UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
☒ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Fiscal Year Ended December 31, 2016
OR
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File Number 000-51634
SUPERFUND GREEN, L.P.
(Exact name of registrant as specified in its charter)
DELAWARE | 98-0375395 | |
(State or other jurisdiction of incorporation or organization) |
(IRS Employer Identification Number) | |
SUPERFUND OFFICE BUILDING P.O. BOX 1479 GRAND ANSE ST. GEORGES, GRENADA WEST INDIES |
Not applicable | |
(Address of principal executive offices) | (Zip Code) |
Registrants telephone number, including area code: (473) 439-2418
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐ No ☒
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ☐ No ☒
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☒ No ☐
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of the registrants knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. ☒
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.
Large accelerated filer | ☐ | Accelerated filer | ☐ | |||
Non-accelerated filer | ☐ (do not check if a smaller reporting company) | Smaller reporting company | ☒ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrants most recently completed second fiscal quarter.
Not applicable.
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus dated May 1, 2013, included within Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-184998), is incorporated by reference into Item 1 and Item 5.
PART I | 3 | |||
3 | ||||
4 | ||||
4 | ||||
4 | ||||
4 | ||||
4 | ||||
4 | ||||
4 | ||||
5 | ||||
ITEM 7. MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
5 | |||
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
11 | |||
11 | ||||
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
11 | |||
11 | ||||
12 | ||||
12 | ||||
ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE |
12 | |||
13 | ||||
14 | ||||
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
14 | |||
14 | ||||
PART IV | 15 | |||
15 | ||||
SIGNATURES | 53 | |||
EXHIBIT INDEX | 54 | |||
Exhibit 31.01 | ||||
Exhibit 31.02 | ||||
Exhibit 32.01 | ||||
Exhibit 32.02 |
2
Superfund Green, L.P. (the Fund) is a limited partnership which was organized on May 3, 2002 under the Delaware Revised Uniform Limited Partnership Act, as amended. In accordance with the Sixth Amended and Restated Limited Partnership Agreement (the Limited Partnership Agreement) under which it operates, the Fund is organized as two separate series of limited partnership units (the Units), Series A and Series B (each, a Series). Series B implements the Funds futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series.
The Fund operates as a commodity investment pool, whose purpose is speculative trading in the United States (U.S.) and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward contracts using a fully-automated, proprietary, computerized trading system. The general partner and trading manager of the Fund is Superfund Capital Management, Inc. (Superfund Capital Management), a Grenada corporation. Superfund Capital Management is registered as a commodity pool operator with the Commodity Futures Trading Commission (the CFTC) and is a member of the National Futures Association (the NFA) and is therefore subject to the provisions of the Commodity Exchange Act, the regulations of the CFTC and the rules of the NFA.
Narrative Description of the Business
A description of the business of the Fund, including trading approach, rights and obligations of the Unitholders, and compensation arrangements is contained in the Funds Prospectus dated May 1, 2013 included within the Registration Statement on Form S-1 (File No. 333-184998), under Summary, The Risks You Face, Superfund Capital Management, Inc., Conflicts of Interest, and Charges to Each Series and such description is incorporated herein by reference from the Prospectus.
The Fund conducts its business in one industry segment: the speculative trading of futures and forward contracts and options thereon. The Fund is a market participant in the managed futures industry. Market participants include all types of investors, such as corporations, employee benefit plans, individuals and foreign investors. Service providers of the managed futures industry include (a) pool operators, which conduct and manage all aspects of trading funds, such as the Fund, (b) trading advisors, which make the specific trading decisions, and (c) commodity brokers, which execute and clear the trades pursuant to the instructions of the trading advisor. The Fund has no employees and does not engage in the sale of goods or services.
The Fund trades on domestic and international exchanges in more than 120 futures and forward contracts. Trading decisions are made using a fully-automated, proprietary, computerized trading system which emphasizes instruments with low correlation and high liquidity for order execution. The particular contracts traded by the Fund will vary from time to time.
The Fund may, in the future, experience increased competition for the commodity futures and other contracts in which it trades. Superfund Capital Management will recommend similar or identical trades for other accounts under its management. Such competition may also increase due to what Superfund Capital Management believes is an increasing utilization of computerized trading methods similar in general to those used by Superfund Capital Management.
Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of commodity trading advisors, commodity pool operators, futures commission merchants, introducing brokers, swap dealers and their respective associated persons and floor brokers. The Commodity Exchange Act requires commodity pool operators such as Superfund Capital Management and commodity brokers, futures commission merchants or swap dealers such as the Funds commodity brokers and FX counterparties to be registered and to comply with various reporting and recordkeeping requirements. Superfund Capital Management and the Funds commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operators registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event Superfund Capital Managements registration as a commodity pool operator was terminated or suspended, Superfund Capital Management would be unable to continue to manage its business or the Fund. Should Superfund Capital Managements registration be suspended, termination of the Fund might result.
In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Fund, may hold or control in certain futures contracts. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. In November 2011, the CFTC adopted a new position limits regime for 28 so-called exempt (i.e., metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. A U.S. District Court vacated the new position limits regime, but the CFTC proposed a new set of speculative position rules which are not yet finalized or effective. All accounts controlled by Superfund Capital
3
Management, including the accounts of each Series, are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit Superfund Capital Management may modify the trading decisions for the Fund or be forced to liquidate certain futures positions, possibly resulting in losses.
The Fund may also trade in dealer markets for forward and swap contracts. In addition, the Fund trades on foreign commodity exchanges, which are not currently subject to substantive regulation by any U.S. government agency. The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) was enacted in July 2010. As a result of rules adopted by the CFTC pursuant to Dodd-Frank, the regulatory landscape affecting the Fund is evolving. For example, Dodd-Frank mandates that certain standardized over-the-counter derivatives be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the CFTC pursuant to Dodd-Frank may result in the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing and the possible imposition of new or increased fees, including clearing account maintenance fees.
The Fund itself has no employees. Rather it is operated by Superfund Capital Management. Superfund Capital Management employs approximately seven people on a full-time basis.
Not required.
Item 1B. Unresolved Staff Comments.
Not required.
The Fund does not own or use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts and cash. Superfund Capital Managements office is located at Superfund Office Building, P.O. Box 1479, Grand Anse, St. Georges, Grenada, West Indies.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
(a) | Market Information |
There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon five (5) business days prior notice to Superfund Capital Management at their net asset value as of the last day of the month in which the redemption request is received.
(b) | Holders |
As of February 28, 2017, there were 177 holders of Series A Units and 382 holders of Series B Units.
(c) | Dividends |
Superfund Capital Management has sole discretion in determining what distributions, if any, the Fund will make to its Unitholders. Superfund Capital Management has not made any distributions as of the date hereof and has no present intention to make any.
(d) | Securities Authorized for Issuance Under Equity Compensation Plans |
None.
(e) | Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities |
4
There have been no sales of unregistered securities of the Fund during 2016 or 2015. A description of the use of proceeds from the sale of registered securities is contained in the Funds current Prospectus dated May 1, 2013, included within the Registration Statement on Form S-1 (File No. 333-184998), under Use of Proceeds and such description is incorporated herein by reference from the Prospectus.
(f) | Purchases of Equity Securities by the Issuer and Affiliated Purchasers |
Pursuant to the Funds Limited Partnership Agreement, Unitholders may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. The redemption of Units has no impact on the value of the Units that remain outstanding, and Units are not reissued once redeemed.
The following tables summarize the redemptions by Unitholders during the fourth calendar quarter of 2016:
Series A:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
October 31, 2016 |
343.931 | 1,033.45 | ||||||
November 30, 2016 |
210.867 | 1,002.73 | ||||||
December 31, 2016 |
1,163.165 | 989.50 | ||||||
|
|
|||||||
Total |
1,717.963 | |||||||
|
|
Series B:
Month |
Units Redeemed |
Net Asset Value per Unit ($) |
||||||
October 31, 2016 |
123.932 | 1,125.48 | ||||||
November 30, 2016 |
120.199 | 1,067.28 | ||||||
December 31, 2016 |
28.508 | 1,049.01 | ||||||
|
|
|||||||
Total |
272.639 | |||||||
|
|
Item 6. Selected Financial Data.
Not required.
Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Introduction
The Fund commenced the offering of its Units on October 22, 2002. The initial offering terminated on October 31, 2002, and the Fund commenced operations on November 5, 2002. The continuing offering period commenced at the termination of the initial offering period and ended on May 1, 2014. For the year ended December 31, 2016, redemptions totaled $4,439,736 for the Fund as a whole, $3,066,390 in Series A and $1,373,346 in Series B.
Liquidity
Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Funds ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.
Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed off exchange between private parties, the time required to offset or unwind these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.
Other than these limitations on liquidity, which are inherent in the Funds futures and forward trading operations, the Funds assets are expected to be highly liquid.
5
Capital Resources
The Fund will raise additional capital only through the sale of Units offered pursuant to a new offering, if any, and does not intend to raise any capital through borrowings. Due to the nature of the Funds business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
Results of Operations
2016
Series A:
Net results for the year ended December 31, 2016, were a loss of 20.0% in net asset value compared to the preceding year. In this period, Series A experienced a net decrease in net assets from operations of $1,343,866. This decrease consisted of investment income of $2,447, trading losses of $850,542 and total expenses of $495,771. Expenses included $121,417 in management fees, $9,844 in operating expenses, $262,522 in selling commissions, $88,159 in brokerage commissions and $13,829 in other expenses. At December 31, 2016 and December 31, 2015, the net asset value per Unit of Series A was $989.50 and $1,222.26, respectively.
Series B:
Net results for the year ended December 31, 2016, were a loss of 25.1% in net asset value compared to the preceding year. In this period, Series B experienced a net decrease in net assets from operations of $1,812,922. This decrease consisted of investment income of $3,344, trading losses of $1,249,705 and total expenses of $566,561. Expenses included $126,973 in management fees, $10,295 in operating expenses, $274,534 in selling commissions, $139,005 in brokerage commissions and $15,754 in other expenses. At December 31, 2016 and December 31, 2015, the net asset value per Unit of Series B was $1,049.01 and $1,392.13, respectively.
Fund results for the 4th Quarter 2016:
In December, the Funds managed futures strategy produced negative results as positions in the currencies, grains, energy, metals and agricultural sectors proved unfavorable to the Fund. The Funds positions in CBT soybeans yielded negative returns as price declines resulted from a large surplus in South American. Similarly, the Funds positions in LME lead suffered as a rising surplus and lower demand led to falling prices. The Fund was able to offset some of these losses by taking advantage of rising equity markets. In particular, the Funds positions in the Canadas S&P 60 Index generated positive returns. The Funds allocation to bond markets also yielded positive results, with the Funds positions in the Euro Bobl benefitting from the European Central Banks (ECB) decision to continue its bond buying program.
In November, the Funds managed futures strategy yielded negative returns as markets experienced volatility following the U.S. presidential election. The initial market response was similar to the Brexit reaction, as investors flooded government bonds while adding support to the U.S. dollar, which reached its highest level since 2003. Prospects of growing inflation and the confirmation of a rate increase by the U.S. Federal Reserve (the Fed) in December also affected markets, with industrial metals rising on prospects of a revival to American infrastructure and growing Chinese demand for copper. The Funds positions in the Canadian 10-year bond, Comex copper and CME live cattle contributed the most to the Funds negative performance for the month. Positive performance from the Funds positions in the Mexican peso, Japanese yen and LME copper helped to offset the Funds overall negative returns.
In October, the Funds managed futures strategy produced negative returns despite signs of a positive economic turnaround in global growth and increased likelihood of interest rate hike by the Fed. The Funds positions in the bonds sector yielded negative results as a worldwide sell-off send markets into a tailspin. Bonds took a major hit as yields rose to their highest levels since June as speculation grew that central banks would take a less aggressive approach in supporting monetary stimulus programs. The Funds positions in Euro-Bund, Euro Bobl and Euro BTP yielded the largest negative returns in the sector. Despite overall negative performance in all sectors, positive performance from the Funds positions in the Topix index, London coffee and Euro Buxl helped to offset some of the Funds losses.
Fund results for 3rd Quarter 2016:
In September, the Funds managed futures strategy produced negative returns, with positions in energy, bonds and grains contributing to this decline. The Funds allocations to the metals sector were the largest negative contributor, as investors remained skeptical of volatile movements in oil prices amidst concerns that the excess global crude supply could persist into 2017. The Funds allocations to agricultural and currencies markets helped to slightly offset the negative results in the month, as positions in the agricultural, currencies and indices markets all yielded positive returns, including the Funds allocations to LCE London coffee, CME live cattle and CME mini NASDAQ 100.
6
In August, the Funds managed futures strategy yielded negative results, as positions in the energies and metals sectors dragged on performance. The Funds positions in NYMEX crude oil and IPE gas oil produced negative returns, as the market moved adversely based on speculation that OPEC would limit oil prices. The Funds positions in COMEX silver also underperformed, as investors fled safe-haven assets. The Funds allocations to the indices, grains and agricultural markets all yielded positive returns, helping to offset some of the losses in other sectors.
In July, the Funds managed futures strategy produced strong positive returns in the midst of heightened market uncertainties and uneasiness as a result of the United Kingdoms vote to withdraw from the European Union. The Funds allocation to indices, including positions in CBOE Volatility Index and CME mini NASDAQ 100, produced positive gains as its positions capitalized on recovering markets. The Funds allocations to the energies and metals sectors also produced positive returns, particularly its long positions in COMEX silver. The Funds positions in the agricultural and grains sectors produced negative results, as better than expected weather conditions for soybeans and increased demand for cotton resulted in adverse price movements to the Funds positions.
Fund results for 2nd Quarter 2016:
In June, the Funds managed futures strategy produced positive returns, as the markets came to terms with the United Kingdoms vote to withdraw from the European Union. In the midst of market volatility and heightened market skepticism, investors fled to safe haven assets. As a result, the Funds positions in bonds and metals markets produced gains for the Fund. In particular, the Funds positions in Euro Bund, Euro-Bobl and Comex gold yielded significant positive returns for the Fund. The Funds allocation to grain and agricultural markets also yielded positive results. The Funds positions in stock indices and currencies lost ground, partially offsetting the Funds gains in other markets.
In May, the Funds managed futures strategy yielded negative returns. Prospects of a rise in rates by the Fed in the coming months, as well as reservations about the state of the global economy, weighed on performance of markets worldwide. The Funds allocation to metals produced the largest negative returns, with position in Comex gold and silver being the largest contributor. The Funds short positions in soybean meal also yielded losses as a result of adverse weather conditions in major growth markets. The Funds positive positions in bonds helped to offset some of the Funds negative performance, as the Fund took advantage of declining Treasury prices as well as increasing European bond prices resulting from weak economic data.
In April, the Funds managed futures strategy resulted in negative returns. The Funds allocation to the bond and metal markets yielded losses amidst changing global monetary policies and fluctuating oil prices. The Funds positions in the grains sector also produced negative results. In particular, the Funds short positions in soybean meal suffered, as soybean prices rose as a result of the weakening U.S. dollar and bullish Chinese export data. The Funds allocation to the metals market, particularly long positions in Comex gold and silver, produced positive returns for the month, as metals saw strong gains throughout April.
Fund results for 1st Quarter 2016:
In March, the Funds managed futures strategy yielded negative results. The Funds allocation to the energy sector produced losses as the Funds short positions lost ground on rising oil prices in the month. The rise in oil prices also helped to rally the Hang Seng China Enterprises Index, generating a loss for the Funds short positions. The Funds long positions in bonds also produced negative results as a result of general rout in global bond prices. The Funds allocation to the agricultural market produced negative results, although its positions in London Commodity Exchange sugar helped to partially offset these losses by yielding positive returns. The Funds allocation to the currencies sector proved to be the sole positive performing sector for the month, with the Australian dollar trading at its highest level in recent weeks on better than expected economic data.
In February, the Funds managed futures strategy produced positive returns. The Funds allocation to the bonds market generated strong positive returns as bond prices advanced on fears of a global slowdown. The Funds positions in the energy sector also produced positive results, as the Funds long and short positions took advantage of volatile oil prices. The agricultural sector also produced positive returns for the Fund, as the Funds short positions in Chicago Board of Trade soybean meal benefitted from declining sales in the soybean market. The Funds positions in the currencies markets produced negative results as positions in the Japanese yen lost value as a result of stimulus measures imposed by the Bank of Japan.
In January, the Funds managed futures strategy yielded negative results. The Funds positions in indices generated losses, as global stock indices were negatively affected by a sell-off in China which spurred a stock market slump worldwide. The Funds allocation to the agricultural sector also produced negative returns, as the Funds long positions in cocoa suffered due to increased supplies, weaker demand and favorable weather for production. The Funds allocation to the bonds sector helped to partially offset these losses, producing positive returns as bond prices advanced.
7
2015
Series A:
Net results for the year ended December 31, 2015 were a loss of 4.9% in net asset value compared to the preceding year. In this period, Series A experienced a net decrease in net assets from operations of $428,860. The 2015 results consisted of interest income of $477, trading gains of $229,922 and total expenses of $659,259. Expenses included $166,074 in management fees, $13,466 in operating expenses, $359,079 in selling commissions, $104,897 in brokerage commissions and $15,743 in other expenses. At December 31, 2015 and December 31, 2014, the net asset value per Unit of Series A was $1,222.26 and $1,283.60, respectively.
Series B:
Net results for the year ended December 31, 2015 were a loss of 4.3% in net asset value compared to the preceding year. In this period, Series B experienced a net decrease in net assets from operations of $402,533. The 2015 results consisted of interest income of $906, trading gains of $367,822 and total expenses of $771,261. Expenses included $176,773 in management fees, $14,334 in operating expenses, $382,212 in selling commissions, $176,569 in brokerage commissions and $21,373 in other expenses. At December 31, 2015 and December 31, 2014, the net asset value per Unit of Series B was $1,392.13 and $1,462.68, respectively.
Fund results for the 4th Quarter 2015:
In December, the Funds managed futures strategy produced negative results. The Funds allocations to currency markets brought negative returns as a decline in value of the Chinese Yuan renewed fears of the reemergence of a protectionist monetary policy. The Funds positions in stock indices also yielded negative results as equities markets reacted negatively to the decision by ECB to restrict the scale of additional monetary support policies. Positive returns from positions in the energy and grain sectors helped to limit the Funds overall negative returns.
In November, the Funds managed futures strategy yielded strong positive returns, as weak manufacturing data from China continued to hurt commodity prices. The Funds positions in the metals sector produced strong gains, led by the Funds short copper positions. The Funds allocations to energies markets also recorded strong returns, particularly the Funds short natural gas positions. The Funds positions in currencies and grains markets also produced positive returns in November. Uncertainty in the bond markets due to speculation on interest rate movements led to negative performance for the Funds positions in bonds.
In October, the Funds managed futures strategy produced positive overall returns, as investors were reassured by continued accommodative monetary policies in Europe and Japan. The Funds positions in energies markets produced strong gains, led by positions in natural gas. The Funds allocations to indices and bonds also resulted in positive performance. The Funds positions in agriculture yielded negative returns in October, partially offsetting the Funds gains in other sectors.
Fund results for the 3rd Quarter 2015:
In September, the Funds managed futures strategy produced slightly negative results. The Funds positions in equity indices yielded negative returns amid concerns over a global growth decline. The Funds allocations to grain, metals and agricultural markets also produced overall negative performance, as prices lagged with the decline in global growth. The Funds positions in the energy and bonds sector performed positively for the month, helping to partially offset the negative performance from the Funds positions in equity indices.
In August, the Funds managed futures strategy yielded negative results. The decline in performance was primarily due to the Funds positions in equity indices, as global stock markets were turbulent amid uncertainties in the Chinese economy. The Funds positions in TSE Topix and Osaka Nikkei225 contributed the most to these losses. The Funds disappointing performance was also attributable to the Funds allocation to European bonds, as the Fund was not able to capitalize on intra-month market swings. The Funds long positions in U.S. bonds yielded positive results, as investors bet on fears that the U.S. Federal Reserve (the Fed) would scale back on an interest rate hike.
In July, the Funds managed futures strategy produced positive returns. The Funds positions in metals, particularly copper, produced strong gains as the market experienced volatility resulting from decreasing demand from China. The Funds positions in the bond, currency, equities and energy sectors also produced positive performance in July. With positions in CBOT wheat contributing the most, the Funds allocations to the grains and agricultural markets yielded negative returns.
8
Fund results for 2nd Quarter 2015:
In April, the Funds managed futures strategy produced negative results. This performance was partly attributable to the Funds long bond positions, as continued issues between Greece and its creditors, the Bank of Englands continued policy of low interest rates, and the uncertainty of a U.S. interest rate hike led to large scale sell-offs and falling bond prices. Also contributing to the Funds negative return was its long positions in CME Live Cattle, as prices dropped in mid-April due to a lower than expected demand in beef. The Funds allocation to the energy sector produced positive results, with long positions in NYMEX Crude Oil benefitting from bullish oil prices. The Funds allocation to indices also yielded favorable returns as the Nasdaq reached a fifteen-year high.
In May, the Funds managed futures strategy yielded slightly negative returns. The Funds positions in the bond sector produced losses on news of increased purchasing by the ECB and increased speculation that Greece would not be able to make future payments to its creditors. Gains from the Funds allocation to indices, specifically positions in Topix Index and Osaka Nikkei 225, helped to counter these losses. The Funds positions in currency, agriculture and metals markets also produced gains for the month.
