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Financial Highlights
 6 Months Ended
Jun. 30, 2012
Financial Highlights [Abstract]  
Financial Highlights
6. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended June 30, 2012 and 2011:
 
 
Blended Strategies Portfolio
 
 
Systematic Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
Class 0
 
 
Class 2
 
Per share operating performance
 
 
 
 
 
 
 
 
 
 
 
 
Net asset value per unit, March 31, 2011
 
$
137.45
 
 
$
111.91
 
 
$
100.08
 
 
$
96.48
 
Net loss:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss
 
 
(1.55
)
 
 
(1.87
)
 
 
(1.26
)
 
 
(1.74
)
Net loss on investments
 
 
(3.23
)
 
 
(2.56
)
 
 
(3.23
)
 
 
(3.05
)
Net loss
 
 
(4.78
)
 
 
(4.43
)
 
 
(4.49
)
 
 
(4.79
)
Net asset value per unit, June 30, 2011
 
$
132.67
 
 
$
107.48
 
 
$
95.59
 
 
$
91.69
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net asset value per unit, March 31, 2012
 
$
126.14
 
 
$
100.65
 
 
$
82.32
 
 
$
77.77
 
Net loss:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss
 
 
(1.21
)
 
 
(1.47
)
 
 
(0.92
)
 
 
(1.26
)
Net loss on investments
 
 
(6.16
)
 
 
(4.88
)
 
 
(3.17
)
 
 
(2.97
)
Net loss
 
 
(7.37
)
 
 
(6.35
)
 
 
(4.09
)
 
 
(4.23
)
Net asset value per unit, June 30, 2012
 
$
118.77
 
 
$
94.30
 
 
$
78.23
 
 
$
73.54
 
 
The following represents ratios to average members' capital and total return for the three month periods ended June 30, 2012 and 2011 for the Blended Strategies Portfolio:
 
 
Blended Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
2012
 
 
2011
 
 
2012
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total return before Incentive Allocation
 
 
(5.84)%
 
 
(3.48)%
 
 
(6.31)%
 
 
(3.96)%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Total return after Incentive Allocation
 
 
(5.84)%
 
 
(3.48)%
 
 
(6.31)%
 
 
(3.96)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss before Incentive Allocation
 
 
(0.96)%
 
 
(1.13)%
 
 
(1.46)%
 
 
(1.67)%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Net investment loss after Incentive Allocation
 
 
(0.96)%
 
 
(1.13)%
 
 
(1.46)%
 
 
(1.67)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total expenses before Incentive Allocation
 
 
1.26%
 
 
1.55%
 
 
1.78%
 
 
2.06%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Total expenses after Incentive Allocation
 
 
1.26%*
 
 
1.55%*
 
 
1.78%*
 
 
2.06%*
 
*The percentages above represent total gross expenses before commission reimbursements, which represent 0.23% of average member's capital for 2012 and 0.13% of average members' capital for 2011.
 
The following represents ratios to average members' capital and total return for the three month periods ended June 30, 2012 and 2011 for the Systematic Strategies Portfolio:
 
 
Systematic Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
2012
 
 
2011
 
 
2012
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total return before Incentive Allocation
 
 
(4.97)%
 
 
(4.49)%
 
 
(5.44)%
 
 
(4.96)%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Total return after Incentive Allocation
 
 
(4.97)%
 
 
(4.49)%
 
 
(5.44)%
 
 
(4.96)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss before Incentive Allocation
 
 
(1.12)%
 
 
(1.26)%
 
 
(1.62)%
 
 
(1.80)%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Net investment loss after Incentive Allocation
 
 
(1.12)%
 
 
(1.26)%
 
 
(1.62)%
 
 
(1.80)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total expenses before Incentive Allocation
 
 
1.26%
 
 
1.46%
 
 
1.76%
 
 
1.99%
Incentive Allocation
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
 
 
0.00
 
Total expenses after Incentive Allocation
 
 
1.26%*
 
 
1.46%*
 
 
1.76%*
 
 
1.99%*
 
*The percentages above represent total gross expenses before commission reimbursements, which represent 0.08% of average member's capital for 2012 and 0.08% of average members' capital for 2011.
 
