þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 98-0574019 (Series A); 98-0574020 (Series B) | |
(State or other jurisdiction | (I.R.S. Employer Identification No.) | |
of incorporation or organization) |
Superfund Office Building | ||
P.O. Box 1479 | ||
Grand Anse | ||
St. Georges, Grenada | ||
West Indies | Not applicable | |
(Address of principal executive offices) | (Zip Code) |
Large Accelerated Filer o | Accelerated Filer o | Non-Accelerated Filer o | Smaller Reporting Company þ | |||
(Do not check if a smaller reporting company) |
Page | ||||||||
Unaudited Financial Statements: Superfund Gold, L.P. |
||||||||
3 | ||||||||
4 | ||||||||
5 | ||||||||
6 | ||||||||
7 | ||||||||
8 | ||||||||
Unaudited Financial Statements: Superfund Gold, L.P. Series A |
||||||||
9 | ||||||||
10 | ||||||||
11 | ||||||||
12 | ||||||||
13 | ||||||||
14 | ||||||||
Unaudited Financial Statements: Superfund Gold, L.P. Series B |
||||||||
15 | ||||||||
16 | ||||||||
17 | ||||||||
18 | ||||||||
19 | ||||||||
20 | ||||||||
21-45 | ||||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
2
June 30, 2011 | December 31, 2010 | |||||||
ASSETS |
||||||||
U.S. Government securities, at fair value
(amortized cost of $10,599,302 and $9,598,087 as of
June 30, 2011 and December 31, 2010, respectively) |
$ | 10,599,302 | $ | 9,598,087 | ||||
Due from brokers |
14,658,840 | 12,805,431 | ||||||
Futures contracts purchased |
307,567 | 2,832,921 | ||||||
Unrealized appreciation on open forward contracts |
60,732 | 224,585 | ||||||
Cash |
2,898,811 | 3,630,425 | ||||||
Due from affiliate |
| 5,599 | ||||||
Total assets |
28,525,252 | 29,097,048 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
53,056 | 36,460 | ||||||
Futures contracts sold |
209,494 | 349,805 | ||||||
Subscriptions received in advance |
445,397 | 1,289,417 | ||||||
Redemptions payable |
1,803,062 | 236,327 | ||||||
Due to affiliate |
12,685 | | ||||||
Incentive fee |
| 409,223 | ||||||
Management fee |
52,135 | 51,406 | ||||||
Fees payable |
51,352 | 49,185 | ||||||
Total liabilities |
2,627,181 | 2,421,823 | ||||||
NET ASSETS |
$ | 25,898,071 | $ | 26,675,225 | ||||
3
Percentage of | ||||||||||||
Debt Securities United States, at fair value | Face Value | Net Assets | Fair Value | |||||||||
United States Treasury Bills due August 25, 2011
(amortized cost $10,599,302), securities are held in
margin accounts as collateral for open futures
and forwards |
$ | 10,600,000 | 40.9 | % | $ | 10,599,302 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.2 | 60,732 | ||||||||||
Total unrealized appreciation on forward contracts |
0.2 | 60,732 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.2 | ) | (53,056 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.2 | ) | (53,056 | ) | ||||||||
Total forward contracts, at fair value |
0.0 | *% | $ | 7,676 | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
0.3 | % | $ | 86,321 | ||||||||
Financial |
0.7 | 180,151 | ||||||||||
Food & Fiber |
0.3 | 78,415 | ||||||||||
Indices |
1.1 | 274,864 | ||||||||||
Livestock |
(0.0) | * | (3,780 | ) | ||||||||
Metals |
(1.2 | ) | (308,404 | ) | ||||||||
Total futures contracts purchased |
1.2 | 307,567 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.1 | 24,513 | ||||||||||
Energy |
(0.7 | ) | (177,089 | ) | ||||||||
Financial |
0.1 | 24,811 | ||||||||||
Food & Fiber |
(0.0) | * | (10,130 | ) | ||||||||
Indices |
(0.2 | ) | (61,188 | ) | ||||||||
Livestock |
0.0 | * | 400 | |||||||||
Metals |
(0.0) | * | (10,811 | ) | ||||||||
Total futures contracts sold |
(0.8 | ) | (209,494 | ) | ||||||||
Total futures contracts, at fair value |
0.4 | % | $ | 98,073 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australia |
0.4 | % | $ | 105,258 | ||||||||
European Monetary Union |
0.5 | 129,641 | ||||||||||
Great Britain |
0.4 | 110,572 | ||||||||||
Japan |
0.3 | 72,500 | ||||||||||
United States |
(1.5 | ) | (375,814 | ) | ||||||||
Other |
0.2 | 63,592 | ||||||||||
Total futures and forward contracts by country |
0.4 | % | $ | 105,749 | ||||||||
* | Due to rounding |
4
Percentage of | ||||||||||||
Debt Securities United States, at fair value | Face Value | Net Assets | Fair Value | |||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $9,598,087), securities are held in margin
accounts as collateral for open futures and forwards |
||||||||||||
$ | 9,600,000 | 36.0 | % | $ | 9,598,087 | |||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.8 | 224,585 | ||||||||||
Total unrealized appreciation on forward contracts |
0.8 | 224,585 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.1 | ) | (36,460 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (36,460 | ) | ||||||||
Total forward contracts, at fair value |
0.7 | % | $ | 188,125 | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
1.9 | % | $ | 484,663 | ||||||||
Energy |
0.4 | 110,783 | ||||||||||
Financial |
0.5 | 127,537 | ||||||||||
Food & Fiber |
0.7 | 194,250 | ||||||||||
Indices |
0.4 | 114,065 | ||||||||||
Livestock |
0.3 | 92,460 | ||||||||||
Metals |
||||||||||||
233 contracts of CMX Gold expiring February 2011 |
4.0 | 1,067,060 | ||||||||||
Other |
2.4 | 642,103 | ||||||||||
Total Metals |
6.4 | 1,709,163 | ||||||||||
Total futures contracts purchased |
10.6 | 2,832,921 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.1 | 33,694 | ||||||||||
Energy |
(0.1 | ) | (30,980 | ) | ||||||||
Financial |
(0.1 | ) | (22,344 | ) | ||||||||
Indices |
0.1 | 23,963 | ||||||||||
Metals |
(1.3 | ) | (354,138 | ) | ||||||||
Total futures contracts sold |
(1.3 | ) | (349,805 | ) | ||||||||
Total futures contracts, at fair value |
9.3 | % | $ | 2,483,116 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australian |
0.0 | %* | $ | 3,134 | ||||||||
European Monetary Union |
0.3 | 81,278 | ||||||||||
Great Britain |
0.3 | 72,763 | ||||||||||
Japan |
0.8 | 210,666 | ||||||||||
United States |
6.4 | 1,729,526 | ||||||||||
Other |
2.2 | 573,874 | ||||||||||
Total futures and forward contracts by country |
10.0 | % | $ | 2,671,241 | ||||||||
* | Due to rounding |
5
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income |
||||||||||||||||
Interest income |
$ | 3,714 | $ | 571 | $ | 8,413 | $ | 1,052 | ||||||||
Other Income |
| | | 5,599 | ||||||||||||
Total income |
3,714 | 571 | 8,413 | 6,651 | ||||||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
137,497 | 132,051 | 295,007 | 252,232 | ||||||||||||
Management fee |
170,000 | 104,246 | 327,878 | 187,311 | ||||||||||||
Selling commission |
109,469 | 68,427 | 208,960 | 123,380 | ||||||||||||
Incentive fee |
635,383 | 29,803 | 648,939 | 29,803 | ||||||||||||
Operating expenses |
56,667 | 34,749 | 109,290 | 62,437 | ||||||||||||
Other |
4,369 | 660 | 9,165 | 856 | ||||||||||||
Total expenses |
1,113,385 | 369,936 | 1,599,239 | 656,019 | ||||||||||||
Net investment loss |
(1,109,671 | ) | (369,365 | ) | (1,590,826 | ) | (649,368 | ) | ||||||||
Realized and unrealized
gain (loss) on
investments |
||||||||||||||||
Net realized gain on
futures and forward
contracts |
1,319,934 | 1,899,211 | 4,149,201 | 240,440 | ||||||||||||
Net change in
unrealized
appreciation
(depreciation) on
futures and forward
contracts: |
(291,388 | ) | (928,523 | ) | (2,565,492 | ) | 2,463,037 | |||||||||
Net gain on investments |
1,028,546 | 970,688 | 1,583,709 | 2,703,477 | ||||||||||||
Net increase (decrease)
in net assets from
operations |
$ | (81,125 | ) | $ | 601,323 | $ | (7,117 | ) | $ | 2,054,109 | ||||||
6
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (1,590,826 | ) | $ | (649,368 | ) | ||
Net realized gain on futures and forward contracts |
4,149,201 | 240,440 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward
contracts |
(2,565,492 | ) | 2,463,037 | |||||
Net increase (decrease) in net assets from operations |
(7,117 | ) | 2,054,109 | |||||
Capital share transactions |
||||||||
Issuance of Units |
5,889,045 | 5,815,221 | ||||||
Redemption of Units |
(6,659,082 | ) | (4,384,036 | ) | ||||
Net increase (decrease) in net assets from capital share transactions |
(770,037 | ) | 1,431,185 | |||||
Net increase (decrease) in net assets |
(777,154 | ) | 3,485,294 | |||||
Net assets, beginning of period |
26,675,225 | 12,153,932 | ||||||
Net assets, end of period |
$ | 25,898,071 | $ | 15,639,226 | ||||
7
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (7,117 | ) | $ | 2,054,109 | |||
Adjustments to reconcile net increase (decrease) in net assets
from operations to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(20,246,385 | ) | (12,845,935 | ) | ||||
Maturities of U.S. government securities |
19,250,000 | 11,300,000 | ||||||
Amortization of discounts and premiums |
(4,830 | ) | (2,579 | ) | ||||
Due from brokers |
(1,853,409 | ) | (2,140,614 | ) | ||||
Due from affiliate |
5,599 | (5,599 | ) | |||||
Unrealized appreciation on open forward contracts |
163,853 | 63,183 | ||||||
Unrealized depreciation on open forward contracts |
16,596 | (119,432 | ) | |||||
Futures contracts purchased |
2,525,354 | (2,437,374 | ) | |||||
Futures contracts sold |
(140,311 | ) | 30,586 | |||||
Incentive fee |
(409,223 | ) | | |||||
Due to affiliate |
12,685 | | ||||||
Management fees payable |
729 | 11,476 | ||||||
Fees payable |
2,167 | 11,598 | ||||||
Net cash used in operating activities |
(684,292 | ) | (4,080,581 | ) | ||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
5,045,025 | 4,741,411 | ||||||
Redemptions, net of change in redemptions payable |
(5,092,347 | ) | (1,767,818 | ) | ||||
Net cash provided by (used in) financing activities |
(47,322 | ) | 2,973,593 | |||||
Net decrease in cash |
(731,614 | ) | (1,106,988 | ) | ||||
Cash, beginning of period |
3,630,425 | 2,672,099 | ||||||
Cash, end of period |
$ | 2,898,811 | $ | 1,565,111 | ||||
8
June 30, 2011 | December 31, 2010 | |||||||
ASSETS |
||||||||
U.S. Government securities, at fair value
(amortized cost of $5,349,646 and $4,949,019 as of
June 30, 2011 and December 31, 2010, respectively) |
$ | 5,349,646 | $ | 4,949,019 | ||||
Due from brokers |
7,899,947 | 6,513,798 | ||||||
Futures contracts purchased |
120,024 | 1,271,946 | ||||||
Unrealized appreciation on open forward contracts |
27,856 | 95,755 | ||||||
Cash |
2,588,775 | 2,215,532 | ||||||
Due from affiliate |
| 5,599 | ||||||
Total assets |
15,986,248 | 15,051,649 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
23,872 | 13,857 | ||||||
Futures contracts sold |
95,012 | 143,844 | ||||||
Subscriptions received in advance |
394,900 | 882,330 | ||||||
Redemptions payable |
284,204 | 42,447 | ||||||
Incentive fee |
| 198,986 | ||||||
Management fee |
29,012 | 26,272 | ||||||
Fees payable |
30,563 | 27,222 | ||||||
Total liabilities |
857,563 | 1,334,958 | ||||||
NET ASSETS |
$ | 15,128,685 | $ | 13,716,691 | ||||
Superfund Gold, L.P. Series A-1 Net Assets |
$ | 12,227,807 | $ | 10,835,030 | ||||
Number of Units outstanding |
7,816.955 | 6,916.044 | ||||||
Superfund Gold, L.P. Series A-1 Net Asset Value per Unit |
$ | 1,564.27 | $ | 1,566.65 | ||||
Superfund Gold, L.P. Series A-2 Net Assets |
$ | 2,900,878 | $ | 2,881,661 | ||||
Number of Units outstanding |
1,723.963 | 1,724.508 | ||||||
Superfund Gold, L.P. Series A-2 Net Asset Value per Unit |
$ | 1,682.68 | $ | 1,671.00 | ||||
9
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due August 25, 2011
(amortized cost $5,349,646), securities are held in
margin accounts as collateral for open futures and
forwards |
$ | 5,350,000 | 35.4 | % | $ | 5,349,646 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.2 | 27,856 | ||||||||||
