Derivatives and Hedging

6 Months Ended

Jun. 30, 2014

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.

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, 2014 and December 31, 2013, respectively.

Offsetting of Derivative Assets and Liabilities as of June 30, 2014:

	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
	$			$			$
Assets
Futures		797,979			(399,579	)		398,400
Forwards		1,580,161			(1,140,739	)		439,422
Total Assets		2,378,140			(1,540,318	)		837,822
Liabilities
Futures		(399,579	)		399,579			–
Forwards		(1,140,739	)		1,140,739			–
Total Liabilities		(1,540,318	)		1,540,318			–
Unrealized currency loss								(2,387,400	)
Total net unrealized loss on open contracts								(1,549,578	)

Offsetting of Derivative Assets and Liabilities as of December 31, 2013:

	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
	$			$			$
Assets
Futures		1,306,032			(374,233	)		931,799
Forwards		528,118			(296,785	)		231,333
Total Assets		1,834,150			(671,018	)		1,163,132
Liabilities
Futures		(374,233	)		374,233			–
Forwards		(296,785	)		296,785			–
Total Liabilities		(671,018	)		671,018			–
Unrealized currency loss								(2,388,713	)
Total net unrealized loss on open contracts								(1,225,581	)

The effect of Trading Activities on the Statements of Financial Condition as of June 30, 2014:

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		455,823		(245,472	)		165,705		(246,036	)		130,020			1,092
Equity		192,966		(106,360	)		18,330		–			104,936			414
Foreign currency		1,124,693		(91,954	)		72,714		(811,658	)		293,795			498
Interest rate		343,738		(13,346	)		4,171		(25,492	)		309,071			1,113
Total		2,117,220		(457,132	)		260,920		(1,083,186	)		837,822
Unrealized currency loss												(2,387,400	)
Total net unrealized loss on open contracts												(1,549,578	)

The effect of Trading Activities on the Statements of Financial Condition as of December 31, 2013:

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		8,370		(210,864	)		205,290		(23,930	)		(21,134	)		662
Equity		968,426		–			5,650		(9,857	)		964,219			549
Foreign currency		73,963		(26,337	)		454,118		(270,448	)		231,296			5,227
Interest rate		41		(128,798	)		118,292		(784	)		(11,249	)		1,357
Total		1,050,800		(365,999	)		783,350		(305,019	)		1,163,132
Unrealized currency loss												(2,388,713	)
Total net unrealized loss on open contracts												(1,225,581	)

The following tables summarize the net trading results of the Partnership for the three and six months ended June 30, 2014 and 2013, respectively.

The effect of Trading Activities on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2014 included in Total Trading Results:

	For the Three Months			For the Six Months
	Ended June 30, 2014			Ended June 30, 2014
Type of Instrument	$			$
Commodity		(52,928	)		(1,354,303	)
Equity		807,167			(821,672	)
Foreign currency		(148,898	)		(661,898	)
Interest rate		886,241			1,041,288
Unrealized currency gain/(loss)		(1,527	)		1,313
Total		1,490,055			(1,795,272	)

Line items on the Statements of Income and Expenses for the Three and Six Months Ended June 30, 2014:

	For the Three Months		For the Six Months
	Ended June 30, 2014		Ended June 30, 2014
Trading Results	$		$
Net realized		1,054,346		(1,471,275	)
Net change in unrealized		435,709		(323,997	)
Total Trading Results		1,490,055		(1,795,272	)

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		2,634,290			3,292,498
Equity		423,271			2,158,877
Foreign currency		(52,923	)		1,670,702
Interest rate		(331,403	)		(1,294,597	)
Unrealized currency gain		24,235			2,094
Total		2,697,470			5,829,574

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		3,321,823			6,699,764
Net change in unrealized		(624,353	)		(870,190	)
Total Trading Results		2,697,470			5,829,574