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Trading Activities
 9 Months Ended
Sep. 30, 2016
Brokers and Dealers [Abstract]  
Trading Activities
5.

Trading Activities:

The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategies. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures.

 

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended September 30, 2016 and 2015 were 6,330 and 9,207, respectively. The monthly average number of futures contracts traded during the nine months ended September 30, 2016 and 2015 were 6,802 and 8,465, respectively. The monthly average number of metals forward contracts traded during the three months ended September 30, 2016 and 2015 were 705 and 1,162, respectively. The monthly average number of metals forward contracts traded during the nine months ended September 30, 2016 and 2015 were 1,041 and 1,171, respectively. The monthly average notional values of currency forward contracts traded during the three months ended September 30, 2016 and 2015 were $125,057,345 and $112,270,483 respectively. The monthly average notional values of currency forward contracts traded during the nine months ended September 30, 2016 and 2015 were $118,653,293 and $127,625,190, respectively.

The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting agreements or similar agreements as of September 30, 2016 and December 31, 2015, respectively.

 

September 30, 2016

   Gross Amounts
Recognized		     Gross Amounts
Offset in the
Statements of
Financial
Condition		     Amounts
Presented in the
Statements of
Financial
Condition		     Gross Amounts Not Offset in the
Statements of Financial Condition		     Net Amount  
        Financial
Instruments		     Cash Collateral
Received/
Pledged*		    

Assets

            

Futures

    $         2,404,371         $         (1,273,030)        $         1,131,341        $                 -           $                     -           $     1,131,341    

Forwards

     1,053,943          (731,337)         322,606         -            -            322,606    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

    $ 3,458,314         $ (2,004,367)        $ 1,453,947        $ -           $ -           $ 1,453,947    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Futures

    $ (1,273,030)        $ 1,273,030         $ -           $ -           $ -           $ -       

Forwards

     (731,337)         731,337          -            -            -            -       
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

    $ (2,004,367)        $ 2,004,367         $ -           $ -           $ -           $ -       
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

              $ 1,453,947  * 
           

 

 

  

December 31, 2015

   Gross Amounts
Recognized		     Gross Amounts
Offset in the
Statements of
Financial
Condition		     Amounts
Presented in the
Statements of
Financial
Condition		     Gross Amounts Not Offset in the
Statements of Financial  Condition		     Net Amount  
        Financial
Instruments		     Cash Collateral
Received/
Pledged*		    

Assets

            

Futures

    $ 3,831,162         $ (2,431,726)        $ 1,399,436        $ -           $ -           $ 1,399,436    

Forwards

     1,168,919          (1,125,088)         43,831         -            -            43,831    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

    $ 5,000,081         $ (3,556,814)        $ 1,443,267        $ -           $ -           $ 1,443,267    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Futures

    $ (2,431,726)        $ 2,431,726         $ -           $ -           $ -           $ -       

Forwards

     (1,125,088)         1,125,088          -            -            -            -       
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

    $ (3,556,814)        $ 3,556,814         $ -           $ -           $ -           $ -       
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

              $ 1,443,267  * 
           

 

 

  

 

*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown on the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2016 and December 31, 2015, respectively.

 

    

September 30, 2016

  

Assets

   

Futures Contracts

   

Commodity

     $                 1,236,313     

Equity

      385,966     

Currencies

      194,614     

Interest rates

      587,478     
  

 

 

  

Total unrealized appreciation on open futures contracts

      2,404,371     
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (691,687)    

Equity

      (341,599)    

Currencies

      (69,054)    

Interest rates

      (170,690)    
  

 

 

  

Total unrealized depreciation on open futures contracts

      (1,273,030)    
  

 

 

  

Net unrealized appreciation on open futures contracts

     $ 1,131,341   * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

     $ 514,365     

Currencies

      539,578     
  

 

 

  

Total unrealized appreciation on open forward contracts

      1,053,943     
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (586,090)    

Currencies

      (145,247)    
  

 

 

  

Total unrealized depreciation on open forward contracts

      (731,337)    
  

 

 

  

Net unrealized appreciation on open forward contracts

     $ 322,606   ** 
  

 

 

  

 

*

This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition.
**

This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition.

 

     December 31, 2015  

Assets

   

Futures Contracts

   

Commodity

     $                 2,019,400     

Equity

      196,959     

Currencies

      1,206,216     

Interest rates

      408,587     
  

 

 

  

Total unrealized appreciation on open futures contracts

      3,831,162     
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (937,844)    

Equity

      (421,360)    

Currencies

      (469,882)    

Interest rates

      (602,640)    
  

 

 

  

Total unrealized depreciation on open futures contracts

      (2,431,726)    
  

 

 

  

Net unrealized appreciation on open futures contracts

     $ 1,399,436   * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

     $ 740,942     

Currencies

      427,977     
  

 

 

  

Total unrealized appreciation on open forward contracts

      1,168,919     
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (954,788)    

Currencies

      (170,300)    
  

 

 

  

Total unrealized depreciation on open forward contracts

      (1,125,088)    
  

 

 

  

Net unrealized appreciation on open forward contracts

     $ 43,831   ** 
  

 

 

  

 

*

This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition.
**

This amount is in “Net unrealized appreciation on open forward contracts” in the Statements of Financial Condition.

 

The following table indicates the Partnership’s trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2016 and 2015.

 

     Three Months Ended
September 30,		     Nine Months Ended
September 30,		  

Sector

    2016     2015     2016     2015  

Commodity

     $                 (2,877,622)        $                 2,165,636         $                 (3,793,652)        $                 (4,110,606)    

Equity

      1,259,997          (3,442,268)         (2,168,569)         (1,424,424)    

Currencies

      (643,880)         482,957          (828,238)         3,172,201     

Interest rates

      (831,205)         2,449,800          2,141,205          2,690,760     
  

 

 

    

 

 

    

 

 

    

 

 

  

Total

     $ (3,092,710)  ***     $ 1,656,125   ***     $ (4,649,254)  ***     $ 327,931   *** 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

***

This amount is in “Total trading results” in the Statements of Income and Expenses.