | 9 Months Ended |
Sep. 30, 2020 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
Number of business days advance written notice is required for monthly redemptions | 10 days |
CREDIT DERIVATIVES AND CREDIT_3
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Summary of Derivative Instruments [Abstract] | ||
Fair value of credit default index swaps | $ 412,214 | $ 0 |
Credit Default Index Swaps [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Maturity date | Dec. 31, 2025 | |
Notional amount | $ 33,932,507 | 0 |
Credit Default Index Swaps [Member] | Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | 20,456,340 | 0 |
Credit Default Index Swaps [Member] | Non-Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | $ 13,476,167 | $ 0 |
TRADING ACTIVITIES AND RELATE_3
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 3,125,183 | $ 0 |
Liability derivatives at fair value | (705,636) | (5,591,211) |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 13,307,885 | 18,129,571 |
Liability derivatives at fair value | (10,888,338) | (23,720,782) |
Net | 2,419,547 | (5,591,211) |
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 | 791,997 | 100,996 |
Liability derivatives at fair value | (180,405) | (1,568,839) |
Net | 611,592 | (1,467,843) |
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 | 893,450 | 976,245 |
Liability derivatives at fair value | (51,791) | (135,657) |
Net | 841,659 | 840,588 |
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 | 2,046,401 | 2,891,613 |
Liability derivatives at fair value | (1,497,746) | (4,116,917) |
Net | 548,655 | (1,225,304) |
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 | 397,537 | 780,153 |
Liability derivatives at fair value | (736,840) | (609,690) |
Net | (339,303) | 170,463 |
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 | 88,205 | 168,765 |
Liability derivatives at fair value | (17,379) | (578,590) |
Net | 70,826 | (409,825) |
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 | 800,888 | 768,719 |
Liability derivatives at fair value | (272,547) | (2,845,651) |
Net | 528,341 | (2,076,932) |
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 | 6,967,462 | 12,443,080 |
Liability derivatives at fair value | (7,673,098) | (13,865,438) |
Net | (705,636) | $ (1,422,358) |
Credit Default Index Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Credit Default Index Swaps [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 785,077 | |
Liability derivatives at fair value | (372,863) | |
Net | 412,214 | |
Interest Rate Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Interest Rate Swaps [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 536,868 | |
Liability derivatives at fair value | (85,669) | |
Net | $ 451,199 |
TRADING ACTIVITIES AND RELATE_4
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | $ (7,633,778) | [1] | $ 14,009,943 | [1] | $ (5,187,959) | [2] | $ 34,146,625 | [2] |
Agriculture Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (3,073,722) | 2,124,808 | (2,898,476) | (268,701) | ||||
Energy Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (1,513,552) | (1,818,401) | 2,928,834 | (3,919,817) | ||||
Metal Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | 3,955,446 | 401,967 | 7,742,156 | (2,319,442) | ||||
Stock Indices Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (3,577,912) | 2,882,175 | (26,754,257) | 12,922,892 | ||||
Short-Term Interest Rate Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (25,885) | (95,220) | 8,422,469 | 8,730,474 | ||||
Long-Term Interest Rate Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (1,444,211) | 7,782,216 | 1,091,904 | 19,966,020 | ||||
Forward Currency Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (2,310,796) | 2,732,398 | 3,922,557 | (964,801) | ||||
Credit Default Index Swap Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | 80,147 | 0 | 80,147 | 0 | ||||
Interest Rate Swap Contracts [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | $ 276,707 | $ 0 | $ 276,707 | $ 0 | ||||
[1] | For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $5,148 and $(58,728), respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $593,508 and $549,760, respectively. | |||||||
[2] | For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $126,152 and $90,585, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(204,238) and $591,152, respectively. |
TRADING ACTIVITIES AND RELATE_5
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2020USD ($)Contract | Sep. 30, 2019USD ($)Contract | Sep. 30, 2020USD ($)Contract | Sep. 30, 2019USD ($)Contract | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | $ (7,633,778) | [1] | $ 14,009,943 | [1] | $ (5,187,959) | [2] | $ 34,146,625 | [2] |
Derivatives [Abstract] | ||||||||
Average number of months until maturity for open contracts | 3 months | |||||||
Futures Trading Gains (Losses) - Realized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (7,166,326) | [1] | 16,955,842 | [1] | $ (15,897,993) | [2] | 38,453,492 | [2] |
Gains (losses) on foreign currency cash balances at futures brokers | 5,148 | (58,728) | 126,152 | 90,585 | ||||
Futures Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | 1,486,490 | (5,678,297) | 6,430,623 | (3,342,066) | ||||
Forward Currency Trading Gains (Losses) - Realized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | (3,501,984) | [1] | (301,828) | [1] | 3,205,835 | [2] | 2,165,363 | [2] |
Gains (losses) on spot trades in connection with forward currency trading at interbank market makers | 593,508 | 549,760 | (204,238) | 591,152 | ||||
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | 1,191,188 | 3,034,226 | 716,722 | (3,130,164) | ||||
Swap Trading Gains (Losses) - Realized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | 266,524 | 0 | 266,524 | 0 | ||||
Swap Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||
Trading gains (losses) | $ 90,330 | $ 0 | $ 90,330 | $ 0 | ||||
Futures Contracts [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Monthly average of contracts bought and sold | Contract | 29,800 | 25,100 | 26,800 | 25,800 | ||||
Futures Contracts [Member] | Maximum [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Maturity date for open contracts | Dec. 31, 2021 | |||||||
Forward Currency Contracts [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Monthly average notional value | $ 1,246,900,000 | $ 1,597,300,000 | $ 1,120,000,000 | $ 1,862,700,000 | ||||
Forward Currency Contracts [Member] | Maximum [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Maturity date for open contracts | Dec. 31, 2020 | |||||||
Centrally Cleared Swap Contracts [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Monthly average notional value | $ 269,300,000 | $ 0 | $ 269,300,000 | $ 0 | ||||
Centrally Cleared Swap Contracts [Member] | Maximum [Member] | ||||||||
Derivatives [Abstract] | ||||||||
Maturity date for open contracts | Dec. 31, 2025 | |||||||
