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Trading Activities
 6 Months Ended
Jun. 30, 2017
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 Futures Interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended June 30, 2017 and 2016 were 4,688 and 5,781, respectively. The monthly average number of futures contracts traded during the six months ended June 30, 2017 and 2016 were 4,689 and 7,038, respectively. The monthly average number of metal forward contracts traded during the three months ended June 30, 2017 and 2016 were 506 and 1,168, respectively. The monthly average number of metal forward contracts traded during the six months ended June 30, 2017 and 2016 were 557 and 1,209, respectively. The monthly average notional values of currency forward contracts traded during the three months ended June 30, 2017 and 2016 were $162,758,395 and $118,755,428, respectively. The monthly average notional values of currency forward contracts traded during the six months ended June 30, 2017 and 2016 were $143,084,513 and $115,451,266, 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 June 30, 2017 and December 31, 2016, respectively.

 

          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		        

June 30, 2017

   Gross Amounts
Recognized		         Financial
Instruments		     Cash Collateral
Received/ Pledged*		     Net Amount  

Assets

            

Futures

     $ 1,107,221         $ (1,107,221)        $ -             $ -             $ -             $ -        

Forwards

     1,392,040         (1,392,040)        -             -             -             -        
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     $ 2,499,261         $ (2,499,261)        $ -             $ -             $ -             $ -        
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Futures

     $ (2,628,562)        $ 1,107,221         $ (1,521,341)        $ -             $ -             $ (1,521,341)   

Forwards

     (1,557,630)        1,392,040         (165,590)        -             -             (165,590)   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     $     (4,186,192)        $     2,499,261         $     (1,686,931)        $         -             $             -             $ (1,686,931)   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

               $     (1,686,931)  * 
           

 

 

  
          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		        

December 31, 2016

   Gross Amounts
Recognized		         Financial
Instruments		     Cash Collateral
Received/ Pledged*		     Net Amount  

Assets

            

Futures

     $ 2,203,401         $ (827,990)        $ 1,375,411         $ -             $ -             $ 1,375,411    

Forwards

     1,069,028         (1,069,028)        -             -             -             -        
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

     $ 3,272,429         $ (1,897,018)        $ 1,375,411         $ -             $ -             $ 1,375,411    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Futures

     $ (827,990)        $ 827,990         $ -             $ -             $ -             $ -        

Forwards

     (1,116,899)        1,069,028         (47,871)        -             -             (47,871)   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

     $ (1,944,889)        $ 1,897,018         $ (47,871)        $ -             $ -             $ (47,871)   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

               $    1,327,540   * 
           

 

 

  

 

*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-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 funds 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 June 30, 2017 and December 31, 2016, respectively.

 

           June 30, 2017        

Assets

   

Futures Contracts

   

Commodity

      $ 580,631    

Equity

      116,814    

Currencies

      250,344    

Interest rates

      159,432    
  

 

 

  

Total unrealized appreciation on open futures contracts

      1,107,221    
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (729,476)   

Equity

      (799,425)   

Currencies

      (17,194)   

Interest rates

      (1,082,467)   
  

 

 

  

Total unrealized depreciation on open futures contracts

      (2,628,562)   
  

 

 

  

Net unrealized depreciation on open futures contracts

      $ (1,521,341)  * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

      $ 352,452    

Currencies

      1,039,588    
  

 

 

  

Total unrealized appreciation on open forward contracts

      1,392,040    
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (638,765)   

Currencies

      (918,865)   
  

 

 

  

Total unrealized depreciation on open forward contracts

      (1,557,630)   
  

 

 

  

Net unrealized depreciation on open forward contracts

      $           (165,590)  ** 
  

 

 

  

 

*

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

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

 

         December 31, 2016      

Assets

   

Futures Contracts

   

Commodity

      $ 864,337    

Equity

      696,575    

Currencies

      202,478    

Interest rates

      440,011    
  

 

 

  

Total unrealized appreciation on open futures contracts

      2,203,401    
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (385,917)   

Equity

      (263,755)   

Currencies

      (55,806)   

Interest rates

      (122,512)   
  

 

 

  

Total unrealized depreciation on open futures contracts

      (827,990)   
  

 

 

  

Net unrealized appreciation on open futures contracts

      $ 1,375,411  * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

      $ 370,551    

Currencies

      698,477    
  

 

 

  

Total unrealized appreciation on open forward contracts

      1,069,028    
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (534,709)   

Currencies

      (582,190)   
  

 

 

  

Total unrealized depreciation on open forward contracts

      (1,116,899)   
  

 

 

  

Net unrealized depreciation on open forward contracts

      $           (47,871)  ** 
  

 

 

  

 

*

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

This amount is in “Net unrealized depreciation 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 six months ended June 30, 2017 and 2016.

 

     Three Months Ended
June 30,		     Six Months Ended
June 30,		  

Sector

    2017     2016     2017     2016  

Commodity

      $ (548,754)        $ (979,233)        $ (2,866,174)        $ (916,030)   

Equity

      1,892,065         (2,207,645)        5,835,287         (3,428,566)   

Currencies

      (1,721,807)        256,808         (3,128,552)        (184,358)   

Interest rates

      (1,144,304)        2,355,258         (2,033,183)        2,972,410    
  

 

 

    

 

 

    

 

 

    

 

 

  

Total

      $         (1,522,800)  ***    $         (574,812)  ***      $         (2,192,622)  ***      $         (1,556,544)  *** 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

***

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