In June, the Funds managed futures strategy produced a negative return as global indices reacted negatively to continued unsuccessful debt negotiations between Greece and its creditors, culminating with Greece defaulting on its IMF repayment at the end of the month. The Funds short positions on the TSE Topix lost ground with the index rising to an eight-year high as Japan looked to re-inflate its economy. The Funds allocation to the bond market also produced negative results as German Bunds and UK Gilts yields rose amidst failed negotiations over Greek debt. In addition, the Funds positions in commodity and metal markets produced overall negative results, despite gains from positions in soybeans, wheat and aluminum.
Fund results for 1st Quarter 2015:
In March, the Funds managed futures strategy produced flat results, with a negative return of 0.14% for Series A and 0.03% for Series B. The Funds long positions in cattle and short positions in soybean oil and sugar all produced positive returns. These gains were offset by losses resulting from the Funds long positions in indices, as the Nasdaq fell on speculation of increased interest rates by the Fed and a sell-off of biotech and technology stocks. The Funds long positions in Canadian bonds also produced negative results, as the Bank of Canada announced that it was maintaining its overnight rate targets.
In February, the Funds managed futures strategy produced positive results, primarily on its long positions in indices. In the U.S., the Nasdaq reached its highest level since March 2000. In Japan, both the Tokyo Stock Price Index and the Nikkei 225 both produced substantial gains in March. The Funds gains in indices where offset slightly by the Funds allocations to the energy sector, as the Funds short positions in oil lost ground. The Funds allocations to the metals markets also yielded negative returns.
In January, the Funds managed futures strategy yielded strong positive results. The Funds allocations to the bonds sector brought positive returns as the Bank of Canada lowered its overnight rate to counteract the effect of dropping oil prices on growth. The Funds positions in the Canadian dollar also performed positively as Canadian GDP figures contracted while the U.S. dollar strengthened on U.S. jobless claims. The Funds allocations to the agricultural sector produced negative results in January as hog futures fell on declining demand and cattle futures hit the lowest level since June 2014.
Off-Balance Sheet Risk
The term off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.
In addition to market risk, in entering into futures and forward contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
9
Off-Balance Sheet Arrangements
The Fund does not engage in off-balance sheet arrangements with other entities.
Contractual Obligations
The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Funds sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of Series A and Series B each present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of such Series open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at December 31, 2016 and December 31, 2015.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Management assesses the levels of the investments at each measurement date and has determined that there are no significant estimates.
Critical Accounting Policies Valuation of the Funds Positions
Superfund Capital Management believes that the accounting policies that are most critical to the Funds financial condition and results of operations relate to the valuation of the Funds positions. The majority of the Funds positions are exchange-traded futures contracts, which are valued daily at settlement prices published by the exchanges. Any forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Funds assets are valued on a daily basis using objective measures.
Recently Adopted and/or Issued Accounting Pronouncements
ASU 2015-14
In August 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2015-14, Revenue from Contracts with Customers (Topic 606) Deferral of Effective Date (ASU 2015-14), which defers the effective date of ASU No. 2014-09, Revenue from Contracts with Customers (Topic 606) (ASU 2014-09). The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2015-14 on the financial statements and disclosures.
ASU 2016-01
In January 2016, FASB issued ASU No. 2016-01, Financial Instruments Overall (Suptopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (ASU 2016-01). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2016-01 on the Funds financial statements and disclosures.
ASU 2016-05
In March 2016, FASB issued ASU No. 2016-05, Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (ASU 2016-05). The amendments in ASU 2016-05 affect any reporting entity for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815. The guidance is effective for fiscal years beginning after December 15, 2016. The adoption of ASU 2016-05 is not expected to have an impact on the Funds financial statements.
10
Item 7A. Quantitative and Qualitative Disclosures about Market Risk.
Not required.
Item 8. Financial Statements and Supplementary Data.
Financial statements appear beginning on page 19 of this report. Supplementary data is not required.
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
None.
Item 9A. Controls and Procedures.
Controls and Procedures
Superfund Capital Management, the Funds general partner, with the participation of Superfund Capital Managements principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this annual report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in Superfund Capital Managements internal controls with respect to each Series individually, as well as the Fund as a whole, or in other factors applicable to each Series individually, as well as the Fund as a whole, that could materially affect these controls subsequent to the date of their evaluation.
Changes in Internal Control over Financial Reporting
Section 404 of the Sarbanes-Oxley Act of 2002 requires Superfund Capital Management to evaluate annually the effectiveness of its internal controls over financial reporting with respect to each Series individually, as well as the Fund as a whole, as of the end of each fiscal year, and to include in all annual reports a management report assessing the effectiveness of its internal control over financial reporting as defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act. There were no changes in Superfund Capital Managements internal control over financial reporting during the quarter-ended December 31, 2016 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Managements internal control over financial reporting.
Managements Annual Report on Internal Control over Financial Reporting
Superfund Capital Management is responsible for establishing and maintaining adequate internal control over the financial reporting of each Series individually, as well as the Fund as a whole. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act as a process designed by, or under the supervision of, a companys principal executive and principal financial officers and effected by a companys board of directors, management and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with U.S. GAAP. Superfund Capital Managements internal control over financial reporting includes those policies and procedures that:
| pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of each Series individually, as well as the Fund as a whole; |
| provide reasonable assurance that transactions are recorded as necessary to permit preparation of each Series, as well as the Funds, financial statements in accordance with U.S. GAAP, and that the receipts and expenditures of each Series individually, as well as the Fund as a whole, are being made only in accordance with authorizations of Superfund Capital Managements management and directors; and |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the assets of each Series individually, as well as the Fund as a whole, that could have a material effect on the Series or the Funds financial statements. |
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
11
The management of Superfund Capital Management assessed the effectiveness of its internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, as of December 31, 2016. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control Integrated Framework in 2013. Based on its assessment, management has concluded that, as of December 31, 2016, Superfund Capital Managements internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, is effective based on those criteria.
The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.01, Exhibit 31.02, Exhibit 32.01 and Exhibit 32.02 hereto, respectively, are applicable with respect to each Series individually, as well as to the Fund as a whole.
There was no information required to be disclosed in a report on Form 8-K during the fourth quarter of 2016 that was not reported on Form 8-K.
Item 10. Directors, Executive Officers and Corporate Governance.
Identification of Directors and Executive Officers
The Fund has no directors or executive officers. The Fund has no employees. It is managed by Superfund Capital Management in its capacity as general partner. Superfund Capital Management has been registered with the CFTC as a commodity pool operator since May 2001. Its main business address is Superfund Office Building, P.O. Box 1479, Grand Anse, St. Georges, Grenada, West Indies, (473) 439-2418. Superfund Capital Managements directors and executive officers are as follows:
NIGEL JAMES, age 36, was appointed as President of Superfund Capital Management on July 13, 2006, and was listed as a principal and registered as an associated person with Superfund Capital Management on November 28, 2006 and May 23, 2007, respectively. Mr. James has been an employee of various members of the Superfund group of affiliated companies since July 2003 when he became a software developer for Superfund Trading Management, Inc., an affiliate of Superfund Capital Management that acts as a commodity trading advisor to non-U.S. funds. In May 2005, he was promoted to the role of Intellectual Technology Project Manager for Superfund Trading Management, Inc. where he managed a team focused on conceptual analysis and design of trading software. Mr. James graduated from the University of the West Indies in Barbados with a Bachelors Degree in Computer Science and Management in May 2003 and began his employment in July 2003. Mr. James is a citizen of Grenada.
MARTIN SCHNEIDER, age 50, was appointed Vice President, Principal Financial Officer, Principal Accounting Officer and sole Director of Superfund Capital Management on July 28, 2010. Mr. Schneider was listed as a principal of Superfund Capital Management on August 19, 2010. From May 1997 to June 2001, Mr. Schneider served as Sales Director for Nike, Inc., an international retailer, in the companys European divisions. From July 2001 to July 2002, Mr. Schneider held the position of Commercial Director for FC Tirol Innsbruck, a former Austrian football club. In this position, Mr. Schneider was responsible for the promotional activities of the organization. Mr. Schneider spent August 2002 preparing for his transition to the Superfund group of financial companies. From September 2002 to March 2005, Mr. Schneider functioned as the sports marketing director for Quadriga Asset Management GmbH, a financial services company, and as the Executive Vice President of the successor company, Superfund Marketing and Sports Sponsoring Inc., a marketing services company. In April 2005, Mr. Schneider assumed the role of Operating Manager for Superfund Group Monaco, a financial services company, a position he held until his appointment to Superfund Capital Management in June 2010. In the position of Operating Manager, Mr. Schneider conducted internal operational and financial audits of members of the Superfund group of affiliated financial companies. Mr. Schneider is a graduate of TGM Technical School in Vienna, Austria, with a degree in mechanical engineering. Mr. Schneider is a citizen of Austria.
CHRISTIAN BAHA, age 48, is Superfund Capital Managements founder and ultimate sole owner. By December 1991, Mr. Baha began working independently to develop software for the technical analysis of financial data in Austria. In January 1995, Mr. Baha founded the first members of the Superfund group of affiliated companies specializing in managed futures funds and began to develop a worldwide distribution network. With profit sharing rights certificates, Mr. Baha launched an alternative investment vehicle for private investors. Launched on March 8, 1996, this product is called the Superfund Unternehmens-Beteiligungs-Aktiengesellschaft (Superfund Q-AG), and was formerly known as Quadriga Beteiligungs & Vermögens AG (Quadriga AG). In March 2003, a new generation of managed futures funds was internationally launched under the brand name Superfund and previously existing products have since been re-branded under this name. Simultaneously with the development of the Quadriga/Superfund group of affiliated companies, Mr. Baha founded the software company TeleTrader AG, which has been listed on the Vienna Stock Exchange since March 2001. He was listed as a principal of Superfund Advisors, Inc., a CFTC registered commodity pool operator, on November 20, 2009, however, such
12
listing was withdrawn as of November 26, 2011. He was registered as an associated person and listed as a principal of Superfund Asset Management, Inc., a CFTC registered introducing broker, effective as of July 23, 1999 and June 24, 1997, respectively, until it withdrew its registration on July 12, 2012. He was registered as an associated person and listed as a principal of Superfund Asset Management LLC, a CFTC registered introducing broker, positions which he has held since June 11, 2012 and April 26, 2012. He has also been listed as a principal of Superfund Capital Management from May 9, 2001 until it withdrew its registration on September 19, 2013. He was registered as an associated person of Superfund Capital Management on May 9, 2001 as well, however, such registration was subsequently withdrawn on February 17, 2009. Mr. Baha is listed as a principal of Superfund Capital Management because he indirectly, through holding companies, owns 100% its equity securities. Mr. Baha was also listed as a principal of Superfund USA, Inc., a former broker dealer that was previously registered as a commodity pool operator with the CFTC from August 14, 2009 through September 4, 2010, from August 13, 2009 through September 4, 2010 because he is the sole owner of the foregoing entity. He is a graduate of the police academy in Vienna, Austria and studied at the Business University of Vienna, Austria. Mr. Baha is a citizen of Austria.
Identification of Certain Significant Employees
None.
Family Relationships
None.
Business Experience
See Identification of Directors and Executive Officers, above.
Involvement in Certain Legal Proceedings
There has never been a material administrative, civil or criminal order, judgment, decree or finding against Superfund Capital Management or any of its directors, executive officers, promoters or control persons.
Code of Ethics
The Fund has no employees, officers or directors and is managed by Superfund Capital Management. Superfund Capital Management has adopted a code of ethics that applies to its principal executive officer, principal financial officer and its principal accounting officer. A copy of the code of ethics may be obtained at no charge by written request to the corporate secretary of Superfund Capital Management, Superfund Office Building, P.O. Box 1479, Grand Anse, St. Georges, Grenada, West Indies.
Board of Director Nominees
Not applicable.
Audit Committee Financial Expert
The Board of Directors of Superfund Capital Management, in its capacity as the audit committee for the Fund, has determined that Roman Gregorig qualifies as an audit committee financial expert in accordance with the applicable rules and regulations for the SEC. He is not independent of management.
Item 11. Executive Compensation.
The Fund has no employees, officers or directors and is managed by Superfund Capital Management. None of the directors or officers of Superfund Capital Management receive compensation from the Fund. Superfund Capital Management receives a monthly management fee of one-twelfth of 1.85% of month-end net assets (1.85% per annum) and a monthly fee of 25% of the aggregate cumulative appreciation (if any) in net asset value per Unit at the end of each month, exclusive of appreciation attributable to interest income. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Funds futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. An annual selling commission will be paid to Superfund USA, LLC (Superfund USA), an affiliate of Superfund Capital Management. The Units pay a commission of 4% of the month-end net asset value per Unit (1/12 of 4% per month); provided, however, the maximum cumulative selling commission per Unit sold pursuant to the Prospectus is 10% of the initial public offering price for such Unit. Each Series and Superfund USA were permitted to retain additional selling agents to assist with the placement of the Units. Units are no longer available for sale to the public. Superfund USA will pay all of the selling commission described above which it receives in respect of the Units sold by any additional selling agents to the additional selling agents that effected the sales.
13
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.
Securities Authorized for Issuance Under Equity Compensation Plans
None.
Security Ownership of Certain Beneficial Owners
All of the Funds general partner interest is held by Superfund Capital Management.
Security Ownership of Management
As of March 31, 2017, no Units were owned or held by officers of Superfund Capital Management. As of December 31, 2016, Superfund Capital Management owned 178.298 Units of Series A (non-voting), representing 4.83% of the total issued Units of Series A, and 213.297 Units of Series B (non-voting), representing 4.36% of the total issued Units of Series B, having a combined value of $401,907. Losses allocated to Units of Series A and Series B owned by Superfund Capital Management were $56,505 for the year ended December 31, 2016. Selling commissions over the 10% threshold in the amount of $10,752 were rebated to Superfund Capital Management during this period through the purchase of 8.423 Units of Series B. See Note 6 of the audited financial statements. Superfund Capital Management did not make any other contributions to either Series during this period. Superfund Capital Managements ownership of Units of Series A and Series B is included in the overall changes in capital activity reported in the Statements of Changes in Net Assets. Christian Baha is the ultimate beneficial holder of all of the equity of Superfund Capital Management.
Changes in Control
None.
Item 13. Certain Relationships And Related Transactions and Director Independence.
See Item 10 Directors, Executive Officers and Corporate Governance, Item 11 Executive Compensation and Item 12 Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. In 2016, the Series A management fees totaled $121,417, the Series A selling commissions totaled $262,522 and the Series A brokerage commissions totaled $88,159. In 2016, the Series B management fees totaled $126,973, the Series B selling commissions totaled $274,534 and the Series B brokerage commissions totaled $139,005. In 2015, the Series A management fees totaled $166,074, the Series A selling commissions totaled $359,079 and the Series A brokerage commissions totaled $104,897. In 2015, the Series B management fees totaled $176,773, the Series B selling commissions totaled $382,212 and the Series B brokerage commissions totaled $176,569.
Item 14. Principal Accounting Fees And Services.
Audit Fees
The aggregate fees billed for professional services rendered by RSM US LLP in connection with its audit of the Funds financial statements, reviews of the financial statements included in the quarterly reports on Form 10-Q and other services normally provided in connection with statutory and regulatory filings or engagements for the years ended December 31, 2016 and December 31, 2015, were approximately $100,000 and $94,000, respectively.
Audit-Related Fees
There were no audit-related fees for services rendered by RSM US LLP for the years ended December 31, 2016 and December 31, 2015.
Tax Fees
There were no fees for tax compliance, tax advice or tax planning rendered by RSM US LLP for the years ended December 31, 2016 and December 31, 2015.
All Other Fees
There were no other fees for products or services provided by RSM US LLP for the years ended December 31, 2016 and December 31, 2015.
Pre-Approval Policies
The Board of Directors and Audit Committee of Superfund Capital Management approved all of the services described above. The Board of Directors and Audit Committee have determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors independence. The Board of Directors pre-approves all audit and non-audit services and all engagement fees and terms.
14
Item 15. Exhibits, Financial Statement Schedules.
(a) | The Following documents are filed as part of this report: |
(1) | Financial Statements beginning on page 19 hereof. |
(2) | Financial Statement Schedules: |
Financial statement schedules have been omitted because they are not required or because equivalent information has been included in the financial statements or notes thereto.
(3) | Exhibits as required by Item 601 of Regulation S-K. |
The following exhibits are included herewith.
Exhibit |
Description of Document | |
31.01 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.02 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.01 | Section 1350 Certification of Principal Executive Officer | |
32.02 | Section 1350 Certification of Principal Financial Officer | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Labe Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
The following exhibits are incorporated by reference herein from the exhibit of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.s Registration Statement on Form S-1 (File No. 333-184998).
3.01 | Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. |
10.02 | Form of Subscription Agreement |
The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.s Registration Statement on Form S-1 (Reg. No. 333-122229).
3.02 | Certificate of Limited Partnership. |
15
EXHIBIT 13.01
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of Superfund Green, L.P. - Series A and Superfund Green, L.P. - Series B:
We have audited the accompanying statements of assets and liabilities of Superfund Green, L.P., Superfund Green, L.P.Series A and Superfund Green, L.P. - Series B (collectively the Funds), including the condensed schedules of investments as of December 31, 2016 and 2015, and the related statements of operations, changes in net assets, and cash flows for the years then ended. These financial statements are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Superfund Green, L.P., Superfund Green, L.P.Series A and Superfund Green, L.P.Series B as of December 31, 2016 and 2015, and the results of their operations and their cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America.
/S/ RSM US LLP
Chicago, Illinois
March 30, 2017
16
SUPERFUND GREEN, L.P.
STATEMENTS OF ASSETS AND LIABILITIES
As of December 31, 2016 and December 31, 2015
December 31, 2016 | December 31, 2015 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 5,162,711 | $ | 6,518,057 | ||||
Unrealized appreciation on open forward contracts |
25,475 | | ||||||
Unrealized gain on futures contracts purchased |
254,994 | 492,943 | ||||||
Unrealized gain on futures contracts sold |
164,986 | 763,283 | ||||||
Cash |
4,768,586 | 9,619,391 | ||||||
|
|
|
|
|||||
Total assets |
10,376,752 | 17,393,674 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
34,093 | | ||||||
Unrealized loss on futures contracts purchased |
211,351 | 409,599 | ||||||
Unrealized loss on futures contracts sold |
145,611 | 676,201 | ||||||
Redemptions payable |
1,180,571 | 331,265 | ||||||
Management fees payable |
15,439 | 25,212 | ||||||
Fees payable |
6,427 | 10,657 | ||||||
|
|
|
|
|||||
Total liabilities |
1,593,492 | 1,452,934 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 8,783,260 | $ | 15,940,740 | ||||
|
|
|
|
See accompanying notes to financial statements.
17
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2016
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized appreciation on open forward contracts |
||||||||
Currency |
0.3 | % | $ | 25,475 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.3 | 25,475 | ||||||
|
|
|
|
|||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.4 | ) | (34,093 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.4 | ) | (34,093 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.1 | )% | $ | (8,618 | ) | |||
|
|
|
|
|||||
Futures Contracts Purchased |
||||||||
Currency |
(0.4 | )% | $ | (35,971 | ) | |||
Energy |
0.4 | 34,774 | ||||||
Financial |
1.1 | * | 93,546 | |||||
Food & Fiber |
(0.2 | ) | (17,290 | ) | ||||
Indices |
0.5 | 43,062 | ||||||
Metals |
(0.8 | ) | (74,478 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
0.6 | 43,643 | ||||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
0.2 | 16,460 | ||||||
Energy |
(0.2 | ) | (13,920 | ) | ||||
Financial |
(0.3 | ) | (26,976 | ) | ||||
Food & Fiber |
0.1 | 7,644 | ||||||
Indices |
(0.2 | ) | (20,077 | ) | ||||
Livestock |
(0.5 | ) | (45,580 | ) | ||||
Metals |
1.2 | 101,824 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
0.3 | 19,375 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
0.9 | % | $ | 63,018 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
0.0 | **% | $ | 1,745 | ||||
Canada |
(0.1 | ) | (5,425 | ) | ||||
European Monetary Union |
0.1 | 10,712 | ||||||
Great Britain |
(0.1 | ) | (12,941 | ) | ||||
Japan |
0.5 | 41,942 | ||||||
United States |
(0.7 | ) | (64,154 | ) | ||||
Other |
1.1 | 82,521 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.8 | % | $ | 54,400 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding amount is less than 0.05% |
See accompanying notes to financial statements.
