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Financial Highlights (Tables)
 6 Months Ended
Jun. 30, 2012
Financial Highlights [Abstract]  
Operating performance calculation per unit
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 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
 
 
Ratios to average members' capital and total return
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 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.