☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
Delaware
|
94-6260018
|
|
(State of Organization)
|
(IRS Employer Identification Number)
|
2850 Quarry Lake Drive
|
||
Baltimore, Maryland 21209
|
||
(Address of principal executive offices,
including zip code)
|
||
(410) 413-2600
|
||
(Registrant’s telephone number, including area code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
Not applicable
|
Not applicable
|
Not applicable
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☑
|
Smaller reporting company ☐
|
Emerging growth company ☐
|
|
Page
|
||
PART I — FINANCIAL INFORMATION
|
|
||
Item 1.
|
Financial Statements.
|
||
1-4
|
|||
5
|
|||
6
|
|||
7
|
|||
8-9
|
|||
10-13
|
|||
14-24
|
|||
Item 2.
|
25-31 | ||
Item 3.
|
31-36 | ||
Item 4.
|
36 | ||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
37 | ||
Item 1A.
|
37
|
||
Item 2.
|
37
|
||
Item 3.
|
37
|
||
Item 4.
|
37
|
||
Item 5.
|
37
|
||
Item 6.
|
37-38 | ||
39 |
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
12,023,078
|
3.66
|
%
|
|||||||
Credit Cards
|
6,040,936
|
1.84
|
%
|
||||||||
Equipment Loans
|
1,031,269
|
0.31
|
%
|
||||||||
Utilities
|
1,065,987
|
0.33
|
%
|
||||||||
Total Asset Backed Securities (cost $20,083,368)
|
20,161,270
|
6.14
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
|
3,101,284
|
0.95
|
%
|
||||||||
Total Bank Deposits (cost $3,100,029)
|
3,101,284
|
0.95
|
%
|
||||||||
Commercial Paper
|
|||||||||||
Ireland
|
|||||||||||
Financials (cost $608,000)
|
607,878
|
0.19
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $2,602,240)
|
2,601,931
|
0.79
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $741,727)
|
741,545
|
0.23
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
6,511,585
|
1.98
|
%
|
||||||||
Consumer Discretionary
|
12,913,396
|
3.93
|
%
|
||||||||
Consumer Staples
|
4,283,627
|
1.31
|
%
|
||||||||
Energy
|
6,974,720
|
2.13
|
%
|
||||||||
Financials
|
30,560,018
|
9.31
|
%
|
||||||||
Industrials
|
4,698,694
|
1.43
|
%
|
||||||||
Materials
|
852,166
|
0.26
|
%
|
||||||||
Utilities
|
29,265,077
|
8.92
|
%
|
||||||||
Total United States (cost $96,072,059)
|
96,059,283
|
29.27
|
%
|
||||||||
Total Commercial Paper (cost $100,024,026)
|
100,010,637
|
30.48
|
%
|
||||||||
Corporate Bonds
|
|||||||||||
Canada
|
|||||||||||
Financials
|
8,408,574
|
2.56
|
%
|
||||||||
Industrials
|
1,597,609
|
0.49
|
%
|
||||||||
Total Canada (cost $9,991,250)
|
10,006,183
|
3.05
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $4,089,238)
|
4,099,164
|
1.25
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $2,699,867)
|
2,701,579
|
0.82
|
%
|
||||||||
United Kingdom
|
|||||||||||
Energy
|
2,121,723
|
0.65
|
%
|
||||||||
Financials
|
3,863,978
|
1.18
|
%
|
||||||||
Total United Kingdom (cost $5,976,404)
|
5,985,701
|
1.83
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
7,874,595
|
2.40
|
%
|
||||||||
Consumer Discretionary
|
9,600,635
|
2.93
|
%
|
||||||||
Consumer Staples
|
7,164,681
|
2.18
|
%
|
||||||||
Energy
|
2,769,229
|
0.84
|
%
|
||||||||
Financials
|
28,668,197
|
8.74
|
%
|
||||||||
Industrials
|
4,692,895
|
1.43
|
%
|
||||||||
Technology
|
5,057,681
|
1.54
|
%
|
||||||||
Utilities
|
1,811,173
|
0.55
|
%
|
||||||||
Total United States (cost $67,516,874)
|
67,639,086
|
20.61
|
%
|
||||||||
Total Corporate Bonds (cost $90,273,633)
|
90,431,713
|
27.56
|
%
|
||||||||
Government And Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ |
4,160,000
|
U.S. Treasury Bills Due * 07/18/2019
|
4,156,032
|
1.27
|
%
|
||||||
$ |
10,892,500
|
U.S. Treasury Bills Due * 08/15/2019
|
10,864,418
|
3.31
|
%
|
||||||
$ |
22,665,000
|
U.S. Treasury Bills Due * 09/19/2019
|
22,560,816
|
6.87
|
%
|
||||||
Total Government And Agency Obligations (cost $37,573,858)
|
37,581,266
|
11.45
|
%
|
||||||||
Total Fixed Income Securities ** (cost $251,054,914)
|
$
|
251,286,170
|
76.58
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $16,739)
|
$
|
16,739
|
0.01
|
%
|
||||
Total Short Term Investments
|
||||||||
(cost $16,739)
|
$
|
16,739
|
0.01
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
(636,123
|
)
|
(0.19
|
)%
|
|||
Energy
|
829,823
|
0.25
|
%
|
|||||
Metals
|
(485,130
|
)
|
(0.15
|
)%
|
||||
Stock indices
|
2,290,489
|
0.70
|
%
|
|||||
Short-term interest rates
|
5,321,658
|
1.62
|
%
|
|||||
Long-term interest rates
|
4,639,812
|
1.42
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
11,960,529
|
3.65
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
(399,079
|
)
|
(0.12
|
)%
|
||||
Energy
|
(151,945
|
)
|
(0.05
|
)%
|
||||
Metals
|
(817,929
|
)
|
(0.25
|
)%
|
||||
Stock indices
|
(96,653
|
)
|
(0.03
|
)%
|
||||
Short-term interest rates
|
(53,839
|
)
|
(0.02
|
)%
|
||||
Long-term interest rates
|
(327,797
|
)
|
(0.10
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(1,847,242
|
)
|
(0.57
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
10,113,287
|
3.08
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
14,503,200
|
4.42
|
%
|
||||
Various short forward currency contracts
|
(17,146,407
|
)
|
(5.23
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(2,643,207
|
)
|
(0.81
|
)%
|
*
|
Pledged as collateral for the trading of futures positions.