18
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
Percentage of Net Assets |
Fair Value | |||||||
Futures Contracts Purchased |
||||||||
Currency |
(0.3 | )% | $ | (47,858 | ) | |||
Energy |
0.2 | 30,576 | ||||||
Financial |
0.5 | 74,365 | ||||||
Food & Fiber |
(0.7 | ) | (112,208 | ) | ||||
Indices |
0.6 | 98,500 | ||||||
Livestock |
0.1 | 17,990 | ||||||
Metals |
0.1 | 21,979 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
0.6 | 83,344 | ||||||
|
|
|
|
|||||
Futures Contracts Sold |
||||||||
Currency |
(0.3 | ) | (51,265 | ) | ||||
Energy |
0.5 | 84,392 | ||||||
Financial |
(0.2 | ) | (34,788 | ) | ||||
Food & Fiber |
0.9 | 142,350 | ||||||
Indices |
0.5 | 78,026 | ||||||
Livestock |
(0.1 | ) | (20,560 | ) | ||||
Metals |
(0.7 | ) | (111,073 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.6 | 87,082 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
1.1 | % | $ | 170,426 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
0.1 | % | $ | 15,095 | ||||
Canada |
0.3 | 47,097 | ||||||
European Monetary Union |
0.1 | 18,363 | ||||||
Great Britain |
(0.3 | ) | (48,659 | ) | ||||
Japan |
0.6 | 88,051 | ||||||
United States |
0.1 | 14,103 | ||||||
Other |
0.2 | 36,376 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
1.1 | % | $ | 170,426 | ||||
|
|
|
|
See accompanying notes to financial statements.
19
SUPERFUND GREEN, L.P.
STATEMENTS OF OPERATIONS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Investment Income |
||||||||
Interest income |
$ | 5,791 | $ | 1,383 | ||||
Other income |
| | ||||||
|
|
|
|
|||||
Total investment income |
5,791 | 1,383 | ||||||
|
|
|
|
|||||
Expenses |
||||||||
Selling commission |
537,056 | 741,291 | ||||||
Brokerage commissions |
227,164 | 281,466 | ||||||
Management fee |
248,390 | 342,847 | ||||||
Operating expenses |
20,139 | 27,800 | ||||||
Other |
29,583 | 37,116 | ||||||
|
|
|
|
|||||
Total expenses |
1,062,332 | 1,430,520 | ||||||
|
|
|
|
|||||
Net investment loss |
$ | (1,056,541 | ) | $ | (1,429,137 | ) | ||
|
|
|
|
|||||
Realized and change in unrealized gain (loss) on investments |
||||||||
Net realized gain (loss) on futures and forward contracts |
$ | (1,984,219 | ) | $ | 1,146,706 | |||
Net change in unrealized depreciation on futures and forward contracts |
(116,028 | ) | (548,962 | ) | ||||
|
|
|
|
|||||
Net gain (loss) on investments |
$ | (2,100,247 | ) | $ | 597,744 | |||
|
|
|
|
|||||
Net decrease in net assets from operations |
$ | (3,156,788 | ) | $ | (831,393 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
20
SUPERFUND GREEN, L.P.
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (1,056,541 | ) | $ | (1,429,137 | ) | ||
Net realized gain (loss) on futures and forward contracts |
(1,984,219 | ) | 1,146,706 | |||||
Net change in unrealized depreciation on futures and forward contracts |
(116,028 | ) | (548,962 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from operations |
(3,156,788 | ) | (831,393 | ) | ||||
Capital Share transactions |
||||||||
Issuance of Units |
439,044 | 590,041 | ||||||
Redemption of Units |
(4,439,736 | ) | (4,420,419 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(4,000,692 | ) | (3,830,378 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(7,157,480 | ) | (4,661,771 | ) | ||||
Net assets, beginning of year |
15,940,740 | 20,602,511 | ||||||
|
|
|
|
|||||
Net assets, end of year |
$ | 8,783,260 | $ | 15,940,740 | ||||
|
|
|
|
See accompanying notes to financial statements.
21
SUPERFUND GREEN, L.P.
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (3,156,788 | ) | $ | (831,393 | ) | ||
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
1,355,346 | 1,703,538 | ||||||
Decrease in unrealized appreciation on open forward contracts |
(25,475 | ) | | |||||
Decrease in futures contracts purchased |
39,701 | 162,867 | ||||||
Decrease in unrealized depreciation on open forward contracts |
34,093 | | ||||||
Increase (decrease) in futures contracts sold |
67,707 | 386,099 | ||||||
Decrease in management fees payable |
(9,773 | ) | (8,247 | ) | ||||
Decrease in fees payable |
(4,230 | ) | (5,412 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(1,699,419 | ) | 1,407,452 | |||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
439,044 | 590,041 | ||||||
Redemptions, net of change in redemptions payable |
(3,590,430 | ) | (5,080,996 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(3,151,386 | ) | (4,490,955 | ) | ||||
|
|
|
|
|||||
Net decrease in cash |
(4,850,805 | ) | (3,083,503 | ) | ||||
Cash, beginning of year |
9,619,391 | 12,702,894 | ||||||
|
|
|
|
|||||
Cash, end of year |
$ | 4,768,586 | $ | 9,619,391 | ||||
|
|
|
|
See accompanying notes to financial statements.
22
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
as of December 31, 2016 and December 31, 2015
December 31, 2016 | December 31, 2015 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 2,149,632 | $ | 2,645,491 | ||||
Unrealized appreciation on open forward contracts |
4,792 | | ||||||
Unrealized gain on futures contracts purchased |
96,648 | 200,964 | ||||||
Unrealized gain on futures contracts sold |
69,382 | 297,768 | ||||||
Cash |
2,648,829 | 5,412,560 | ||||||
|
|
|
|
|||||
Total assets |
4,969,283 | 8,556,783 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
9,573 | | ||||||
Unrealized loss on futures contracts purchased |
84,541 | 166,748 | ||||||
Unrealized loss on futures contracts sold |
57,076 | 271,057 | ||||||
Redemptions payable |
1,150,674 | 231,618 | ||||||
Management fees payable |
7,448 | 12,549 | ||||||
Fees payable |
3,885 | 7,302 | ||||||
|
|
|
|
|||||
Total liabilities |
1,313,197 | 689,274 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 3,656,086 | $ | 7,867,509 | ||||
|
|
|
|
|||||
Number of Units |
3,694.882 | 6,436.862 | ||||||
|
|
|
|
|||||
Net Asset Value per Unit |
$ | 989.50 | $ | 1,222.26 | ||||
|
|
|
|
See accompanying notes to financial statements.
23
SUPERFUND GREEN, L.P. SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2016
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized appreciation on open forward contracts |
||||||||
Currency |
0.1 | % | $ | 4,792 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.1 | 4,792 | ||||||
|
|
|
|
|||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.2 | ) | (9,573 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.2 | ) | (9,573 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.1 | )% | $ | (4,781 | ) | |||
|
|
|
|
|||||
Futures contracts purchased |
||||||||
Currency |
(0.4 | )% | $ | (13,680 | ) | |||
Energy |
0.3 | 10,380 | ||||||
Financial |
1.0 | * | 34,827 | |||||
Food & Fiber |
(0.2 | ) | (6,327 | ) | ||||
Indices |
0.7 | 24,618 | ||||||
Metals |
(1.0 | )* | (37,711 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
0.4 | 12,107 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.1 | 5,019 | ||||||
Energy |
(0.2 | ) | (5,710 | ) | ||||
Financial |
(0.3 | ) | (9,766 | ) | ||||
Food & Fiber |
0.1 | 4,530 | ||||||
Indices |
(0.2 | ) | (8,401 | ) | ||||
Livestock |
(0.4 | ) | (18,160 | ) | ||||
Metals |
1.2 | * | 44,794 | |||||
|
|
|
|
|||||
Total futures contracts sold |
0.3 | 12,306 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
0.7 | % | $ | 24,413 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
(0.0 | )**% | $ | (801 | ) | |||
Canada |
0.0 | ** | 290 | |||||
European Monetary Union |
0.1 | 3,300 | ||||||
Great Britain |
(0.1 | ) | (5,471 | ) | ||||
Japan |
0.5 | 22,931 | ||||||
United States |
(0.8 | ) | (28,600 | ) | ||||
Other |
0.8 | 27,983 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.5 | % | $ | 19,632 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding amount is less than 0.05% |
See accompanying notes to financial statements.
24
SUPERFUND GREEN, L.P. SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
Percentage of Net Assets |
Fair Value | |||||||
Futures contracts purchased |
||||||||
Currency |
(0.3 | )% | $ | (19,819 | ) | |||
Energy |
0.2 | 14,733 | ||||||
Financial |
0.4 | 30,416 | ||||||
Food & Fiber |
(0.6 | ) | (47,034 | ) | ||||
Indices |
0.5 | 40,447 | ||||||
Livestock |
0.1 | 8,080 | ||||||
Metals |
0.1 | 7,393 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
0.4 | 34,216 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
(0.2 | ) | (22,132 | ) | ||||
Energy |
0.3 | 24,407 | ||||||
Financial |
(0.1 | ) | (11,508 | ) | ||||
Food & Fiber |
0.7 | 54,433 | ||||||
Indices |
0.4 | 33,706 | ||||||
Livestock |
(0.1 | ) | (7,490 | ) | ||||
Metals |
(0.6 | ) | (44,705 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.4 | 26,711 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
0.8 | % | $ | 60,927 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
0.1 | % | $ | 6,295 | ||||
Canada |
0.3 | 20,503 | ||||||
European Monetary Union |
0.1 | 6,192 | ||||||
Great Britain |
(0.2 | ) | (17,131 | ) | ||||
Japan |
0.4 | 36,300 | ||||||
United States |
(0.1 | ) | (5,803 | ) | ||||
Other |
0.2 | 14,571 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.8 | % | $ | 60,927 | ||||
|
|
|
|
See accompanying notes to financial statements.
25
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF OPERATIONS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Investment Income |
||||||||
Interest income |
$ | 2,447 | $ | 477 | ||||
Other income |
| | ||||||
|
|
|
|
|||||
Total investment income |
2,447 | 477 | ||||||
|
|
|
|
|||||
Expenses |
||||||||
Selling commission |
262,522 | 359,079 | ||||||
Brokerage commissions |
88,159 | 104,897 | ||||||
Management fee |
121,417 | 166,074 | ||||||
Operating expenses |
9,844 | 13,466 | ||||||
Other |
13,829 | 15,743 | ||||||
|
|
|
|
|||||
Total expenses |
495,771 | 659,259 | ||||||
|
|
|
|
|||||
Net investment loss |
$ | (493,324 | ) | $ | (658,782 | ) | ||
|
|
|
|
|||||
Realized and change in unrealized gain (loss) on investments |
||||||||
Net realized gain (loss) on futures and forward contracts |
$ | (809,248 | ) | $ | 437,588 | |||
Net change in unrealized depreciation on futures and forward contracts |
(41,294 | ) | (207,666 | ) | ||||
|
|
|
|
|||||
Net gain (loss) on investments |
$ | (850,542 | ) | $ | 229,922 | |||
|
|
|
|
|||||
Net decrease in net assets from operations |
$ | (1,343,866 | ) | $ | (428,860 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per unit (based upon weighted average number of units outstanding during year)* |
$ | (238.77 | ) | $ | (61.12 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per unit (based upon change in net asset value per unit during year) |
$ | (232.76 | ) | $ | (61.34 | ) | ||
|
|
|
|
* | Weighted average number of Units outstanding for Series A for the Years Ended December 31, 2016 and December 31, 2015: 5,628.22 and 7,016.95, respectively. |
See accompanying notes to financial statements.
26
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (493,324 | ) | $ | (658,782 | ) | ||
Net realized gain (loss) on futures and forward contracts |
(809,248 | ) | 437,588 | |||||
Net change in unrealized depreciation on futures and forward contracts |
(41,294 | ) | (207,666 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from operations |
(1,343,866 | ) | (428,860 | ) | ||||
Capital Share transactions |
||||||||
Issuance of Units |
198,833 | 265,984 | ||||||
Redemption of Units |
(3,066,390 | ) | (1,871,051 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(2,867,557 | ) | (1,605,067 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(4,211,423 | ) | (2,033,927 | ) | ||||
Net assets, beginning of year |
7,867,509 | 9,901,436 | ||||||
|
|
|
|
|||||
Net assets, end of year |
$ | 3,656,086 | $ | 7,867,509 | ||||
|
|
|
|
|||||
Units, beginning of year |
6,436.862 | 7,713.806 | ||||||
Issuance of Units |
175.325 | 211.197 | ||||||
Redemption of Units |
(2,917.305 | ) | (1,488.141 | ) | ||||
|
|
|
|
|||||
Units, end of year |
3,694.882 | 6,436.862 | ||||||
|
|
|
|
See accompanying notes to financial statements.
27
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (1,343,866 | ) | $ | (428,860 | ) | ||
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
495,859 | 387,014 | ||||||
Increase in unrealized appreciation on open forward contracts |
(4,792 | ) | | |||||
Decrease in futures contracts purchased |
22,109 | 55,805 | ||||||
Decrease in unrealized depreciation on open forward contracts |
9,573 | | ||||||
Increase (decrease) in futures contracts sold |
14,405 | 151,864 | ||||||
Decrease in management fees payable |
(5,101 | ) | (3,709 | ) | ||||
Decrease in fees payable |
(3,417 | ) | (2,148 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(815,230 | ) | 159,966 | |||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
198,833 | 265,984 | ||||||
Redemptions, net of change in redemptions payable |
(2,147,334 | ) | (2,231,027 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(1,948,501 | ) | (1,965,043 | ) | ||||
|
|
|
|
|||||
Net decrease in cash |
(2,763,731 | ) | (1,805,077 | ) | ||||
Cash, beginning of year |
5,412,560 | 7,217,637 | ||||||
|
|
|
|
|||||
Cash, end of year |
$ | 2,648,829 | $ | 5,412,560 | ||||
|
|
|
|
See accompanying notes to financial statements.
28
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
as of December 31, 2016 and December 31, 2015
December 31, 2016 | December 31, 2015 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 3,013,079 | $ | 3,872,566 | ||||
Unrealized appreciation on open forward contracts |
20,683 | | ||||||
Unrealized gain on futures contracts purchased |
158,346 | 291,979 | ||||||
Unrealized gain on futures contracts sold |
95,604 | 465,515 | ||||||
Cash |
2,119,757 | 4,206,831 | ||||||
|
|
|
|
|||||
Total assets |
5,407,469 | 8,836,891 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
24,520 | | ||||||
Unrealized loss on futures contracts purchased |
126,810 | 242,851 | ||||||
Unrealized loss on futures contracts sold |
88,535 | 405,144 | ||||||
Redemptions payable |
29,897 | 99,647 | ||||||
Management fees payable |
7,991 | 12,663 | ||||||
Fees payable |
2,542 | 3,355 | ||||||
|
|
|
|
|||||
Total liabilities |
280,295 | 763,660 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 5,127,174 | $ | 8,073,231 | ||||
|
|
|
|
|||||
Number of Units |
4,887.522 | 5,799.188 | ||||||
|
|
|
|
|||||
Net Asset Value per Unit |
$ | 1,049.01 | $ | 1,392.13 | ||||
|
|
|
|
See accompanying notes to financial statements.
29
SUPERFUND GREEN, L.P. SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2016
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized appreciation on open forward contracts |
||||||||
Currency |
0.4 | % | $ | 20,683 | ||||
|
|
|
|
|||||
Total unrealized appreciation on forward contracts |
0.4 | 20,683 | ||||||
|
|
|
|
|||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.5 | ) | (24,520 | ) | ||||
|
|
|
|
|||||
Total unrealized depreciation on forward contracts |
(0.5 | ) | (24,520 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.1 | )% | $ | (3,837 | ) | |||
|
|
|
|
|||||
Futures contracts purchased |
||||||||
Currency |
(0.4 | )% | $ | (22,291 | ) | |||
Energy |
0.5 | 24,394 | ||||||
Financial |
1.1 | * | 58,719 | |||||
Food & Fiber |
(0.2 | ) | (10,963 | ) | ||||
Indices |
0.4 | 18,444 | ||||||
Metals |
(0.7 | ) | (36,767 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
0.7 | 31,536 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.2 | 11,441 | ||||||
Energy |
(0.2 | ) | (8,210 | ) | ||||
Financial |
(0.3 | ) | (17,210 | ) | ||||
Food & Fiber |
0.1 | 3,114 | ||||||
Indices |
(0.2 | ) | (11,676 | ) | ||||
Livestock |
(0.6 | ) | (27,420 | ) | ||||
Metals |
1.1 | * | 57,030 | |||||
|
|
|
|
|||||
Total futures contracts sold |
0.1 | 7,069 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
0.8 | % | $ | 38,605 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
0.0 | **% | $ | 2,546 | ||||
Canada |
(0.1 | ) | (5,715 | ) | ||||
European Monetary Union |
0.1 | 7,412 | ||||||
Great Britain |
(0.1 | ) | (7,470 | ) | ||||
Japan |
0.4 | 19,011 | ||||||
United States |
(0.7 | ) | (35,554 | ) | ||||
Other |
1.1 | * | 54,538 | |||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
0.7 | % | $ | 34,768 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding amount is less than 0.05% |
See accompanying notes to financial statements.
30
SUPERFUND GREEN, L.P. SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
Percentage of Net Assets |
Fair Value | |||||||
Futures contracts purchased |
||||||||
Currency |
(0.3 | )% | $ | (28,039 | ) | |||
Energy |
0.2 | 15,843 | ||||||
Financial |
0.5 | 43,949 | ||||||
Food & Fiber |
(0.8 | ) | (65,174 | ) | ||||
Indices |
0.7 | 58,053 | ||||||
Livestock |
0.1 | 9,910 | ||||||
Metals |
0.2 | 14,586 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
0.6 | 49,128 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
(0.4 | ) | (29,133 | ) | ||||
Energy |
0.8 | 59,985 | ||||||
Financial |
(0.3 | ) | (23,280 | ) | ||||
Food & Fiber |
1.1 | * | 87,917 | |||||
Indices |
0.5 | 44,320 | ||||||
Livestock |
(0.1 | ) | (13,070 | ) | ||||
Metals |
(0.8 | ) | (66,368 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.8 | 60,371 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
1.4 | % | $ | 109,499 | ||||
|
|
|
|
|||||
Futures and Forward Contracts by Country Composition |
||||||||
Australia |
0.1 | % | $ | 8,800 | ||||
Canada |
0.3 | 26,594 | ||||||
European Monetary Union |
0.2 | 12,171 | ||||||
Great Britain |
(0.3 | ) | (31,528 | ) | ||||
Japan |
0.6 | 51,751 | ||||||
United States |
0.2 | 19,906 | ||||||
Other |
0.3 | 21,805 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
1.4 | % | $ | 109,499 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
See accompanying notes to financial statements.
31
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF OPERATIONS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Investment Income |
||||||||
Interest income |
$ | 3,344 | $ | 906 | ||||
Other income |
| | ||||||
|
|
|
|
|||||
Total investment income |
3,344 | 906 | ||||||
|
|
|
|
|||||
Expenses |
||||||||
Selling commission |
274,534 | 382,212 | ||||||
Brokerage commissions |
139,005 | 176,569 | ||||||
Management fee |
126,973 | 176,773 | ||||||
Operating expenses |
10,295 | 14,334 | ||||||
Other |
15,754 | 21,373 | ||||||
|
|
|
|
|||||
Total expenses |
566,561 | 771,261 | ||||||
|
|
|
|
|||||
Net investment loss |
$ | (563,217 | ) | $ | (770,355 | ) | ||
|
|
|
|
|||||
Realized and change in unrealized gain (loss) on investments |
||||||||
Net realized gain (loss) on futures and forward contracts |
$ | (1,174,971 | ) | $ | 709,118 | |||
Net change in unrealized depreciation on futures and forward contracts |
(74,734 | ) | (341,296 | ) | ||||
|
|
|
|
|||||
Net gain (loss) on investments |
(1,249,705 | ) | 367,822 | |||||
|
|
|
|
|||||
Net decrease in net assets from operations |
$ | (1,812,922 | ) | $ | (402,533 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per unit (based upon weighted average number of units outstanding during year)* |
$ | (337.83 | ) | $ | (62.42 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per unit (based upon change in net asset value per unit during year) |
$ | (343.12 | ) | $ | (70.55 | ) | ||
|
|
|
|
* | Weighted average number of Units outstanding for Series B for the Years Ended December 31, 2016 and December 31, 2015: 5,366.30 and 6,448.63, respectively. |
See accompanying notes to financial statements.
32
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (563,217 | ) | $ | (770,355 | ) | ||
Net realized gain (loss) on futures and forward contracts |
(1,174,971 | ) | 709,118 | |||||
Net change in unrealized depreciation on futures and forward contracts |
(74,734 | ) | (341,296 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from operations |
(1,812,922 | ) | (402,533 | ) | ||||
Capital Share transactions |
||||||||
Issuance of Units |
240,211 | 324,057 | ||||||
Redemption of Units |
(1,373,346 | ) | (2,549,368 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(1,133,135 | ) | (2,225,311 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(2,946,057 | ) | (2,627,844 | ) | ||||
Net assets, beginning of year |
8,073,231 | 10,701,075 | ||||||
|
|
|
|
|||||
Net assets, end of year |
$ | 5,127,174 | $ | 8,073,231 | ||||
|
|
|
|
|||||
Units, beginning of year |
5,799.188 | 7,316.097 | ||||||
Issuance of Units |
187.325 | 223.410 | ||||||
Redemption of Units |
(1,098.991 | ) | (1,740.319 | ) | ||||
|
|
|
|
|||||
Units, end of year |
4,887.522 | 5,799.188 | ||||||
|
|
|
|
See accompanying notes to financial statements.