Total unrealized appreciation on forward contracts |
0.2 | 27,856 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.2 | ) | (23,872 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.2 | ) | (23,872 | ) | ||||||||
Total forward contracts, at fair value |
0.0 | *% | $ | 3,984 | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
0.3 | % | $ | 38,115 | ||||||||
Financial |
0.5 | 82,742 | ||||||||||
Food & Fiber |
0.2 | 35,118 | ||||||||||
Indices |
0.9 | 133,145 | ||||||||||
Livestock |
(0.0) | * | (1,700 | ) | ||||||||
Metals |
(1.1 | ) | (167,396 | ) | ||||||||
Total futures contracts purchased |
0.8 | 120,024 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currency |
0.1 | 11,300 | ||||||||||
Energy |
(0.5 | ) | (82,339 | ) | ||||||||
Financial |
0.1 | 11,159 | ||||||||||
Food & Fiber |
(0.0) | * | (5,060 | ) | ||||||||
Indices |
(0.2 | ) | (24,644 | ) | ||||||||
Livestock |
0.0 | * | 80 | |||||||||
Metals |
(0.0) | * | (5,508 | ) | ||||||||
Total futures contracts sold |
(0.5 | ) | (95,012 | ) | ||||||||
Total futures contracts, at fair value |
0.3 | % | $ | 25,012 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australia |
0.3 | % | $ | 47,812 | ||||||||
European Monetary Union |
0.4 | 64,506 | ||||||||||
Great Britain |
0.4 | 52,458 | ||||||||||
Japan |
0.2 | 35,554 | ||||||||||
United States |
(1.3 | ) | (202,857 | ) | ||||||||
Other |
0.3 | 31,523 | ||||||||||
Total futures and forward contracts by country |
0.3 | % | $ | 28,996 | ||||||||
* | Due to rounding |
10
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $4,949,019), securities are held in
margin accounts as collateral for open futures and
forwards |
||||||||||||
$ | 4,950,000 | 36.1 | % | $ | 4,949,019 | |||||||
Futures Contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.7 | 95,755 | ||||||||||
Total unrealized appreciation on forward contracts |
0.7 | 95,755 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.1 | ) | (13,857 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (13,857 | ) | ||||||||
Total forward contracts, at fair value |
0.6 | % | $ | 81,898 | ||||||||
Futures Contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
1.5 | % | $ | 208,888 | ||||||||
Energy |
0.3 | 44,259 | ||||||||||
Financial |
0.4 | 55,066 | ||||||||||
Food & Fiber |
0.6 | 81,781 | ||||||||||
Indices |
0.4 | 46,624 | ||||||||||
Livestock |
0.3 | 40,970 | ||||||||||
Metals |
||||||||||||
116 contracts of CMX Gold expiring February 2011 |
3.9 | 528,140 | ||||||||||
Other |
1.9 | 266,218 | ||||||||||
Total Metals |
5.8 | 794,358 | ||||||||||
Total futures contracts purchased |
9.3 | 1,271,946 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currency |
0.1 | 14,250 | ||||||||||
Energy |
(0.1 | ) | (12,190 | ) | ||||||||
Financial |
(0.1 | ) | (10,607 | ) | ||||||||
Indices |
0.1 | 9,628 | ||||||||||
Metals |
(1.1 | ) | (144,925 | ) | ||||||||
Total futures contracts sold |
(1.1 | ) | (143,844 | ) | ||||||||
Total futures contracts, at fair value |
8.2 | % | $ | 1,128,102 | ||||||||
Futures contracts by country composition |
||||||||||||
Australia |
0.0 | %* | $ | 1,134 | ||||||||
European Monetary Union |
0.2 | 32,375 | ||||||||||
Great Britain |
0.2 | 30,179 | ||||||||||
Japan |
0.7 | 92,656 | ||||||||||
United States |
5.9 | 808,405 | ||||||||||
Other |
1.8 | 245,251 | ||||||||||
Total futures contracts by country |
8.8 | % | $ | 1,210,000 | ||||||||
* | Due to rounding |
11
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income |
||||||||||||||||
Interest income |
$ | 1,790 | $ | 718 | $ | 4,035 | $ | 920 | ||||||||
Other income |
| | 5,599 | |||||||||||||
Total income |
1,790 | 718 | 4,035 | 6,519 | ||||||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
59,814 | 36,962 | 128,804 | 67,968 | ||||||||||||
Management fee |
90,402 | 41,546 | 174,267 | 71,958 | ||||||||||||
Selling commission |
64,176 | 28,747 | 123,098 | 50,174 | ||||||||||||
Incentive fee |
241,830 | 29,803 | 243,449 | 29,803 | ||||||||||||
Operating expenses |
30,134 | 13,849 | 58,089 | 23,986 | ||||||||||||
Other |
1,563 | 34 | 3,453 | 46 | ||||||||||||
Total expenses |
487,919 | 150,941 | 731,160 | 243,935 | ||||||||||||
Net investment loss |
(486,129 | ) | (150,223 | ) | (727,125 | ) | (237,416 | ) | ||||||||
Realized and unrealized
gain (loss) on
investments |
||||||||||||||||
Net realized gain on
futures and forward
contracts |
610,192 | 717,670 | 1,915,001 | 307,326 | ||||||||||||
Net change in
unrealized
appreciation
(depreciation) on
futures and forward
contracts: |
(130,948 | ) | (46,317 | ) | (1,181,004 | ) | 863,552 | |||||||||
Net gain on investments |
479,244 | 671,353 | 733,997 | 1,170,878 | ||||||||||||
Net increase (decrease)
in net assets from
operations |
$ | (6,885 | ) | $ | 521,130 | $ | 6,872 | $ | 933,462 | |||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon weighted
average number of units
outstanding during
period) for Series A-1* |
$ | (4.36 | ) | $ | 85.33 | $ | (3.22 | ) | $ | 165.01 | ||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon change in
net asset value per
unit during period) for
Series A-1 |
$ | 5.79 | $ | 79.42 | $ | (2.38 | ) | $ | 144.19 | |||||||
Net increase in net
assets from operations
per Unit (based upon
weighted average number
of units outstanding
during period) for
Series A-2** |
$ | 14.80 | $ | 88.26 | $ | 17.02 | $ | 180.54 | ||||||||
Net increase in net
assets from operations
per Unit (based upon
change in net asset
value per unit during
period) for Series A-2 |
$ | 12.90 | $ | 88.03 | $ | 11.68 | $ | 160.83 | ||||||||
* | Weighted average number of Units outstanding for Series A-1 for the Three Months Ended June 30, 2011 and June 30, 2010: 7,646.91 and 4,774.91, respectively; and for the Six Months Ended June 30, 2011 and June 30, 2010: 7,691.16 and 4,404.14, respectively. | |
** | Weighted average number of Units outstanding for Series A-2 for the Three Months Ended June 30, 2011 and June 30, 2010: 1,817.26 and 1,287.93, respectively; and for the Six Months Ended June 30, 2011 and June 30, 2010: 1,864.83 and 1,145.08, respectively. |
12
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Increase in net assets from operations |
||||||||
Net investment loss |
$ | (727,125 | ) | $ | (237,416 | ) | ||
Net realized gain on futures and forward contracts |
1,915,001 | 307,326 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward
contracts |
(1,181,004 | ) | 863,552 | |||||
Net increase in net assets from operations |
6,872 | 933,462 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
4,206,104 | 4,044,566 | ||||||
Redemption of Units |
(2,800,982 | ) | (843,733 | ) | ||||
Net increase in net assets from capital share transactions |
1,405,122 | 3,200,833 | ||||||
Net increase in net assets |
1,411,994 | 4,134,295 | ||||||
Net assets, beginning of period |
13,716,691 | 3,434,355 | ||||||
Net assets, end of period |
$ | 15,128,685 | $ | 7,568,650 | ||||
Series A-1 Units, beginning of period |
6,916.044 | 2,388.395 | ||||||
Issuance of Series A-1 Units |
2,164.860 | 3,204.224 | ||||||
Redemption of Units |
(1,263.949 | ) | (693.332 | ) | ||||
Series A-1 Units, end of period |
7,816.955 | 4,899.287 | ||||||
Series A-2 Units, beginning of period |
1,724.508 | 818.846 | ||||||
Issuance of Series A-2 Units |
495.189 | 514.221 | ||||||
Redemption of Units |
(495.734 | ) | (9.270 | ) | ||||
Series A-2 Units, end of period |
1,723.963 | 1,323.797 | ||||||
13
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 6,872 | $ | 933,462 | ||||
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(10,248,163 | ) | (4,748,455 | ) | ||||
Maturities of U.S. government securities |
9,850,000 | 3,350,000 | ||||||
Amortization of discounts and premiums |
(2,464 | ) | (919 | ) | ||||
Due from brokers |
(1,386,149 | ) | (1,740,861 | ) | ||||
Due from affiliate |
5,599 | (5,599 | ) | |||||
Unrealized appreciation on open forward contracts |
67,899 | (2,406 | ) | |||||
Unrealized depreciation on open forward contracts |
10,015 | 8,679 | ||||||
Futures contracts purchased |
1,151,922 | (875,649 | ) | |||||
Futures contracts sold |
(48,832 | ) | 5,824 | |||||
Incentive Fee |
(198,986 | ) | | |||||
Management fees payable |
2,740 | 7,821 | ||||||
Fees payable |
3,341 | 8,246 | ||||||
Net cash used in operating activities |
(786,206 | ) | (3,059,857 | ) | ||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
3,718,674 | 3,279,386 | ||||||
Redemptions, net of change in redemptions payable |
(2,559,225 | ) | (818,556 | ) | ||||
Net cash provided by financing activities |
1,159,449 | 2,460,830 | ||||||
Net increase (decrease) in cash |
373,243 | (599,027 | ) | |||||
Cash, beginning of period |
2,215,532 | 1,739,581 | ||||||
Cash, end of period |
$ | 2,588,775 | $ | 1,140,554 | ||||
14
June 30, 2011 | December 31, 2010 | |||||||
ASSETS |
||||||||
U.S. Government securities, at fair value,
(amortized cost of $5,249,656 and $4,649,068 as of
June 30, 2011 and December 31, 2010, respectively) |
||||||||
$ | 5,249,656 | $ | 4,649,068 | |||||
Due from brokers |
6,758,893 | 6,291,633 | ||||||
Futures contracts purchased |
187,543 | 1,560,975 | ||||||
Unrealized appreciation on open forward contracts |
32,876 | 128,830 | ||||||
Cash |
310,036 | 1,414,893 | ||||||
Total assets |
12,539,004 | 14,045,399 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
29,184 | 22,603 | ||||||
Futures contracts sold |
114,482 | 205,961 | ||||||
Subscriptions received in advance |
50,497 | 407,087 | ||||||
Redemptions payable |
1,518,858 | 193,880 | ||||||
Due to affiliate |
12,685 | | ||||||
Incentive fee |
| 210,237 | ||||||
Management fee |
23,123 | 25,134 | ||||||
Fees payable |
20,789 | 21,963 | ||||||
Total liabilities |
1,769,618 | 1,086,865 | ||||||
NET ASSETS |
$ | 10,769,386 | $ | 12,958,534 | ||||
Superfund Gold, L.P. Series B-1 Net Assets |
$ | 6,429,726 | $ | 7,815,597 | ||||
Number of Units outstanding |
4,815.307 | 5,784.122 | ||||||
Superfund Gold, L.P. Series B-1 Net Asset Value per Unit |
$ | 1,335.27 | $ | 1,351.21 | ||||
Superfund Gold, L.P. Series B-2 Net Assets |
$ | 4,339,660 | $ | 5,142,937 | ||||
Number of Units outstanding |
3,133.151 | 3,700.480 | ||||||
Superfund Gold, L.P. Series B-2 Net Asset Value per Unit |
$ | 1,385.08 | $ | 1,389.80 | ||||
15
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due August 25, 2011
(amortized cost $5,249,656), securities are held in
margin accounts as collateral for open futures
and forwards |
$ | 5,250,000 | 48.7 | % | $ | 5,249,656 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.3 | 32,876 | ||||||||||
Total unrealized appreciation on forward contracts |
0.3 | 32,876 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.3 | ) | (29,184 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.3 | ) | (29,184 | ) | ||||||||
Total forward contracts, at fair value |
0.0 | *% | $ | 3,692 | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
0.4 | % | $ | 48,206 | ||||||||
Financial |
0.9 | 97,409 | ||||||||||
Food & Fiber |
0.4 | 43,297 | ||||||||||
Indices |
1.3 | 141,719 | ||||||||||
Livestock |
(0.0) | * | (2,080 | ) | ||||||||
Metals |
(1.3 | ) | (141,008 | ) | ||||||||
Total futures contracts purchased |
1.7 | 187,543 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.1 | 13,213 | ||||||||||
Energy |
(0.9 | ) | (94,750 | ) | ||||||||
Financial |
0.1 | 13,652 | ||||||||||
Food & Fiber |
(0.0) | * | (5,070 | ) | ||||||||
Indices |
(0.3 | ) | (36,544 | ) | ||||||||
Livestock |
0.0 | * | 320 | |||||||||