|
**
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $37,581,266 deposited with the futures brokers.
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
11,260,081
|
3.37
|
%
|
|||||||
Credit Cards
|
7,922,740
|
2.37
|
%
|
||||||||
Equipment Loans
|
949,326
|
0.29
|
%
|
||||||||
Total Asset Backed Securities (cost $20,184,656)
|
20,132,147
|
6.03
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
|
4,348,492
|
1.30
|
%
|
||||||||
Total Bank Deposits (cost $4,350,132)
|
4,348,492
|
1.30
|
%
|
||||||||
Commercial Paper
|
|||||||||||
United States
|
|||||||||||
Communications
|
3,728,528
|
1.11
|
%
|
||||||||
Consumer Discretionary
|
8,545,981
|
2.56
|
%
|
||||||||
Consumer Staples
|
18,595,739
|
5.57
|
%
|
||||||||
Financials
|
2,026,496
|
0.61
|
%
|
||||||||
Industrials
|
4,103,477
|
1.23
|
%
|
||||||||
Utilities
|
|||||||||||
$
|
7,301,000
|
Kentucky Utilities Co Due 01/02/2019
|
7,299,939
|
2.19
|
%
|
||||||
$
|
885,000
|
Kentucky Utilities Co Due 01/08/2019
|
884,469
|
0.26
|
%
|
||||||
$
|
2,280,000
|
Kentucky Utilities Co Due 01/14/2019
|
2,277,534
|
0.68
|
%
|
||||||
$
|
6,750,000
|
Kentucky Utilities Co Due 01/23/2019
|
6,737,718
|
2.02
|
%
|
||||||
Other
|
16,156,320
|
4.84
|
%
|
||||||||
Total Commercial Paper (cost $70,360,185)
|
70,356,201
|
21.07
|
%
|
||||||||
Corporate Bonds
|
|||||||||||
Canada
|
|||||||||||
Financials (cost $13,018,958)
|
12,960,949
|
3.88
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $2,697,498)
|
2,681,988
|
0.80
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $9,746,548)
|
9,700,528
|
2.91
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
12,685,658
|
3.80
|
%
|
||||||||
Consumer Discretionary
|
9,534,815
|
2.85
|
%
|
||||||||
Consumer Staples
|
12,644,398
|
3.79
|
%
|
||||||||
Energy
|
2,760,187
|
0.83
|
%
|
||||||||
Financials
|
39,791,199
|
11.92
|
%
|
||||||||
Industrials
|
7,322,498
|
2.19
|
%
|
||||||||
Technology
|
6,235,512
|
1.87
|
%
|
||||||||
Utilities
|
942,078
|
0.28
|
%
|
||||||||
Total United States (cost $92,174,110)
|
91,916,345
|
27.53
|
%
|
||||||||
Total Corporate Bonds (cost $117,637,114)
|
117,259,810
|
35.12
|
%
|
||||||||
Government And Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
8,735,000
|
U.S. Treasury Bills Due 01/17/2019*
|
8,726,578
|
2.61
|
%
|
||||||
$
|
14,392,500
|
U.S. Treasury Bills Due 02/21/2019*
|
14,344,561
|
4.30
|
%
|
||||||
$
|
28,162,500
|
U.S. Treasury Bills Due 03/28/2019*
|
28,002,067
|
8.39
|
%
|
||||||
Total Government And Agency Obligations (cost $51,077,094)
|
51,073,206
|
15.30
|
%
|
||||||||
Total Fixed Income Securities ** (cost $263,609,181)
|
$
|
263,169,856
|
78.82
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $2,868)
|
$
|
2,868
|
0.00
|
%
|
||||
Total Short Term Investments (cost $2,868)
|
$
|
2,868
|
0.00
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
245,490
|
0.07
|
%
|
||||
Energy
|
(1,580,415
|
)
|
(0.47
|
)%
|
||||
Metals
|
(3,242,497
|
)
|
(0.97
|
)%
|
||||
Stock indices
|
(177,210
|
)
|
(0.05
|
)%
|
||||
Short-term interest rates
|
1,926,368
|
0.57
|
%
|
|||||
Long-term interest rates
|
2,133,111
|
0.64
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
(695,153
|
)
|
(0.21
|
)%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
3,069,621
|
0.92
|
%
|
|||||
Energy
|
906,219
|
0.27
|
%
|
|||||
Metals
|
4,581,047
|
1.37
|
%
|
|||||
Stock indices
|
49,319
|
0.01
|
%
|
|||||
Short-term interest rates
|
(10,448
|
)
|
0.00
|
%
|
||||
Long-term interest rates
|
(2,215,414
|
)
|
(0.66
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
6,380,344
|
1.91
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
5,685,191
|
1.70
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
6,864,179
|
2.06
|
%
|
||||
Various short forward currency contracts
|
1,503,207
|
0.45
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
8,367,386
|
2.51
|
%
|
*
|
Pledged as collateral for the trading of futures positions.