33
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2016 and December 31, 2015
2016 | 2015 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (1,812,922 | ) | $ | (402,533 | ) | ||
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
859,487 | 1,316,524 | ||||||
Decrease in unrealized appreciation on open forward contracts |
(20,683 | ) | | |||||
Decrease in futures contracts purchased |
17,592 | 107,062 | ||||||
Increase in unrealized depreciation on open forward contracts |
24,520 | | ||||||
Increase (decrease) in futures contracts sold |
53,302 | 234,235 | ||||||
Decrease in management fees payable |
(4,672 | ) | (4,538 | ) | ||||
Decrease in fees payable |
(813 | ) | (3,264 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(884,189 | ) | 1,247,486 | |||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
240,211 | 324,057 | ||||||
Redemptions, net of change in redemptions payable |
(1,443,096 | ) | (2,849,969 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(1,202,885 | ) | (2,525,912 | ) | ||||
|
|
|
|
|||||
Net decrease in cash |
(2,087,074 | ) | (1,278,426 | ) | ||||
Cash, beginning of year |
4,206,831 | 5,485,257 | ||||||
|
|
|
|
|||||
Cash, end of year |
$ | 2,119,757 | $ | 4,206,831 | ||||
|
|
|
|
See accompanying notes to financial statements.
34
SUPERFUND GREEN, L.P., SUPERFUND GREEN, L.P. SERIES A and SUPERFUND GREEN, L.P. SERIES B
NOTES TO FINANCIAL STATEMENTS
December 31, 2016
(1) | Nature of Operations |
Organization and Business
Superfund Green, L.P. (the Fund), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States of America (U.S.) and international commodity futures markets using a fully-automated computerized trading system. The Fund has issued two classes of Units, Series A and Series B (the Series). The two Series are traded and managed the same way except for the degree of leverage.
The term of the Fund shall continue until December 31, 2050, unless terminated earlier by the Funds general partner, Superfund Capital Management, Inc. (Superfund Capital Management), or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000.
(2) | Basis of Presentation and Significant Accounting Policies |
(a) | Basis of Presentation |
Pursuant to rules and regulations of the Securities and Exchange Commission (SEC), audited financial statements are prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP) and presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series.
(b) | Valuation of Investments in Futures Contracts and Forward Contracts |
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available.
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers quotes.
(c) | Cash and Translation of Foreign Currency |
The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not, however, believe it is exposed to significant credit risk on these holdings.
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and change in unrealized gain (loss) on investments in the statements of operations.
(d) | Investment Transactions, Investment Income and Expenses |
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting Balance Sheet.
35
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Funds futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of December 31, 2016, Series A had on deposit $698,618 at ADM Investor Services, Inc. and $1,451,014 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of December 31, 2016, Series B had on deposit $885,814 at ADM Investor Services, Inc. and $2,127,265 at Merrill Lynch, Pierce, Fenner & Smith Inc.
(e) | Income Taxes |
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Funds income or loss on their returns. The financial statements reflect the Funds transactions without adjustment, if any, required for income tax purposes.
Superfund Capital Management has evaluated the application of ASC 740, Income Taxes (ASC 740) to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2013 through 2016 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
(f) | Use of Estimates |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
(g) | Recently Adopted and/or Issued Accounting Pronouncements |
ASU 2015-14
In August 2015, FASB issued ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606) Deferral of Effective Date (ASU 2015-14), which defers the effective date of ASU No. 2014-09, Revenue from Contracts with Customers (Topic 606) (ASU 2014-09). The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2015-14 on the financial statements and disclosures.
ASU 2016-01
In January 2016, FASB issued ASU No. 2016-01, Financial Instruments Overall (Suptopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (ASU 2016-01). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2016-01 on the Funds financial statements and disclosures.
ASU 2016-05
In March 2016, FASB issued ASU No. 2016-05, Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (ASU 2016-05). The amendments in ASU 2016-05 affect any reporting entity for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815. The guidance is effective for fiscal years beginning after December 15, 2016. The adoption of ASU 2016-05 is not expected to have an impact on the Funds financial statements.
36
(h) | Fair Value Measurements |
The Fund follows ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:
Level 1 | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. | |
Level 2 | Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly. | |
Level 3 | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (OTC). Exchange-traded derivatives typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Funds trading of exchange-traded futures contracts. The Funds exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within level 2 of the fair value hierarchy.
OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers quotes. The Funds forward and swap positions are typically classified within level 2 of the fair value hierarchy.
Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at December 31, 2016 or December 31, 2015 or during the periods then ended.
The following table summarizes the valuation of the Funds assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2016:
37
Superfund Green, L.P.
Balance December 31, 2016 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 25,475 | $ | | $ | 25,475 | $ | | ||||||||
Futures contracts sold |
164,986 | 164,986 | | | ||||||||||||
Futures contracts purchased |
254,994 | 254,994 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 445,455 | $ | 419,980 | $ | 25,475 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 34,093 | $ | | $ | 34,093 | $ | | ||||||||
Futures contracts sold |
145,611 | 145,611 | | | ||||||||||||
Futures contracts purchased |
211,351 | 211,351 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 391,055 | $ | 356,962 | $ | 34,093 | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. Series A
Balance December 31, 2016 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 4,792 | $ | | $ | 4,792 | $ | | ||||||||
Futures contracts sold |
69,382 | 69,382 | | | ||||||||||||
Futures contracts purchased |
96,648 | 96,648 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 170,822 | $ | 166,030 | $ | 4,792 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 9,573 | $ | | $ | 9,573 | $ | | ||||||||
Futures contracts sold |
57,076 | 57,076 | | | ||||||||||||
Futures contracts purchased |
84,541 | 84,541 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 151,190 | $ | 141,617 | $ | 9,573 | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. Series B
Balance December 31, 2016 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Unrealized appreciation on open forward contracts |
$ | 20,683 | $ | | $ | 20,683 | $ | | ||||||||
Futures contracts sold |
95,604 | 95,604 | | | ||||||||||||
Futures contracts purchased |
158,346 | 158,346 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 274,633 | $ | 253,950 | $ | 20,683 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 24,520 | $ | | $ | 24,520 | $ | | ||||||||
Futures contracts sold |
88,535 | 88,535 | | | ||||||||||||
Futures contracts purchased |
126,810 | 126,810 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 239,865 | $ | 215,345 | $ | 24,520 | $ | | ||||||||
|
|
|
|
|
|
|
|
38
The following table summarizes the valuation of the Funds assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2015:
Superfund Green, L.P.
Balance December 31, 2015 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 763,283 | $ | 763,283 | $ | | $ | | ||||||||
Futures contracts purchased |
492,943 | 492,943 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 1,256,226 | $ | 1,256,226 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 676,201 | $ | 676,201 | $ | | $ | | ||||||||
Futures contracts purchased |
409,599 | 409,599 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 1,085,800 | $ | 1,085,800 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. Series A
Balance December 31, 2015 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 297,768 | $ | 297,768 | $ | | $ | | ||||||||
Futures contracts purchased |
200,964 | 200,964 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 498,732 | $ | 498,732 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 271,057 | $ | 271,057 | $ | | $ | | ||||||||
Futures contracts purchased |
166,748 | 166,748 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 437,805 | $ | 437,805 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. Series B
Balance December 31, 2015 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 465,515 | $ | 465,515 | $ | | $ | | ||||||||
Futures contracts purchased |
291,979 | 291,979 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 757,494 | $ | 757,494 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 405,144 | $ | 405,144 | $ | | $ | | ||||||||
Futures contracts purchased |
242,851 | 242,851 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 647,995 | $ | 647,995 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
For the years ended December 31, 2016 and 2015, there were no transfers between Level 1 and Level 2 assets and liabilities.
(3) | Disclosure of derivative instruments and hedging activities |
The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities. ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entitys results of operations and financial position.
39
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the Statement of Operations for each Series.
The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold. Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Funds realized and change in unrealized gain (loss) on investments in the Statements of Operations.
Superfund Capital Management believes futures and forward unrealized gains and losses expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Funds derivatives held long or sold short, as well as information related to the annual average volume of the Funds derivative activity, is as follows:
Superfund Green, L.P.
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2016 |
Liability Derivatives at December 31, 2016 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 25,475 | $ | | $ | 25,475 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (34,093 | ) | (34,093 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 254,994 | (211,351 | ) | 43,643 | |||||||||
Futures contracts |
Futures contracts sold | 164,986 | (145,611 | ) | 19,375 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 445,455 | $ | 391,055 | $ | 54,400 | ||||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2015 |
Liability Derivatives at December 31, 2015 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased | $ | 492,943 | $ | (409,599 | ) | $ | 83,344 | ||||||
Futures contracts |
Futures contracts sold | 763,283 | (676,201 | ) | 87,082 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 1,256,226 | $ | (1,085,800 | ) | $ | 170,426 | |||||||
|
|
|
|
|
|
40
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (62,704 | ) | $ | | $ | | $ | (62,704 | ) | ||||||
Merrill Lynch |
117,104 | | | 117,104 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 54,400 | $ | | $ | | $ | 54,400 |
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (100,889 | ) | $ | | $ | | $ | (100,889 | ) | ||||||
Merrill Lynch |
271,315 | | | 271,315 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 170,426 | $ | | $ | | $ | 170,426 |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives in Statement of Operations |
Net Realized Loss on Derivatives in Statement of Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts | $ | (63,171 | ) | $ | (8,620 | ) | |||
Futures contracts |
Net realized/unrealized loss on futures and forward contracts | (1,921,048 | ) | (107,408 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (1,984,219 | ) | $ | (116,028 | ) | ||||
|
|
|
|
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives in Statement of Operations |
Net Realized Gain on Derivatives in Statement of Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain on futures and forward contracts | $ | 52,987 | $ | | |||||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts | 1,093,719 | (548,962 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 1,146,706 | $ | (548,962 | ) | |||||
|
|
|
|
41
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
As of December 31, 2016 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contracts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 13,481 | 0.2 | $ | (14,738 | ) | (0.2 | ) | $ | 11,994 | 0.1 | $ | (19,355 | ) | (0.2 | ) | $ | (8,618 | ) | |||||||||||||||||
Currency |
2,976 | 0.0 | * | (38,947 | ) | (0.4 | ) | 20,015 | 0.2 | (3,555 | ) | (0.0 | )* | (19,511 | ) | |||||||||||||||||||||
Financial |
105,659 | 1.2 | (12,113 | ) | (0.1 | ) | 1,789 | 0.0 | * | (28,765 | ) | (0.3 | ) | 66,570 | ||||||||||||||||||||||
Food & Fiber |
13,543 | 0.2 | (30,833 | ) | (0.4 | ) | 28,124 | 0.3 | (20,480 | ) | (0.2 | ) | (9,646 | ) | ||||||||||||||||||||||
Indices |
92,375 | 1.1 | (49,313 | ) | (0.6 | ) | 8,350 | 0.1 | (28,427 | ) | (0.3 | ) | 22,985 | |||||||||||||||||||||||
Metals |
5,640 | 0.1 | (80,118 | ) | (0.9 | ) | 106,709 | 1.2 | (4,885 | ) | (0.1 | ) | 27,346 | |||||||||||||||||||||||
Livestock |
| | | | | | (45,580 | ) | (0.5 | ) | (45,580 | ) | ||||||||||||||||||||||||
Energy |
34,799 | 0.4 | (25 | ) | (0.0 | )* | | | (13,920 | ) | (0.2 | ) | 20,854 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 268,473 | 3.1 | $ | (226,087 | ) | (2.6 | ) | $ | 176,981 | 2.0 | $ | (164,967 | ) | (1.9 | ) | $ | 54,400 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
As of December 31, 2015 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contracts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 25,804 | 0.2 | $ | (73,662 | ) | (0.5 | ) | $ | 95,399 | 0.6 | $ | (146,664 | ) | (0.9 | ) | $ | (99,123 | ) | |||||||||||||||||
Financial |
78,150 | 0.5 | (3,785 | ) | (0.0 | )* | 4,821 | 0.0 | * | (39,609 | ) | (0.2 | ) | 39,577 | ||||||||||||||||||||||
Food & Fiber |
64,490 | 0.4 | (176,698 | ) | (1.1 | ) | 182,433 | 1.1 | (40,083 | ) | (0.3 | ) | 30,142 | |||||||||||||||||||||||
Indices |
211,901 | 1.3 | (113,401 | ) | (0.7 | ) | 199,752 | 1.3 | (121,726 | ) | (0.8 | ) | 176,526 | |||||||||||||||||||||||
Metals |
51,982 | 0.3 | (30,003 | ) | (0.2 | ) | 47,150 | 0.3 | (158,223 | ) | (1.0 | ) | (89,094 | ) | ||||||||||||||||||||||
Livestock |
17,990 | 0.1 | | | | | (20,560 | ) | (0.1 | ) | (2,570 | ) | ||||||||||||||||||||||||
Energy |
42,626 | 0.3 | (12,050 | ) | (0.1 | ) | 233,728 | 1.5 | (149,336 | ) | (0.9 | ) | 114,968 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 492,943 | 3.1 | $ | (409,599 | ) | (2.6 | ) | $ | 763,283 | 4.8 | $ | (676,201 | ) | (4.2 | ) | $ | 170,426 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Superfund Green L.P. monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,826 and the monthly average futures and forward contracts sold was 1,602. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 2,379 and the monthly average futures contracts sold was 1,973.
Superfund Green, L.P. trading results by market sector:
For the Year Ended December 31, 2016 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (63,171 | ) | $ | (8,618 | ) | $ | (71,789 | ) | |||
Currency |
(562,974 | ) | 79,612 | (483,362 | ) | |||||||
Financial |
224,978 | 26,997 | 251,975 | |||||||||
Food & Fiber |
(187,222 | ) | (39,790 | ) | (227,012 | ) | ||||||
Indices |
23,696 | (153,541 | ) | (129,845 | ) | |||||||
Metals |
(663,151 | ) | 116,440 | (546,711 | ) | |||||||
Livestock |
(95,670 | ) | (43,010 | ) | (138,680 | ) | ||||||
Energy |
(660,705 | ) | (94,118 | ) | (754,823 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses in Statement of Operations |
$ | (1,984,219 | ) | $ | (116,028 | ) | $ | (2,100,247 | ) | |||
|
|
|
|
|
|
42
For the Year Ended December 31, 2015 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 52,987 | $ | | $ | 52,987 | ||||||
Currency |
295,019 | (180,869 | ) | 114,150 | ||||||||
Financial |
(304,154 | ) | (439,256 | ) | (743,410 | ) | ||||||
Food & Fiber |
(315,150 | ) | 8,287 | (306,863 | ) | |||||||
Indices |
436,090 | (16,514 | ) | 419,576 | ||||||||
Metals |
407,307 | (185,506 | ) | 221,801 | ||||||||
Livestock |
(824,090 | ) | 207,540 | (616,550 | ) | |||||||
Energy |
1,398,697 | 57,356 | 1,456,053 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) in Statement of Operations |
$ | 1,146,706 | $ | (548,962 | ) | $ | 597,744 | |||||
|
|
|
|
|
|
Superfund Green, L.P.Series A
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2016 |
Liability Derivatives at December 31, 2016 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 4,792 | $ | | $ | 4,792 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (9,573 | ) | (9,573 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 96,648 | (84,541 | ) | 12,107 | |||||||||
Futures contracts |
Futures contracts sold | 69,382 | (57,076 | ) | 12,306 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 170,822 | $ | (151,190 | ) | $ | 19,632 | |||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2015 |
Liability Derivatives at December 31, 2015 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased | $ | 200,964 | $ | (166,748 | ) | $ | 34,216 | ||||||
Futures contracts |
Futures contracts sold | 297,768 | (271,057 | ) | 26,711 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 498,732 | $ | (437,805 | ) | $ | 60,927 | |||||||
|
|
|
|
|
|
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (25,285 | ) | $ | | $ | | $ | (25,285 | ) | ||||||
Merrill Lynch |
44,917 | | | 44,917 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 19,632 | $ | | $ | | $ | 19,632 |
43
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (51,324 | ) | $ | | $ | | $ | (51,324 | ) | ||||||
Merrill Lynch |
112,251 | | | 112,251 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 60,927 | $ | | $ | | $ | 60,927 |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives in Statement of Operations |
Net Realized Loss on Derivatives in Statement of Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations |
|||||||||
Foreign exchange contracts |
|
Net realized/unrealized loss on futures and forward contracts |
|
$ | (22,124 | ) | $ | (4,782 | ) | |||
Futures contracts |
|
Net realized/unrealized loss on futures and forward contracts |
|
(787,124 | ) | (36,512 | ) | |||||
|
|
|
|
|||||||||
Total |
$ | (809,248 | ) | $ | (41,294 | ) | ||||||
|
|
|
|
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives in Statement of Operations |
Net Realized Gain on Derivatives in Statement of Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations |
|||||||||
Foreign exchange contracts |
|
Net realized/unrealized gain on futures and forward contracts |
|
$ | 18,553 | $ | | |||||
Futures contracts |
|
Net realized/unrealized gain (loss) on futures and forward contracts |
|
419,035 | (207,666 | ) | ||||||
|
|
|
|
|||||||||
Total |
$ | 437,588 | $ | (207,666 | ) | |||||||
|
|
|
|
Superfund Green, L.P. Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
As of December 31, 2016 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contracts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 1,557 | 0.0 | * | $ | (4,187 | ) | (0.1 | ) | $ | 3,235 | 0.1 | $ | (5,386 | ) | (0.1 | ) | $ | (4,781 | ) | ||||||||||||||||
Currency |
1,288 | 0.0 | * | (14,968 | ) | (0.4 | ) | 7,389 | 0.2 | (2,370 | ) | (0.1 | ) | (8,661 | ) | |||||||||||||||||||||
Financial |
37,316 | 1.0 | (2,489 | ) | (0.1 | ) | 750 | 0.0 | * | (10,516 | ) | (0.3 | ) | 25,061 | ||||||||||||||||||||||
Food & Fiber |
5,428 | 0.1 | (11,755 | ) | (0.3 | ) | 11,771 | 0.3 | (7,241 | ) | (0.2 | ) | (1,797 | ) | ||||||||||||||||||||||
Indices |
40,361 | 1.1 | (15,743 | ) | (0.4 | ) | 2,693 | 0.1 | (11,094 | ) | (0.3 | ) | 16,217 | |||||||||||||||||||||||
Metals |
1,874 | 0.1 | (39,585 | ) | (1.1 | ) | 46,779 | 1.3 | (1,985 | ) | (0.1 | ) | 7,083 | |||||||||||||||||||||||
Livestock |
| | | | | | (18,160 | ) | (0.5 | ) | (18,160 | ) | ||||||||||||||||||||||||
Energy |
10,380 | 0.3 | | | | | (5,710 | ) | (0.2 | ) | 4,670 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 98,204 | 2.6 | $ | (88,727 | ) | (2.4 | ) | $ | 72,617 | 2.0 | $ | (62,462 | ) | (1.8 | ) | $ | 19,632 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
44
Superfund Green, L.P. Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
As of December 31, 2015 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contracts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 10,300 | 0.1 | $ | (30,119 | ) | (0.4 | ) | $ | 37,040 | 0.5 | $ | (59,172 | ) | (0.8 | ) | $ | (41,951 | ) | |||||||||||||||||
Financial |
31,941 | 0.4 | (1,525 | ) | (0.0 | )* | 4,486 | 0.1 | (15,994 | ) | (0.2 | ) | 18,908 | |||||||||||||||||||||||
Food & Fiber |
24,650 | 0.3 | (71,684 | ) | (0.9 | ) | 73,127 | 0.9 | (18,694 | ) | (0.2 | ) | 7,399 | |||||||||||||||||||||||
Indices |
86,482 | 1.1 | (46,035 | ) | (0.6 | ) | 80,284 | 1.0 | (46,578 | ) | (0.6 | ) | 74,153 | |||||||||||||||||||||||
Metals |
19,838 | 0.3 | (12,445 | ) | (0.2 | ) | 18,053 | 0.2 | (62,758 | ) | (0.8 | ) | (37,312 | ) | ||||||||||||||||||||||
Livestock |
8,080 | 0.1 | | | | | (7,490 | ) | (0.1 | ) | 590 | |||||||||||||||||||||||||
Energy |
19,673 | 0.3 | (4,940 | ) | (0.1 | ) | 84,778 | 1.1 | (60,371 | ) | (0.8 | ) | 39,140 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 200,964 | 2.6 | $ | (166,748 | ) | (2.2 | ) | $ | 297,768 | 3.8 | $ | (271,057 | ) | (3.5 | ) | $ | 60,927 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Series A monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 705 and the monthly average futures and forward contracts sold was 627. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 897 and the monthly average futures contracts sold was 764.
