Fair Value Measurements and Disclosures

9 Months Ended

Sep. 30, 2013

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

5.  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 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 the 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, 2013

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)	Total
			$			$
Investment in TT II, LLC	–		7,128,880	–		7,128,880
Investment in Augustus I, LLC	–		4,919,606	–		4,919,606
Investment in WNT I, LLC	–		4,140,734	–		4,140,734
Investment in Rotella I, LLC	–		3,934,439	–		3,934,439
Investment in Boronia I, LLC	–		2,177,295	–		2,177,295
Investment in Kaiser I, LLC	–		1,852,358	–		1,852,358

December 31, 2012

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)	Total
			$			$
Investment in TT II, LLC	–		12,246,448	–		12,246,448
Investment in WNT I, LLC	–		7,072,401	–		7,072,401
Investment in Chesapeake I, LLC	–		4,408,930	–		4,408,930
Investment in Rotella I, LLC	–		3,383,788	–		3,383,788
Investment in Kaiser I, LLC	–		3,186,918	–		3,186,918
Investment in Augustus I, LLC	–		2,433,314	–		2,433,314
Investment in GLC I, LLC	–		2,359,140	–		2,359,140

During the period January 1, 2013 to September 30, 2013, and the twelve months ended December 31, 2012, 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 identified as “Investments in Affiliated Trading Companies” reflected on the Statements of Financial Condition represent the net asset value of the Partnership’s pro rata share of each Trading Company.  The net assets of each Trading Company are equal to the total assets of the Trading Company (including, but not limited to all cash and cash equivalents, accrued interest and amortization of original issue discount, and the fair value of all open Futures Interests contract positions and other assets) less all liabilities of the Trading Company (including, but not limited to, brokerage commissions that would be payable upon the closing of open Futures Interest positions, management fees, incentive fees, and extraordinary expenses), determined in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

At September 30, 2013, the Partnership’s investment in the Trading Companies represented approximately: TT II, LLC 29.50%; WNT I, LLC 17.15%; Kaiser I, LLC 7.65%; Rotella I, LLC 16.30%; Boronia I, LLC 9.00%; and Augustus I, LLC 20.40% of the total investments of the Partnership, respectively.

At December 31, 2012, the Partnership’s investment in the Trading Companies represented approximately: Kaiser I, LLC 9.10%; TT II, LLC 34.90%; Rotella I, LLC 9.65%; Augustus I, LLC 6.95%; GLC I, LLC 6.70%; Chesapeake I, LLC 12.55%  and WNT I, LLC 20.15% of the total investments of the Partnership, respectively.

The tables below represent summarized Income Statement information for the Trading Companies that the Partnership invests in for the three and nine months ended September 30, 2013 and 2012, respectively, in accordance with Rule 3-09 of Regulation S-X, as follows:

For the Three Months Ended September 30, 2013	Investment Income/(Loss)		Net Investment Loss			Total Trading Results			Net Loss
		$	$			$			$
TT II, LLC		–		(2,643,512	)		(14,467,982	)		(17,111,494	)
Augustus I, LLC		–		(81,614	)		(576,891	)		(658,505	)

For the Nine Months Ended September 30, 2013	Investment Income/(Loss)		Net Investment Loss			Total Trading Results			Net Income/(Loss)
		$		$			$			$
TT II, LLC		–		(8,199,723	)		(23,194,871	)		(31,394,594	)
WNT I, LLC		–		(129,226	)		425,274			296,048
Kaiser I, LLC		–		(2,368,666	)		5,929,623			3,560,957
Augustus I, LLC		–		(261,400	)		(5,061	)		(266,461	)
Boronia I, LLC		–		(3,220,183	)		7,664,761			4,444,578

For the Three Months Ended September 30, 2012	Investment Income/(Loss)		Net Investment Loss			Total Trading Results			Net Income/(Loss)
	$		$			$			$
TT II, LLC		–		(3,021,720	)		(6,472,573	)		(9,494,293	)
WNT I, LLC		–		(57,816	)		243,174			185,358
Chesapeake I, LLC		–		(84,094	)		(230,361	)		(314,455	)
Rotella I, LLC		–		(31,867	)		309,891			278,024

For the Nine Months Ended September 30, 2012	Investment Income/(Loss)			Net Investment Loss			Total Trading Results			Net Income/(Loss)
	$			$			$			$
TT II, LLC		1,279			(9,527,037	)		32,450,682			22,923,645
WNT I, LLC		(58	)		(183,570	)		(383,493	)		(567,063	)
Chesapeake I, LLC		622			(247,592	)		(1,909,394	)		(2,156,986	)