Metals |
(0.0) | * | (5,303 | ) | ||||||||
Total futures contracts sold |
(1.0 | ) | (114,482 | ) | ||||||||
Total futures contracts, at fair value |
0.7 | % | $ | 73,061 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australia |
0.5 | % | $ | 57,446 | ||||||||
European Monetary Union |
0.6 | 65,135 | ||||||||||
Great Britain |
0.5 | 58,114 | ||||||||||
Japan |
0.3 | 36,946 | ||||||||||
United States |
(1.6 | ) | (172,957 | ) | ||||||||
Other |
0.4 | 32,069 | ||||||||||
Total futures and forward contracts by country |
0.7 | % | $ | 76,753 | ||||||||
* | Due to rounding |
16
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 24, 2011
(amortized cost $4,649,068), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 4,650,000 | 35.9 | % | $ | 4,649,068 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
1.0 | 128,830 | ||||||||||
Total unrealized appreciation on forward contracts |
1.0 | 128,830 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.2 | ) | (22,603 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.2 | ) | (22,603 | ) | ||||||||
Total forward contracts, at fair value |
0.8 | % | $ | 106,227 | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
2.1 | % | $ | 275,775 | ||||||||
Energy |
0.5 | 66,524 | ||||||||||
Financial |
0.6 | 72,471 | ||||||||||
Food & Fiber |
0.9 | 112,469 | ||||||||||
Indices |
0.5 | 67,441 | ||||||||||
Livestock |
0.4 | 51,490 | ||||||||||
Metals |
||||||||||||
117 contracts of CMX Gold expiring February 2011 |
4.2 | 538,920 | ||||||||||
Other |
2.9 | 375,885 | ||||||||||
Total Metals |
7.1 | 914,805 | ||||||||||
Total futures contracts purchased |
12.1 | 1,560,975 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.2 | 19,444 | ||||||||||
Energy |
(0.1 | ) | (18,790 | ) | ||||||||
Financial |
(0.1 | ) | (11,737 | ) | ||||||||
Indices |
0.1 | 14,335 | ||||||||||
Metals |
(1.6 | ) | (209,213 | ) | ||||||||
Total futures contracts sold |
(1.5 | ) | (205,961 | ) | ||||||||
Total futures contracts, at fair value |
10.6 | % | $ | 1,355,014 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
Australia |
0.0 | %* | $ | 2,000 | ||||||||
European Monetary Union |
0.5 | 48,903 | ||||||||||
Great Britain |
0.3 | 42,584 | ||||||||||
Japan |
0.9 | 118,010 | ||||||||||
United States |
7.1 | 921,121 | ||||||||||
Other |
2.6 | 328,623 | ||||||||||
Total futures and forward contracts by country |
11.4 | % | $ | 1,461,241 | ||||||||
* | Due to rounding |
17
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income |
||||||||||||||||
Interest income |
$ | 1,924 | $ | (147 | ) | $ | 4,378 | $ | 132 | |||||||
Total income |
1,924 | (147 | ) | 4,378 | 132 | |||||||||||
Expenses |
||||||||||||||||
Brokerage commissions |
77,683 | 95,089 | 166,203 | 184,264 | ||||||||||||
Management fee |
79,598 | 62,700 | 153,611 | 115,353 | ||||||||||||
Selling commission |
45,293 | 39,680 | 85,862 | 73,206 | ||||||||||||
Incentive Fee |
393,553 | | 405,490 | | ||||||||||||
Operating expenses |
26,533 | 20,900 | 51,201 | 38,451 | ||||||||||||
Other |
2,806 | 626 | 5,712 | 810 | ||||||||||||
Total expenses |
625,466 | 218,995 | 868,079 | 412,084 | ||||||||||||
Net investment loss |
(623,542 | ) | (219,142 | ) | (863,701 | ) | (411,952 | ) | ||||||||
Realized and unrealized
gain (loss) on
investments |
||||||||||||||||
Net realized gain
(loss) on futures
and forward
contracts |
709,742 | 1,181,541 | 2,234,200 | (66,886 | ) | |||||||||||
Net change in
unrealized
appreciation
(depreciation) on
futures and forward
contracts: |
(160,440 | ) | (882,206 | ) | (1,384,488 | ) | 1,599,485 | |||||||||
Net gain on investments |
549,302 | 299,335 | 849,712 | 1,532,599 | ||||||||||||
Net increase (decrease)
in net assets from
operations |
$ | (74,240 | ) | $ | 80,193 | $ | (13,989 | ) | $ | 1,120,647 | ||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon weighted
average number of units
outstanding during
period) for Series B-1* |
$ | (9.82 | ) | $ | 7.67 | $ | (5.24 | ) | $ | 100.29 | ||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon change in
net asset value per
unit during period) for
Series B-1 |
$ | (14.89 | ) | $ | 0.19 | $ | (15.95 | ) | $ | 84.22 | ||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon weighted
average number of units
outstanding during
period) for Series
B-2** |
$ | (3.86 | ) | $ | 5.96 | $ | 5.22 | $ | 104.43 | |||||||
Net increase (decrease)
in net assets from
operations per Unit
(based upon change in
net asset value per
unit during period) for
Series B-2 |
$ | (9.48 | ) | $ | 5.11 | $ | (4.72 | ) | $ | 95.31 | ||||||
* | Weighted average number of Units outstanding for Series B-1 for the Three Months Ended June 30, 2011 and June 30, 2010: 6,280.74 and 7,990.92, respectively; and for the Six Months Ended June 30, 2011 and June 30, 2010: 6,209.79 and 7,928.88, respectively. | |
** | Weighted average number of Units outstanding for Series B-2 for the Three Months Ended June 30, 2011 and June 30, 2010: 3,412.06 and 3,169.35, respectively; for the Six Months Ended June 30, 2011 and June 30, 2010: 3,591.53 and 3,116.25, respectively. |
18
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (863,701 | ) | $ | (411,952 | ) | ||
Net realized gain (loss) on futures and forward contracts |
2,234,200 | (66,886 | ) | |||||
Net change in unrealized appreciation (depreciation) on
futures and forward
contracts |
(1,384,488 | ) | 1,599,485 | |||||
Net increase (decrease) in net assets from operations |
(13,989 | ) | 1,120,647 | |||||
Capital share transactions |
||||||||
Issuance of Units |
1,682,941 | 1,770,655 | ||||||
Redemption of Units |
(3,858,100 | ) | (3,540,303 | ) | ||||
Net decrease in net assets from capital share transactions |
(2,175,159 | ) | (1,769,648 | ) | ||||
Net decrease in net assets |
(2,189,148 | ) | (649,001 | ) | ||||
Net assets, beginning of period |
12,958,534 | 8,719,577 | ||||||
Net assets, end of period |
$ | 10,769,386 | $ | 8,070,576 | ||||
Series B-1 Units, beginning of period |
5,784.122 | 7,174.897 | ||||||
Issuance of Series B-1 Units |
1,105.590 | 1,422.510 | ||||||
Redemption of Units |
(2,074.405 | ) | (3,437.381 | ) | ||||
Series B-1 Units, end of period |
4,815.307 | 5,160.026 | ||||||
Series B-2 Units, beginning of period |
3,700.480 | 2,763.500 | ||||||
Issuance of Series B-2 Units |
163.209 | 623.925 | ||||||
Redemption of Units |
(730.538 | ) | (203.046 | ) | ||||
Series B-2 Units, end of period |
3,133.151 | 3,184.379 | ||||||
19
Six Months Ended | ||||||||
June 30, | ||||||||
2011 | 2010 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (13,989 | ) | $ | 1,120,647 | |||
Adjustments to reconcile net increase (decrease) in net assets
from operations to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(9,998,222 | ) | (8,097,480 | ) | ||||
Maturities of U.S. government securities |
9,400,000 | 7,950,000 | ||||||
Amortization of discounts and premiums |
(2,366 | ) | (1,660 | ) | ||||
Due from brokers |
(467,260 | ) | (399,753 | ) | ||||
Unrealized appreciation on open forward contracts |
95,954 | 65,589 | ||||||
Unrealized depreciation on open forward contracts |
6,581 | (128,111 | ) | |||||
Futures contracts purchased |
1,373,432 | (1,561,725 | ) | |||||
Futures contracts sold |
(91,479 | ) | 24,762 | |||||
Incentive fee |
(210,237 | ) | | |||||
Due to affiliate |
12,685 | | ||||||
Management fees payable |
(2,011 | ) | 3,655 | |||||
Fees payable |
(1,174 | ) | 3,352 | |||||
Net cash provided by (used in) operating activities |
101,914 | (1,020,724 | ) | |||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
1,326,351 | 1,462,025 | ||||||
Redemptions, net of change in redemptions payable |
(2,533,122 | ) | (949,262 | ) | ||||
Net cash provided by (used in) financing activities |
(1,206,771 | ) | 512,763 | |||||
Net decrease in cash |
(1,104,857 | ) | (507,961 | ) | ||||
Cash, beginning of period |
1,414,893 | 932,518 | ||||||
Cash, end of period |
$ | 310,036 | $ | 424,557 | ||||
20
21
22
Level 1: | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; | ||
Level 2: | Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly; | ||
Level 3: | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
23
24
Balance | ||||||||||||||||
June 30, | ||||||||||||||||
2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 10,599,302 | $ | | $ | 10,599,302 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
60,732 | | 60,732 | | ||||||||||||
Futures contracts purchased |
307,567 | 307,567 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 10,967,601 | $ | 307,567 | $ | 10,660,034 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 53,056 | $ | | $ | 53,056 | $ | | ||||||||
Futures contracts sold |
209,494 | 209,494 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 262,550 | $ | 209,494 | $ | 53,056 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 9,598,087 | $ | | $ | 9,598,087 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
224,585 | | 224,585 | | ||||||||||||
Futures contracts purchased |
2,832,921 | 2,832,921 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 12,655,593 | $ | 2,832,921 | $ | 9,822,672 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 36,460 | $ | | $ | 36,460 | $ | | ||||||||
Futures contracts sold |
349,805 | 349,805 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 386,265 | $ | 349,805 | $ | 36,460 | $ | | ||||||||
Balance | ||||||||||||||||
June 30, | ||||||||||||||||
2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 5,349,646 | $ | | $ | 5,349,646 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
27,856 | | 27,856 | | ||||||||||||
Futures contracts purchased |
120,024 | 120,024 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 5,497,526 | $ | 120,024 | $ | 5,377,502 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 23,872 | $ | | $ | 23,872 | $ | | ||||||||
Futures contracts sold |
95,012 | 95,012 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 118,884 | $ | 95,012 | $ | 23,872 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 4,949,019 | $ | | $ | 4,949,019 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
95,755 | | 95,755 | | ||||||||||||
Futures contracts purchased |
1,271,946 | 1,271,946 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 6,316,720 | $ | 1,271,946 | $ | 5,044,774 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 13,857 | $ | | $ | 13,857 | $ | | ||||||||
Futures contracts sold |
143,844 | 143,844 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 157,701 | $ | 143,844 | $ | 13,857 | $ | | ||||||||
25
Balance | ||||||||||||||||
June 30, | ||||||||||||||||
2011 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 5,249,656 | $ | | $ | 5,249,656 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
32,876 | | 32,876 | | ||||||||||||
Futures contracts purchased |
187,543 | 187,543 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 5,470,075 | $ | 187,543 | $ | 5,282,532 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 29,184 | $ | | $ | 29,184 | $ | | ||||||||
Futures contracts sold |
114,482 | 114,482 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 143,666 | $ | 114,482 | $ | 29,184 | $ | | ||||||||
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2010 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 4,649,068 | $ | | $ | 4,649,068 | $ | | ||||||||
Unrealized appreciation on open forward contracts |
128,830 | | 128,830 | | ||||||||||||
Futures contracts purchased |
1,560,975 | 1,560,975 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 6,338,873 | $ | 1,560,975 | $ | 4,777,898 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 22,603 | $ | | $ | 22,603 | $ | | ||||||||