Series A trading results by market sector:
For the Year Ended December 31, 2016 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (22,124 | ) | $ | (4,781 | ) | $ | (26,905 | ) | |||
Currency |
(225,131 | ) | 33,290 | (191,841 | ) | |||||||
Financial |
88,433 | 6,157 | 94,590 | |||||||||
Food & Fiber |
(74,047 | ) | (9,198 | ) | (83,245 | ) | ||||||
Indices |
(36,803 | ) | (57,936 | ) | (94,739 | ) | ||||||
Metals |
(254,828 | ) | 44,395 | (210,433 | ) | |||||||
Livestock |
(29,480 | ) | (18,750 | ) | (48,230 | ) | ||||||
Energy |
(255,268 | ) | (34,471 | ) | (289,739 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses in Statement of Operations |
$ | (809,248 | ) | $ | (41,294 | ) | $ | (850,542 | ) | |||
|
|
|
|
|
|
For the Year Ended December 31, 2015 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 18,553 | $ | | $ | 18,553 | ||||||
Currency |
98,047 | (70,757 | ) | 27,290 | ||||||||
Financial |
(114,684 | ) | (161,174 | ) | (275,858 | ) | ||||||
Food & Fiber |
(116,317 | ) | (6,787 | ) | (123,104 | ) | ||||||
Indices |
134,349 | 9,752 | 144,101 | |||||||||
Metals |
182,959 | (73,606 | ) | 109,353 | ||||||||
Livestock |
(316,020 | ) | 79,060 | (236,960 | ) | |||||||
Energy |
550,701 | 15,846 | 566,547 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) in Statement of Operations |
$ | 437,588 | $ | (207,666 | ) | $ | 229,922 | |||||
|
|
|
|
|
|
45
Superfund Green, L.P. Series B
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2016 |
Liability Derivatives at December 31, 2016 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 20,683 | $ | | $ | 20,683 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (24,520 | ) | (24,520 | ) | ||||||||
Futures contracts |
Futures contracts purchased | 158,346 | (126,810 | ) | 31,536 | |||||||||
Futures contracts |
Futures contracts sold | 95,604 | (88,535 | ) | 7,069 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 274,633 | $ | (239,865 | ) | $ | 34,768 | |||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2015 |
Liability Derivatives at December 31, 2015 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased | $ | 291,979 | $ | (242,851 | ) | $ | 49,128 | ||||||
Futures contracts |
Futures contracts sold | 465,515 | (405,144 | ) | 60,371 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 757,494 | $ | (647,995 | ) | $ | 109,499 | |||||||
|
|
|
|
|
|
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (37,419 | ) | $ | | $ | | $ | (37,419 | ) | ||||||
Merrill Lynch |
72,187 | | | 72,187 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 34,768 | $ | | $ | | $ | 34,768 |
46
The Funds financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities |
||||||||||||||||
Counterparty |
Net Amount of Assets in the Statement of Assets and Liabilities |
Financial Instruments Pledged |
Cash Collateral Received |
Net Amount | ||||||||||||
ADMIS |
$ | (49,565 | ) | $ | | $ | | $ | (49,565 | ) | ||||||
Merrill Lynch |
159,064 | | | 159,064 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Totals |
$ | 109,499 | $ | | $ | | $ | 109,499 |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Loss on Derivatives in Statement Operations |
Net Realized Loss on Derivatives in Statement Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement Operations |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts | $ | (41,047 | ) | $ | (3,838 | ) | |||
Futures contracts |
Net realized/unrealized loss on futures and forward contracts | (1,133,924 | ) | (70,896 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (1,174,971 | ) | $ | (74,734 | ) | ||||
|
|
|
|
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Derivatives not Designated as Hedging Instruments under ASC 815 |
Location of Gain (Loss) on Derivatives in Statement Operations |
Net Realized Gain on Derivatives in Statement Operations |
Net Change in Unrealized Depreciation on Derivatives in Statement Operations |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain on futures and forward contracts | $ | 34,434 | $ | | |||||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts | 674,684 | (341,296 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 709,118 | $ | (341,296 | ) | |||||
|
|
|
|
Superfund Green, L.P. Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
As of December 31, 2016 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contacts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | 11,924 | 0.2 | $ | (10,551 | ) | (0.2 | ) | $ | 8,759 | 0.2 | $ | (13,969 | ) | (0.3 | ) | $ | (3,837 | ) | |||||||||||||||||
Currency |
1,688 | 0.0 | * | (23,979 | ) | (0.5 | ) | 12,626 | 0.2 | (1,185 | ) | (0.0 | )* | (10,850 | ) | |||||||||||||||||||||
Financial |
68,343 | 1.3 | (9,624 | ) | (0.2 | ) | 1,039 | 0.0 | * | (18,249 | ) | (0.4 | ) | 41,509 | ||||||||||||||||||||||
Food & Fiber |
8,115 | 0.2 | (19,078 | ) | (0.4 | ) | 16,353 | 0.3 | (13,239 | ) | (0.3 | ) | (7,849 | ) | ||||||||||||||||||||||
Indices |
52,014 | 1.0 | (33,570 | ) | (0.7 | ) | 5,657 | 0.1 | (17,333 | ) | (0.3 | ) | 6,768 | |||||||||||||||||||||||
Metals |
3,766 | 0.1 | (40,533 | ) | (0.8 | ) | 59,930 | 1.2 | (2,900 | ) | (0.1 | ) | 20,263 | |||||||||||||||||||||||
Livestock |
| | | | | | (27,420 | ) | (0.5 | ) | (27,420 | ) | ||||||||||||||||||||||||
Energy |
24,419 | 0.5 | (25 | ) | (0.0 | )* | | | (8,210 | ) | (0.2 | ) | 16,184 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 170,269 | 3.3 | $ | (137,360 | ) | (2.8 | ) | $ | 104,364 | 2.0 | $ | (102,505 | ) | (2.1 | ) | $ | 34,768 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
47
Superfund Green, L.P. Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
As of December 31, 2015 | ||||||||||||||||||||||||||||||||||||
Futures Contracts Purchased | Futures Contracts Sold | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 15,504 | 0.2 | $ | (43,543 | ) | (0.5 | ) | $ | 58,359 | 0.7 | $ | (87,492 | ) | (1.1 | ) | $ | (57,172 | ) | |||||||||||||||||
Financial |
46,209 | 0.6 | (2,260 | ) | (0.0 | )* | 335 | 0.0 | * | (23,615 | ) | (0.3 | ) | 20,669 | ||||||||||||||||||||||
Food & Fiber |
39,840 | 0.5 | (105,014 | ) | (1.3 | ) | 109,306 | 1.4 | (21,389 | ) | (0.3 | ) | 22,743 | |||||||||||||||||||||||
Indices |
125,419 | 1.6 | (67,366 | ) | (0.8 | ) | 119,468 | 1.5 | (75,148 | ) | (0.9 | ) | 102,373 | |||||||||||||||||||||||
Metals |
32,144 | 0.4 | (17,558 | ) | (0.2 | ) | 29,097 | 0.4 | (95,465 | ) | (1.2 | ) | (51,782 | ) | ||||||||||||||||||||||
Livestock |
9,910 | 0.1 | | | | | (13,070 | ) | (0.2 | ) | (3,160 | ) | ||||||||||||||||||||||||
Energy |
22,953 | 0.3 | (7,110 | ) | (0.1 | ) | 148,950 | 1.8 | (88,965 | ) | (1.1 | ) | 75,828 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 291,979 | 3.6 | $ | (242,851 | ) | (2.9 | ) | $ | 465,515 | 5.8 | $ | (405,144 | ) | (5.1 | ) | $ | 109,499 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Series B monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,121 and the monthly average futures and forward contracts sold was 975. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 1,483 and the monthly average futures contracts sold was 1,209.
Series B trading results by market sector:
For the Year Ended December 31, 2016 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (41,047 | ) | $ | (3,837 | ) | $ | (44,884 | ) | |||
Currency |
(337,843 | ) | 46,322 | (291,521 | ) | |||||||
Financial |
136,545 | 20,840 | 157,385 | |||||||||
Food & Fiber |
(113,175 | ) | (30,592 | ) | (143,767 | ) | ||||||
Indices |
60,499 | (95,605 | ) | (35,106 | ) | |||||||
Metals |
(408,323 | ) | 72,045 | (336,278 | ) | |||||||
Livestock |
(66,190 | ) | (24,260 | ) | (90,450 | ) | ||||||
Energy |
(405,437 | ) | (59,647 | ) | (465,084 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses in Statement of Operations |
$ | (1,174,971 | ) | $ | (74,734 | ) | $ | (1,249,705 | ) | |||
|
|
|
|
|
|
|||||||
For the Year Ended December 31, 2015 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | 34,434 | $ | | $ | 34,434 | ||||||
Currency |
196,972 | (110,112 | ) | 86,860 | ||||||||
Financial |
(189,470 | ) | (278,082 | ) | (467,552 | ) | ||||||
Food & Fiber |
(198,833 | ) | 15,074 | (183,759 | ) | |||||||
Indices |
301,741 | (26,266 | ) | 275,475 | ||||||||
Metals |
224,348 | (111,900 | ) | 112,448 | ||||||||
Livestock |
(508,070 | ) | 128,480 | (379,590 | ) | |||||||
Energy |
847,996 | 41,510 | 889,506 | |||||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) in Statement of Operations |
$ | 709,118 | $ | (341,296 | ) | $ | 367,822 | |||||
|
|
|
|
|
|
48
(4) | Due from/to Brokers |
Due from brokers consist of cash held at broker. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers represent margin borrowings that are collateralized by certain securities. As of December 31, 2016, there were no amounts due to brokers.
In the normal course of business, all of the Funds marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf.
(5) | Allocation of Net Profits and Losses |
In accordance with the Sixth Amended and Restated Limited Partnership Agreement, net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.
Subscriptions received in advance, if any, represent cash received prior to December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January.
(6) | Related Party Transactions |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum) of net assets, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Funds futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fund as of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a Limited Partner) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units as of such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statement of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund. For the year ended December 31, 2016, rebated selling commissions amounted to $198,833 for Series A and $240,211 for Series B.
As of December 31, 2016, Superfund Capital Management owned 178.298 Units of Series A, representing 4.83% of the total issued Units of Series A, and 213.297 Units of Series B, representing 4.36% of the total issued Units of Series B, having a combined value of $401,907. Losses allocated to Units of Series A and Series B owned by Superfund Capital Management were $56,505 for the year ended December 31, 2016. Selling commissions over the 10% threshold in the amount of $10,752 were rebated to Superfund Capital Management during this period through the purchase of 8.423 Units of Series B. As of December 31,
49
2015, Superfund Capital Management owned 178.298 Units of Series A, representing 2.77% of the total issued Units of Series A, and 204.874 Units of Series B, representing 3.53% of the total issued Units of Series B, having a combined value of $505,377. Gains allocated to Units of Series A and Series B owned by Superfund Capital Management were $34,698 for the year ended December 31, 2015. Selling commissions over the 10% threshold in the amount of $11,695 were rebated to Superfund Capital Management during this period through the purchase of 8.087 Units of Series B. Superfund Capital Management did not make any contributions to either Series during the year ended December 31, 2016.
(7) | Financial Highlights |
Financial highlights for the year ended December 31, 2016, are as follows:
SERIES A | SERIES B | |||||||
Total return* |
||||||||
Total return before incentive fees |
(20.0 | )% | (25.1 | )% | ||||
Incentive fees |
0.0 | 0.0 | ||||||
|
|
|
|
|||||
Total return after incentive fees |
(20.0 | )% | (25.1 | )% | ||||
|
|
|
|
|||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
7.7 | % | 8.3 | % | ||||
Incentive fees |
0.0 | 0.0 | ||||||
|
|
|
|
|||||
Total expenses |
7.7 | % | 8.3 | % | ||||
|
|
|
|
|||||
Net investment loss |
(7.7 | )% | (8.3 | )% | ||||
Net asset value per unit, beginning of year |
$ | 1,222.26 | $ | 1,392.13 | ||||
|
|
|
|
|||||
Net investment loss |
(86.90 | ) | (104.57 | ) | ||||
Net loss on investments |
(145.86 | ) | (238.55 | ) | ||||
|
|
|
|
|||||
Total loss from operations |
(232.76 | ) | (343.12 | ) | ||||
|
|
|
|
|||||
Net asset value per unit, end of year |
$ | 989.50 | $ | 1,049.01 | ||||
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individual investors return may vary from these returns based on the timing of capital transactions. |
Other per Unit information: |
||||||||
Net decrease in net assets from operations per Unit (based upon weighted average Number of Units during year) |
$ | (238.77 | ) | $ | (337.83 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit during year) |
$ | (232.76 | ) | $ | (343.12 | ) | ||
|
|
|
|
Financial highlights for the year ended December 31, 2015, are as follows:
SERIES A | SERIES B | |||||||
Total return* |
||||||||
Total return before incentive fees |
(4.9 | )% | (4.3 | )% | ||||
Incentive fees |
0.0 | 0.0 | ||||||
|
|
|
|
|||||
Total return after incentive fees |
(4.9 | )% | (4.3 | )% | ||||
|
|
|
|
50
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
7.4 | % | 8.2 | % | ||||
Incentive fees |
0.0 | 0.0 | ||||||
|
|
|
|
|||||
Total expenses |
7.4 | % | 8.2 | % | ||||
|
|
|
|
|||||
Net investment loss |
(7.4 | )% | (8.2 | )% | ||||
Net asset value per unit, beginning of year |
$ | 1,283.60 | $ | 1,462.68 | ||||
|
|
|
|
|||||
Net investment loss |
(93.40 | ) | (118.52 | ) | ||||
Net gain on investments |
32.06 | 47.97 | ||||||
|
|
|
|
|||||
Total loss from operations |
(61.34 | ) | (70.55 | ) | ||||
|
|
|
|
|||||
Net asset value per unit, end of year |
$ | 1,222.26 | $ | 1,392.13 | ||||
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individual investors return may vary from these returns based on the timing of capital transactions. |
Other per Unit information: |
||||||||
Net decrease in net assets from operations per Unit (based upon weighted average Number of Units during year) |
$ | (61.12 | ) | $ | (62.42 | ) | ||
|
|
|
|
|||||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit during year) |
$ | (61.34 | ) | $ | (70.55 | ) | ||
|
|
|
|
(8) | Financial Instrument Risk |
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract.
For the Fund, gross unrealized gains and losses related to exchange traded futures were $419,980 and $356,962, respectively, at December 31, 2016. For the Fund, gross unrealized gains and losses related to exchange traded futures were $1,256,226 and $1,085,800, respectively, at December 31, 2015. For the Fund, gross unrealized gains and losses related to non-exchange traded forwards were $25,475 and $34,093, respectively, at December 31, 2016.
For Series A, gross unrealized gains and losses related to exchange traded futures were $166,030 and $141,617, respectively, at December 31, 2016. For Series A, gross unrealized gains and losses related to exchange traded futures were $498,732 and $437,805, respectively, at December 31, 2015. For Series A, gross unrealized gains and losses related to non-exchange traded forwards were $4,792 and $9,573, respectively, at December 31, 2016.
For Series B, gross unrealized gains and losses related to exchange traded futures were $253,950 and $215,345, respectively, at December 31, 2016. For Series B, gross unrealized gains and losses related to exchange traded futures were $757,494 and $647,995, respectively, at December 31, 2015. For Series B, gross unrealized gains and losses related to non-exchange traded forwards were $20,683 and $24,520, respectively, at December 31, 2016.
51
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management is unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Funds risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Funds assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Funds futures commission merchants are currently ADM Investor Services, Inc. (ADMIS) and Merrill Lynch, Pierce, Fenner & Smith Inc. (Merrill Lynch).
Superfund Capital Management monitors and attempts to control the Funds risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions and collateral positions.
(9) | Subscriptions and Redemptions |
Effective May 1, 2014, the Fund no longer accepts subscriptions.
A Limited Partner may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $10,000. Limited Partners must transmit a written request of such withdrawal to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within twenty days after the date of redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay. The Funds prospectus provides if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period.
(10) | Indemnification |
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
(11) | Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
52
Pursuant to the requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 30, 2017.
SUPERFUND GREEN, L.P. | ||
(Registrant) | ||
By: | SUPERFUND CAPITAL MANAGEMENT, INC. | |
General Partner | ||
By: | /s/ Nigel James | |
Nigel James | ||
President |
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of Superfund Capital Management, the general partner of the registrant, and in the capacities and on the dates indicated.
Title with | ||||
Signature | Superfund Capital Management |
Date | ||
/s/ Nigel James Nigel James |
President (Principal Executive Officer) |
March 30, 2017 | ||
/s/ Martin Schneider Martin Schneider |
Vice President and Director (Principal Financial Officer) |
March 30, 2017 |
(Being the principal executive officer and the principal financial officer, and a majority of the board of directors of Superfund Capital Management)
53
Exhibit Number |
Description of Document | |
31.01 | Rule 13a-14(a)/15d -14(a) Certification of Principal Executive Officer | |
31.02 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.01 | Section 1350 Certification of Principal Executive Officer | |
32.02 | Section 1350 Certification of Principal Financial Officer | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Labe Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.s Registration Statement on Form S-1 (File No. 333-184998).
3.01 | Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. | |
10.02 | Form of Subscription Agreement |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.s Registration Statement on Form S-1 (Reg. No. 333-122229).
3.02 | Certificate of Limited Partnership. |
54
EXHIBIT 31.01
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, Nigel James, certify that:
1. I have reviewed this Report on Form 10-K for the period ending December 31, 2016, of Superfund Green, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: March 30, 2017 |
By: | /s/ Nigel James | ||||
Nigel James | ||||||
President and Principal Executive Officer |
EXHIBIT 31.02
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Martin Schneider, certify that:
1. I have reviewed this Report on Form 10-K for the period ending December 31, 2016, of Superfund Green, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: March 30, 2017 |
By: | /s/ Martin Schneider | ||||
Martin Schneider | ||||||
Vice President and Principal Financial Officer |
EXHIBIT 32.01
SECTION 1350 CERTIFICATION
OF PRINCIPAL EXECUTIVE OFFICER
In connection with the report on Form 10-K of Superfund Green, L.P. (the Fund), for the period ending December 31, 2016 (the Report), I, Nigel James, President and Principal Executive Officer of Superfund Capital Management, Inc., the general partner of the Fund, certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: March 30, 2017 |
By: | /s/ Nigel James | ||||
Nigel James | ||||||
President and Principal Executive Officer |
EXHIBIT 32.02
SECTION 1350 CERTIFICATION
OF PRINCIPAL FINANCIAL OFFICER
In connection with the report on Form 10-K of Superfund Green, L.P. (the Fund), for the period ending December 31, 2016 (the Report), I, Martin Schneider, Vice President and Principal Financial Officer of Superfund Capital Management, Inc., the general partner of the Fund, certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: March 30, 2017 |
By: | /s/ Martin Schneider | ||||
Martin Schneider | ||||||
Vice President and Principal Financial Officer |
Document and Entity Information - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Jun. 30, 2016 |
|
Document And Entity Information [Abstract] | ||
Document Type | 10-K | |
Amendment Flag | false | |
Document Period End Date | Dec. 31, 2016 | |
Document Fiscal Year Focus | 2016 | |
Document Fiscal Period Focus | FY | |
Trading Symbol | CK0001168990 | |
Entity Registrant Name | SUPERFUND GREEN, L.P. | |
Entity Central Index Key | 0001168990 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | No | |
Entity Current Reporting Status | Yes | |
Entity Voluntary Filers | No | |
Entity Filer Category | Smaller Reporting Company | |
Entity Common Stock, Shares Outstanding | 0 | |
Entity Public Float | $ 0 |
STATEMENTS OF CASH FLOWS - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | $ (3,156,788) | $ (831,393) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 1,355,346 | 1,703,538 |
Decrease in unrealized appreciation on open forward contracts | (25,475) | |
Increase (decrease) in futures contracts purchased | 39,701 | 162,867 |
Decrease in unrealized depreciation on open forward contracts | 34,093 | |
Increase (decrease) in futures contracts sold | 67,707 | 386,099 |
Decrease in management fees payable | (9,773) | (8,247) |
Decrease in fees payable | (4,230) | (5,412) |
Net cash provided by (used in) operating activities | (1,699,419) | 1,407,452 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 439,044 | 590,041 |
Redemptions, net of change in redemptions payable | (3,590,430) | (5,080,996) |
Net cash used in financing activities | (3,151,386) | (4,490,955) |
Net decrease in cash | (4,850,805) | (3,083,503) |
Cash, beginning of year | 9,619,391 | 12,702,894 |
Cash, end of year | 4,768,586 | 9,619,391 |
SERIES A | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | (1,343,866) | (428,860) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 495,859 | 387,014 |
Decrease in unrealized appreciation on open forward contracts | (4,792) | |
Increase (decrease) in futures contracts purchased | 22,109 | 55,805 |
Decrease in unrealized depreciation on open forward contracts | 9,573 | |
Increase (decrease) in futures contracts sold | 14,405 | 151,864 |
Decrease in management fees payable | (5,101) | (3,709) |
Decrease in fees payable | (3,417) | (2,148) |
Net cash provided by (used in) operating activities | (815,230) | 159,966 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 198,833 | 265,984 |
Redemptions, net of change in redemptions payable | (2,147,334) | (2,231,027) |
Net cash used in financing activities | (1,948,501) | (1,965,043) |
Net decrease in cash | (2,763,731) | (1,805,077) |
Cash, beginning of year | 5,412,560 | 7,217,637 |
Cash, end of year | 2,648,829 | 5,412,560 |
SERIES B | ||
Cash flows from operating activities | ||
Net increase (decrease) in net assets from operations | (1,812,922) | (402,533) |
Changes in operating assets and liabilities: | ||
Decrease in due from brokers | 859,487 | 1,316,524 |
Decrease in unrealized appreciation on open forward contracts | (20,683) | |
Increase (decrease) in futures contracts purchased | 17,592 | 107,062 |
Decrease in unrealized depreciation on open forward contracts | 24,520 | |
Increase (decrease) in futures contracts sold | 53,302 | 234,235 |
Decrease in management fees payable | (4,672) | (4,538) |
Decrease in fees payable | (813) | (3,264) |
Net cash provided by (used in) operating activities | (884,189) | 1,247,486 |
Cash flows from financing activities | ||
Subscriptions, net of change in advanced subscriptions | 240,211 | 324,057 |
Redemptions, net of change in redemptions payable | (1,443,096) | (2,849,969) |
Net cash used in financing activities | (1,202,885) | (2,525,912) |
Net decrease in cash | (2,087,074) | (1,278,426) |
Cash, beginning of year | 4,206,831 | 5,485,257 |
Cash, end of year | $ 2,119,757 | $ 4,206,831 |
STATEMENTS OF OPERATIONS (Parenthetical) - shares |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
SERIES A | ||
Weighted average number of Units outstanding | 5,628.22 | 7,016.95 |
SERIES B | ||
Weighted average number of Units outstanding | 5,366.30 | 6,448.63 |
Nature of Operations |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 | |||
Accounting Policies [Abstract] | |||
Nature of Operations |
Organization and Business Superfund Green, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States of America (“U.S.”) and international commodity futures markets using a fully-automated computerized trading system. The Fund has issued two classes of Units, Series A and Series B (the “Series”). The two Series are traded and managed the same way except for the degree of leverage. The term of the Fund shall continue until December 31, 2050, unless terminated earlier by the Fund’s general partner, Superfund Capital Management, Inc. (“Superfund Capital Management”), or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000. |
Basis of Presentation and Significant Accounting Policies |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies |
Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series.