|
**
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $51,073,206 deposited with the futures brokers.
|
June 30, 2019
|
December 31, 2018
|
|||||||
ASSETS
|
||||||||
Equity in futures broker trading accounts
|
||||||||
Cash
|
$
|
30,506,350
|
$
|
29,264,709
|
||||
Fixed income securities (cost $37,573,858 and $51,077,094, respectively)
|
37,581,266
|
51,073,206
|
||||||
Net unrealized gain (loss) on open futures contracts
|
10,113,287
|
5,685,191
|
||||||
Total equity in futures broker trading accounts
|
78,200,903
|
86,023,106
|
||||||
Cash and cash equivalents
|
12,571,178
|
22,653,467
|
||||||
Restricted cash at interbank market maker
|
30,875,936
|
15,828,352
|
||||||
Short term investments (cost $16,739 and $2,868, respectively)
|
16,739
|
2,868
|
||||||
Fixed income securities (cost $213,481,056 and $212,532,087, respectively)
|
213,704,904
|
212,096,650
|
||||||
Net unrealized gain (loss) on open forward currency contracts
|
(2,643,207
|
)
|
8,367,386
|
|||||
Interest receivable
|
776,696
|
865,914
|
||||||
Subscription receivable
|
499,328
|
0
|
||||||
Total assets
|
$
|
334,002,477
|
$
|
345,837,743
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
280,052
|
$
|
315,936
|
||||
Management fee payable
|
1,065,204
|
1,104,485
|
||||||
Accrued commissions and other trading fees on open contracts
|
101,103
|
65,526
|
||||||
Offering costs payable
|
122,111
|
126,325
|
||||||
Redemptions payable
|
4,300,061
|
10,333,537
|
||||||
Total liabilities
|
5,868,531
|
11,945,809
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units – Redeemable
|
||||||||
Other Unitholders - 99,561.898 and 111,488.756 units outstanding at June 30, 2019 and December 31, 2018
|
261,798,509
|
265,715,642
|
||||||
Series B Units – Redeemable
|
||||||||
Other Unitholders - 13,481.561 and 15,779.825 units outstanding at June 30, 2019 and December 31, 2018
|
38,700,109
|
40,954,227
|
||||||
Series D Units – Redeemable
|
||||||||
Other Unitholders - 1,564.018 and 1,569.589 units outstanding at June 30, 2019 and December 31, 2018
|
1,678,312
|
1,517,078
|
||||||
Series W Units – Redeemable
|
||||||||
Other Unitholders - 8,433.412 and 9,306.953 units outstanding at June 30, 2019 and December 31, 2018
|
25,957,016
|
25,704,987
|
||||||
Total unitholders’ capital (Net Asset Value)
|
328,133,946
|
333,891,934
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
334,002,477
|
$
|
345,837,743
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
27,012,737
|
$
|
1,011,980
|
$
|
38,345,084
|
$
|
(19,687,394
|
)
|
|||||||
Change in unrealized
|
(3,180,799
|
)
|
(4,735,980
|
)
|
4,428,096
|
(4,782,883
|
)
|
|||||||||
Brokerage commissions
|
(510,187
|
)
|
(499,776
|
)
|
(1,021,142
|
)
|
(971,455
|
)
|
||||||||
Net gain (loss) from futures trading
|
23,321,751
|
(4,223,776
|
)
|
41,752,038
|
(25,441,732
|
)
|
||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
(3,458,977
|
)
|
(17,394,872
|
)
|
4,373,560
|
(7,284,977
|
)
|
|||||||||
Change in unrealized
|
347,622
|
14,659,782
|
(11,010,593
|
)
|
8,338,230
|
|||||||||||
Brokerage commissions
|
(85,012
|
)
|
(43,877
|
)
|
(152,013
|
)
|
(79,217
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
(3,196,367
|
)
|
(2,778,967
|
)
|
(6,789,046
|
)
|
974,036
|
|||||||||
Total net trading gain (loss)
|
20,125,384
|
(7,002,743
|
)
|
34,962,992
|
(24,467,696
|
)
|
||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
2,064,700
|
2,540,361
|
4,100,144
|
4,696,776
|
||||||||||||
Realized gain (loss) on fixed income securities
|
3,532
|
(48,217
|
)
|
4,050
|
(47,585
|
)
|
||||||||||
Change in unrealized gain (loss) on fixed income securities
|
213,051
|
160,493
|
670,581
|
(213,546
|
)
|
|||||||||||
Total investment income
|
2,281,283
|
2,652,637
|
4,774,775
|
4,435,645
|
||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
3,166,838
|
4,517,057
|
6,336,135
|
9,548,623
|
||||||||||||
Operating expenses
|
264,280
|
276,672
|
527,804
|
571,888
|
||||||||||||
Total expenses
|
3,431,118
|
4,793,729
|
6,863,939
|
10,120,511
|
||||||||||||
Net investment income (loss)
|
(1,149,835
|
)
|
(2,141,092
|
)
|
(2,089,164
|
)
|
(5,684,866
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
18,975,549
|
$
|
(9,143,835
|
)
|
$
|
32,873,828
|
$
|
(30,152,562
|
)
|
||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