Futures contracts sold |
205,961 | 205,961 | | | ||||||||||||
Total Liabilities Measured at Fair Value |
$ | 228,564 | $ | 205,961 | $ | 22,603 | $ | | ||||||||
26
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | June 30, 2011 | at June 30, 2011 | Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 60,732 | $ | | $ | 60,732 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (53,056 | ) | (53,056 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 307,567 | (209,494 | ) | 98,073 | |||||||||
Totals |
$ | 368,299 | $ | (262,550 | ) | $ | 105,749 | |||||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives at | ||||||||||||
Type of Instrument | Liabilities Location | December 31, 2010 | December 31, 2010 | Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 224,585 | $ | | $ | 224,585 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (36,460 | ) | (36,460 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 2,832,921 | (349,805 | ) | 2,483,116 | |||||||||
Totals |
$ | 3,057,506 | $ | (386,265 | ) | $ | 2,671,241 | |||||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 229,577 | $ | (29,341 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 1,090,357 | (262,047 | ) | ||||||
Total |
$ | 1,319,934 | $ | (291,388 | ) | |||||
27
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 348,591 | $ | (180,445 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 3,800,610 | (2,385,047 | ) | ||||||
Total |
$ | 4,149,201 | $ | (2,565,492 | ) | |||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) | Net Realized Gain (Loss) | Unrealized Depreciation | |||||||
Instruments under ASC | on Derivatives Recognized in | on Derivatives Recognized | on Derivatives | |||||||
815 | Income | in Income | Recognized in Income | |||||||
Foreign exchange contracts |
Net realized loss on futures and forward contracts | $ | (176,916 | ) | $ | (23,211 | ) | |||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 2,076,127 | (905,312 | ) | ||||||
Total |
$ | 1,899,211 | $ | (928,523 | ) | |||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) | Net Realized Gain (Loss) | Unrealized Appreciation | |||||||
Instruments under ASC | on Derivatives Recognized in | on Derivatives Recognized | on Derivatives | |||||||
815 | Income | in Income | Recognized in Income | |||||||
Foreign exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | (365,721 | ) | $ | 56,249 | ||||
Futures contracts |
Net realized gain on futures and forward contracts | 606,161 | 2,406,788 | |||||||
Total |
$ | 240,440 | $ | 2,463,037 | ||||||
As of June 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gain (Loss) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 39,662 | 0.2 | $ | (39,901 | ) | (0.2 | ) | $ | 21,070 | 0.1 | $ | (13,155 | ) | (0.1 | ) | $ | 7,676 | ||||||||||||||||||
Currency |
98,390 | 0.4 | (12,069 | ) | (0.0 | )* | 24,513 | 0.1 | | | 110,834 | |||||||||||||||||||||||||
Financial |
294,906 | 1.1 | (114,755 | ) | (0.4 | ) | 27,000 | 0.1 | (2,189 | ) | (0.0 | )* | 204,962 | |||||||||||||||||||||||
Food & Fiber |
78,415 | 0.3 | | | | | (10,130 | ) | (0.0 | )* | 68,285 | |||||||||||||||||||||||||
Indices |
276,773 | 1.1 | (1,909 | ) | (0.0 | )* | | | (61,188 | ) | (0.2 | ) | 213,676 | |||||||||||||||||||||||
Metals |
70,031 | 0.3 | (378,435 | ) | (1.5 | ) | 52,939 | 0.2 | (63,750 | ) | (0.2 | ) | (319,215 | ) | ||||||||||||||||||||||
Livestock |
| | (3,780 | ) | (0.0 | )* | 480 | 0.0 | * | (80 | ) | (0.0) | * | (3,380 | ) | |||||||||||||||||||||
Energy |
| | | | | | (177,089 | ) | (0.7 | ) | (177,089 | ) | ||||||||||||||||||||||||
Totals |
$ | 858,177 | 3.4 | (550,849 | ) | (2.1 | ) | $ | 126,002 | 0.5 | $ | (327,581 | ) | (1.2 | ) | $ | 105,749 | |||||||||||||||||||
* | Due to rounding |
28
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 193,612 | 0.7 | $ | (14,156 | ) | (0.1 | ) | $ | 30,974 | 0.1 | $ | (22,305 | ) | (0.1 | ) | $ | 188,125 | ||||||||||||||||||
Currency |
484,663 | 1.8 | | | 53,250 | 0.2 | (19,556 | ) | (0.1 | ) | 518,357 | |||||||||||||||||||||||||
Financial |
135,655 | 0.5 | (8,118 | ) | (0.0) | * | 6,771 | 0.0 | * | (29,115 | ) | (0.1 | ) | 105,193 | ||||||||||||||||||||||
Food & Fiber |
195,205 | 0.7 | (955 | ) | (0.0) | * | | | | | 194,250 | |||||||||||||||||||||||||
Indices |
207,408 | 0.8 | (93,343 | ) | (0.3 | ) | 23,963 | 0.1 | | | 138,028 | |||||||||||||||||||||||||
Metals |
1,715,408 | 6.4 | (6,245 | ) | (0.0) | * | | | (354,138 | ) | (1.3 | ) | 1,355,025 | |||||||||||||||||||||||
Livestock |
92,610 | 0.3 | (150 | ) | (0.0) | * | | | | | 92,460 | |||||||||||||||||||||||||
Energy |
134,619 | 0.5 | (23,836 | ) | (0.1 | ) | | | (30,980 | ) | (0.1 | ) | 79,803 | |||||||||||||||||||||||
Totals |
$ | 3,159,180 | 11.7 | $ | (146,803 | ) | (0.5 | ) | $ | 114,958 | 0.4 | $ | (456,094 | ) | (1.7 | ) | $ | 2,671,241 | ||||||||||||||||||
* | Due to rounding |
Average Number of | Average Number of | Average Value of | Average Value of | |||||||||||||
Long Contracts | Short Contracts | Long Positions | Short Positions | |||||||||||||
Foreign Exchange |
62 | 80 | $ | 715,089 | $ | 426,029 |
Average Number of Long | Average Number of | |||||||
Contracts | Short Contracts | |||||||
Currency |
1,188 | 79 | ||||||
Financial |
2,052 | 323 | ||||||
Food & Fiber |
132 | 53 | ||||||
Indices |
957 | 365 | ||||||
Metals |
444 | 161 | ||||||
Livestock |
25 | 26 | ||||||
Energy |
151 | 299 | ||||||
Totals |
5,011 | 1,386 | ||||||
* | Based on quarterly holdings |
Average Number of | Average Number of | Average Value of | Average Value of | |||||||||||||
Long Contracts | Short Contracts | Long Positions | Short Positions | |||||||||||||
Foreign Exchange |
59 | 77 | $ | 284,812 | $ | 304,936 |
Average Number of Long | Average Number of | |||||||
Contracts | Short Contracts | |||||||
Currency |
498 | | ||||||
Financial |
1,088 | 384 | ||||||
Food & Fiber |
123 | 135 | ||||||
Indices |
476 | 26 | ||||||
Metals |
266 | 76 | ||||||
Livestock |
12 | 4 | ||||||
Energy |
153 | 159 | ||||||
Totals |
2,675 | 861 | ||||||
* | Based on quarterly holdings |
29
For the Three Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 229,577 | $ | (29,341 | ) | $ | 200,236 | |||||
Currency |
471,777 | (141,157 | ) | 330,620 | ||||||||
Financial |
871,619 | 274,793 | 1,146,412 | |||||||||
Food & Fiber |
(320,831 | ) | 63,485 | (257,346 | ) | |||||||
Indices |
(748,401 | ) | 217,480 | (530,921 | ) | |||||||
Metals |
1,289,996 | (231,217 | ) | 1,058,779 | ||||||||
Livestock |
(83,630 | ) | (79,600 | ) | (163,230 | ) | ||||||
Energy |
(390,173 | ) | (365,831 | ) | (756,004 | ) | ||||||
Total net trading gains (losses) |
$ | 1,319,934 | $ | (291,388 | ) | $ | 1,028,546 | |||||
For the Six Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 348,591 | $ | (180,445 | ) | $ | 168,146 | |||||
Currency |
461,038 | (407,523 | ) | 53,515 | ||||||||
Financial |
413,774 | 99,767 | 513,541 | |||||||||
Food & Fiber |
(238,684 | ) | (125,965 | ) | (364,649 | ) | ||||||
Indices |
(925,983 | ) | 75,647 | (850,336 | ) | |||||||
Metals |
2,914,332 | (1,674,240 | ) | 1,240,092 | ||||||||
Livestock |
63,510 | (95,840 | ) | (32,330 | ) | |||||||
Energy |
1,112,623 | (256,893 | ) | 855,730 | ||||||||
Total net trading gains (losses) |
$ | 4,149,201 | $ | (2,565,492 | ) | $ | 1,583,709 | |||||
For the Three Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (176,916 | ) | $ | (23,211 | ) | $ | (200,127 | ) | |||
Currency |
(351,331 | ) | (15,964 | ) | (367,295 | ) | ||||||
Financial |
1,354,276 | (2,696 | ) | 1,351,580 | ||||||||
Food & Fiber |
(58,572 | ) | (194,849 | ) | (253,421 | ) | ||||||
Indices |
(367,565 | ) | (324,725 | ) | (692,290 | ) | ||||||
Metals |
1,946,471 | 474,498 | 2,420,969 | |||||||||
Livestock |
(13,440 | ) | (10,160 | ) | (23,600 | ) | ||||||
Energy |
(433,712 | ) | (831,416 | ) | (1,265,128 | ) | ||||||
Total net trading gains (losses) |
$ | 1,899,211 | $ | (928,523 | ) | $ | 970,688 | |||||
30
For the Six Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (365,721 | ) | $ | 56,249 | $ | (309,472 | ) | ||||
Currency |
(710,831 | ) | 270,654 | (440,177 | ) | |||||||
Financial |
1,503,854 | 687,245 | 2,191,099 | |||||||||
Food & Fiber |
(176,123 | ) | (149,016 | ) | (325,139 | ) | ||||||
Indices |
27,426 | (362,221 | ) | (334,795 | ) | |||||||
Metals |
481,345 | 2,007,142 | 2,488,487 | |||||||||
Livestock |
(79,160 | ) | (970 | ) | (80,130 | ) | ||||||
Energy |
(440,350 | ) | (46,046 | ) | (486,396 | ) | ||||||
Total net trading gains |
$ | 240,440 | $ | 2,463,037 | $ | 2,703,477 | ||||||
31
Statement of Assets and | Asset Derivatives | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | at June 30, 2011 | at June 30, 2011 | Net | ||||||||||
Foreign exchange
contracts |
Unrealized appreciation on open forward contracts | $ | 27,856 | $ | | $ | 27,856 | |||||||
Foreign exchange
contracts |
Unrealized depreciation on open forward contracts | | (23,872 | ) | (23,872 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 120,024 | (95,012 | ) | 25,012 | |||||||||
Totals |
$ | 147,880 | $ | (118,884 | ) | $ | 28,996 | |||||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | December 31, 2010 | at December 31, 2010 | Net | ||||||||||
Foreign exchange
contracts |
Unrealized appreciation on open forward contracts | $ | 95,755 | $ | | $ | 95,755 | |||||||
Foreign exchange
contracts |
Unrealized depreciation on open forward contracts | | (13,857 | ) | (13,857 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 1,271,946 | (143,844 | ) | 1,128,102 | |||||||||
Totals |
$ | 1,367,701 | $ | (157,701 | ) | $ | 1,210,000 | |||||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange
contracts |
Net realized gain (loss) on futures and forward contracts | $ | 103,062 | $ | (12,890 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 507,130 | (118,058 | ) | ||||||
Total |
$ | 610,192 | $ | (130,948 | ) | |||||
32
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange
contracts |
Net realized gain (loss) on futures and forward contracts | $ | 159,252 | $ | (77,911 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 1,755,749 | (1,103,093 | ) | ||||||
Total |
$ | 1,915,001 | $ | (1,181,004 | ) | |||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on (Loss) | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange
contracts |
Net realized loss on futures and forward contracts | $ | (19,919 | ) | $ | (10,340 | ) | |||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 737,589 | (35,977 | ) | ||||||
Total |
$ | 717,670 | $ | (46,317 | ) | |||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on (Loss) | Unrealized Appreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | (Depreciation) on Derivatives | |||||||
815 | Income | Income | Recognized in Income | |||||||
Foreign exchange
contracts |
Net realized loss on futures and forward contracts | $ | (23,533 | ) | $ | (6,274 | ) | |||
Futures contracts |
Net realized gain on futures and forward contracts | 330,859 | 869,826 | |||||||
Total |
$ | 307,326 | $ | 863,552 | ||||||
33
As of June 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gain (Loss) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 17,854 | 0.1 | $ | (16,849 | ) | (0.1 | ) | $ | 10,002 | 0.0 | * | $ | (7,023 | ) | (0.0 | )* | $ | 3,984 | |||||||||||||||||
Currency |
44,378 | 0.3 | (6,263 | ) | (0.0 | )* | 11,300 | 0.1 | | | 49,415 | |||||||||||||||||||||||||
Financial |
