XML 28 R13.htm IDEA: XBRL DOCUMENT v3.8.0.1
Trading Activities
 12 Months Ended
Dec. 31, 2017
Brokers and Dealers [Abstract]  
Trading Activities

6. Trading Activities:

Tactical Currency’s, Spectrum Select’s and Spectrum Strategic’s objective is to profit from speculative trading in Futures Interests. Prior to its termination of operations effective December 31, 2017, Spectrum Technical had the same objective. Therefore, the trading advisors for Tactical Currency, Spectrum Select and Spectrum Strategic will take, and the trading advisors for Spectrum Technical took, speculative positions in Futures Interests where they feel or felt that the best profit opportunities exist for their respective 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.

100% of Tactical Currency’s contracts, held indirectly through its investment in Cambridge Master Fund, are traded over-the-counter.

The General Partner estimates that, at any given time, approximately 13.8% to 33.3% of Spectrum Select’s contracts are traded over-the-counter.

None of Spectrum Strategic’s contracts held indirectly through its investment in the Funds are traded over-the-counter, although contracts may be traded over-the-counter in the future.

The General Partner estimates that prior to its termination of operations effective December 31, 2017, approximately 23.5% to 49.7% of Spectrum Technical’s contracts held both directly and indirectly through its investment in SECOR Master Fund were traded over-the-counter.

All of the Futures Interests owned by Spectrum Select are held for trading purposes. The monthly average number of futures contracts traded by Spectrum Select during the years ended December 31, 2017 and 2016 were 4,357 and 6,303, respectively. The monthly average number of metals forward contracts traded by Spectrum Select during the years ended December 31, 2017 and 2016 were 519 and 965, respectively. The monthly average notional value of currency forward contracts traded by Spectrum Select during the years ended December 31, 2017 and 2016 were $137,886,860 and $117,997,719, respectively.

All of the commodity interests owned by Spectrum Technical were held for trading purposes. The monthly average number of futures contracts traded directly by Spectrum Technical during the years ended December 31, 2017 and 2016 were 2,561 and 3,074, respectively. The monthly average number of metals forward contracts traded directly by Spectrum Technical during the years ended December 31, 2017 and 2016 were 136 and 393, respectively. The monthly average notional value of currency forward contracts traded directly by Spectrum Technical during the years ended December 31, 2017 and 2016 were $128,414,860 and $302,187,265, respectively.

 

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of Spectrum Select’s and Spectrum Technical’s derivatives and their offsetting subject to master netting or similar arrangements as of December 31, 2017 (termination of operations for Spectrum Technical) and 2016, respectively.

Spectrum Select

 

        

 Gross Amounts 

Offset in the

  

Amounts

Presented in the

    Gross Amounts Not Offset in the
 Statements of Financial Condition 		       
         Statements of    Statements of           Cash Collateral        
      Gross Amounts    Financial   Financial    Financial    Received/       

December 31, 2017

    Recognized   Condition   Condition      Instruments      Pledged*      Net Amount    

Assets

                

Futures

      $ 2,377,628       $ (639,577 )      $ 1,738,051        $ -            $ -            $ 1,738,051    

Forwards

      1,275,513       (789,082 )      486,431        -            -            486,431    
  

 

 

 

  

 

 

 

  

 

 

 

   

 

 

 

   

 

 

 

   

 

 

  

Total assets

      $ 3,653,141       $ (1,428,659 )      $ 2,224,482        $ -            $ -            $ 2,224,482    
  

 

 

 

  

 

 

 

  

 

 

 

   

 

 

 

   

 

 

 

   

 

 

  

Liabilities

                

Futures

      $ (639,577 )      $ 639,577       $ -            $ -            $ -            $ -        

Forwards

      (789,082 )      789,082       -            -            -            -        
  

 

 

 

  

 

 

 

  

 

 

 

   

 

 

 

   

 

 

 

   

 

 

  

Total liabilities

      $ (1,428,659 )      $ 1,428,659       $ -            $ -            $ -            $ -        
  

 

 

 

  

 

 

 

  

 

 

 

   

 

 

 

   

 

 

 

   

 

 

  

