Derivatives and Hedging

6 Months Ended

Jun. 30, 2013

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 Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their 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.

On January 1, 2013, the Partnership adopted Accounting Standards Update ("ASU") 2011-11, "Disclosure about Offsetting Assets and Liabilities" and ASU 2013-01, "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities".  ASU 2011-11 created a new disclosure requirement about the nature of an entity's rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11.  Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of accounting principles generally accepted in the United States of America ("U.S. GAAP") and those entities that prepare their financial statements on the basis of International Financial Reporting Standards.  The new guidance did not have a significant impact on the Partnership's financial statements.

The following tables summarize the valuation of the Partnership's investments as of June 30, 2013 and December 31, 2012, respectively.

Offsetting of Derivative Assets and Liabilities as of June 30, 2013:

	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
		$		$			$
Assets
Futures		–		–			–
Forwards		48,013		(63,655	)		(15,642	)
Total Assets		48,013		(63,655	)		(15,642	)
Liabilities
Futures		–		–			–
Forwards		7,018		(17,823	)		(10,805	)
Total Liabilities		7,018		(17,823	)		(10,805	)
Unrealized currency loss							(83,271	)
Total net unrealized loss on open contracts							(109,718	)

Offsetting of Derivative Assets and Liabilities as of December 31, 2012:

	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
		$		$			$
Assets
Futures		–		–			–
Forwards		47,414		(41,869	)		5,545
Total Assets		47,414		(41,869	)		5,545
Liabilities
Futures		–		–			–
Forwards		58,435		(22,608	)		35,827
Total Liabilities		58,435		(22,608	)		35,827
Unrealized currency gain							1,833
Total net unrealized gain on open contracts							43,205

The Effect of Trading Activities on the Statements of Financial Condition as of June 30, 2013:

Futures and Forward Contracts	Long Unrealized Gain		Long Unrealized Loss			Short Unrealized Gain		Short Unrealized Loss			Net Unrealized Loss			Average number of contracts outstanding for the six months (absolute quantity)
		$		$			$		$		$
Foreign currency		48,013		(63,655	)		7,018		(17,823	)		(26,447	)		1,617
Total		48,013		(63,655	)		7,018		(17,823	)		(26,447	)
Unrealized currency loss												(83,271	)
Total net unrealized loss on open contracts												(109,718	)

		Average number of
		contracts outstanding
		for the six months
		(absolute quantity)
Option Contracts at Fair Value	$
Options purchased	–		1

The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2012:

Futures and Forward Contracts	Long Unrealized Gain		Long Unrealized Loss			Short Unrealized Gain		Short Unrealized Loss			Net Unrealized Gain		Average number of contracts outstanding for the year (absolute quantity)
		$		$			$		$		$
Foreign currency		47,414		(41,869	)		58,435		(22,608	)		41,372		1,498
Total		47,414		(41,869	)		58,435		(22,608	)		41,372
Unrealized currency gain												1,833
Total net unrealized  gain on open contracts												43,205

The following tables summarize the net trading results of the Partnership for the three and six months ended June 30, 2013 and 2012, respectively.

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2013 included in Total Trading Results:

	For the Three Months			For the Six Months
	Ended June 30, 2013			Ended June 30, 2013
Type of Instrument		$			$
Commodity		(310,079	)		(478,069	)
Foreign currency		1,114,264			1,912,759
Unrealized currency loss		(13,160	)		(85,103	)
Total		791,025			1,349,587

Line Items on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2013:

	For the Three Months			For the Six Months
	Ended June 30, 2013			Ended June 30, 2013
Trading Results		$			$
Net realized		576,827			554,206
Net change in unrealized		(293,304	)		(152,923	)
Net realized loss on investment in KR Master Fund		(7,238	)		(196,062	)
Net realized gain on investment in Cambridge Master Fund		1,329,975			1,556,638
Net change in unrealized depreciation on investment in KR Master Fund		(302,838	)		(283,485	)
Net change in unrealized depreciation on investment in Cambridge Master Fund		(512,397	)		(128,787	)
Total Trading Results		791,025			1,349,587

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2012 included in Total Trading Results:

	For the Three Months			For the Six Months
	Ended June 30, 2012			Ended June 30, 2012
Type of Instrument		$			$
Commodity		(1,167,041	)		(1,570,942	)
Foreign currency		(304,440	)		(199,895	)
Unrealized currency loss		(2,785	)		(3,078	)
Total		(1,474,266	)		(1,773,915	)

Line Items on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2012:

	For the Three Months			For the Six Months
	Ended June 30, 2012			Ended June 30, 2012
Trading Results		$			$
Net realized		(285,558	)		(287,492	)
Net change in unrealized		(21,261	)		55,357
Net realized loss on investment in KR Master Fund		(80,590	)		(559,843	)
Net realized gain (loss) on investment in FL Master Fund		393,906			(1,431,332	)
Net change in unrealized appreciation (depreciation) on investment in KR Master Fund		(1,483,962	)		295,156
Net change in nrealized appreciation on investment in FL Master Fund		3,199			154,239
Total Trading Results		(1,474,266	)		(1,773,915	)