136,776 | 0.9 | (54,034 | ) | (0.4 | ) | 12,000 | 0.1 | (841 | ) | (0.0 | )* | 93,901 | |||||||||||||||||||||||
Food & Fiber |
35,118 | 0.2 | | | | | (5,060 | ) | (0.0 | )* | 30,058 | |||||||||||||||||||||||||
Indices |
134,372 | 0.9 | (1,227 | ) | (0.0 | )* | | | (24,644 | ) | (0.2 | ) | 108,501 | |||||||||||||||||||||||
Metals |
31,594 | (198,990 | ) | (1.3 | ) | 23,392 | 0.2 | (28,900 | ) | (0.2 | ) | (172,904 | ) | |||||||||||||||||||||||
Livestock |
| | (1,700 | ) | (0.0 | )* | 120 | 0.0 | * | (40 | ) | (0.0 | )* | (1,620 | ) | |||||||||||||||||||||
Energy |
| | | | | | (82,339 | ) | (0.5 | ) | (82,339 | ) | ||||||||||||||||||||||||
Totals |
$ | 400,092 | 2.6 | $ | (279,063 | ) | (1.8 | ) | $ | 56,814 | 0.4 | $ | (148,847 | ) | (0.9 | ) | $ | 28,996 | ||||||||||||||||||
* | Due to rounding |
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 84,142 | 0.6 | $ | (4,472 | ) | (0.0 | )* | $ | 11,613 | 0.1 | $ | (9,385 | ) | (0.1 | ) | $ | 81,898 | ||||||||||||||||||
Currency |
208,888 | 1.5 | | | 22,631 | 0.2 | (8,381 | ) | (0.1 | ) | 223,138 | |||||||||||||||||||||||||
Financial |
58,501 | 0.4 | (3,435 | ) | (0.0 | )* | 1,766 | 0.0 | * | (12,373 | ) | (0.1 | ) | 44,459 | ||||||||||||||||||||||
Food & Fiber |
82,217 | 0.6 | (436 | ) | (0.0 | )* | | | | | 81,781 | |||||||||||||||||||||||||
Indices |
84,851 | 0.7 | (38,227 | ) | (0.3 | ) | 9,628 | 0.1 | | | 56,252 | |||||||||||||||||||||||||
Metals |
797,284 | 5.8 | (2,926 | ) | (0.0 | )* | | | (144,925 | ) | (1.1 | ) | 649,433 | |||||||||||||||||||||||
Livestock |
41,020 | 0.3 | (50 | ) | (0.0 | )* | | | | | 40,970 | |||||||||||||||||||||||||
Energy |
54,905 | 0.4 | (10,646 | ) | (0.1 | ) | | | (12,190 | ) | (0.1 | ) | 32,069 | |||||||||||||||||||||||
Totals |
$ | 1,411,808 | 10.3 | $ | (60,192 | ) | (0.4 | ) | $ | 45,638 | 0.4 | $ | (187,254 | ) | (1.5 | ) | $ | 1,210,000 | ||||||||||||||||||
* | Due to rounding |
Average | ||||||||||||||||
Average Number | Number of | Average Value | Average Value | |||||||||||||
of Long | Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
29 | 40 | $ | 309,218 | $ | 185,307 |
Average | ||||||||
Average Number | Number of | |||||||
of Long | Short | |||||||
Contracts | Contracts | |||||||
Currency |
528 | 31 | ||||||
Financial |
889 | 143 | ||||||
Food & Fiber |
58 | 24 | ||||||
Indices |
408 | 157 | ||||||
Metals |
204 | 70 | ||||||
Livestock |
11 | 11 | ||||||
Energy |
64 | 130 | ||||||
Totals |
2,191 | 606 | ||||||
* | Based on quarterly holdings |
34
Series A average* monthly contract volume by market sector as of quarter ended June 30, 2010: |
Average Number | Average | Average Value | Average Value | |||||||||||||
of Long | Number of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
15 | 20 | $ | 42,583 | $ | 38,566 |
Average Number | Average | |||||||
of Long | Number of Short | |||||||
Contracts | Contracts | |||||||
Currency |
147 | | ||||||
Financial |
320 | 110 | ||||||
Food & Fiber |
29 | 39 | ||||||
Indices |
127 | 6 | ||||||
Metals |
81 | 19 | ||||||
Livestock |
4 | 1 | ||||||
Energy |
38 | 44 | ||||||
Totals |
761 | 239 | ||||||
* | Based on quarterly holdings |
For the Three Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 103,062 | $ | (12,890 | ) | $ | 90,172 | |||||
Currency |
180,708 | (60,596 | ) | 120,112 | ||||||||
Financial |
395,073 | 122,901 | 517,974 | |||||||||
Food & Fiber |
(141,854 | ) | 27,022 | (114,832 | ) | |||||||
Indices |
(352,522 | ) | 109,383 | (243,139 | ) | |||||||
Metals |
634,850 | (117,814 | ) | 517,036 | ||||||||
Livestock |
(34,690 | ) | (37,260 | ) | (71,950 | ) | ||||||
Energy |
(174,435 | ) | (161,694 | ) | (336,129 | ) | ||||||
Total net trading gains (losses) |
$ | 610,192 | $ | (130,948 | ) | $ | 479,244 | |||||
For the Six Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 159,252 | $ | (77,911 | ) | $ | 81,341 | |||||
Currency |
176,419 | (173,723 | ) | 2,696 | ||||||||
Financial |
232,107 | 49,441 | 281,548 | |||||||||
Food & Fiber |
(109,067 | ) | (51,723 | ) | (160,790 | ) | ||||||
Indices |
(483,821 | ) | 52,248 | (431,573 | ) | |||||||
Metals |
1,473,655 | (822,337 | ) | 651,318 | ||||||||
Livestock |
29,560 | (42,590 | ) | (13,030 | ) | |||||||
Energy |
436,896 | (114,409 | ) | 322,487 | ||||||||
Total net trading gains (losses) |
$ | 1,915,001 | $ | (1,181,004 | ) | $ | 733,997 | |||||
35
For the Three Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (19,919 | ) | $ | (10,340 | ) | $ | (30,259 | ) | |||
Currency |
(97,125 | ) | 325 | (96,800 | ) | |||||||
Financial |
369,117 | 13,471 | 382,588 | |||||||||
Food & Fiber |
(9,687 | ) | (56,820 | ) | (66,507 | ) | ||||||
Indices |
(74,813 | ) | (72,251 | ) | (147,064 | ) | ||||||
Metals |
700,848 | 250,812 | 951,660 | |||||||||
Livestock |
(4,320 | ) | (3,110 | ) | (7,430 | ) | ||||||
Energy |
(146,431 | ) | (168,404 | ) | (314,835 | ) | ||||||
Total net trading gains (losses) |
$ | 717,670 | $ | (46,317 | ) | $ | 671,353 | |||||
For the Six Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (23,533 | ) | $ | (6,274 | ) | $ | (29,807 | ) | |||
Currency |
(175,095 | ) | 69,953 | (105,142 | ) | |||||||
Financial |
404,283 | 196,640 | 600,923 | |||||||||
Food & Fiber |
(54,002 | ) | (19,969 | ) | (73,971 | ) | ||||||
Indices |
3,642 | (39,642 | ) | (36,000 | ) | |||||||
Metals |
312,321 | 658,223 | 970,544 | |||||||||
Livestock |
(17,650 | ) | (2,030 | ) | (19,680 | ) | ||||||
Energy |
(142,640 | ) | 6,651 | (135,989 | ) | |||||||
Total net trading gains |
$ | 307,326 | $ | 863,552 | $ | 1,170,878 | ||||||
36
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | June 30, 2011 | at June 30, 2011 | Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 32,876 | $ | | $ | 32,876 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (29,184 | ) | (29,184 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 187,543 | (114,482 | ) | 73,061 | |||||||||
Totals |
$ | 220,419 | $ | (143,666 | ) | $ | 76,753 | |||||||
Statement of Assets and | Asset Derivatives at | Liability Derivatives | ||||||||||||
Type of Instrument | Liabilities Location | December 31, 2010 | at December 31, 2010 | Net | ||||||||||
Foreign exchange contracts |
Unrealized appreciation on open forward contracts | $ | 128,830 | $ | | $ | 128,830 | |||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts | | (22,603 | ) | (22,603 | ) | ||||||||
Futures contracts |
Futures contracts purchased & futures contacts sold | 1,560,975 | (205,961 | ) | 1,355,014 | |||||||||
Totals |
$ | 1,689,805 | $ | (228,564 | ) | $ | 1,461,241 | |||||||
Derivatives not | Change in Unrealized | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Realized Gain on | Depreciation on | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | Derivatives Recognized | |||||||
815 | Income | Income | in Income | |||||||
Foreign Exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 126,515 | $ | (16,451 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 583,227 | (143,989 | ) | ||||||
Total |
$ | 709,742 | $ | (160,440 | ) | |||||
37
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain on | Unrealized Depreciation | |||||||
Instruments under ASC | Derivatives Recognized in | Derivatives Recognized in | on Derivatives Recognized | |||||||
815 | Income | Income | in Income | |||||||
Foreign Exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | 189,339 | $ | (102,534 | ) | ||||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 2,044,861 | (1,281,954 | ) | ||||||
Total |
$ | 2,234,200 | $ | (1,384,488 | ) | |||||
Net Change in | ||||||||||
Derivatives not | Location of Gain (Loss) on | Net Realized Gain (Loss) | Unrealized Depreciation | |||||||
Designated as Hedging | Derivatives Recognized in | on Derivatives Recognized | on Derivatives | |||||||
Instruments under ASC 815 | Income | in Income | Recognized in Income | |||||||
Foreign Exchange contracts |
Net realized loss on futures and forward contracts | $ | (156,997 | ) | $ | (12,871 | ) | |||
Futures contracts |
Net realized gain (loss) on futures and forward contracts | 1,338,538 | (869,335 | ) | ||||||
Total |
$ | 1,181,541 | $ | (882,206 | ) | |||||
Derivatives not | Net Change in | |||||||||
Designated as Hedging | Location of Gain (Loss) on | Net Realized Gain (Loss) | Unrealized Appreciation | |||||||
Instruments under ASC | Derivatives Recognized in | on Derivatives Recognized | on Derivatives | |||||||
815 | Income | in Income | Recognized in Income | |||||||
Foreign Exchange contracts |
Net realized gain (loss) on futures and forward contracts | $ | (342,188 | ) | $ | 62,523 | ||||
Futures contracts |
Net realized gain on futures and forward contracts | 275,302 | 1,536,962 | |||||||
Total |
$ | (66,886 | ) | $ | 1,599,485 | |||||
38
As of June 30, 2011 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gain (Loss) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 21,808 | 0.2 | $ | (23,052 | ) | (0.2 | ) | $ | 11,068 | 0.1 | $ | (6,132 | ) | (0.1 | ) | $ | 3,692 | ||||||||||||||||||
Currency |
54,012 | 0.5 | (5,806 | ) | (0.1 | ) | 13,213 | 0.1 | | | 61,419 | |||||||||||||||||||||||||
Financial |
158,130 | 1.5 | (60,721 | ) | (0.6 | ) | 15,000 | 0.1 | (1,348 | ) | (0.0) | * | 111,061 | |||||||||||||||||||||||
Food & Fiber |
43,297 | 0.4 | | | | | (5,070 | ) | (0.0) | * | 38,227 | |||||||||||||||||||||||||
Indices |
142,401 | 1.3 | (682 | ) | (0.0) | * | | | (36,544 | ) | (0.3 | ) | 105,175 | |||||||||||||||||||||||
Metals |
38,437 | 0.4 | (179,445 | ) | (1.7 | ) | 29,547 | 0.2 | (34,850 | ) | (0.3 | ) | (146,311 | ) | ||||||||||||||||||||||
Livestock |
| | (2,080 | ) | (0.0) | * | 360 | 0.0 | * | (40 | ) | (0.0) | * | (1,760 | ) | |||||||||||||||||||||
Energy |
| | | | | | (94,750 | ) | (0.9 | ) | (94,750 | ) | ||||||||||||||||||||||||
Totals |
$ | 458,085 | 4.3 | $ | (271,786 | ) | (2.6 | ) | $ | 69,188 | 0.6 | $ | (178,734 | ) | (1.6 | ) | $ | 76,753 | ||||||||||||||||||
* | Due to rounding |
As of December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | Assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 109,470 | 0.9 | $ | (9,684 | ) | (0.1 | ) | $ | 19,361 | 0.1 | $ | (12,920 | ) | (0.1 | ) | $ | 106,227 | ||||||||||||||||||
Currency |
275,775 | 2.1 | | | 30,619 | 0.3 | (11,175 | ) | (0.1 | ) | 295,219 | |||||||||||||||||||||||||
Financial |
77,154 | 0.6 | (4,683 | ) | (0.0) | * | 5,005 | 0.0 | * | (16,742 | ) | (0.1 | ) | 60,734 | ||||||||||||||||||||||
Food & Fiber |
112,988 | 0.9 | (519 | ) | (0.0) | * | | | | | 112,469 | |||||||||||||||||||||||||
Indices |
122,557 | 0.9 | (55,116 | ) | (0.4 | ) | 14,335 | 0.1 | | | 81,776 | |||||||||||||||||||||||||
Metals |
918,124 | 7.1 | (3,319 | ) | (0.0) | * | | | (209,213 | ) | (1.6 | ) | 705,592 | |||||||||||||||||||||||
Livestock |
51,590 | 0.4 | (100 | ) | (0.0) | * | | | | | 51,490 | |||||||||||||||||||||||||
Energy |
79,714 | 0.6 | (13,190 | ) | (0.1 | ) | | | (18,790 | ) | (0.1 | ) | 47,734 | |||||||||||||||||||||||
Totals |
$ | 1,747,372 | 13.5 | $ | (86,611 | ) | (0.6 | ) | $ | 69,320 | 0.5 | $ | (268,840 | ) | (2.0 | ) | $ | 1,461,241 | ||||||||||||||||||
* | Due to rounding |
Average Number | Average | Average Value | Average Value | |||||||||||||
of Long | Number of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
33 | 40 | $ | 405,871 | $ | 240,722 |
Average Number | Average | |||||||
of Long | Number of Short | |||||||
Contracts | Contracts | |||||||
Currency |
660 | 48 | ||||||
Financial |
1,163 | 180 | ||||||
Food & Fiber |
74 | 29 | ||||||
Indices |
549 | 208 | ||||||
Metals |
240 | 91 | ||||||
Livestock |