Net fair value

                   $ 2,224,482     * 
               

 

 

  

 

        

 Gross Amounts 

Offset in the

  

Amounts

Presented in the

   Gross Amounts Not Offset in the
 Statements of Financial Condition 		       
         Statements of    Statements of          Cash Collateral        
      Gross Amounts    Financial   Financial   Financial    Received/       

December 31, 2016

    Recognized   Condition   Condition     Instruments      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 Spectrum Select, MS&Co., Spectrum Select’s commodity futures broker and the sole counterparty to Spectrum Select’s non-exchange traded contracts, as applicable, has the right to offset Spectrum Select’s obligation with Spectrum Select’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain circumstances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., Spectrum Select is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, Spectrum Select’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.

 

Spectrum Technical (Partnership in Liquidation)

 

          Gross Amounts     Amounts     Gross Amounts Not Offset in the        
          Offset in the     Presented in the     Statements of Financial Condition        
          Statements of     Statements of           Cash Collateral        
    Gross Amounts     Financial     Financial     Financial     Received/        

December 31, 2017

   Recognized     Condition     Condition     Instruments     Pledged*     Net Amount    

Assets

            

Forwards

    $ 812,258       $ (775,086)      $ 37,172       $ -          $ -          $ 37,172   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

    $ 812,258       $ (775,086)      $ 37,172       $ -          $ -          $ 37,172   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Forwards

    $ (775,086)      $ 775,086       $ -          $ -          $ -          $ -      
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

    $ (775,086)      $ 775,086       $ -          $ -          $ -          $ -      
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

              $ 37,172  * 
           

 

 

  
          Gross Amounts     Amounts     Gross Amounts Not Offset in the        
          Offset in the     Presented in the     Statements of Financial Condition        
          Statements of     Statements of           Cash Collateral        
    Gross Amounts     Financial     Financial     Financial     Received/        

December 31, 2016

   Recognized     Condition     Condition     Instruments     Pledged*     Net Amount    

Assets

            

Futures

    $ 1,051,049       $ (756,615)      $ 294,434       $ -          $ -          $ 294,434   

Forwards

     665,811        (665,811)       -           -           -           -      
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

    $ 1,716,860       $ (1,422,426)      $ 294,434       $ -          $ -          $ 294,434   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

            

Futures

    $ (756,615)      $ 756,615       $ -          $ -          $ -          $ -      

Forwards

     (730,361)       665,811        (64,550)       -           -           (64,550)  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

    $ (1,486,976)      $ 1,422,426       $ (64,550)      $ -          $ -          $ (64,550)  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net fair value

              $     229,884  * 
           

 

 

  

 

*

In the event of default by Spectrum Technical, MS&Co., Spectrum Technical’s commodity futures broker and the sole counterparty to Spectrum Technical’s non-exchange traded contracts, as applicable, had the right to offset Spectrum Technical’s obligation with Spectrum Technical’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain circumstances, MS&Co. may not have posted collateral and as such, in the event of default by MS&Co., Spectrum Technical was exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, Spectrum Technical’s exposure to counterparty risk may have been reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may have been available in the event of a default.

 

The following tables indicate the gross fair values of Spectrum Select’s and Spectrum Technical’s derivative instruments of futures and forward contracts as separate assets and liabilities as of December 31, 2017 (termination of operations for Spectrum Technical) and 2016, respectively.

Spectrum Select

 

          December 31, 2017       

Assets

   

Futures Contracts

   

Commodity

     $ 1,273,423   

Equity

      489,126   

Currencies

      196,144   

Interest rates

      418,935   
  

 

 

  

Total unrealized appreciation on open futures contracts

      2,377,628   
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (187,625)  

Equity

      (107,968)  

Currencies

      (3,001)  

Interest rates

      (340,983)  
  

 

 

  

Total unrealized depreciation on open futures contracts

      (639,577)  
  

 

 

  

Net unrealized appreciation on open futures contracts

     $ 1,738,051  * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

     $ 897,185   

Currencies

      378,328   
  

 

 

  

Total unrealized appreciation on open forward contracts

      1,275,513   
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (385,217)  

Currencies

      (403,865)  
  

 

 

  

Total unrealized depreciation on open forward contracts

      (789,082)  
  

 

 

  

Net unrealized appreciation on open forward contracts

     $ 486,431  ** 
  

 

 

  

 

*

This amount is in “Net unrealized appreciation on open futures contracts” in Spectrum Select’s Statements of Financial Condition.
**

This amount is in “Net unrealized appreciation on open forward contracts” in Spectrum Select’s 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 Spectrum Select’s Statements of Financial Condition.
**

This amount is in “Net unrealized depreciation on open forward contracts” in Spectrum Select’s Statements of Financial Condition.

