Fair Value Measurements and Disclosures

9 Months Ended

Sep. 30, 2011

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

6.  Fair Value Measurements and Disclosures

Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.  Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 - unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 - inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates, credit risk); and Level 3 - unobservable inputs for the asset or liability (including the Partnership's own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.  In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.  The Partnership's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The Partnership's assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.

September 30, 2011	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
	$	$	$	$
Assets
Futures	102,269	–	n/a	102,269
Forwards	–	1,524,128	n/a	1,524,128
Options Purchased	–	760	n/a	760
Total Assets	102,269	1,524,888	n/a	1,627,157
Liabilities
Futures	40,607	–	n/a	40,607
Forwards	–	248,124	n/a	248,124
Total Liabilities	40,607	248,124	n/a	288,731
Unrealized currency gain				44,886
*Net fair value	61,662	1,276,764	n/a	1,383,312

December 31, 2010	Unadjusted Quoted Prices in Active Markets for Identical  Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
	$	$	$	$
Assets
Futures	74,100	–	n/a	74,100
Forwards	–	1,227,677	n/a	1,227,677
Options Purchased	–	4,459	n/a	4,459
Total Assets	74,100	1,232,136	n/a	1,306,236
Liabilities
Futures	–	–	n/a	–
Forwards	–	291,624	n/a	291,624
Total Liabilities	–	291,624	n/a	291,624
Unrealized currency gain				108,283
*Net fair value	74,100	940,512	n/a	1,122,895

* This amount comprises the “Total net unrealized gain on open contracts” and “Options purchased” on the Statements of Financial Condition.