14 | 15 | ||||||
Energy |
87 | 169 | ||||||
Totals |
2,820 | 780 | ||||||
* | Based on quarterly holdings |
39
Average Number | Average | Average Value | Average Value | |||||||||||||
of Long | Number of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
44 | 57 | $ | 242,229 | $ | 266,370 |
Average Number | Average | |||||||
of Long | Number of Short | |||||||
Contracts | Contracts | |||||||
Currency |
351 | | ||||||
Financial |
768 | 274 | ||||||
Food & Fiber |
94 | 96 | ||||||
Indices |
349 | 20 | ||||||
Metals |
185 | 57 | ||||||
Livestock |
8 | 3 | ||||||
Energy |
115 | 115 | ||||||
Totals |
1,914 | 622 | ||||||
* | Based on quarterly holdings |
For the Three Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 126,515 | $ | (16,451 | ) | $ | 110,064 | |||||
Currency |
291,069 | (80,561 | ) | 210,508 | ||||||||
Financial |
476,546 | 151,892 | 628,438 | |||||||||
Food & Fiber |
(178,977 | ) | 36,463 | (142,514 | ) | |||||||
Indices |
(395,879 | ) | 108,097 | (287,782 | ) | |||||||
Metals |
655,146 | (113,403 | ) | 541,743 | ||||||||
Livestock |
(48,940 | ) | (42,340 | ) | (91,280 | ) | ||||||
Energy |
(215,738 | ) | (204,137 | ) | (419,875 | ) | ||||||
Total net trading gains (losses) |
$ | 709,742 | $ | (160,440 | ) | $ | 549,302 | |||||
For the Six Months Ended June 30, 2011 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | 189,339 | $ | (102,534 | ) | $ | 86,805 | |||||
Currency |
284,619 | (233,800 | ) | 50,819 | ||||||||
Financial |
181,667 | 50,326 | 231,993 | |||||||||
Food & Fiber |
(129,617 | ) | (74,242 | ) | (203,859 | ) | ||||||
Indices |
(442,162 | ) | 23,399 | (418,763 | ) | |||||||
Metals |
1,440,677 | (851,903 | ) | 588,774 | ||||||||
Livestock |
33,950 | (53,250 | ) | (19,300 | ) | |||||||
Energy |
675,727 | (142,484 | ) | 533,243 | ||||||||
Total net trading gains (losses) |
$ | 2,234,200 | $ | (1,384,488 | ) | $ | 849,712 | |||||
40
For the Three Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (156,997 | ) | $ | (12,871 | ) | $ | (169,868 | ) | |||
Currency |
(254,206 | ) | (16,289 | ) | (270,495 | ) | ||||||
Financial |
985,159 | (16,167 | ) | 968,992 | ||||||||
Food & Fiber |
(48,885 | ) | (138,029 | ) | (186,914 | ) | ||||||
Indices |
(292,752 | ) | (252,474 | ) | (545,226 | ) | ||||||
Metals |
1,245,623 | 223,686 | 1,469,309 | |||||||||
Livestock |
(9,120 | ) | (7,050 | ) | (16,170 | ) | ||||||
Energy |
(287,281 | ) | (663,012 | ) | (950,293 | ) | ||||||
Total net trading gains (losses) |
$ | 1,181,541 | $ | (882,206 | ) | $ | 299,335 | |||||
For the Six Months Ended June 30, 2010 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gain (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (342,188 | ) | $ | 62,523 | $ | (279,665 | ) | ||||
Currency |
(535,736 | ) | 200,701 | (335,035 | ) | |||||||
Financial |
1,099,571 | 490,605 | 1,590,176 | |||||||||
Food & Fiber |
(122,121 | ) | (129,047 | ) | (251,168 | ) | ||||||
Indices |
23,784 | (322,579 | ) | (298,795 | ) | |||||||
Metals |
169,024 | 1,348,919 | 1,517,943 | |||||||||
Livestock |
(61,510 | ) | 1,060 | (60,450 | ) | |||||||
Energy |
(297,710 | ) | (52,697 | ) | (350,407 | ) | ||||||
Total net trading gains (losses) |
$ | (66,886 | ) | $ | 1,599,485 | $ | 1,532,599 | |||||
41
2011 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return |
||||||||||||||||
Total return before incentive fees |
1.4 | % | 2.6 | % | 2.7 | % | 3.1 | % | ||||||||
Incentive fees |
1.6 | % | 1.8 | % | 3.9 | % | 3.4 | % | ||||||||
Total return after incentive fees |
(0.2 | )% | 0.8 | % | (1.2 | )% | (0.3 | )% | ||||||||
Ratios to average partners capital* |
||||||||||||||||
Operating expenses before incentive fees |
6.9 | % | 4.8 | % | 7.9 | % | 5.6 | % | ||||||||
Incentive fees |
1.6 | % | 1.8 | % | 3.1 | % | 3.0 | % | ||||||||
Total expenses |
8.4 | % | 6.6 | % | 10.9 | % | 8.6 | % | ||||||||
Net investment loss* |
(6.8 | )% | (4.8 | )% | (7.8 | )% | (5.5 | )% | ||||||||
Net asset value per unit, beginning of period |
$ | 1,566.65 | $ | 1,671.00 | $ | 1,351.22 | $ | 1,389.80 | ||||||||
Net investment loss |
(77.96 | ) | (69.44 | ) | (94.70 | ) | (80.97 | ) | ||||||||
Net gain on investments |
75.58 | 81.12 | 78.75 | 76.25 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,564.27 | $ | 1,682.68 | $ | 1,335.27 | $ | 1,385.08 | ||||||||
Other per Unit information: |
||||||||||||||||
Net increase (decrease) in net assets from
operations per Unit (based upon weighted
average Number of Units during period) |
$ | (3.23 | ) | $ | 17.04 | $ | (5.39 | ) | $ | 5.24 | ||||||
Net increase (decrease) in net assets from
operations per Unit (based upon change in
net asset value per Unit) |
$ | (2.38 | ) | $ | 11.68 | $ | (15.95 | ) | $ | (4.72 | ) | |||||
* | Annualized for periods less than a year |
2010 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return |
||||||||||||||||
Total return before incentive fees |
13.6 | % | 14.5 | % | 9.6 | % | 10.7 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
Total return after incentive fees |
13.6 | % | 14.5 | % | 9.6 | % | 10.7 | % | ||||||||
Ratios to average partners capital* |
||||||||||||||||
Operating expenses before incentive fees |
7.5 | % | 5.4 | % | 8.8 | % | 6.8 | % | ||||||||
Incentive fees |
0.4 | % | 0.7 | % | 0.0 | % | 0.0 | % | ||||||||
Total expenses |
7.9 | % | 6.1 | % | 8.8 | % | 6.8 | % | ||||||||
Net investment loss* |
(7.2 | )% | (5.4 | )% | (8.8 | )% | (6.8 | )% | ||||||||
Net asset value per unit, beginning of period |
$ | 1,056.90 | $ | 1,111.40 | $ | 873.68 | $ | 886.92 | ||||||||
Net investment loss |
(45.15 | ) | (39.65 | ) | (40.00 | ) | (31.32 | ) | ||||||||
Net gain on investments |
189.34 | 200.48 | 124.22 | 126.63 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,201.09 | $ | 1,272.23 | $ | 957.90 | $ | 982.23 | ||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations
per Unit (based upon weighted average Number
of Units during period) |
$ | 165.01 | $ | 180.54 | $ | 100.29 | $ | 104.43 | ||||||||
Net increase in net assets from operations
per Unit (based upon change in net asset
value per Unit) |
$ | 144.19 | $ | 160.83 | $ | 84.22 | $ | 95.31 | ||||||||
* | Annualized for periods less than a year |
42
2011 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return |
||||||||||||||||
Total return before incentive fees |
1.9 | % | 2.6 | % | 2.7 | % | 2.6 | % | ||||||||
Incentive fees |
1.5 | % | 1.7 | % | 3.8 | % | 3.3 | % | ||||||||
Total return after incentive fees |
0.4 | % | 0.9 | % | (1.1 | )% | (0.7 | )% | ||||||||
Ratios to average partners capital* |
||||||||||||||||
Operating expenses before incentive fees |
6.8 | % | 4.6 | % | 7.7 | % | 5.4 | % | ||||||||
Incentive fees |
1.5 | % | 1.7 | % | 2.9 | % | 2.9 | % | ||||||||
Total expenses |
8.3 | % | 6.3 | % | 10.7 | % | 8.3 | % | ||||||||
Net investment loss* |
(6.7 | )% | (4.6 | )% | (7.7 | )% | (5.4 | )% | ||||||||
Net asset value per unit, beginning of period |
$ | 1,558.48 | $ | 1,669.77 | $ | 1,350.16 | $ | 1,394.56 | ||||||||
Net investment loss |
(52.11 | ) | (49.51 | ) | (68.59 | ) | (62.14 | ) | ||||||||
Net gain (loss) on investments |
57.90 | 62.42 | 53.70 | 52.66 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,564.27 | $ | 1,682.68 | $ | 1,335.27 | $ | 1,385.08 | ||||||||
Other per Unit information: |
||||||||||||||||
Net increase (decrease) in net assets from
operations per Unit (based upon weighted
average Number of Units during period) |
$ | (4.39 | ) | $ | 14.85 | $ | (10.39 | ) | $ | (3.90 | ) | |||||
Net increase (decrease) in net assets from
operations per Unit (based upon change in
net asset value per Unit) |
$ | 5.79 | $ | 12.91 | $ | (14.89 | ) | $ | (9.48 | ) | ||||||
* | Annualized for periods less than a year |
2010 | ||||||||||||||||
Series A-1 | Series A-2 | Series B-1 | Series B-2 | |||||||||||||
Total Return |
||||||||||||||||
Total return before incentive fees |
7.1 | % | 7.4 | % | 0.0 | % | 0.5 | % | ||||||||
Incentive fees |
0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
Total return after incentive fees |
7.1 | % | 7.4 | % | 0.0 | % | 0.5 | % | ||||||||
Ratios to average partners capital* |
||||||||||||||||
Operating expenses before incentive fees |
7.1 | % | 5.1 | % | 8.5 | % | 6.5 | % | ||||||||
Incentive fees |
0.4 | % | 0.5 | % | 0.0 | % | 0.0 | % | ||||||||
Total expenses |
7.5 | % | 5.6 | % | 8.5 | % | 6.5 | % | ||||||||
Net investment loss* |
(7.1 | )% | (5.1 | )% | (8.5 | )% | (6.5 | )% | ||||||||
Net asset value per unit, beginning of period |
$ | 1,121.67 | $ | 1,184.20 | $ | 957.71 | $ | 977.12 | ||||||||
Net investment loss |
(25.26 | ) | (22.56 | ) | (20.75 | ) | (16.30 | ) | ||||||||
Net gain (loss) on investments |
104.68 | 110.59 | 20.94 | 21.41 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,201.09 | $ | 1,272.23 | $ | 957.90 | $ | 982.23 | ||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations
per Unit (based upon weighted average Number
of Units during period) |
$ | 85.33 | $ | 88.26 | $ | 7.67 | $ | 5.96 | ||||||||
Net increase in net assets from operations
per Unit (based upon change in net asset
value per Unit) |
$ | 79.42 | $ | 88.03 | $ | 0.19 | $ | 5.11 | ||||||||
* | Annualized for periods less than a year |
43
44
45
46
47
48
49
50
51
52
53
(a) | There were no sales of unregistered securities during the quarter ended June 30, 2011. | |
(b) | Updated information required by Item 701(f) of Regulation S-K: |
(1) | The use of proceeds information is being disclosed for Registration Statement No. 333-151632 declared effective on February 17, 2009. | ||
(4) | (iv) As of June 30, 2011, the Fund sold $12,189,032 of Series A-1 Units, $2,850,362 of Series A-2 Units, $10,040,244 of Series B-1 Units, and $3,882,216 of Series B-2 Units. |
(v) | As of June 30, 2011, the Fund incurred expenses for the account of the Fund totaling $4,006,739 of which $3,435,941 was paid to Superfund Capital Management and $570,798 was paid to Superfund USA. | ||
(vi) | Net offering proceeds to the Fund as of June 30, 2011 were $24,955,115. |
54
(vii) | As of June 30, 2011, the amount of net offering proceeds to the Fund for commodity futures and forward trading in accordance with Superfund Capital Managements trading program totaled $24,955,115. |
(c) | Pursuant to the Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end Net Asset Value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. |
Series A-1: | ||||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
April 30, 2011 |
14.196 | 1,775.09 | ||||||
May 31, 2011 |
24.892 | 1,611.93 | ||||||
June 30, 2011 |
163.518 | 1,564.27 | ||||||
Total |
202.606 | |||||||
Series A-2: | ||||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
April 30, 2011 |
0.000 | 1,903.08 | ||||||
May 31, 2011 |
130.313 | 1,731.05 | ||||||
June 30, 2011 |
16.889 | 1,682.68 | ||||||
Total |
147.202 | |||||||
Series B-1: | ||||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
April 30, 2011 |
98.390 | 1,583.31 | ||||||
May 31, 2011 |
578.113 | 1,377.37 | ||||||
June 30, 2011 |
1,038.337 | 1,335.27 | ||||||
Total |
1,714.840 | |||||||
Series B-2: | ||||||||
Net Asset Value | ||||||||
Month | Units Redeemed | per Unit ($) | ||||||
April 30, 2011 |
68.493 | 1,636.89 | ||||||
May 31, 2011 |
247.033 | 1,426.36 | ||||||
June 30, 2011 |
95.588 | 1,385.08 | ||||||
Total |
411.114 | |||||||
55
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
|||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
|||
32.1 | Section 1350 Certification of Principal Executive Officer |
|||