||||||||||||||||
Series A
|
$
|
146.37
|
$
|
(48.51
|
)
|
$
|
245.68
|
$
|
(153.17
|
)
|
||||||
Series B
|
$
|
161.66
|
$
|
(51.01
|
)
|
$
|
266.13
|
$
|
(165.64
|
)
|
||||||
Series D
|
$
|
64.01
|
$
|
(11.52
|
)
|
$
|
109.09
|
$
|
(43.00
|
)
|
||||||
Series W
|
$
|
185.61
|
$
|
(40.67
|
)
|
$
|
317.10
|
$
|
(144.87
|
)
|
||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
Series A
|
$
|
145.76
|
$
|
(47.75
|
)
|
$
|
246.17
|
$
|
(155.33
|
)
|
||||||
Series B
|
$
|
162.02
|
$
|
(50.45
|
)
|
$
|
275.25
|
$
|
(163.71
|
)
|
||||||
Series D
|
$
|
62.47
|
$
|
(16.82
|
)
|
$
|
106.54
|
$
|
(58.78
|
)
|
||||||
Series W
|
$
|
184.62
|
$
|
(42.47
|
)
|
$
|
315.97
|
$
|
(150.42
|
)
|
||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
||||||||||||||||
Series A
|
102,508.562
|
145,474.670
|
105,679.139
|
149,848.919
|
||||||||||||
Series B
|
14,007.921
|
22,878.199
|
14,660.103
|
23,615.439
|
||||||||||||
Series D
|
1,535.419
|
1,084.928
|
1,552.504
|
710.889
|
||||||||||||
Series W
|
8,665.237
|
22,297.407
|
8,953.546
|
22,487.301
|
Six Months Ended June 30,
|
||||||||
2019
|
2018
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
32,873,828
|
$
|
(30,152,562
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards and investments
|
5,911,916
|
(3,341,801
|
)
|
|||||
(Increase) decrease in interest receivable
|
89,218
|
(108,566
|
)
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
(39,588
|
)
|
(232,613
|
)
|
||||
Purchases of investments
|
(1,758,764,749
|
)
|
(2,883,153,213
|
)
|
||||
Sales/maturities of investments
|
1,771,305,145
|
2,993,961,625
|
||||||
Net cash from (for) operating activities
|
51,375,770
|
76,972,870
|
||||||
Cash flows from (for) financing activities
|
||||||||
Addition of units
|
6,701,605
|
6,777,747
|
||||||
Redemption of units
|
(51,139,942
|
)
|
(59,111,754
|
)
|
||||
Offering costs paid
|
(730,497
|
)
|
(922,602
|
)
|
||||
Net cash from (for) financing activities
|
(45,168,834
|
)
|
(53,256,609
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
6,206,936
|
23,716,261
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
67,746,528
|
49,680,009
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
73,953,464
|
$
|
73,396,270
|
June 30, 2019
|
December 31, 2018
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Cash in futures brokers trading accounts
|
$
|
30,506,350
|
$
|
29,264,709
|
||||
Restricted cash in futures brokers trading accounts
|
0
|
0
|
||||||
Cash and cash equivalents
|
12,571,178
|
22,653,467
|
||||||
Restricted cash at interbank market maker
|
30,875,936
|
15,828,352
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
73,953,464
|
$
|
67,746,528
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
Series D - Other Unitholders
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Six Months Ended June 30, 2019
|
||||||||||||||||||||||||
Balances at December 31, 2018
|
111,488.756
|
$
|
265,715,642
|
15,779.825
|
$
|
40,954,227
|
1,569.589
|
$
|
1,517,078
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2019
|
10,959,406
|
1,636,947
|
71,088
|
|||||||||||||||||||||
Additions
|
402.786
|
966,271
|
29.109
|
78,844
|
0.000
|
0
|
||||||||||||||||||
Redemptions
|
(8,230.105
|
)
|
(19,795,854
|
)
|
(1,684.043
|
)
|
(4,411,610
|
)
|
0.000
|
0
|
||||||||||||||
Offering costs
|
(376,105
|
)
|
0
|
(1,923
|
)
|
|||||||||||||||||||
Balances at March 31, 2019
|
103,661.437
|
$
|
257,469,360
|
14,124.891
|
$
|
38,258,408
|
1,569.589
|
$
|
1,586,243
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2019
|
15,004,346
|
2,264,553
|
98,275
|
|||||||||||||||||||||
Additions
|
2,299.229
|
5,873,079
|
0.000
|
0
|
45.684
|
49,023
|
||||||||||||||||||
Redemptions
|
(6,398.768
|
)
|
(16,266,862
|
)
|
(643.330
|
)
|
(1,822,852
|
)
|
(51.255
|
)
|
(53,220
|
)
|
||||||||||||
Offering costs
|
(281,414
|
)
|
0
|
(2,009
|
)
|
|||||||||||||||||||
Balances at June 30, 2019
|
99,561.898
|
$
|
261,798,509
|
13,481.561
|
$
|
38,700,109
|
1,564.018
|
$
|
1,678,312
|
|||||||||||||||
Six Months Ended June 30, 2018
|
||||||||||||||||||||||||
Balances at December 31, 2017
|
155,656.273
|
$
|
407,786,433
|
24,609.317
|
$
|
69,925,360
|
259.610
|
$
|
273,175
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2018
|
(15,895,347
|
)
|
(2,744,441
|