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes.
The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not, however, believe it is exposed to significant credit risk on these holdings. Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and change in unrealized gain (loss) on investments in the statements of operations.
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet.
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of December 31, 2016, Series A had on deposit $698,618 at ADM Investor Services, Inc. and $1,451,014 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of December 31, 2016, Series B had on deposit $885,814 at ADM Investor Services, Inc. and $2,127,265 at Merrill Lynch, Pierce, Fenner & Smith Inc.
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. Superfund Capital Management has evaluated the application of ASC 740, Income Taxes (“ASC 740”) to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2013 through 2016 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
ASU 2015-14 In August 2015, FASB issued ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date (“ASU 2015-14”), which defers the effective date of ASU No. 2014-09, Revenue from Contracts with Customers (Topic 606) (“ASU 2014-09”). The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2015-14 on the financial statements and disclosures. ASU 2016-01 In January 2016, FASB issued ASU No. 2016-01, Financial Instruments – Overall (Suptopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2016-01 on the Fund’s financial statements and disclosures. ASU 2016-05 In March 2016, FASB issued ASU No. 2016-05, Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (“ASU 2016-05”). The amendments in ASU 2016-05 affect any reporting entity for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815. The guidance is effective for fiscal years beginning after December 15, 2016. The adoption of ASU 2016-05 is not expected to have an impact on the Fund’s financial statements.
The Fund follows ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts. Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within level 2 of the fair value hierarchy. OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward and swap positions are typically classified within level 2 of the fair value hierarchy. Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at December 31, 2016 or December 31, 2015 or during the periods then ended. The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2016:
Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2015: Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
For the years ended December 31, 2016 and 2015, there were no transfers between Level 1 and Level 2 assets and liabilities. |
Disclosure of derivative instruments and hedging activities |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of derivative instruments and hedging activities |
The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities. ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the Statement of Operations for each Series. The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as “unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold.” Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and change in unrealized gain (loss) on investments in the Statements of Operations. Superfund Capital Management believes futures and forward unrealized gains and losses expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows: Superfund Green, L.P. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
Superfund Green L.P. monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,826 and the monthly average futures and forward contracts sold was 1,602. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 2,379 and the monthly average futures contracts sold was 1,973. Superfund Green, L.P. trading results by market sector:
Superfund Green, L.P.—Series A The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
Series A monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 705 and the monthly average futures and forward contracts sold was 627. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 897 and the monthly average futures contracts sold was 764. Series A trading results by market sector:
Superfund Green, L.P. – Series B The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
Series B monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,121 and the monthly average futures and forward contracts sold was 975. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 1,483 and the monthly average futures contracts sold was 1,209. Series B trading results by market sector:
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Due from/to Brokers |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Brokers and Dealers [Abstract] | |||
Due from/to Brokers |
Due from brokers consist of cash held at broker. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers represent margin borrowings that are collateralized by certain securities. As of December 31, 2016, there were no amounts due to brokers. In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. |
Allocation of Net Profits and Losses |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Text Block [Abstract] | |||
Allocation of Net Profits and Losses |
In accordance with the Sixth Amended and Restated Limited Partnership Agreement, net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month. Subscriptions received in advance, if any, represent cash received prior to December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January. |
Related Party Transactions |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Related Party Transactions [Abstract] | |||
Related Party Transactions |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum) of net assets, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fund as of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a “Limited Partner”) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units as of such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statement of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund. For the year ended December 31, 2016, rebated selling commissions amounted to $198,833 for Series A and $240,211 for Series B. As of December 31, 2016, Superfund Capital Management owned 178.298 Units of Series A, representing 4.83% of the total issued Units of Series A, and 213.297 Units of Series B, representing 4.36% of the total issued Units of Series B, having a combined value of $401,907. Losses allocated to Units of Series A and Series B owned by Superfund Capital Management were $56,505 for the year ended December 31, 2016. Selling commissions over the 10% threshold in the amount of $10,752 were rebated to Superfund Capital Management during this period through the purchase of 8.423 Units of Series B. As of December 31, 2015, Superfund Capital Management owned 178.298 Units of Series A, representing 2.77% of the total issued Units of Series A, and 204.874 Units of Series B, representing 3.53% of the total issued Units of Series B, having a combined value of $505,377. Gains allocated to Units of Series A and Series B owned by Superfund Capital Management were $34,698 for the year ended December 31, 2015. Selling commissions over the 10% threshold in the amount of $11,695 were rebated to Superfund Capital Management during this period through the purchase of 8.087 Units of Series B. Superfund Capital Management did not make any contributions to either Series during the year ended December 31, 2016. |
Financial Highlights |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
Financial highlights for the year ended December 31, 2016, are as follows:
Financial highlights for the year ended December 31, 2015, are as follows:
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Financial Instrument Risk |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Investments, All Other Investments [Abstract] | |||
Financial Instrument Risk |
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. For the Fund, gross unrealized gains and losses related to exchange traded futures were $419,980 and $356,962, respectively, at December 31, 2016. For the Fund, gross unrealized gains and losses related to exchange traded futures were $1,256,226 and $1,085,800, respectively, at December 31, 2015. For the Fund, gross unrealized gains and losses related to non-exchange traded forwards were $25,475 and $34,093, respectively, at December 31, 2016. For Series A, gross unrealized gains and losses related to exchange traded futures were $166,030 and $141,617, respectively, at December 31, 2016. For Series A, gross unrealized gains and losses related to exchange traded futures were $498,732 and $437,805, respectively, at December 31, 2015. For Series A, gross unrealized gains and losses related to non-exchange traded forwards were $4,792 and $9,573, respectively, at December 31, 2016. For Series B, gross unrealized gains and losses related to exchange traded futures were $253,950 and $215,345, respectively, at December 31, 2016. For Series B, gross unrealized gains and losses related to exchange traded futures were $757,494 and $647,995, respectively, at December 31, 2015. For Series B, gross unrealized gains and losses related to non-exchange traded forwards were $20,683 and $24,520, respectively, at December 31, 2016. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management is unable to offset such positions, the Fund could experience substantial losses. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc. (“ADMIS”) and Merrill Lynch, Pierce, Fenner & Smith Inc. (“Merrill Lynch”). Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions and collateral positions. |
Subscriptions and Redemptions |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Text Block [Abstract] | |||
Subscriptions and Redemptions |
Effective May 1, 2014, the Fund no longer accepts subscriptions. A Limited Partner may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $10,000. Limited Partners must transmit a written request of such withdrawal to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within twenty days after the date of redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay. The Fund’s prospectus provides “if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period.”
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Indemnification |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Text Block [Abstract] | |||
Indemnification |
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote. |
Subsequent events |
12 Months Ended | ||
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Dec. 31, 2016 | |||
Subsequent Events [Abstract] | |||
Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
Basis of Presentation and Significant Accounting Policies (Policies) |
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Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation |
Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series. |
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Valuation of Investments in Futures Contracts and Forward Contracts |
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes. |
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Cash and Translation of Foreign Currency |
The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not, however, believe it is exposed to significant credit risk on these holdings. Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and change in unrealized gain (loss) on investments in the statements of operations. |
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Investment Transactions, Investment Income and Expenses |
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet.
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of December 31, 2016, Series A had on deposit $698,618 at ADM Investor Services, Inc. and $1,451,014 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of December 31, 2016, Series B had on deposit $885,814 at ADM Investor Services, Inc. and $2,127,265 at Merrill Lynch, Pierce, Fenner & Smith Inc. |
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Income Taxes |
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. Superfund Capital Management has evaluated the application of ASC 740, Income Taxes (“ASC 740”) to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2013 through 2016 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
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Use of Estimates |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
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Recently Adopted and/or Issued Accounting Pronouncements |
ASU 2015-14 In August 2015, FASB issued ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date (“ASU 2015-14”), which defers the effective date of ASU No. 2014-09, Revenue from Contracts with Customers (Topic 606) (“ASU 2014-09”). The amendments in ASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2015-14 on the financial statements and disclosures. ASU 2016-01 In January 2016, FASB issued ASU No. 2016-01, Financial Instruments – Overall (Suptopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2016-01 on the Fund’s financial statements and disclosures. ASU 2016-05 In March 2016, FASB issued ASU No. 2016-05, Derivatives and Hedging (Topic 815) Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (“ASU 2016-05”). The amendments in ASU 2016-05 affect any reporting entity for which there is a change in the counterparty to a derivative instrument that has been designated as a hedging instrument under Topic 815. The guidance is effective for fiscal years beginning after December 15, 2016. The adoption of ASU 2016-05 is not expected to have an impact on the Fund’s financial statements. |
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Fair Value Measurements |
The Fund follows ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts. Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within level 2 of the fair value hierarchy. OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward and swap positions are typically classified within level 2 of the fair value hierarchy. Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at December 31, 2016 or December 31, 2015 or during the periods then ended. The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2016:
Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2015: Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
For the years ended December 31, 2016 and 2015, there were no transfers between Level 1 and Level 2 assets and liabilities. |
Basis of Presentation and Significant Accounting Policies (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Valuation of Fund's Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2016:
Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2015: Superfund Green, L.P.
Superfund Green, L.P. – Series A
Superfund Green, L.P. – Series B
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Disclosure of derivative instruments and hedging activities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
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Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
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Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
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Gross and Net Unrealized Gains and Losses by Long and Short Positions | Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
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Funds Trading Results by Market Sector | Superfund Green, L.P. trading results by market sector:
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SERIES A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
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Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
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Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
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Gross and Net Unrealized Gains and Losses by Long and Short Positions | Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
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Funds Trading Results by Market Sector | Series A trading results by market sector:
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SERIES B | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Funds Derivatives by Instrument Type | The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2016, is as follows:
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
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Offsetting Assets | The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows:
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
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Effects of Derivative Instruments on Statement of Operations | Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
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Gross and Net Unrealized Gains and Losses by Long and Short Positions | Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2016:
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
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Funds Trading Results by Market Sector | Series B trading results by market sector:
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Financial Highlights (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial highlights | Financial highlights for the year ended December 31, 2016, are as follows:
Financial highlights for the year ended December 31, 2015, are as follows:
|
Condensed Schedule of Investments (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
||||||
---|---|---|---|---|---|---|---|---|
Futures Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.90% | 1.10% | ||||||
Fair Value | $ 63,018 | $ 170,426 | ||||||
Futures Contract Purchased | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.60% | 0.60% | ||||||
Fair Value | $ 43,643 | $ 83,344 | ||||||
Futures Contract Purchased | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | (0.30%) | ||||||
Fair Value | $ (35,971) | $ (47,858) | ||||||
Futures Contract Purchased | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | 0.20% | ||||||
Fair Value | $ 34,774 | $ 30,576 | ||||||
Futures Contract Purchased | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.10% | [1] | 0.50% | |||||
Fair Value | $ 93,546 | $ 74,365 | ||||||
Futures Contract Purchased | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | (0.70%) | ||||||
Fair Value | $ (17,290) | $ (112,208) | ||||||
Futures Contract Purchased | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.50% | 0.60% | ||||||
Fair Value | $ 43,062 | $ 98,500 | ||||||
Futures Contract Purchased | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | |||||||
Fair Value | $ 17,990 | |||||||
Futures Contract Purchased | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.80%) | 0.10% | ||||||
Fair Value | $ (74,478) | $ 21,979 | ||||||
Futures Contracts Sold | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.30% | 0.60% | ||||||
Fair Value | $ 19,375 | $ 87,082 | ||||||
Futures Contracts Sold | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.20% | (0.30%) | ||||||
Fair Value | $ 16,460 | $ (51,265) | ||||||
Futures Contracts Sold | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.50% | ||||||
Fair Value | $ (13,920) | $ 84,392 | ||||||
Futures Contracts Sold | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.30%) | (0.20%) | ||||||
Fair Value | $ (26,976) | $ (34,788) | ||||||
Futures Contracts Sold | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.90% | ||||||
Fair Value | $ 7,644 | $ 142,350 | ||||||
Futures Contracts Sold | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.50% | ||||||
Fair Value | $ (20,077) | $ 78,026 | ||||||
Futures Contracts Sold | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.50%) | (0.10%) | ||||||
Fair Value | $ (45,580) | $ (20,560) | ||||||
Futures Contracts Sold | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.20% | (0.70%) | ||||||
Fair Value | $ 101,824 | $ (111,073) | ||||||
Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | |||||||
Fair Value | $ (8,618) | |||||||
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.30% | |||||||
Fair Value | $ 25,475 | |||||||
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.30% | |||||||
Fair Value | $ 25,475 | |||||||
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | |||||||
Fair Value | $ (34,093) | |||||||
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | |||||||
Fair Value | $ (34,093) | |||||||
Futures and Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.80% | 1.10% | ||||||
Fair Value | $ 54,400 | $ 170,426 | ||||||
Futures and Forward Contracts | Australia | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.00% | [2] | 0.10% | |||||
Fair Value | $ 1,745 | $ 15,095 | ||||||
Futures and Forward Contracts | Canada | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | 0.30% | ||||||
Fair Value | $ (5,425) | $ 47,097 | ||||||
Futures and Forward Contracts | European Monetary Union | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.10% | ||||||
Fair Value | $ 10,712 | $ 18,363 | ||||||
Futures and Forward Contracts | Great Britain | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | (0.30%) | ||||||
Fair Value | $ (12,941) | $ (48,659) | ||||||
Futures and Forward Contracts | Japan | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.50% | 0.60% | ||||||
Fair Value | $ 41,942 | $ 88,051 | ||||||
Futures and Forward Contracts | United States | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.70%) | 0.10% | ||||||
Fair Value | $ (64,154) | $ 14,103 | ||||||
Futures and Forward Contracts | Other | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.10% | 0.20% | ||||||
Fair Value | $ 82,521 | $ 36,376 | ||||||
SERIES A | Futures Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.70% | 0.80% | ||||||
Fair Value | $ 24,413 | $ 60,927 | ||||||
SERIES A | Futures Contract Purchased | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | 0.40% | ||||||
Fair Value | $ 12,107 | $ 34,216 | ||||||
SERIES A | Futures Contract Purchased | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | (0.30%) | ||||||
Fair Value | $ (13,680) | $ (19,819) | ||||||
SERIES A | Futures Contract Purchased | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.30% | 0.20% | ||||||
Fair Value | $ 10,380 | $ 14,733 | ||||||
SERIES A | Futures Contract Purchased | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.00% | [1] | 0.40% | |||||
Fair Value | $ 34,827 | $ 30,416 | ||||||
SERIES A | Futures Contract Purchased | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | (0.60%) | ||||||
Fair Value | $ (6,327) | $ (47,034) | ||||||
SERIES A | Futures Contract Purchased | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.70% | 0.50% | ||||||
Fair Value | $ 24,618 | $ 40,447 | ||||||
SERIES A | Futures Contract Purchased | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | |||||||
Fair Value | $ 8,080 | |||||||
SERIES A | Futures Contract Purchased | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (1.00%) | [1] | 0.10% | |||||
Fair Value | $ (37,711) | $ 7,393 | ||||||
SERIES A | Futures Contracts Sold | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.30% | 0.40% | ||||||
Fair Value | $ 12,306 | $ 26,711 | ||||||
SERIES A | Futures Contracts Sold | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | (0.20%) | ||||||
Fair Value | $ 5,019 | $ (22,132) | ||||||
SERIES A | Futures Contracts Sold | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.30% | ||||||
Fair Value | $ (5,710) | $ 24,407 | ||||||
SERIES A | Futures Contracts Sold | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.30%) | (0.10%) | ||||||
Fair Value | $ (9,766) | $ (11,508) | ||||||
SERIES A | Futures Contracts Sold | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.70% | ||||||
Fair Value | $ 4,530 | $ 54,433 | ||||||
SERIES A | Futures Contracts Sold | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.40% | ||||||
Fair Value | $ (8,401) | $ 33,706 | ||||||
SERIES A | Futures Contracts Sold | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | (0.10%) | ||||||
Fair Value | $ (18,160) | $ (7,490) | ||||||
SERIES A | Futures Contracts Sold | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.20% | [1] | (0.60%) | |||||
Fair Value | $ 44,794 | $ (44,705) | ||||||
SERIES A | Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | |||||||
Fair Value | $ (4,781) | |||||||
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | |||||||
Fair Value | $ 4,792 | |||||||
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | |||||||
Fair Value | $ 4,792 | |||||||
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | |||||||
Fair Value | $ (9,573) | |||||||
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | |||||||
Fair Value | $ (9,573) | |||||||
SERIES A | Futures and Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.50% | 0.80% | ||||||
Fair Value | $ 19,632 | $ 60,927 | ||||||
SERIES A | Futures and Forward Contracts | Australia | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.00% | [2] | 0.10% | |||||
Fair Value | $ (801) | $ 6,295 | ||||||
SERIES A | Futures and Forward Contracts | Canada | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.00% | [2] | 0.30% | |||||
Fair Value | $ 290 | $ 20,503 | ||||||
