Trading Activities

9 Months Ended

Sep. 30, 2011


3.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreements between the Partnership and CGM and JWH Master and CGM give the Partnership and JWH Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership and JWH Master net, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership, during the three months ended September 30, 2011 and 2010 were 273 and 237, respectively. The monthly average number of futures contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were 275 and 248, respectively. The monthly average number of metal forward contracts traded directly by the Partnership, during the three months ended September 30, 2011 and 2010 were 45 and 24, respectively. The monthly average number of metal forward contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were 29 and 23, respectively.

The monthly average number of futures contracts traded by JWH Master, during the three months ended September 30, 2011 and 2010 were 2,604 and 2,203, respectively. The monthly average number of futures contracts traded by JWH Master, during the nine months ended September 30, 2011 and 2010 were 2,216 and 2,158, respectively.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

The following tables indicate the Partnership’s gross fair values of derivative instruments of futures and forward contracts traded directly by the Partnership as separate assets and liabilities as of September 30, 2011 and December 31, 2010.


Assets	September 30,
Futures Contracts	2011
Currencies	$	56,938
Energy		110,010
Grains		41,292
Indices		28,600
Interest Rates U.S.		77,906
Livestock		3,700
Metals		51,155
Softs		29,450

Total unrealized appreciation on open futures contracts	$	399,051


Liabilities
Futures Contracts
Grains	$	(15,500	)
Indices		(55,487	)
Interest Rates U.S.		(9,775	)
Interest Rates non-U.S.		(30,351	)
Softs		(2,090	)

Total unrealized depreciation on open futures contracts	$	(113,203	)

Net unrealized appreciation on open futures contracts	$	285,848	*


Assets	September 30,
Forward Contracts	2011
Metals	$	177,575

Total unrealized appreciation on open forward contracts	$	177,575

Net unrealized appreciation on open forward contracts	$	177,575	**


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

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


	December 31, 2010

Assets
Futures Contracts
Currencies	$	122,819
Energy		24,947
Grains		142,491
Indices		14,510
Interest Rates Non-U.S.		989
Livestock		11,920
Metals		56,575
Softs		50,963

Total unrealized appreciation on open futures contracts	$	425,214

Liabilities
Futures Contracts
Currencies	$	(14,975	)
Energy		(12,500	)
Indices		(15,702	)
Interest Rates U.S.		(4,644	)
Interest Rates Non-U.S.		(32,068	)
Softs		(15,620	)

Total unrealized depreciation on open futures contracts	$	(95,509	)

Net unrealized appreciation on open futures contracts	$	329,705	*


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


	December 31, 2010

Assets
Forward Contracts
Metals	$	99,712

Total unrealized appreciation on open forward contracts		99,712

Net unrealized appreciation on open forward contracts	$	99,712	**


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

The following tables indicate the trading results, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2011 and 2010.


	Three Months			Three Months			Nine Months			Nine Months
Sector	September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2010
Currencies	$	(122,970	)	$	31,581		$	(347,204	)	$	49,757
Energy		181,931			(134,318	)		(109,991	)		(310,907	)
Grains		(63,360	)		74,628			(189,793	)		(29,836	)
Indices		(160,944	)		(128,862	)		(413,564	)		(308,027	)
Interest Rates U.S.		317,946			166,788			324,972			317,804
Interest Rates Non-U.S.		343,763			162,548			327,452			501,752
Livestock		12,600			16,630			(31,790	)		11,810
Metals		171,660			(38,244	)		101,190			(153,078	)
Softs		(131,512	)		182,572			(81,106	)		(80,253	)

Total	$	549,114	***	$	333,323	***	$	(419,834	)***	$	(978	)***


***		This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.