)
|
(18,073
|
)
|
||||||||||||||||||
Additions
|
942.555
|
2,394,608
|
0.000
|
0
|
714.150
|
729,114
|
||||||||||||||||||
Redemptions
|
(5,999.865
|
)
|
(15,447,850
|
)
|
(1,170.991
|
)
|
(3,237,305
|
)
|
0.000
|
0
|
||||||||||||||
Offering costs
|
(500,893
|
)
|
0
|
(436
|
)
|
|||||||||||||||||||
Balances at March 31, 2018
|
150,598.958
|
$
|
378,336,951
|
23,438.326
|
$
|
63,943,614
|
973.760
|
$
|
983,780
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2018
|
(7,057,350
|
)
|
(1,167,129
|
)
|
(12,497
|
)
|
||||||||||||||||||
Additions
|
723.185
|
1,765,410
|
0.000
|
0
|
361.838
|
356,940
|
||||||||||||||||||
Redemptions
|
(18,400.994
|
)
|
(45,283,437
|
)
|
(1,360.540
|
)
|
(3,658,502
|
)
|
0.000
|
0
|
||||||||||||||
Offering costs
|
(182,617
|
)
|
0
|
(1,343
|
)
|
|||||||||||||||||||
Balances at June 30, 2018
|
132,921.154
|
$
|
327,578,957
|
22,077.786
|
$
|
59,117,983
|
1,335.598
|
$
|
1,326,880
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
June 30, 2018
|
March 31, 2018
|
December 31, 2017
|
|||||||||||||||||
$
|
2,629.51
|
$
|
2,483.75
|
$
|
2,383.34
|
$
|
2,464.46
|
$
|
2,512.21
|
$
|
2,619.79
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
June 30, 2018
|
March 31, 2018
|
December 31, 2017
|
|||||||||||||||||
$
|
2,870.60
|
$
|
2,708.58
|
$
|
2,595.35
|
$
|
2,677.71
|
$
|
2,728.16
|
$
|
2,841.42
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
June 30, 2018
|
March 31, 2018
|
December 31, 2017
|
|||||||||||||||||
$
|
1,073.08
|
$
|
1,010.61
|
$
|
966.54
|
$
|
993.47
|
$
|
1,010.29
|
$
|
1,052.25
|
Series W - Other Unitholders
|
Trust
|
|||||||||||
Units
|
Amount
|
Total Amount
|
||||||||||
Six Months Ended June 30, 2019
|
||||||||||||
Balances at December 31, 2018
|
9,306.953
|
$
|
25,704,987
|
$
|
333,891,934
|
|||||||
Net income (loss) for the three months ended March 31, 2019
|
1,230,838
|
13,898,279
|
||||||||||
Additions
|
16.012
|
43,708
|
1,088,823
|
|||||||||
Redemptions
|
(521.852
|
)
|
(1,483,217
|
)
|
(25,690,681
|
)
|
||||||
Offering costs
|
(32,369
|
)
|
(410,397
|
)
|
||||||||
Balances at March 31, 2019
|
8,801.113
|
$
|
25,463,947
|
$
|
322,777,958
|
|||||||
Net income (loss) for the three months ended June 30, 2019
|
1,608,375
|
18,975,549
|
||||||||||
Additions
|
63.879
|
190,008
|
6,112,110
|
|||||||||
Redemptions
|
(431.580
|
)
|
(1,272,851
|
)
|
(19,415,785
|
)
|
||||||
Offering costs
|
(32,463
|
)
|
(315,886
|
)
|
||||||||
Balances at June 30, 2019
|
8,433.412
|
$
|
25,957,016
|
$
|
328,133,946
|
|||||||
Six Months Ended June 30, 2018
|
||||||||||||
Balances at December 31, 2017
|
22,774.964
|
$
|
67,838,187
|
$
|
545,823,155
|
|||||||
Net income (loss) for the three months ended March 31, 2018
|
(2,350,866
|
)
|
(21,008,727
|
)
|
||||||||
Additions
|
477.234
|
1,363,450
|
4,487,172
|
|||||||||
Redemptions
|
(615.846
|
)
|
(1,785,156
|
)
|
(20,470,311
|
)
|
||||||
Offering costs
|
(83,862
|
)
|
(585,191
|
)
|
||||||||
Balances at March 31, 2018
|
22,636.352
|
$
|
64,981,753
|
$
|
508,246,098
|
|||||||
Net income (loss) for the three months ended June 30, 2018
|
(906,859
|
)
|
(9,143,835
|
)
|
||||||||
Additions
|
79.194
|
220,061
|
2,342,411
|
|||||||||
Redemptions
|
(1,139.809
|
)
|
(3,195,719
|
)
|
(52,137,658
|
)
|
||||||
Offering costs
|
(78,544
|
)
|
(262,504
|
)
|
||||||||
Balances at June 30, 2018
|
21,575.737
|
$
|
61,020,692
|
$
|
449,044,512
|
June 30, 2019 | March 31, 2019 | December 31, 2018 | ||||||||
$ | 3,077.88 | $ | 2,893.26 | $ | 2,761.91 |
June 30, 2018 | March 31, 2018 | December 31, 2017 | ||||||||
$ | 2,828.21 | $ | 2,870.68 | $ | 2,978.63 |
Series A
|
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,483.75
|
$
|
2,512.21
|
$
|
2,383.34
|
$
|
2,619.79
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
158.51
|
(33.97
|
)
|
270.16
|
(119.28
|
)
|
||||||||||
Net investment income (loss) (1)
|
(10.00
|
)
|
(12.52
|
)
|
(17.77
|
)
|
(31.49
|
)
|
||||||||
Total net income (loss) from operations
|
148.51
|
(46.49
|
)
|
252.39
|
(150.77
|
)
|
||||||||||
Offering costs (1)
|
(2.75
|
)
|
(1.26
|
)
|
(6.22
|
)
|
(4.56
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
2,629.51
|
$
|
2,464.46
|
$
|
2,629.51
|
$
|
2,464.46
|
||||||||
Total Return (4)
|
5.87
|
%
|
(1.90
|
)%
|
10.33
|
%
|
(5.93
|
)%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