SERIES A | Futures and Forward Contracts | European Monetary Union | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.10% | ||||||
Fair Value | $ 3,300 | $ 6,192 | ||||||
SERIES A | Futures and Forward Contracts | Great Britain | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | (0.20%) | ||||||
Fair Value | $ (5,471) | $ (17,131) | ||||||
SERIES A | Futures and Forward Contracts | Japan | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.50% | 0.40% | ||||||
Fair Value | $ 22,931 | $ 36,300 | ||||||
SERIES A | Futures and Forward Contracts | United States | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.80%) | (0.10%) | ||||||
Fair Value | $ (28,600) | $ (5,803) | ||||||
SERIES A | Futures and Forward Contracts | Other | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.80% | 0.20% | ||||||
Fair Value | $ 27,983 | $ 14,571 | ||||||
SERIES B | Futures Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.80% | 1.40% | ||||||
Fair Value | $ 38,605 | $ 109,499 | ||||||
SERIES B | Futures Contract Purchased | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.70% | 0.60% | ||||||
Fair Value | $ 31,536 | $ 49,128 | ||||||
SERIES B | Futures Contract Purchased | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.40%) | (0.30%) | ||||||
Fair Value | $ (22,291) | $ (28,039) | ||||||
SERIES B | Futures Contract Purchased | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.50% | 0.20% | ||||||
Fair Value | $ 24,394 | $ 15,843 | ||||||
SERIES B | Futures Contract Purchased | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.10% | [1] | 0.50% | |||||
Fair Value | $ 58,719 | $ 43,949 | ||||||
SERIES B | Futures Contract Purchased | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | (0.80%) | ||||||
Fair Value | $ (10,963) | $ (65,174) | ||||||
SERIES B | Futures Contract Purchased | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | 0.70% | ||||||
Fair Value | $ 18,444 | $ 58,053 | ||||||
SERIES B | Futures Contract Purchased | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | |||||||
Fair Value | $ 9,910 | |||||||
SERIES B | Futures Contract Purchased | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.70%) | 0.20% | ||||||
Fair Value | $ (36,767) | $ 14,586 | ||||||
SERIES B | Futures Contracts Sold | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.80% | ||||||
Fair Value | $ 7,069 | $ 60,371 | ||||||
SERIES B | Futures Contracts Sold | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.20% | (0.40%) | ||||||
Fair Value | $ 11,441 | $ (29,133) | ||||||
SERIES B | Futures Contracts Sold | Energy | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.80% | ||||||
Fair Value | $ (8,210) | $ 59,985 | ||||||
SERIES B | Futures Contracts Sold | Financial | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.30%) | (0.30%) | ||||||
Fair Value | $ (17,210) | $ (23,280) | ||||||
SERIES B | Futures Contracts Sold | Food & Fiber | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 1.10% | [1] | |||||
Fair Value | $ 3,114 | $ 87,917 | ||||||
SERIES B | Futures Contracts Sold | Indices | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.20%) | 0.50% | ||||||
Fair Value | $ (11,676) | $ 44,320 | ||||||
SERIES B | Futures Contracts Sold | Livestock | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.60%) | (0.10%) | ||||||
Fair Value | $ (27,420) | $ (13,070) | ||||||
SERIES B | Futures Contracts Sold | Metals | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.10% | [1] | (0.80%) | |||||
Fair Value | $ 57,030 | $ (66,368) | ||||||
SERIES B | Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | |||||||
Fair Value | $ (3,837) | |||||||
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | |||||||
Fair Value | $ 20,683 | |||||||
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | |||||||
Fair Value | $ 20,683 | |||||||
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.50%) | |||||||
Fair Value | $ (24,520) | |||||||
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Currency | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.50%) | |||||||
Fair Value | $ (24,520) | |||||||
SERIES B | Futures and Forward Contracts | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.70% | 1.40% | ||||||
Fair Value | $ 34,768 | $ 109,499 | ||||||
SERIES B | Futures and Forward Contracts | Australia | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.00% | [2] | 0.10% | |||||
Fair Value | $ 2,546 | $ 8,800 | ||||||
SERIES B | Futures and Forward Contracts | Canada | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | 0.30% | ||||||
Fair Value | $ (5,715) | $ 26,594 | ||||||
SERIES B | Futures and Forward Contracts | European Monetary Union | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.10% | 0.20% | ||||||
Fair Value | $ 7,412 | $ 12,171 | ||||||
SERIES B | Futures and Forward Contracts | Great Britain | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.10%) | (0.30%) | ||||||
Fair Value | $ (7,470) | $ (31,528) | ||||||
SERIES B | Futures and Forward Contracts | Japan | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 0.40% | 0.60% | ||||||
Fair Value | $ 19,011 | $ 51,751 | ||||||
SERIES B | Futures and Forward Contracts | United States | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | (0.70%) | 0.20% | ||||||
Fair Value | $ (35,554) | $ 19,906 | ||||||
SERIES B | Futures and Forward Contracts | Other | ||||||||
Summary of Investment Holdings [Line Items] | ||||||||
Percentage of Net Assets | 1.10% | [1] | 0.30% | |||||
Fair Value | $ 54,538 | $ 21,805 | ||||||
|
Condensed Schedule of Investments (Parenthetical) (Detail) - Maximum |
Dec. 31, 2016 |
---|---|
Summary of Investment Holdings [Line Items] | |
Percentage of Net Assets | 0.05% |
SERIES A | |
Summary of Investment Holdings [Line Items] | |
Percentage of Net Assets | 0.05% |
SERIES B | |
Summary of Investment Holdings [Line Items] | |
Percentage of Net Assets | 0.05% |
Statements of Changes in Net Assets (Detail) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Decrease in net assets from operations | ||
Net investment loss | $ (1,056,541) | $ (1,429,137) |
Net realized gain (loss) on futures and forward contracts | (1,984,219) | 1,146,706 |
Net change in unrealized depreciation on futures and forward contracts | (116,028) | (548,962) |
Net decrease in net assets from operations | (3,156,788) | (831,393) |
Capital Share transactions | ||
Issuance of Units | 439,044 | 590,041 |
Redemption of Units | (4,439,736) | (4,420,419) |
Net decrease in net assets from capital share transactions | (4,000,692) | (3,830,378) |
Net decrease in net assets | (7,157,480) | (4,661,771) |
Net assets, beginning of year | 15,940,740 | 20,602,511 |
Net assets, end of year | 8,783,260 | 15,940,740 |
SERIES A | ||
Decrease in net assets from operations | ||
Net investment loss | (493,324) | (658,782) |
Net realized gain (loss) on futures and forward contracts | (809,248) | 437,588 |
Net change in unrealized depreciation on futures and forward contracts | (41,294) | (207,666) |
Net decrease in net assets from operations | (1,343,866) | (428,860) |
Capital Share transactions | ||
Issuance of Units | 198,833 | 265,984 |
Redemption of Units | (3,066,390) | (1,871,051) |
Net decrease in net assets from capital share transactions | (2,867,557) | (1,605,067) |
Net decrease in net assets | (4,211,423) | (2,033,927) |
Net assets, beginning of year | 7,867,509 | 9,901,436 |
Net assets, end of year | $ 3,656,086 | $ 7,867,509 |
Units, beginning of year | 6,436.862 | 7,713.806 |
Issuance of Units | 175.325 | 211.197 |
Redemption of Units | (2,917.305) | (1,488.141) |
Units, end of year | 3,694.882 | 6,436.862 |
SERIES B | ||
Decrease in net assets from operations | ||
Net investment loss | $ (563,217) | $ (770,355) |
Net realized gain (loss) on futures and forward contracts | (1,174,971) | 709,118 |
Net change in unrealized depreciation on futures and forward contracts | (74,734) | (341,296) |
Net decrease in net assets from operations | (1,812,922) | (402,533) |
Capital Share transactions | ||
Issuance of Units | 240,211 | 324,057 |
Redemption of Units | (1,373,346) | (2,549,368) |
Net decrease in net assets from capital share transactions | (1,133,135) | (2,225,311) |
Net decrease in net assets | (2,946,057) | (2,627,844) |
Net assets, beginning of year | 8,073,231 | 10,701,075 |
Net assets, end of year | $ 5,127,174 | $ 8,073,231 |
Units, beginning of year | 5,799.188 | 7,316.097 |
Issuance of Units | 187.325 | 223.410 |
Redemption of Units | (1,098.991) | (1,740.319) |
Units, end of year | 4,887.522 | 5,799.188 |
Nature of Operations - Additional Information (Detail) |
12 Months Ended |
---|---|
Dec. 31, 2016
USD ($)
Unit
| |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Classes | Unit | 2 |
Aggregate Net Assets | $ | $ 500,000 |
Basis of Presentation and Significant Accounting Policies - Additional Information (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | ||
Derivative Contracts Valued Using Level 3 Holdings During Period | $ 0 | $ 0 |
SERIES A | ADMIS | ||
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | ||
Margin on deposit | 698,618 | |
SERIES A | Merrill Lynch | ||
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | ||
Margin on deposit | 1,451,014 | |
SERIES B | ADMIS | ||
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | ||
Margin on deposit | 885,814 | |
SERIES B | Merrill Lynch | ||
Basis Of Presentation And Summary Of Significant Accounting Policies [Line Items] | ||
Margin on deposit | $ 2,127,265 |
Summary of Valuation of Fund's Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | $ 445,455 | $ 1,256,226 |
Total Liabilities Measured at Fair Value | 391,055 | 1,085,800 |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 25,475 | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 34,093 | |
Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 164,986 | 763,283 |
Total Liabilities Measured at Fair Value | 145,611 | 676,201 |
Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 254,994 | 492,943 |
Total Liabilities Measured at Fair Value | 211,351 | 409,599 |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 419,980 | 1,256,226 |
Total Liabilities Measured at Fair Value | 356,962 | 1,085,800 |
Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 164,986 | 763,283 |
Total Liabilities Measured at Fair Value | 145,611 | 676,201 |
Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 254,994 | 492,943 |
Total Liabilities Measured at Fair Value | 211,351 | 409,599 |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 25,475 | |
Total Liabilities Measured at Fair Value | 34,093 | |
Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 25,475 | |
Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 34,093 | |
Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 170,822 | 498,732 |
Total Liabilities Measured at Fair Value | 151,190 | 437,805 |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 4,792 | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 9,573 | |
SERIES A | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 69,382 | 297,768 |
Total Liabilities Measured at Fair Value | 57,076 | 271,057 |
SERIES A | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 96,648 | 200,964 |
Total Liabilities Measured at Fair Value | 84,541 | 166,748 |
SERIES A | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 166,030 | 498,732 |
Total Liabilities Measured at Fair Value | 141,617 | 437,805 |
SERIES A | Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES A | Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 69,382 | 297,768 |
Total Liabilities Measured at Fair Value | 57,076 | 271,057 |
SERIES A | Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 96,648 | 200,964 |
Total Liabilities Measured at Fair Value | 84,541 | 166,748 |
SERIES A | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 4,792 | |
Total Liabilities Measured at Fair Value | 9,573 | |
SERIES A | Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 4,792 | |
SERIES A | Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 9,573 | |
SERIES A | Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES A | Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES A | Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 274,633 | 757,494 |
Total Liabilities Measured at Fair Value | 239,865 | 647,995 |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 20,683 | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 24,520 | |
SERIES B | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 95,604 | 465,515 |
Total Liabilities Measured at Fair Value | 88,535 | 405,144 |
SERIES B | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 158,346 | 291,979 |
Total Liabilities Measured at Fair Value | 126,810 | 242,851 |
SERIES B | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 253,950 | 757,494 |
Total Liabilities Measured at Fair Value | 215,345 | 647,995 |
SERIES B | Level 1 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES B | Level 1 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 1 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 95,604 | 465,515 |
Total Liabilities Measured at Fair Value | 88,535 | 405,144 |
SERIES B | Level 1 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 158,346 | 291,979 |
Total Liabilities Measured at Fair Value | 126,810 | $ 242,851 |
SERIES B | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 20,683 | |
Total Liabilities Measured at Fair Value | 24,520 | |
SERIES B | Level 2 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 20,683 | |
SERIES B | Level 2 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 24,520 | |
SERIES B | Level 2 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 2 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 3 | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
SERIES B | Level 3 | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 3 | Futures Contracts Sold | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | 0 | |
SERIES B | Level 3 | Futures Contract Purchased | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total Assets Measured at Fair Value | 0 | |
Total Liabilities Measured at Fair Value | $ 0 |
Fair Value of Funds Derivatives by Instrument Type (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | $ 445,455 | $ 1,256,226 |
Derivative Liabilities | (391,055) | (1,085,800) |
Derivative Assets (Liabilities), Net | 54,400 | 170,426 |
Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 254,994 | 492,943 |
Derivative Liabilities | (211,351) | (409,599) |
Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 164,986 | 763,283 |
Derivative Liabilities | (145,611) | (676,201) |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 25,475 | |
Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 25,475 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 25,475 | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (34,093) | |
Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (34,093) | |
Derivative Assets (Liabilities), Net | (34,093) | |
Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 254,994 | 492,943 |
Derivative Liabilities | (211,351) | (409,599) |
Derivative Assets (Liabilities), Net | 43,643 | 83,344 |
Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 164,986 | 763,283 |
Derivative Liabilities | (145,611) | (676,201) |
Derivative Assets (Liabilities), Net | 19,375 | 87,082 |
SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 170,822 | 498,732 |
Derivative Liabilities | (151,190) | (437,805) |
Derivative Assets (Liabilities), Net | 19,632 | 60,927 |
SERIES A | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 96,648 | 200,964 |
Derivative Liabilities | (84,541) | (166,748) |
SERIES A | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 69,382 | 297,768 |
Derivative Liabilities | (57,076) | (271,057) |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 4,792 | |
SERIES A | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 4,792 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 4,792 | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (9,573) | |
SERIES A | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (9,573) | |
Derivative Assets (Liabilities), Net | (9,573) | |
SERIES A | Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 96,648 | 200,964 |
Derivative Liabilities | (84,541) | (166,748) |
Derivative Assets (Liabilities), Net | 12,107 | 34,216 |
SERIES A | Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 69,382 | 297,768 |
Derivative Liabilities | (57,076) | (271,057) |
Derivative Assets (Liabilities), Net | 12,306 | 26,711 |
SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 274,633 | 757,494 |
Derivative Liabilities | (239,865) | (647,995) |
Derivative Assets (Liabilities), Net | 34,768 | 109,499 |
SERIES B | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 158,346 | 291,979 |
Derivative Liabilities | (126,810) | (242,851) |
SERIES B | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 95,604 | 465,515 |
Derivative Liabilities | (88,535) | (405,144) |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 20,683 | |
SERIES B | Forward Contracts | Unrealized Appreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 20,683 | |
Derivative Liabilities | 0 | |
Derivative Assets (Liabilities), Net | 20,683 | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Liabilities | (24,520) | |
SERIES B | Forward Contracts | Unrealized Depreciation on Open Forward Contracts | Foreign Exchange Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 0 | |
Derivative Liabilities | (24,520) | |
Derivative Assets (Liabilities), Net | (24,520) | |
SERIES B | Futures Contracts | Futures Contract Purchased | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 158,346 | 291,979 |
Derivative Liabilities | (126,810) | (242,851) |
Derivative Assets (Liabilities), Net | 31,536 | 49,128 |
SERIES B | Futures Contracts | Futures Contracts Sold | ||
Derivatives, Fair Value [Line Items] | ||
Derivative Assets | 95,604 | 465,515 |
Derivative Liabilities | (88,535) | (405,144) |
Derivative Assets (Liabilities), Net | $ 7,069 | $ 60,371 |
Disclosure of Derivative Instruments and Hedging Activities - Offsetting Assets (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | $ 54,400 | $ 170,426 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 54,400 | 170,426 |
ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (62,704) | (100,889) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (62,704) | (100,889) |
Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 117,104 | 271,315 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 117,104 | 271,315 |
SERIES A | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 19,632 | 60,927 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 19,632 | 60,927 |
SERIES A | ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (25,285) | (51,324) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (25,285) | (51,324) |
SERIES A | Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 44,917 | 112,251 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 44,917 | 112,251 |
SERIES B | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 34,768 | 109,499 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 34,768 | 109,499 |
SERIES B | ADMIS | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | (37,419) | (49,565) |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | (37,419) | (49,565) |
SERIES B | Merrill Lynch | ||
Offsetting Assets [Line Items] | ||
Net Amount of Assets in the Statement of Assets and Liabilities | 72,187 | 159,064 |
Financial Instruments Pledged | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | $ 72,187 | $ 159,064 |
Effects of Derivative Instruments on Statement of Operations (Detail) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | $ (1,984,219) | $ 1,146,706 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (116,028) | (548,962) |
Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (63,171) | 52,987 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (8,620) | |
Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (1,921,048) | 1,093,719 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (107,408) | (548,962) |
SERIES B | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (1,174,971) | 709,118 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (74,734) | (341,296) |
SERIES B | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (41,047) | 34,434 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (3,838) | |
SERIES B | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (1,133,924) | 674,684 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (70,896) | (341,296) |
SERIES A | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (809,248) | 437,588 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (41,294) | (207,666) |
SERIES A | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Foreign Exchange Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (22,124) | 18,553 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | (4,782) | |
SERIES A | Net Realized/Unrealized Gain (Loss) on Futures and Forward Contracts | Futures Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gain (Loss) on Derivatives in Statement of Operations | (787,124) | 419,035 |
Net Change in Unrealized Depreciation on Derivatives in Statement of Operations | $ (36,512) | $ (207,666) |
Gross and Net Unrealized Gains and Losses by Long and Short Positions (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
|||||
---|---|---|---|---|---|---|---|
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 445,455 | $ 1,256,226 | |||||
Liability Derivatives | (391,055) | (1,085,800) | |||||
Net Unrealized Gain (Loss) on Open Positions | 54,400 | 170,426 | |||||
Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (8,618) | ||||||
Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (19,511) | (99,123) | |||||
Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 66,570 | 39,577 | |||||
Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (9,646) | 30,142 | |||||
Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 22,985 | 176,526 | |||||
Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 27,346 | (89,094) | |||||
Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (45,580) | (2,570) | |||||
Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 20,854 | 114,968 | |||||
Long Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 268,473 | $ 492,943 | |||||
Gains percentage of net assets | 3.10% | 3.10% | |||||
Liability Derivatives | $ (226,087) | $ (409,599) | |||||
Loss percentage of net assets | (2.60%) | (2.60%) | |||||
Long Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 13,481 | ||||||
Gains percentage of net assets | 0.20% | ||||||
Liability Derivatives | $ (14,738) | ||||||
Loss percentage of net assets | (0.20%) | ||||||
Long Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 2,976 | $ 25,804 | |||||
Gains percentage of net assets | 0.00% | [1] | 0.20% | ||||
Liability Derivatives | $ (38,947) | $ (73,662) | |||||
Loss percentage of net assets | (0.40%) | (0.50%) | |||||
Long Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 105,659 | $ 78,150 | |||||
Gains percentage of net assets | 1.20% | 0.50% | |||||
Liability Derivatives | $ (12,113) | $ (3,785) | |||||
Loss percentage of net assets | (0.10%) | (0.00%) | [1] | ||||
Long Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 13,543 | $ 64,490 | |||||
Gains percentage of net assets | 0.20% | 0.40% | |||||
Liability Derivatives | $ (30,833) | $ (176,698) | |||||
Loss percentage of net assets | (0.40%) | (1.10%) | |||||
Long Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 92,375 | $ 211,901 | |||||
Gains percentage of net assets | 1.10% | 1.30% | |||||
Liability Derivatives | $ (49,313) | $ (113,401) | |||||
Loss percentage of net assets | (0.60%) | (0.70%) | |||||
Long Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 5,640 | $ 51,982 | |||||
Gains percentage of net assets | 0.10% | 0.30% | |||||
Liability Derivatives | $ (80,118) | $ (30,003) | |||||
Loss percentage of net assets | (0.90%) | (0.20%) | |||||
Long Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | $ 17,990 | |||||
Gains percentage of net assets | 0.00% | 0.10% | |||||
Liability Derivatives | $ 0 | ||||||
Loss percentage of net assets | (0.00%) | ||||||
Long Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 34,799 | $ 42,626 | |||||
Gains percentage of net assets | 0.40% | 0.30% | |||||
Liability Derivatives | $ (25) | $ (12,050) | |||||
Loss percentage of net assets | (0.00%) | [1] | (0.10%) | ||||
Short Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 176,981 | $ 763,283 | |||||
Gains percentage of net assets | 2.00% | 4.80% | |||||
Liability Derivatives | $ (164,967) | $ (676,201) | |||||
Loss percentage of net assets | (1.90%) | (4.20%) | |||||
Short Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 11,994 | ||||||
Gains percentage of net assets | 0.10% | ||||||
Liability Derivatives | $ (19,355) | ||||||
Loss percentage of net assets | (0.20%) | ||||||
Short Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 20,015 | $ 95,399 | |||||
Gains percentage of net assets | 0.20% | 0.60% | |||||
Liability Derivatives | $ (3,555) | $ (146,664) | |||||
Loss percentage of net assets | (0.00%) | [1] | (0.90%) | ||||
Short Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,789 | $ 4,821 | |||||
Gains percentage of net assets | [1] | 0.00% | 0.00% | ||||
Liability Derivatives | $ (28,765) | $ (39,609) | |||||
Loss percentage of net assets | (0.30%) | (0.20%) | |||||
