Derivatives and Hedging

9 Months Ended

Sep. 30, 2011

Derivatives and Hedging [Abstract]

Derivatives and Hedging

5.  Derivatives and Hedging

The Partnership's objective is to profit from speculative trading in Futures Interests.  Therefore, the Trading Advisor for the Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategy.  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. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention.

The following tables summarize the valuation of the Partnership's investments as of September 30, 2011 and December 31, 2010, respectively.

The Effect of Trading Activities on the Statements of Financial Condition as of September 30, 2011:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net   Unrealized  Gain/(Loss)	Average number of contracts outstanding for the nine months  (absolute quantity)
	$	$	$	$	$
Commodity	–	(3,081,918)	8,461,457	(359,627)	5,019,912	2,896
Equity	23,650	(905,925)	707,110	(505,876)	(681,041)	2,551
Foreign currency	157,112	(1,426,236)	4,160,533	(4,027,951)	(1,136,542)	24,046
Interest rate	428,192	(1,134,184)	29,210	(33,078)	(709,860)	10,312
Total	608,954	(6,548,263)	13,358,310	(4,926,532)	2,492,469
Unrealized currency loss					(388,803)
Total net unrealized gain on open contracts					2,103,666

The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2010:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net     Unrealized   Gain/(Loss)	Average number of contracts outstanding for the year (absolute quantity)
	$	$	$	$	$
Commodity	5,781,673	(67,947)	5,710	(105,138)	5,614,298	4,640
Equity	244,826	(1,176,255)	39,537	–	(891,892)	2,866
Foreign currency	4,755,171	(678,453)	854,409	(294,469)	4,636,658	17,648
Interest rate	392,619	(69,212)	72,075	(1,264,435)	(868,953)	8,548
Total	11,174,289	(1,991,867)	971,731	(1,664,042)	8,490,111
Unrealized currency loss					(184,614)
Total net unrealized gain on open contracts					8,305,497

The following tables summarize the net trading results of the Partnership for the three and nine months ended September 30, 2011 and 2010, respectively.

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2011 included in Total Trading Results:

	For the Three Months	For the Nine Months
	Ended September 30, 2011	Ended September 30, 2011
Type of Instrument	$	$
Commodity	(573,114)	(5,192,218)
Equity	(18,948,096)	(29,530,261)
Foreign currency	(11,596,080)	(14,432,209)
Interest rate	12,523,762	14,870,161
Unrealized currency gain (loss)	26,296	(204,189)
Total	(18,567,232)	(34,488,716)

Line Items on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2011:

	For the Three Months	For the Nine Months
	Ended September 30, 2011	Ended September 30, 2011
Trading Results	$	$
Realized	(23,088,567)	(28,286,885)
Net change in unrealized	4,521,335	(6,201,831)
Total Trading Results	(18,567,232)	(34,488,716)

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2010 included in Total Trading Results:

	For the Three Months	For the Nine Months
	Ended September 30, 2010	Ended September 30, 2010
Type of Instrument	$	$
Commodity	4,619,626	(15,341,818)
Equity	(6,588,505)	(24,490,754)
Foreign currency	5,849,717	4,329,881
Interest rate	9,822,753	36,973,606
Unrealized currency loss	(131,232)	(6,806)
Proceeds from Litigation Settlement	20,678	20,678
Total	13,593,037	1,484,787

Line Items on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2010:

	For the Three Months	For the Nine Months
	Ended September 30, 2010	Ended September 30, 2010
Trading Results	$	$
Realized	(319,563)	(4,699,010)
Net change in unrealized	13,891,922	6,163,119
Proceeds from Litigation Settlement	20,678	20,678
Total Trading Results	13,593,037	1,484,787