4.39
|
%
|
4.25
|
%
|
4.39
|
%
|
4.25
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
4.39
|
%
|
4.25
|
%
|
4.39
|
%
|
4.25
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(1.58
|
)%
|
(2.04
|
)%
|
(1.45
|
)%
|
(2.50
|
)%
|
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Excludes performance fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
Series B
|
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,708.58
|
$
|
2,728.16
|
$
|
2,595.35
|
$
|
2,841.42
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
172.92
|
(36.84
|
)
|
294.57
|
(129.50
|
)
|
||||||||||
Net investment income (loss) (1)
|
(10.90
|
)
|
(13.61
|
)
|
(19.32
|
)
|
(34.21
|
)
|
||||||||
Total net income (loss) from operations
|
162.02
|
(50.45
|
)
|
275.25
|
(163.71
|
)
|
||||||||||
Net asset value per unit at end of period
|
$
|
2,870.60
|
$
|
2,677.71
|
$
|
2,870.60
|
$
|
2,677.71
|
||||||||
Total Return (4)
|
5.98
|
%
|
(1.85
|
)%
|
10.61
|
%
|
(5.76
|
)%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
4.38
|
%
|
4.24
|
%
|
4.39
|
%
|
4.24
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
4.38
|
%
|
4.24
|
%
|
4.39
|
%
|
4.24
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(1.57
|
)%
|
(2.04
|
)%
|
(1.45
|
)%
|
(2.50
|
)%
|
(1)
|
Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing
amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Excludes performance fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
Series D
|
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
1,010.61
|
$
|
1,010.29
|
$
|
966.54
|
$
|
1,052.25
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
64.58
|
(13.60
|
)
|
110.00
|
(51.25
|
)
|
||||||||||
Net investment income (loss) (1)
|
(0.80
|
)
|
(1.98
|
)
|
(0.93
|
)
|
(5.03
|
)
|
||||||||
Total net income (loss) from operations
|
63.78
|
(15.58
|
)
|
109.07
|
(56.28
|
)
|
||||||||||
Offering costs (1)
|
(1.31
|
)
|
(1.24
|
)
|
(2.53
|
)
|
(2.50
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
1,073.08
|
$
|
993.47
|
$
|
1,073.08
|
$
|
993.47
|
||||||||
Total Return (4)
|
6.18
|
%
|
(1.66
|
)%
|
11.02
|
%
|
(5.59
|
)%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
3.11
|
%
|
2.89
|
%
|
3.11
|
%
|
2.70
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
3.11
|
%
|
2.89
|
%
|
3.11
|
%
|
2.70
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(0.31
|
)%
|
(0.77
|
)%
|
(0.19
|
)%
|
(0.91
|
)%
|
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Excludes performance fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
Series W
|
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,893.26
|
$
|
2,870.68
|
$
|
2,761.91
|
$
|
2,978.63
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
185.05
|
(38.70
|
)
|
314.98
|
(136.31
|
)
|
||||||||||
Net investment income (loss) (1)
|
3.32
|
(0.25
|
)
|
8.23
|
(6.89
|
)
|
||||||||||
Total net income (loss) from operations
|
188.37
|
(38.95
|
)
|
323.21
|
(143.20
|
)
|
||||||||||
Offering costs (1)
|
(3.75
|
)
|
(3.52
|
)
|
(7.24
|
)
|
(7.22
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
3,077.88
|
$
|
2,828.21
|
$
|
3,077.88
|
$
|
2,828.21
|
||||||||
Total Return (4)
|
6.38
|
%
|
(1.48
|
)%
|
11.44
|
%
|
(5.05
|
)%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
2.36
|
%
|
2.23
|
%
|
2.36
|
%
|
2.23
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
2.36
|
%
|
2.23
|
%
|
2.36
|
%
|
2.23
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
0.45
|
%
|
(0.04
|
)%
|
0.58
|
%
|
(0.48
|
)%
|
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Excludes performance fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
Fair Value at June 30, 2019
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
16,739
|
$
|
0
|
$
|
0
|
$
|
16,739
|
||||||||
Fixed income securities
|
0
|
251,286,170
|
0
|
251,286,170
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
10,113,287
|
0
|
0
|
10,113,287
|
||||||||||||
Forward currency contracts
|
0
|
(2,643,207
|
)
|
0
|
(2,643,207
|
)
|
||||||||||
Total
|
$
|
10,130,026
|
$
|
248,642,963
|
$
|
0
|
$
|
258,772,989
|
Fair Value at December 31, 2018
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
2,868
|
$
|
0
|
$
|
0
|
$
|
2,868
|
||||||||
Fixed income securities
|
0
|
263,169,856
|
0
|
263,169,856
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