32.2 | Section 1350 Certification of Principal Financial Officer |
|||
101.INS* | XBRL Instance Document | |||
101.SCH* | XBRL Taxonomy Extension Schema Document | |||
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |||
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |||
101.LAB* | XBRL Taxonomy Extension Label Linkbase Document | |||
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
56
Date: August 15, 2011 | SUPERFUND GOLD, L.P. (Registrant) |
|||
By: | Superfund Capital Management, Inc. | |||
General Partner | ||||
By: | /s/ Nigel James | |||
Nigel James | ||||
President and Principal Executive Officer | ||||
By: | /s/ Martin Schneider | |||
Martin Schneider | ||||
Vice President and Principal Financial Officer |
57
Exhibit Number | Description of Document | Page Number | ||||
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
|
E-2 | ||||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
|
E-3 | ||||
32.1 | Section 1350 Certification of Principal Executive Officer
|
E-4 | ||||
32.2 | Section 1350 Certification of Principal Financial Officer
|
E-5 | ||||
101.INS* | XBRL Instance Document | |||||
101.SCH* | XBRL Taxonomy Extension Schema Document | |||||
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |||||
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |||||
101.LAB* | XBRL Taxonomy Extension Label Linkbase Document | |||||
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
E-1
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and | ||
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 15, 2011 | By: | /s/ Nigel James | ||
Nigel James | ||||
President and Principal Executive Officer |
E-2
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 15, 2011 | By: | /s/ Martin Schneider | ||
Martin Schneider | ||||
Vice President and Principal Financial Officer |
E-3
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: August 15, 2011 | By: | /s/ Nigel James | ||
Nigel James | ||||
President and Principal Executive Officer |
E-4
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: August 15, 2011 | By: | /s/ Martin Schneider | ||
Martin Schneider | ||||
Vice President and Principal Financial Officer | ||||
E-5
Statements of Assets and Liabilities (Unaudited) (Parenthetical) (USD $)
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|
ASSETS | Â | Â |
U.S. Government securities, Amortized cost | $ 10,599,302 | $ 9,598,087 |
SERIES A
|
 |  |
ASSETS | Â | Â |
U.S. Government securities, Amortized cost | 5,349,646 | 4,949,019 |
SERIES B
|
 |  |
ASSETS | Â | Â |
U.S. Government securities, Amortized cost | $ 5,249,656 | $ 4,649,068 |
Condensed Schedule of Investments (Unaudited) (USD $)
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|
SERIES A | United States Treasury Bills due
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Face Value | $ 5,350,000 | $ 4,950,000 |
Percentage of Net Assets | 35.40% | 36.10% |
Fair Value | 5,349,646 | 4,949,019 |
SERIES A | Unrealized Appreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.70% |
Fair Value | 27,856 | 95,755 |
SERIES A | Unrealized Appreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.70% |
Fair Value | 27,856 | 95,755 |
SERIES A | Unrealized Depreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | (0.10%) |
Fair Value | (23,872) | (13,857) |
SERIES A | Unrealized Depreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | (0.10%) |
Fair Value | (23,872) | (13,857) |
SERIES A | Futures Contracts Purchased
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.80% | 9.30% |
Fair Value | 120,024 | 1,271,946 |
SERIES A | Futures Contracts Purchased | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 1.50% |
Fair Value | 38,115 | 208,888 |
SERIES A | Futures Contracts Purchased | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 0.30% |
Fair Value | Â | 44,259 |
SERIES A | Futures Contracts Purchased | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.50% | 0.40% |
Fair Value | 82,742 | 55,066 |
SERIES A | Futures Contracts Purchased | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.60% |
Fair Value | 35,118 | 81,781 |
SERIES A | Futures Contracts Purchased | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.90% | 0.40% |
Fair Value | 133,145 | 46,624 |
SERIES A | Futures Contracts Purchased | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.30% |
Fair Value | (1,700) | 40,970 |
SERIES A | Futures Contracts Purchased | CMX Gold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 3.90% |
Fair Value | Â | 528,140 |
SERIES A | Futures Contracts Purchased | Other Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 1.90% |
Fair Value | Â | 266,218 |
SERIES A | Futures Contracts Purchased | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.10%) | 5.80% |
Fair Value | (167,396) | 794,358 |
SERIES A | Futures Contracts Sold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.50%) | (1.10%) |
Fair Value | (95,012) | (143,844) |
SERIES A | Futures Contracts Sold | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | 0.10% |
Fair Value | 11,300 | 14,250 |
SERIES A | Futures Contracts Sold | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.50%) | (0.10%) |
Fair Value | (82,339) | (12,190) |
SERIES A | Futures Contracts Sold | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | (0.10%) |
Fair Value | 11,159 | (10,607) |
SERIES A | Futures Contracts Sold | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | (5,060) | Â |
SERIES A | Futures Contracts Sold | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | 0.10% |
Fair Value | (24,644) | 9,628 |
SERIES A | Futures Contracts Sold | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | 80 | Â |
SERIES A | Futures Contracts Sold | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | (1.10%) |
Fair Value | (5,508) | (144,925) |
SERIES A | Futures and Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 8.80% |
Fair Value | 28,996 | 1,210,000 |
SERIES A | Futures and Forward Contracts | Australia
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 0.00% |
Fair Value | 47,812 | 1,134 |
SERIES A | Futures and Forward Contracts | European Monetary Union
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 0.20% |
Fair Value | 64,506 | 32,375 |
SERIES A | Futures and Forward Contracts | Great Britain
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 0.20% |
Fair Value | 52,458 | 30,179 |
SERIES A | Futures and Forward Contracts | Japan
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.70% |
Fair Value | 35,554 | 92,656 |
SERIES A | Futures and Forward Contracts | United States
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.30%) | 5.90% |
Fair Value | (202,857) | 808,405 |
SERIES A | Futures and Forward Contracts | Other Countries
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 1.80% |
Fair Value | 31,523 | 245,251 |
SERIES A | Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.60% |
Fair Value | 3,984 | 81,898 |
SERIES A | Future Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 8.20% |
Fair Value | 25,012 | 1,128,102 |
SERIES B | United States Treasury Bills due
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Face Value | 5,250,000 | 4,650,000 |
Percentage of Net Assets | 48.70% | 35.90% |
Fair Value | 5,249,656 | 4,649,068 |
SERIES B | Unrealized Appreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 1.00% |
Fair Value | 32,876 | 128,830 |
SERIES B | Unrealized Appreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 1.00% |
Fair Value | 32,876 | 128,830 |
SERIES B | Unrealized Depreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.30%) | (0.20%) |
Fair Value | (29,184) | (22,603) |
SERIES B | Unrealized Depreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.30%) | (0.20%) |
Fair Value | (29,184) | (22,603) |
SERIES B | Futures Contracts Purchased
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 1.70% | 12.10% |
Fair Value | 187,543 | 1,560,975 |
SERIES B | Futures Contracts Purchased | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 2.10% |
Fair Value | 48,206 | 275,775 |
SERIES B | Futures Contracts Purchased | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 0.50% |
Fair Value | Â | 66,524 |
SERIES B | Futures Contracts Purchased | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.90% | 0.60% |
Fair Value | 97,409 | 72,471 |
SERIES B | Futures Contracts Purchased | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 0.90% |
Fair Value | 43,297 | 112,469 |
SERIES B | Futures Contracts Purchased | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 1.30% | 0.50% |
Fair Value | 141,719 | 67,441 |
SERIES B | Futures Contracts Purchased | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.40% |
Fair Value | (2,080) | 51,490 |
SERIES B | Futures Contracts Purchased | CMX Gold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 4.20% |
Fair Value | Â | 538,920 |
SERIES B | Futures Contracts Purchased | Other Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 2.90% |
Fair Value | Â | 375,885 |
SERIES B | Futures Contracts Purchased | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.30%) | 7.10% |
Fair Value | (141,008) | 914,805 |
SERIES B | Futures Contracts Sold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.00%) | (1.50%) |
Fair Value | (114,482) | (205,961) |
SERIES B | Futures Contracts Sold | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | 0.20% |
Fair Value | 13,213 | 19,444 |
SERIES B | Futures Contracts Sold | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.90%) | (0.10%) |
Fair Value | (94,750) | (18,790) |
SERIES B | Futures Contracts Sold | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | (0.10%) |
Fair Value | 13,652 | (11,737) |
SERIES B | Futures Contracts Sold | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | (5,070) | Â |
SERIES B | Futures Contracts Sold | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.30%) | 0.10% |
Fair Value | (36,544) | 14,335 |
SERIES B | Futures Contracts Sold | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | 320 | Â |
SERIES B | Futures Contracts Sold | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | (1.60%) |
Fair Value | (5,303) | (209,213) |
SERIES B | Futures and Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.70% | 11.40% |
Fair Value | 76,753 | 1,461,241 |
SERIES B | Futures and Forward Contracts | Australia
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.50% | 0.00% |
Fair Value | 57,446 | 2,000 |
SERIES B | Futures and Forward Contracts | European Monetary Union
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.60% | 0.50% |
Fair Value | 65,135 | 48,903 |
SERIES B | Futures and Forward Contracts | Great Britain
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.50% | 0.30% |
Fair Value | 58,114 | 42,584 |
SERIES B | Futures and Forward Contracts | Japan
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 0.90% |
Fair Value | 36,946 | 118,010 |
SERIES B | Futures and Forward Contracts | United States
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.60%) | 7.10% |
Fair Value | (172,957) | 921,121 |
SERIES B | Futures and Forward Contracts | Other Countries
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 2.60% |
Fair Value | 32,069 | 328,623 |
SERIES B | Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.80% |
Fair Value | 3,692 | 106,227 |
SERIES B | Future Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.70% | 10.60% |
Fair Value | 73,061 | 1,355,014 |
United States Treasury Bills due
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Face Value | 10,600,000 | 9,600,000 |
