FAIR VALUE OF INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2018

Schedule of unrealized profit (loss) on open forwards and futures contracts, by the fair value hierarchy levels

2018

Net unrealized profit (loss) (a) on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	14,550,441	$	12,425,810	$	2,124,631		$	—
Forwards	1,476,523		—		1,476,523			—

	$	16,026,964	$	12,425,810	$	3,601,154		$	—


Liabilities
Futures	$	9,363,577	$	6,198,695	$	3,164,882		$	—
Forwards	2,011,886		—		2,011,886			—

	$	11,375,463	$	6,198,695	$	5,176,768		$	—


September 30, 2018	$	4,651,501	$	6,227,115	$	(1,575,614	)	$	—

(a) Refer to note (a) within Note 2 regarding the presentation of receivable from broker due to variation margin which is included within the above fair value hierarchy.

2017

Net unrealized profit (loss) on open contracts	Total		Level I		Level II		Level III

Assets
Futures	$	26,926,899	$	15,451,347	$	11,475,552	$	—
Forwards	8,014,190		—		8,014,190		—

	$	34,941,089	$	15,451,347	$	19,489,742	$	—


Liabilities
Futures	$	15,093,936	$	12,380,974	$	2,712,962	$	—
Forwards	3,291,347		—		3,291,347		—

	$	18,385,283	$	12,380,974	$	6,004,309	$	—


December 31, 2017	$	16,555,806	$	3,070,373	$	13,485,433	$	—

Schedule of trading profits and losses before brokerage commissions, by commodity industry sector

	For the three months ended			For the nine months ended
	September 30, 2018			September 30, 2018
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	3,832,292		$	4,664,051
Currencies	26,790			(10,960,622		)
Energy	(2,264,424		)	10,166,783
Interest rates	(3,400,204		)	633,526
Metals	6,271,894			6,548,787
Stock indices	1,317,246			(572,311		)


Total, net	$	5,783,594		$	10,480,214

	For the three months ended			For the nine months ended
	September 30, 2017			September 30, 2017
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	(1,172,668	)	$	1,588,089
Currencies	203,706			(18,604,218		)
Energy	(2,332,714		)	(15,276,092		)
Interest rates	(2,763,298		)	(18,549,578		)
Metals	(3,938,702		)	(12,922,325		)
Stock indices	15,127,983			58,698,706


Total, net	$	5,124,307		$	(5,065,418	)

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

ML Winton FuturesAccess LLC 10-Q