5,685,191
|
0
|
0
|
5,685,191
|
||||||||||||
Forward currency contracts
|
0
|
8,367,386
|
0
|
8,367,386
|
||||||||||||
Total
|
$
|
5,688,059
|
$
|
271,537,242
|
$
|
0
|
$
|
277,225,301
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
June 30, 2019
Fair Value
|
Liability
Derivatives at
June 30, 2019
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
634,289
|
$
|
(1,669,491
|
)
|
$
|
(1,035,202
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
911,890
|
(234,012
|
)
|
677,878
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,356,471
|
(3,659,530
|
)
|
(1,303,059
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,460,499
|
(266,663
|
)
|
2,193,836
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
5,363,471
|
(95,652
|
)
|
5,267,819
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
5,188,726
|
(876,711
|
)
|
4,312,015
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
15,200,112
|
(17,843,319
|
)
|
(2,643,207
|
)
|
|||||||
Totals
|
$
|
32,115,458
|
$
|
(24,645,378
|
)
|
$
|
7,470,080
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2018
Fair Value
|
Liability
Derivatives at
December 31, 2018
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
3,387,407
|
$
|
(72,296
|
)
|
$
|
3,315,111
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
944,156
|
(1,618,352
|
)
|
(674,196
|
)
|
|||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
4,959,401
|
(3,620,851
|
)
|
1,338,550
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,209,323
|
(1,337,214
|
)
|
(127,891
|
)
|
|||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,943,511
|
(27,591
|
)
|
1,915,920
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,271,180
|
(2,353,483
|
)
|
(82,303
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
22,965,576
|
(14,598,190
|
)
|
8,367,386
|
||||||||
Totals
|
$
|
37,680,554
|
$
|
(23,627,977
|
)
|
$
|
14,052,577
|
Type of Instrument
|
Trading Gains/(Losses)
for the Three Months Ended
June 30, 2019
|
Trading Gains/(Losses)
for the Three Months Ended
June 30, 2018
|
||||||
Agriculture Contracts
|
$
|
(5,120,053
|
)
|
$
|
(4,093,993
|
)
|
||
Energy Contracts
|
313,927
|
10,859,812
|
||||||
Metal Contracts
|
(2,975,323
|
)
|
(9,866,141
|
)
|
||||
Stock Indices Contracts
|
9,782,033
|
(426,669
|
)
|
|||||
Short-Term Interest Rate Contracts
|
11,509,688
|
1,799,680
|
||||||
Long-Term Interest Rate Contracts
|
10,153,394
|
(1,932,596
|
)
|
|||||
Forward Currency Contracts
|
(3,185,238
|
)
|
(2,735,090
|
)
|
||||
Total
|
$
|
20,478,428
|
$
|
(6,394,997
|
)
|
Type of Instrument
|
Trading Gains/(Losses)
for the Six Months Ended
June 30, 2019
|
Trading Gains/(Losses)
for the Six Months Ended
June 30, 2018
|
||||||
Agriculture Contracts
|
$
|
(4,267,334
|
)
|
$
|
(8,423,327
|
)
|
||
Energy Contracts
|
(3,878,617
|
)
|
13,163,132
|
|||||
Metal Contracts
|
(4,651,879
|
)
|
(10,338,405
|
)
|
||||
Stock Indices Contracts
|
17,713,903
|
(27,942,949
|
)
|
|||||
Short-Term Interest Rate Contracts
|
15,804,218
|
5,916,146
|
||||||
Long-Term Interest Rate Contracts
|
21,791,572
|
3,193,528
|
||||||
Forward Currency Contracts
|
(6,710,916
|
)
|
1,053,253
|
|||||
Total
|
$
|
35,800,947
|
$
|
(23,378,622
|
)
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses)
for the Three Months Ended
June 30, 2019
|
Trading Gains/(Losses)
for the Three Months Ended
June 30, 2018
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
26,844,465
|
$
|
1,076,073
|
||||
Change in unrealized
|
(3,180,799
|
)
|
(4,735,980
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
(3,532,860
|
)
|
(17,394,872
|
)
|
||||
Change in unrealized
|
347,622
|
14,659,782
|
||||||
Total
|
$
|
20,478,428
|
$
|
(6,394,997
|
)
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses)
for the Six Months Ended
June 30, 2019
|
Trading Gains/(Losses)
for the Six Months Ended
June 30, 2018
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
38,083,767
|
$
|
(19,648,992
|
)
|
|||
Change in unrealized
|
4,428,096
|
(4,782,883
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
4,299,677
|
(7,284,977
|
)
|
|||||
Change in unrealized
|
(11,010,593
|
)
|
8,338,230
|
|||||
Total
|
$
|
35,800,947
|
$
|
(23,378,622
|
)
|
** |
Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers and
interbank market maker.