The following is the per Unit operating performance calculation for the six month periods ended June 30, 2012 and 2011:
 
 
Blended Strategies Portfolio
 
 
Systematic Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
Class 0
 
 
Class 2
 
Per share operating performance
 
 
 
 
 
 
 
 
 
 
 
 
Net asset value per unit, December 31, 2010
 
$
138.96
 
 
$
113.68
 
 
$
102.92
 
 
$
99.72
 
Net loss:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss
 
 
(2.82
)
 
 
(3.44
)
 
 
(2.31
)
 
 
(3.24
)
Net loss on investments
 
 
(3.47
)
 
 
(2.76
)
 
 
(5.02
)
 
 
(4.79
)
Net loss
 
 
(6.29
)
 
 
(6.20
)
 
 
(7.33
)
 
 
(8.03
)
Net asset value per unit, June 30, 2011
 
$
132.67
 
 
$
107.48
 
 
$
95.59
 
 
$
91.69
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net asset value per unit, December 31, 2011
 
$
123.17
 
 
$
98.77
 
 
$
81.35
 
 
$
77.24
 
Net loss:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss
 
 
(2.41
)
 
 
(2.94
)
 
 
(1.84
)
 
 
(2.52
)
Net loss on investments
 
 
(1.99
)
 
 
(1.53
)
 
 
(1.28
)
 
 
(1.18
)
Net loss
 
 
(4.40
)
 
 
(4.47
)
 
 
(3.12
)
 
 
(3.70
)
Net asset value per unit, June 30, 2012
 
$
118.77
 
 
$
94.30
 
 
$
78.23
 
 
$
73.54
 
 
The following represents ratios to average members' capital and total return for the six month periods ended June 30, 2012 and 2011 for the Blended Strategies Portfolio:
 
 
Blended Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
2012
 
 
2011
 
 
2012
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total return before Incentive Allocation
 
 
(3.57
)%
 
 
(4.52
)%
 
 
(4.53
)%
 
 
(5.44
)%
Incentive Allocation
 
 
0.00
 
 
 
(0.01
)
 
 
0.00
 
 
 
(0.01
)
Total return after Incentive Allocation
 
 
(3.57
)%
 
 
(4.53
)%
 
 
(4.53
)%
 
 
(5.45
)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss before Incentive Allocation
 
 
(1.95
)%
 
 
(2.02
)%
 
 
(2.98
)%
 
 
(3.02
)%
Incentive Allocation
 
 
0.00
 
 
 
(0.01
)
 
 
0.00
 
 
 
(0.01
)
Net investment loss after Incentive Allocation
 
 
(1.95
)%
 
 
(2.03
)%
 
 
(2.98
)%
 
 
(3.03
)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total expenses before Incentive Allocation
 
 
2.54
%
 
 
2.55
%
 
 
3.57
%
 
 
3.57
%
Incentive Allocation
 
 
0.00
 
 
 
0.01
 
 
 
0.00
 
 
 
0.01
 
Total expenses after Incentive Allocation
 
 
2.54
%*
 
 
2.56
%*
 
 
3.57
%*
 
 
3.58
%*
 
*The percentages above represent total gross expenses before commission reimbursements, which represent 0.50% of average members' capital for 2012 and 0.52% of average members' capital for 2011.
 
The following represents ratios to average members' capital and total return for the six month periods ended June, 2012 and 2011 for the Systematic Strategies Portfolio:
 
 
Systematic Strategies Portfolio
 
 
Class 0
 
 
Class 2
 
 
2012
 
 
2011
 
 
2012
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total return before Incentive Allocation
 
 
(3.84
)%
 
 
(7.11
)%
 
 
(4.79
)%
 
 
(8.04
)%
Incentive Allocation
 
 
0.00
 
 
 
(0.01
)
 
 
0.00
 
 
 
(0.01
)
Total return after Incentive Allocation
 
 
(3.84
)%
 
 
(7.12
)%
 
 
(4.79
)%
 
 
(8.05
)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss before Incentive Allocation
 
 
(2.26
)%
 
 
(2.23
)%
 
 
(3.26
)%
 
 
(3.24
)%
Incentive Allocation
 
 
0.00
 
 
 
(0.01
)
 
 
0.00
 
 
 
(0.01
)
Net investment loss after Incentive Allocation
 
 
(2.26
)%
 
 
(2.24
)%
 
 
(3.26
)%
 
 
(3.25
)%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total expenses before Incentive Allocation
 
 
2.53
%
 
 
2.58
%
 
 
3.54
%
 
 
3.63
%
Incentive Allocation
 
 
0.00
 
 
 
0.01
 
 
 
0.00
 
 
 
0.01
 
Total expenses after Incentive Allocation
 
 
2.53
%*
 
 
2.59
%*
 
 
3.54
%*
 
 
3.64
%*

*The percentages above represent total gross expenses before commission reimbursements, which represent 0.32% of average members' capital for 2012 and 0.32% of average members' capital for 2011.
 
Total return is calculated for Class 0 and Class 2 Units taken as a whole and has not been annualized. Total return is calculated as the change in total members' capital adjusted for subscriptions or redemptions during the period. An individual member's return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from the GAIT Funds. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members' capital for Class 0 and Class 2 Units of the Fund for the three and six month periods ended June 30, 2012 and 2011.