Derivatives and Hedging

6 Months Ended

Jun. 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 June 30, 2011 and December 31, 2010, respectively.

The Effect of Trading Activities on the Statements of Financial Condition as of June 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 six months (absolute quantity)
	$	$	$	$	$
Commodity	142,624	(476,805)	202,512	(276,934)	(408,603)	459
Equity	627,958	–	–	(175,242)	452,716	537
Foreign currency	386,446	(502,221)	84,464	(56,678)	(87,989)	9,234
Interest rate	–	(1,419,313)	–	(7,078)	(1,426,391)	2,027
Total	1,157,028	(2,398,339)	286,976	(515,932)	(1,470,267)
Unrealized currency loss					(2,383,777)
Total net unrealized loss on open contracts					(3,854,044)

		Average number of
		contracts outstanding
		for the six months
		(absolute quantity)
Option Contracts at Fair Value	$
Options purchased	178,422	2
Options written	(68,918)	1

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	1,337,918	(58,825)	–	(79,630)	1,199,463	562
Equity	188,291	(170,905)	10,264	–	27,650	579
Foreign currency	2,099,244	(267,960)	148,803	(645,309)	1,334,778	6,666
Interest rate	106,248	–	13,334	(173,022)	(53,440)	2,512
Total	3,731,701	(497,690)	172,401	(897,961)	2,508,451
Unrealized currency loss					(2,368,555)
Total net unrealized gain on open contracts					139,896

		Average number of
		contracts outstanding
		for the year
		(absolute quantity)
Option Contracts at Fair Value	$
Options purchased	366,896	3
Options written	(166,225)	3

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

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

	For the Three Months	For the Six Months
	Ended June 30, 2011	Ended June 30, 2011
Type of Instrument	$	$
Commodity	(2,527,960)	(1,187,025)
Equity	(1,321,211)	(2,806,462)
Foreign currency	2,430,643	973,572
Interest rate	2,448,519	1,119,120
Unrealized currency loss	(11,275)	(15,222)
Total	1,018,716	(1,916,017)

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

	For the Three Months	For the Six Months
	Ended June 30, 2011	Ended June 30, 2011
Trading Results	$	$
Realized	2,207,513	2,026,983
Net change in unrealized	(1,188,797)	(3,943,000)
Total Trading Results	1,018,716	(1,916,017)

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

	For the Three Months	For the Six Months
	Ended June 30, 2010	Ended June 30, 2010
Type of Instrument	$	$
Commodity	(3,091,975)	(4,668,184)
Equity	(3,705,838)	(5,509,563)
Foreign currency	(43,958)	(828,993)
Interest rate	7,473,221	9,078,111
Unrealized currency loss	(46,628)	(32,795)
Total	584,822	(1,961,424)

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

	For the Three Months	For the Six Months
	Ended June 30, 2010	Ended June 30, 2010
Trading Results	$	$
Realized	2,535,222	(3,172,364)
Net change in unrealized	(1,950,400)	1,210,940
Total Trading Results	584,822	(1,961,424)