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of June 30, 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
|
$
|
8,567,572
|
$
|
(3,500,105
|
)
|
$
|
5,067,467
|
|||||
Futures contracts
|
Goldman Sachs & Co. LLC
|
8,347,774
|
(3,301,954
|
)
|
5,045,820
|
||||||||
Forward currency contracts
|
NatWest Markets plc
|
15,200,112
|
(15,200,112
|
)
|
0
|
||||||||
Total derivatives
|
$
|
32,115,458
|
$
|
(22,002,171
|
)
|
$
|
10,113,287
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of June 30, 2019
|
||||||||||||||||
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
5,067,467
|
$
|
0
|
$
|
0
|
$
|
5,067,467
|
||||||||
Goldman Sachs & Co. LLC
|
5,045,820
|
0
|
0
|
5,045,820
|
||||||||||||
NatWest Markets plc
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
10,113,287
|
$
|
0
|
$
|
0
|
$
|
10,113,287
|
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of June 30, 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
|
$
|
3,500,105
|
$
|
(3,500,105
|
)
|
$
|
0
|
|||||
Futures contracts
|
Goldman Sachs & Co. LLC
|
3,301,954
|
(3,301,954
|
)
|
0
|
||||||||
Forward currency contracts
|
NatWest Markets plc
|
17,843,319
|
(15,200,112
|
)
|
2,643,207
|
||||||||
Total derivatives
|
$
|
24,645,378
|
$
|
(22,002,171
|
)
|
$
|
2,643,207
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of June 30, 2019
|
||||||||||||||||
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs & Co. LLC
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets plc
|
2,643,207
|
0
|
(2,643,207
|
)
|
0
|
|||||||||||
Total
|
$
|
2,643,207
|
$
|
0
|
$
|
(2,643,207
|
)
|
$
|
0
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of December 31, 2018
|
|||||||||||||
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
|
$
|
7,589,907
|
$
|
(4,587,126
|
)
|
$
|
3,002,781
|
|||||
Futures contracts
|
Goldman Sachs & Co. LLC
|
7,125,071
|
(4,442,661
|
)
|
2,682,410
|
||||||||
Forward currency contracts
|
NatWest Markets plc
|
22,965,576
|
(14,598,190
|
)
|
8,367,386
|
||||||||
Total derivatives
|
$
|
37,680,554
|
$
|
(23,627,977
|
)
|
$
|
14,052,577
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of December 31, 2018
|
||||||||||||||||
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
3,002,781
|
$
|
0
|
$
|
0
|
$
|
3,002,781
|
||||||||
Goldman Sachs & Co. LLC
|
2,682,410
|
0
|
0
|
2,682,410
|
||||||||||||
NatWest Markets plc
|
8,367,386
|
0
|
0
|
8,367,386
|
||||||||||||
Total
|
$
|
14,052,577
|
$
|
0
|
$
|
0
|
$
|
14,052,577
|
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of December 31, 2018
|
|||||||||||||
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
|
$
|
4,587,126
|
$
|
(4,587,126
|
)
|
$
|
0
|
|||||
Futures contracts
|
Goldman Sachs & Co. LLC
|
4,442,661
|
(4,442,661
|
)
|
0
|
||||||||
Forward currency contracts
|
NatWest Markets plc
|
14,598,190
|
(14,598,190
|
)
|
0
|
||||||||
Total derivatives
|
$
|
23,627,977
|
$
|
(23,627,977
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2018
|
||||||||||||||||
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs & Co. LLC
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets plc
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(3.71
|
)%
|
||
Currencies
|
(2.06
|
)
|
||
Interest Rates
|
11.85
|
|||
Stock Indices
|
5.62
|
|||
11.70
|
%
|
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(0.86
|
)%
|
||
Currencies
|
0.32
|
|||
Interest Rates
|
1.53
|
|||
Stock Indices
|
(5.29
|
)
|
||
(4.30
|
)%
|
June 30, 2019
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.62
|
%
|
(3.71
|
)%
|
||||
Currencies
|
0.72
|
%
|
(2.06
|
)%
|
||||
Interest Rates
|
0.81
|
%
|
11.85
|
%
|
||||
Stock Indices
|
0.84
|
%
|
5.62
|
%
|
||||
Aggregate/Total
|
1.42
|
%
|
11.70
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than
the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Represents the gross trading for the Trust for the six months ended June 30, 2019.
|
December 31, 2018
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.87
|
%
|
(2.00
|
)%
|
||||
Currencies
|
0.80
|
%
|
3.47
|
%
|
||||
Interest Rates
|
0.47
|
%
|
1.79
|
%
|
||||
Stock Indices
|
0.76
|
%
|
(9.13
|
)%
|
||||
Aggregate/Total
|
2.11
|
%
|
(5.87
|
)%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than
the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Represents the gross trading for the Trust for the year ended December 31, 2018.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit
Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments June 30, 2019 and December 31, 2018, (ii) Statements of Financial Condition June 30, 2019
and December 31, 2018, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2019 and 2018, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2019 and 2018, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Six Months Ended June 30, 2019 and 2018, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2019 and 2018, (vii) Notes to Financial Statements.
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
|
(2) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments June 30, 2019 and December 31, 2018, (ii) Statements of Financial Condition June 30, 2019
and December 31, 2018, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2019 and 2018, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2019 and 2018, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Six Months Ended June 30, 2019 and 2018, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2019 and 2018, (vii) Notes to Financial Statements.
|
THE CAMPBELL FUND TRUST
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
Managing Operator
|
|||
Date: August 14, 2019
|
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
|||
Chief Executive Officer
|