Short Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 28,124 | $ 182,433 | |||||
Gains percentage of net assets | 0.30% | 1.10% | |||||
Liability Derivatives | $ (20,480) | $ (40,083) | |||||
Loss percentage of net assets | (0.20%) | (0.30%) | |||||
Short Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 8,350 | $ 199,752 | |||||
Gains percentage of net assets | 0.10% | 1.30% | |||||
Liability Derivatives | $ (28,427) | $ (121,726) | |||||
Loss percentage of net assets | (0.30%) | (0.80%) | |||||
Short Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 106,709 | $ 47,150 | |||||
Gains percentage of net assets | 1.20% | 0.30% | |||||
Liability Derivatives | $ (4,885) | $ (158,223) | |||||
Loss percentage of net assets | (0.10%) | (1.00%) | |||||
Short Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | ||||||
Gains percentage of net assets | 0.00% | ||||||
Liability Derivatives | $ (45,580) | $ (20,560) | |||||
Loss percentage of net assets | (0.50%) | (0.10%) | |||||
Short Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | $ 233,728 | |||||
Gains percentage of net assets | 0.00% | 1.50% | |||||
Liability Derivatives | $ (13,920) | $ (149,336) | |||||
Loss percentage of net assets | (0.20%) | (0.90%) | |||||
SERIES A | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 170,822 | $ 498,732 | |||||
Liability Derivatives | (151,190) | (437,805) | |||||
Net Unrealized Gain (Loss) on Open Positions | 19,632 | 60,927 | |||||
SERIES A | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (4,781) | ||||||
SERIES A | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (8,661) | (41,951) | |||||
SERIES A | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 25,061 | 18,908 | |||||
SERIES A | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (1,797) | 7,399 | |||||
SERIES A | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 16,217 | 74,153 | |||||
SERIES A | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 7,083 | (37,312) | |||||
SERIES A | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (18,160) | 590 | |||||
SERIES A | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 4,670 | 39,140 | |||||
SERIES A | Long Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 98,204 | $ 200,964 | |||||
Gains percentage of net assets | 2.60% | 2.60% | |||||
Liability Derivatives | $ (88,727) | $ (166,748) | |||||
Loss percentage of net assets | (2.40%) | (2.20%) | |||||
SERIES A | Long Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,557 | ||||||
Gains percentage of net assets | [1] | 0.00% | |||||
Liability Derivatives | $ (4,187) | ||||||
Loss percentage of net assets | (0.10%) | ||||||
SERIES A | Long Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,288 | $ 10,300 | |||||
Gains percentage of net assets | 0.00% | [1] | 0.10% | ||||
Liability Derivatives | $ (14,968) | $ (30,119) | |||||
Loss percentage of net assets | (0.40%) | (0.40%) | |||||
SERIES A | Long Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 37,316 | $ 31,941 | |||||
Gains percentage of net assets | 1.00% | 0.40% | |||||
Liability Derivatives | $ (2,489) | $ (1,525) | |||||
Loss percentage of net assets | (0.10%) | (0.00%) | [1] | ||||
SERIES A | Long Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 5,428 | $ 24,650 | |||||
Gains percentage of net assets | 0.10% | 0.30% | |||||
Liability Derivatives | $ (11,755) | $ (71,684) | |||||
Loss percentage of net assets | (0.30%) | (0.90%) | |||||
SERIES A | Long Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 40,361 | $ 86,482 | |||||
Gains percentage of net assets | 1.10% | 1.10% | |||||
Liability Derivatives | $ (15,743) | $ (46,035) | |||||
Loss percentage of net assets | (0.40%) | (0.60%) | |||||
SERIES A | Long Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,874 | $ 19,838 | |||||
Gains percentage of net assets | 0.10% | 0.30% | |||||
Liability Derivatives | $ (39,585) | $ (12,445) | |||||
Loss percentage of net assets | (1.10%) | (0.20%) | |||||
SERIES A | Long Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 8,080 | ||||||
Gains percentage of net assets | 0.10% | ||||||
SERIES A | Long Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 10,380 | $ 19,673 | |||||
Gains percentage of net assets | 0.30% | 0.30% | |||||
Liability Derivatives | $ (4,940) | ||||||
Loss percentage of net assets | (0.10%) | ||||||
SERIES A | Short Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 72,617 | $ 297,768 | |||||
Gains percentage of net assets | 2.00% | 3.80% | |||||
Liability Derivatives | $ (62,462) | $ (271,057) | |||||
Loss percentage of net assets | (1.80%) | (3.50%) | |||||
SERIES A | Short Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 3,235 | ||||||
Gains percentage of net assets | 0.10% | ||||||
Liability Derivatives | $ (5,386) | ||||||
Loss percentage of net assets | (0.10%) | ||||||
SERIES A | Short Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 7,389 | $ 37,040 | |||||
Gains percentage of net assets | 0.20% | 0.50% | |||||
Liability Derivatives | $ (2,370) | $ (59,172) | |||||
Loss percentage of net assets | (0.10%) | (0.80%) | |||||
SERIES A | Short Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 750 | $ 4,486 | |||||
Gains percentage of net assets | 0.00% | [1] | 0.10% | ||||
Liability Derivatives | $ (10,516) | $ (15,994) | |||||
Loss percentage of net assets | (0.30%) | (0.20%) | |||||
SERIES A | Short Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 11,771 | $ 73,127 | |||||
Gains percentage of net assets | 0.30% | 0.90% | |||||
Liability Derivatives | $ (7,241) | $ (18,694) | |||||
Loss percentage of net assets | (0.20%) | (0.20%) | |||||
SERIES A | Short Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 2,693 | $ 80,284 | |||||
Gains percentage of net assets | 0.10% | 1.00% | |||||
Liability Derivatives | $ (11,094) | $ (46,578) | |||||
Loss percentage of net assets | (0.30%) | (0.60%) | |||||
SERIES A | Short Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 46,779 | $ 18,053 | |||||
Gains percentage of net assets | 1.30% | 0.20% | |||||
Liability Derivatives | $ (1,985) | $ (62,758) | |||||
Loss percentage of net assets | (0.10%) | (0.80%) | |||||
SERIES A | Short Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Liability Derivatives | $ (18,160) | $ (7,490) | |||||
Loss percentage of net assets | (0.50%) | (0.10%) | |||||
SERIES A | Short Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 84,778 | ||||||
Gains percentage of net assets | 1.10% | ||||||
Liability Derivatives | $ (5,710) | $ (60,371) | |||||
Loss percentage of net assets | (0.20%) | (0.80%) | |||||
SERIES B | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 274,633 | $ 757,494 | |||||
Liability Derivatives | (239,865) | (647,995) | |||||
Net Unrealized Gain (Loss) on Open Positions | 34,768 | 109,499 | |||||
SERIES B | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (3,837) | ||||||
SERIES B | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (10,850) | (57,172) | |||||
SERIES B | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 41,509 | 20,669 | |||||
SERIES B | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (7,849) | 22,743 | |||||
SERIES B | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 6,768 | 102,373 | |||||
SERIES B | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 20,263 | (51,782) | |||||
SERIES B | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | (27,420) | (3,160) | |||||
SERIES B | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Net Unrealized Gain (Loss) on Open Positions | 16,184 | 75,828 | |||||
SERIES B | Long Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 170,269 | $ 291,979 | |||||
Gains percentage of net assets | 3.30% | 3.60% | |||||
Liability Derivatives | $ (137,360) | $ (242,851) | |||||
Loss percentage of net assets | (2.80%) | (2.90%) | |||||
SERIES B | Long Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 11,924 | ||||||
Gains percentage of net assets | 0.20% | ||||||
Liability Derivatives | $ (10,551) | ||||||
Loss percentage of net assets | (0.20%) | ||||||
SERIES B | Long Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,688 | $ 15,504 | |||||
Gains percentage of net assets | 0.00% | [1] | 0.20% | ||||
Liability Derivatives | $ (23,979) | $ (43,543) | |||||
Loss percentage of net assets | (0.50%) | (0.50%) | |||||
SERIES B | Long Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 68,343 | $ 46,209 | |||||
Gains percentage of net assets | 1.30% | 0.60% | |||||
Liability Derivatives | $ (9,624) | $ (2,260) | |||||
Loss percentage of net assets | (0.20%) | (0.00%) | [1] | ||||
SERIES B | Long Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 8,115 | $ 39,840 | |||||
Gains percentage of net assets | 0.20% | 0.50% | |||||
Liability Derivatives | $ (19,078) | $ (105,014) | |||||
Loss percentage of net assets | (0.40%) | (1.30%) | |||||
SERIES B | Long Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 52,014 | $ 125,419 | |||||
Gains percentage of net assets | 1.00% | 1.60% | |||||
Liability Derivatives | $ (33,570) | $ (67,366) | |||||
Loss percentage of net assets | (0.70%) | (0.80%) | |||||
SERIES B | Long Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 3,766 | $ 32,144 | |||||
Gains percentage of net assets | 0.10% | 0.40% | |||||
Liability Derivatives | $ (40,533) | $ (17,558) | |||||
Loss percentage of net assets | (0.80%) | (0.20%) | |||||
SERIES B | Long Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | $ 9,910 | |||||
Gains percentage of net assets | 0.00% | 0.10% | |||||
Liability Derivatives | $ 0 | ||||||
Loss percentage of net assets | (0.00%) | ||||||
SERIES B | Long Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 24,419 | $ 22,953 | |||||
Gains percentage of net assets | 0.50% | 0.30% | |||||
Liability Derivatives | $ (25) | $ (7,110) | |||||
Loss percentage of net assets | (0.00%) | [1] | (0.10%) | ||||
SERIES B | Short Position | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 104,364 | $ 465,515 | |||||
Gains percentage of net assets | 2.00% | 5.80% | |||||
Liability Derivatives | $ (102,505) | $ (405,144) | |||||
Loss percentage of net assets | (2.10%) | (5.10%) | |||||
SERIES B | Short Position | Foreign Exchange | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 8,759 | ||||||
Gains percentage of net assets | 0.20% | ||||||
Liability Derivatives | $ (13,969) | ||||||
Loss percentage of net assets | (0.30%) | ||||||
SERIES B | Short Position | Currency | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 12,626 | $ 58,359 | |||||
Gains percentage of net assets | 0.20% | 0.70% | |||||
Liability Derivatives | $ (1,185) | $ (87,492) | |||||
Loss percentage of net assets | (0.00%) | [1] | (1.10%) | ||||
SERIES B | Short Position | Financial | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 1,039 | $ 335 | |||||
Gains percentage of net assets | [1] | 0.00% | 0.00% | ||||
Liability Derivatives | $ (18,249) | $ (23,615) | |||||
Loss percentage of net assets | (0.40%) | (0.30%) | |||||
SERIES B | Short Position | Food & Fiber | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 16,353 | $ 109,306 | |||||
Gains percentage of net assets | 0.30% | 1.40% | |||||
Liability Derivatives | $ (13,239) | $ (21,389) | |||||
Loss percentage of net assets | (0.30%) | (0.30%) | |||||
SERIES B | Short Position | Indices | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 5,657 | $ 119,468 | |||||
Gains percentage of net assets | 0.10% | 1.50% | |||||
Liability Derivatives | $ (17,333) | $ (75,148) | |||||
Loss percentage of net assets | (0.30%) | (0.90%) | |||||
SERIES B | Short Position | Metals | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 59,930 | $ 29,097 | |||||
Gains percentage of net assets | 1.20% | 0.40% | |||||
Liability Derivatives | $ (2,900) | $ (95,465) | |||||
Loss percentage of net assets | (0.10%) | (1.20%) | |||||
SERIES B | Short Position | Livestock | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | ||||||
Liability Derivatives | $ (27,420) | $ (13,070) | |||||
Loss percentage of net assets | (0.50%) | (0.20%) | |||||
SERIES B | Short Position | Energy | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Asset Derivatives | $ 0 | $ 148,950 | |||||
Gains percentage of net assets | 0.00% | 1.80% | |||||
Liability Derivatives | $ (8,210) | $ (88,965) | |||||
Loss percentage of net assets | (0.20%) | (1.10%) | |||||
|
Disclosure of Derivative Instruments and Hedging Activities - Additional Information (Detail) - Contract |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Futures Contracts | Long Position | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 2,379 | |
Futures Contracts | Long Position | SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 897 | |
Futures Contracts | Long Position | SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,483 | |
Futures Contracts | Short Position | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,973 | |
Futures Contracts | Short Position | SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 764 | |
Futures Contracts | Short Position | SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,209 | |
Futures and Forward Contracts | Long Position | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,826 | |
Futures and Forward Contracts | Long Position | SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 705 | |
Futures and Forward Contracts | Long Position | SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,121 | |
Futures and Forward Contracts | Short Position | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 1,602 | |
Futures and Forward Contracts | Short Position | SERIES A | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 627 | |
Futures and Forward Contracts | Short Position | SERIES B | ||
Derivatives, Fair Value [Line Items] | ||
Average number of contracts | 975 |
Funds Trading Results by Market Sector (Detail) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | $ (1,984,219) | $ 1,146,706 |
Change in Net Unrealized Gains (Losses) | (116,028) | (548,962) |
Net Trading Gains (Losses) | (2,100,247) | 597,744 |
Foreign Exchange | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (63,171) | 52,987 |
Change in Net Unrealized Gains (Losses) | (8,618) | |
Net Trading Gains (Losses) | (71,789) | 52,987 |
Currency | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (562,974) | 295,019 |
Change in Net Unrealized Gains (Losses) | 79,612 | (180,869) |
Net Trading Gains (Losses) | (483,362) | 114,150 |
Financial | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | 224,978 | (304,154) |
Change in Net Unrealized Gains (Losses) | 26,997 | (439,256) |
Net Trading Gains (Losses) | 251,975 | (743,410) |
Food & Fiber | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (187,222) | (315,150) |
Change in Net Unrealized Gains (Losses) | (39,790) | 8,287 |
Net Trading Gains (Losses) | (227,012) | (306,863) |
Indices | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | 23,696 | 436,090 |
Change in Net Unrealized Gains (Losses) | (153,541) | (16,514) |
Net Trading Gains (Losses) | (129,845) | 419,576 |
Metals | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (663,151) | 407,307 |
Change in Net Unrealized Gains (Losses) | 116,440 | (185,506) |
Net Trading Gains (Losses) | (546,711) | 221,801 |
Livestock | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (95,670) | (824,090) |
Change in Net Unrealized Gains (Losses) | (43,010) | 207,540 |
Net Trading Gains (Losses) | (138,680) | (616,550) |
Energy | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (660,705) | 1,398,697 |
Change in Net Unrealized Gains (Losses) | (94,118) | 57,356 |
Net Trading Gains (Losses) | (754,823) | 1,456,053 |
SERIES A | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (809,248) | 437,588 |
Change in Net Unrealized Gains (Losses) | (41,294) | (207,666) |
Net Trading Gains (Losses) | (850,542) | 229,922 |
SERIES A | Foreign Exchange | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (22,124) | 18,553 |
Change in Net Unrealized Gains (Losses) | (4,781) | |
Net Trading Gains (Losses) | (26,905) | 18,553 |
SERIES A | Currency | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (225,131) | 98,047 |
Change in Net Unrealized Gains (Losses) | 33,290 | (70,757) |
Net Trading Gains (Losses) | (191,841) | 27,290 |
SERIES A | Financial | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | 88,433 | (114,684) |
Change in Net Unrealized Gains (Losses) | 6,157 | (161,174) |
Net Trading Gains (Losses) | 94,590 | (275,858) |
SERIES A | Food & Fiber | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (74,047) | (116,317) |
Change in Net Unrealized Gains (Losses) | (9,198) | (6,787) |
Net Trading Gains (Losses) | (83,245) | (123,104) |
SERIES A | Indices | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (36,803) | 134,349 |
Change in Net Unrealized Gains (Losses) | (57,936) | 9,752 |
Net Trading Gains (Losses) | (94,739) | 144,101 |
SERIES A | Metals | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (254,828) | 182,959 |
Change in Net Unrealized Gains (Losses) | 44,395 | (73,606) |
Net Trading Gains (Losses) | (210,433) | 109,353 |
SERIES A | Livestock | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (29,480) | (316,020) |
Change in Net Unrealized Gains (Losses) | (18,750) | 79,060 |
Net Trading Gains (Losses) | (48,230) | (236,960) |
SERIES A | Energy | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (255,268) | 550,701 |
Change in Net Unrealized Gains (Losses) | (34,471) | 15,846 |
Net Trading Gains (Losses) | (289,739) | 566,547 |
SERIES B | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (1,174,971) | 709,118 |
Change in Net Unrealized Gains (Losses) | (74,734) | (341,296) |
Net Trading Gains (Losses) | (1,249,705) | 367,822 |
SERIES B | Foreign Exchange | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (41,047) | 34,434 |
Change in Net Unrealized Gains (Losses) | (3,837) | |
Net Trading Gains (Losses) | (44,884) | 34,434 |
SERIES B | Currency | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (337,843) | 196,972 |
Change in Net Unrealized Gains (Losses) | 46,322 | (110,112) |
Net Trading Gains (Losses) | (291,521) | 86,860 |
SERIES B | Financial | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | 136,545 | (189,470) |
Change in Net Unrealized Gains (Losses) | 20,840 | (278,082) |
Net Trading Gains (Losses) | 157,385 | (467,552) |
SERIES B | Food & Fiber | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (113,175) | (198,833) |
Change in Net Unrealized Gains (Losses) | (30,592) | 15,074 |
Net Trading Gains (Losses) | (143,767) | (183,759) |
SERIES B | Indices | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | 60,499 | 301,741 |
Change in Net Unrealized Gains (Losses) | (95,605) | (26,266) |
Net Trading Gains (Losses) | (35,106) | 275,475 |
SERIES B | Metals | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (408,323) | 224,348 |
Change in Net Unrealized Gains (Losses) | 72,045 | (111,900) |
Net Trading Gains (Losses) | (336,278) | 112,448 |
SERIES B | Livestock | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (66,190) | (508,070) |
Change in Net Unrealized Gains (Losses) | (24,260) | 128,480 |
Net Trading Gains (Losses) | (90,450) | (379,590) |
SERIES B | Energy | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net Realized Gains (Losses) | (405,437) | 847,996 |
Change in Net Unrealized Gains (Losses) | (59,647) | 41,510 |
Net Trading Gains (Losses) | $ (465,084) | $ 889,506 |
Due From/To Brokers - Additional Information (Detail) |
Dec. 31, 2016
USD ($)
|
---|---|
Due to and from Broker-Dealers and Clearing Organizations [Abstract] | |
Due to Brokers | $ 0 |
Related Party Transactions - Additional Information (Detail) - USD ($) |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
||||
Superfund Capital Management | |||||
Related Party Transaction [Line Items] | |||||
Management Fee | 1.85% | ||||
Operating expenses percentage | 0.15% | ||||
Incentive fees | 25.00% | ||||
Selling commissions percentage | 4.00% | ||||
Maximum cumulative selling commission percentage | 10.00% | ||||
Rebated selling commission | $ 10,752 | $ 11,695 | |||
Combined value | 401,907 | 505,377 | |||
(Gains) losses allocated to Units of Series A and Series B | $ (56,505) | $ 34,698 | |||
SERIES A | |||||
Related Party Transaction [Line Items] | |||||
Incentive fees | [1] | 0.00% | 0.00% | ||
General partners ownership in capital accounts units issued percentage | 4.83% | 2.77% | |||
SERIES A | Superfund Capital Management | |||||
Related Party Transaction [Line Items] | |||||
Rebated selling commission | $ 198,833 | ||||
General partners ownership in capital accounts units issued | 178.298 | 178.298 | |||
SERIES B | |||||
Related Party Transaction [Line Items] | |||||
Incentive fees | [1] | 0.00% | 0.00% | ||
General partners ownership in capital accounts units issued percentage | 4.36% | 3.53% | |||
SERIES B | Superfund Capital Management | |||||
Related Party Transaction [Line Items] | |||||
Rebated selling commission | $ 240,211 | ||||
General partners ownership in capital accounts units issued | 213.297 | 204.874 | |||
General partners ownership in capital account units purchased For Series B | 8.423 | 8.087 | |||
|
Financial Highlights (Detail) - $ / shares |
12 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
||||||||
SERIES A | |||||||||
Financial Highlights [Line Items] | |||||||||
Total return before incentive fees | [1] | (20.00%) | (4.90%) | ||||||
Incentive fees | [1] | 0.00% | 0.00% | ||||||
Total return after incentive fees | [1] | (20.00%) | (4.90%) | ||||||
Ratio to average partners' capital, Operating expenses before incentive fees | 7.70% | 7.40% | |||||||
Ratio to average partners' capital, Incentive fees | 0.00% | 0.00% | |||||||
Ratio to average partners' capital, Total expenses | 7.70% | 7.40% | |||||||
Net investment loss | (7.70%) | (7.40%) | |||||||
Net asset value per unit, beginning of year | $ 1,222.26 | $ 1,283.60 | |||||||
Net investment loss | (86.90) | (93.40) | |||||||
Net gain (loss) on investments | (145.86) | 32.06 | |||||||
Total loss from operations | (232.76) | (61.34) | |||||||
Net asset value per unit, end of year | 989.50 | 1,222.26 | |||||||
Net decrease in net assets from operations per Unit (based upon weighted average Number of Units during year) | [2] | (238.77) | (61.12) | ||||||
Net decrease in net assets from operations per unit (based upon change in net asset value per unit during year) | $ (232.76) | $ (61.34) | |||||||
SERIES B | |||||||||
Financial Highlights [Line Items] | |||||||||
Total return before incentive fees | [1] | (25.10%) | (4.30%) | ||||||
Incentive fees | [1] | 0.00% | 0.00% | ||||||
Total return after incentive fees | [1] | (25.10%) | (4.30%) | ||||||
Ratio to average partners' capital, Operating expenses before incentive fees | 8.30% | 8.20% | |||||||
Ratio to average partners' capital, Incentive fees | 0.00% | 0.00% | |||||||
Ratio to average partners' capital, Total expenses | 8.30% | 8.20% | |||||||
Net investment loss | (8.30%) | (8.20%) | |||||||
Net asset value per unit, beginning of year | $ 1,392.13 | $ 1,462.68 | |||||||
Net investment loss | (104.57) | (118.52) | |||||||
Net gain (loss) on investments | (238.55) | 47.97 | |||||||
Total loss from operations | (343.12) | (70.55) | |||||||
Net asset value per unit, end of year | 1,049.01 | 1,392.13 | |||||||
Net decrease in net assets from operations per Unit (based upon weighted average Number of Units during year) | [3] | (337.83) | (62.42) | ||||||
Net decrease in net assets from operations per unit (based upon change in net asset value per unit during year) | $ (343.12) | $ (70.55) | |||||||
|
Financial Instrument Risk - Additional Information (Detail) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Exchange Traded Futures | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | $ 419,980 | $ 1,256,226 |
Loss On Derivative Instruments Pretax | 356,962 | 1,085,800 |
Exchange Traded Futures | SERIES A | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 166,030 | 498,732 |
Loss On Derivative Instruments Pretax | 141,617 | 437,805 |
Exchange Traded Futures | SERIES B | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 253,950 | 757,494 |
Loss On Derivative Instruments Pretax | 215,345 | $ 647,995 |
Non Exchange Traded Forwards | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 25,475 | |
Loss On Derivative Instruments Pretax | 34,093 | |
Non Exchange Traded Forwards | SERIES A | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 4,792 | |
Loss On Derivative Instruments Pretax | 9,573 | |
Non Exchange Traded Forwards | SERIES B | ||
Financial Instrument Risk [Line Items] | ||
Gain On Derivative Instruments Pretax | 20,683 | |
Loss On Derivative Instruments Pretax | $ 24,520 |
Subscriptions and Redemptions - Additional Information (Detail) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 4,439,736 | $ 4,420,419 |
Number of days for redemptions | 20 days | |
Net asset value per unit minimum decline rate | 50.00% | |
Minimum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 1,000 | |
Maximum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 10,000 | |
Partners capital account, number of days for a written request for redemptions | 5 days | |
Maximum | Special Redemption Period | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Partners capital account, maximum number of days to notify partners about special redemption event | 7 days |
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