[1] | For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $5,148 and $(58,728), respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $593,508 and $549,760, respectively. | |||||||
[2] | For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $126,152 and $90,585, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(204,238) and $591,152, respectively. |
TRADING ACTIVITIES AND RELATE_6
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
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 | $ 19,891,790 | $ 38,712,533 |
Margin and good faith deposits as a percentage of Net Asset Value | 15.00% | 24.00% |
Restricted cash for margin requirements | $ 16,866,069 | $ 10,274,725 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 13.00% | 6.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATE_7
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | $ 13,307,885 | $ 18,129,571 |
Gross amounts offset in the Statements of Financial Condition | (10,182,702) | (18,129,571) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 3,125,183 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 3,125,183 | 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 | 3,125,183 | 0 |
Futures Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 5,686,491 | |
Gross amounts offset in the Statements of Financial Condition | (5,686,491) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 0 | |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 2,834,912 | |
Gross amounts offset in the Statements of Financial Condition | (2,834,912) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | |
Net amount | 0 | |
Futures Contracts [Member] | Goldman Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 5,018,478 | 2,851,579 |
Gross amounts offset in the Statements of Financial Condition | (2,756,708) | (2,851,579) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,261,770 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,261,770 | 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 | 2,261,770 | 0 |
Forward Currency Contracts [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 12,443,080 | |
Gross amounts offset in the Statements of Financial Condition | (12,443,080) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 0 | |
Forward Currency Contracts [Member] | UBS AG [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 6,221,540 | |
Gross amounts offset in the Statements of Financial Condition | (6,221,540) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | |
Net amount | 0 | |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 6,967,462 | 6,221,540 |
Gross amounts offset in the Statements of Financial Condition | (6,967,462) | (6,221,540) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain 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 received | 0 | 0 |
Net amount | 0 | $ 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 1,321,945 | |
Gross amounts offset in the Statements of Financial Condition | (458,532) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 863,413 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 863,413 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | |
Net amount | $ 863,413 |
TRADING ACTIVITIES AND RELATE_8
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 | |
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | $ 10,888,338 | $ 23,720,782 | |
Gross amounts offset in the Statements of Financial Condition | (10,182,702) | (18,129,571) | |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 705,636 | 5,591,211 | |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 705,636 | 5,591,211 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | (711,179) | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (705,636) | (4,880,032) | |
Net amount | 0 | 0 | |
U.S. Treasury Bills [Member] | |||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Fixed income securities deposited with interbank market makers | 9,926,880 | ||
Futures Contracts [Member] | Exchange-Traded [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 9,855,344 | ||
Gross amounts offset in the Statements of Financial Condition | (5,686,491) | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 4,168,853 | ||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 4,168,853 | ||
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 4,929,967 | ||
Gross amounts offset in the Statements of Financial Condition | (2,834,912) | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 2,095,055 | ||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 2,095,055 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (2,095,055) | ||
Net amount | 0 | ||
Futures Contracts [Member] | Goldman Sachs & Co. [Member] | Exchange-Traded [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 2,756,708 | 4,925,377 | |
Gross amounts offset in the Statements of Financial Condition | (2,756,708) | (2,851,579) | |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 2,073,798 | |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 2,073,798 | |
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 | (2,073,798) | |
Net amount | 0 | 0 | |
Forward Currency Contracts [Member] | Over-the-Counter [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 13,865,438 | ||
Gross amounts offset in the Statements of Financial Condition | (12,443,080) | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,422,358 | ||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 1,422,358 | ||
Forward Currency Contracts [Member] | UBS AG [Member] | Over-the-Counter [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 6,932,719 | ||
Gross amounts offset in the Statements of Financial Condition | (6,221,540) | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 711,179 | ||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 711,179 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | [1] | (711,179) | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | ||
Net amount | 0 | ||
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 7,673,098 | 6,932,719 | |
Gross amounts offset in the Statements of Financial Condition | (6,967,462) | (6,221,540) | |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 705,636 | 711,179 | |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 705,636 | 711,179 | |
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 | (705,636) | (711,179) | |
Net amount | 0 | $ 0 | |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | |||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | |||
Gross amounts of recognized liabilities | 458,532 | ||
Gross amounts offset in the Statements of Financial Condition | (458,532) | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | ||
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | |||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | ||
Net amount | $ 0 | ||
[1] | Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers. |