Spectrum Technical (Partnership in Liquidation)

 

       December 31, 2017    

Assets

   

Forward Contracts

   

Commodity

      $ 160,614   

Currencies

      651,644   
  

 

 

  

Total unrealized appreciation on open forward contracts

      812,258   
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (129,671)  

Currencies

      (645,415)  
  

 

 

  

Total unrealized depreciation on open forward contracts

      (775,086)  
  

 

 

  

Net unrealized appreciation on open forward contracts

      $             37,172    * 
  

 

 

  

 

* This amount is in “Net unrealized appreciation on open forward contracts” in Spectrum Technical’s Statements of Financial Condition.

 

       December 31, 2016    

Assets

   

Futures Contracts

   

Commodity

      $                 323,692   

Equity

      348,618   

Currencies

      24,345   

Interest rates

      354,394   
  

 

 

  

Total unrealized appreciation on open futures contracts

      1,051,049   
  

 

 

  

Liabilities

   

Futures Contracts

   

Commodity

      (226,494)  

Equity

      (140,355)  

Currencies

      (144,708)  

Interest rates

      (245,058)  
  

 

 

  

Total unrealized depreciation on open futures contracts

      (756,615)  
  

 

 

  

Net unrealized appreciation on open futures contracts

      $ 294,434    * 
  

 

 

  

Assets

   

Forward Contracts

   

Commodity

      $ 58,919   

Currencies

      606,892   
  

 

 

  

Total unrealized appreciation on open forward contracts

      665,811   
  

 

 

  

Liabilities

   

Forward Contracts

   

Commodity

      (293,032)  

Currencies

      (437,329)  
  

 

 

  

Total unrealized depreciation on open forward contracts

      (730,361)  
  

 

 

  

Net unrealized depreciation on open forward contracts

      $ (64,550)   ** 
  

 

 

  

 

* This amount is in “Net unrealized appreciation on open futures contracts” in Spectrum Technical’s Statements of Financial Condition.
** This amount is in “Net unrealized depreciation on open forward contracts” in Spectrum Technical’s Statements of Financial Condition.

 

The following tables indicate the trading gains and losses, by market sector, on Spectrum Select’s and Spectrum Technical’s derivative instruments for the years ended December 31, 2017 (termination of operations for Spectrum Technical), 2016 and 2015, respectively.

Spectrum Select

 

Sector

        2017             2016             2015      

Commodity

      $ (1,213,211)        $ (6,068,586)        $ (1,071,073)   

Equity

      11,348,033         (2,859,526)        (2,848,607)   

Currencies

      (4,000,339)        (701,495)        2,577,114    

Interest rates

      (3,345,527)        966,204         (132,336)   
  

 

 

    

 

 

    

 

 

  

Total

      $         2,788,956     *      $     (8,663,403)    *      $     (1,474,902)    * 
  

 

 

    

 

 

    

 

 

  
Spectrum Technical (Partnership in Liquidation)      

Sector

        2017             2016             2015      

Commodity

      $ (474,670)        $ (3,763,856)        $ 5,162,412    

Equity

              3,849,458         1,904,910         (769,729)   

Currencies

      (1,468,047)        (409,677)            1,503,142    

Interest rates

      (1,283,840)        1,151,677         344,021    
  

 

 

    

 

 

    

 

 

  

Total

      $ 622,901     *      $     (1,116,946)    *      $ 6,239,846     * 
  

 

 

    

 

 

    

 

 

  

* This amount is included in “Total trading results” in the respective Partnership’s Statements of Income and Expenses.