Fair Value Measurements

9 Months Ended

Sep. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value Measurements

7. Fair Value Measurements

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 and 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 consideration of factors specific to the investment.

Transfers between levels are recognized at the end of the reporting period. During the period from January 1, 2015 to September 30, 2015, and the twelve months ended December 31, 2014, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.

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, 2015	Level 1		Level 2		Level 3		Total
	$		$		$		$
Assets
Investment in U.S. Treasury bills		-		14,970,257		-		14,970,257
Futures		408,200		-		-		408,200
Forwards		191,214		794,054		-		985,268
Total Assets		599,414		15,764,311		-		16,363,725
Liabilities
Futures		145,676		-		-		145,676
Forwards		134,959		770,263		-		905,222
Total Liabilities		280,635		770,263		-		1,050,898
*Net fair value		318,779		14,994,048		-		15,312,827

December 31, 2014	Level 1		Level 2		Level 3		Total
	$		$		$		$
Assets
Futures		873,317		-		-		873,317
Forwards		111,529		1,424,500		-		1,536,029
Total Assets		984,846		1,424,500		-		2,409,346
Liabilities
Futures		134,615		-		-		134,615
Forwards		75,657		905,831		-		981,488
Total Liabilities		210,272		905,831		-		1,116,103
*Net fair value		774,574		518,669		-		1,293,243

* This amount comprises the “Net unrealized gain on open contracts” and “Investment in U.S. Treasury bills” on the Statements of Financial Condition.