Percentage of Net Assets | 40.90% | 36.00% |
Fair Value | 10,599,302 | 9,598,087 |
Unrealized Appreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.80% |
Fair Value | 60,732 | 224,585 |
Unrealized Appreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 0.80% |
Fair Value | 60,732 | 224,585 |
Unrealized Depreciation On Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | (0.10%) |
Fair Value | (53,056) | (36,460) |
Unrealized Depreciation On Forward Contracts | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | (0.10%) |
Fair Value | (53,056) | (36,460) |
Futures Contracts Purchased
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 1.20% | 10.60% |
Fair Value | 307,567 | 2,832,921 |
Futures Contracts Purchased | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 1.90% |
Fair Value | 86,321 | 484,663 |
Futures Contracts Purchased | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 0.40% |
Fair Value | Â | 110,783 |
Futures Contracts Purchased | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.70% | 0.50% |
Fair Value | 180,151 | 127,537 |
Futures Contracts Purchased | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 0.70% |
Fair Value | 78,415 | 194,250 |
Futures Contracts Purchased | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 1.10% | 0.40% |
Fair Value | 274,864 | 114,065 |
Futures Contracts Purchased | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.30% |
Fair Value | (3,780) | 92,460 |
Futures Contracts Purchased | CMX Gold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 4.00% |
Fair Value | Â | 1,067,060 |
Futures Contracts Purchased | Other Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | Â | 2.40% |
Fair Value | Â | 642,103 |
Futures Contracts Purchased | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.20%) | 6.40% |
Fair Value | (308,404) | 1,709,163 |
Futures Contracts Sold
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.80%) | (1.30%) |
Fair Value | (209,494) | (349,805) |
Futures Contracts Sold | Currency Swap
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | 0.10% |
Fair Value | 24,513 | 33,694 |
Futures Contracts Sold | Energy
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.70%) | (0.10%) |
Fair Value | (177,089) | (30,980) |
Futures Contracts Sold | Financial
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.10% | (0.10%) |
Fair Value | 24,811 | (22,344) |
Futures Contracts Sold | Food & Fiber
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | (10,130) | Â |
Futures Contracts Sold | Indices
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (0.20%) | 0.10% |
Fair Value | (61,188) | 23,963 |
Futures Contracts Sold | Livestock
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | Â |
Fair Value | 400 | Â |
Futures Contracts Sold | Total Metals
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | (1.30%) |
Fair Value | (10,811) | (354,138) |
Futures and Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 10.00% |
Fair Value | 105,749 | 2,671,241 |
Futures and Forward Contracts | Australia
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 0.00% |
Fair Value | 105,258 | 3,134 |
Futures and Forward Contracts | European Monetary Union
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.50% | 0.30% |
Fair Value | 129,641 | 81,278 |
Futures and Forward Contracts | Great Britain
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 0.30% |
Fair Value | 110,572 | 72,763 |
Futures and Forward Contracts | Japan
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.30% | 0.80% |
Fair Value | 72,500 | 210,666 |
Futures and Forward Contracts | United States
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | (1.50%) | 6.40% |
Fair Value | (375,814) | 1,729,526 |
Futures and Forward Contracts | Other Countries
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.20% | 2.20% |
Fair Value | 63,592 | 573,874 |
Forward Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.00% | 0.70% |
Fair Value | 7,676 | 188,125 |
Future Contracts
|
 |  |
Limited Partners' Capital Account [Line Items] | Â | Â |
Percentage of Net Assets | 0.40% | 9.30% |
Fair Value | $ 98,073 | $ 2,483,116 |
Document And Entity Information
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Document And Entity Information [Abstract] | Â |
Entity Registrant Name | SUPERFUND GOLD, L.P., |
Entity Central Index Key | 0001433147 |
Document Type | 10-Q |
Document Period End Date | Jun. 30, 2011 |
Amendment Flag | false |
Document Fiscal Year Focus | 2011 |
Document Fiscal Period Focus | Q2 |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Smaller Reporting Company |
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|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2011
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Fair Value Measurements [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements |
3. Fair Value Measurements
The Fund
follows ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), which establishes a
fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair
value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for
identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable
inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are
described below:
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any
input that is significant to the fair value measurement. In determining fair value, the Fund
separates its financial instruments into two categories: U.S. government securities and derivative
contracts.
In January 2010, FASB issued Accounting Standards Update No. 2010-06, Improving Disclosures about
Fair Value Measurements (“ASU 2010-06”), which amends the disclosure requirements of ASC 820 and requires new disclosures regarding transfers in
and out of Level 1 and 2 categories, as well as requires entities to separately present purchases,
sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e.
to present such items on a gross basis rather than on a net basis), and which clarifies existing
disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs
and valuation techniques used to measure fair value for measurements that fall within either Level
2 or Level 3 of the fair value hierarchy. As of January 1, 2010, the Fund adopted ASU 2010-06
except for the disclosures about purchases, sales, issuances, and settlements in the rollforward
activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The
adoption of the remaining provisions has not had a material impact on the Fund’s financial
statement disclosures.
U.S. Government Securities. The Fund’s only market exposure in instruments held other than for
trading is in its U.S. Treasury Bill portfolio. As the Fund uses the amortized cost method for
valuing its U.S. Treasury Bill portfolio, which approximates fair value, this portfolio is
classified within Level 2 of the fair value hierarchy.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”).
Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy
depending on whether they are deemed to be actively traded or not. The Fund has exposure to
exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures
contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement
prices published by the applicable exchanges. In such cases, provided they are deemed to be
actively traded, exchange-traded derivatives are classified within Level 1 of the fair value
hierarchy. Less actively traded exchange-traded derivatives fall within Level 2 of the fair value
hierarchy.
OTC derivatives are valued using market transactions and other market evidence whenever possible,
including market-based inputs to models, model calibration to market-clearing transactions, broker
or dealer quotations, or alternative pricing sources with reasonable levels of price transparency.
Where models are used, the selection of a particular model to value an OTC derivative depends upon
the contractual terms of, and specific risks inherent in, the instrument as well as the
availability of pricing information in the market. For OTC derivatives that trade in liquid
markets, such as generic forwards and swaps, model inputs can generally be verified and model
selection does not involve significant management judgment. The OTC derivatives that may be held by
the Fund include forwards and swaps. Spot and forward foreign currency contracts held by the Fund
are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward positions
are typically classified within Level 2 of the fair value hierarchy.
Certain OTC derivatives trade in less liquid markets with limited pricing information, and the
determination of fair value for these derivatives is inherently more difficult. Such instruments
are classified within Level 3 of the fair value hierarchy. Where the Fund does not have
corroborating market evidence to support significant model inputs and cannot verify the model to
market transactions, transaction price is initially used as the best estimate of fair value.
Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so
that the model value at inception equals the transaction price. The valuations of these less liquid
OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the
market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates
the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and
losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such
as similar market transactions, third-party pricing services and/or broker or dealer quotations, or
other empirical market data. In circumstances in which the Fund cannot verify the model value to
market transactions, it is possible that a different valuation model could produce a materially
different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives.
However, once held, the market for any particular derivative contract could become less liquid
during the holding period. As of and during the quarter ended June 30, 2011, the Fund held no
derivative contracts valued using Level 3 inputs.
The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820
fair value hierarchy as of June 30, 2011, and December 31, 2010:
Superfund Gold, L.P.
Superfund Gold, L.P. — Series A
Superfund Gold, L.P. — Series B
|
Financial highlights
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nature of operations, Basis of presentation and significant accounting policies and Financial highlights [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial highlights |
8. Financial highlights
Financial highlights for the period January 1 through June 30, 2011 are as follows:
Financial highlights for the period January 1 through June 30, 2010 are as follows:
Financial highlights for the period April 1 through June 30, 2011 are as follows:
Financial highlights for the period April 1 through June 30, 2010 are as follows:
Financial highlights are calculated for each Series taken as a whole. An individual partner’s
return, per unit data, and ratios may vary based on the timing of capital transactions.
|
Due from/to brokers
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Due from/to brokers [Abstract] | Â |
Due from/to brokers |
5. Due from/to brokers
Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be
restricted to the extent that they serve as deposits for securities sold short. Amounts due to
brokers, if any, represent margin borrowings that are collateralized by certain securities. As of
June 30, 2011 and December 31, 2010, there were no amounts due to brokers.
In the normal course of business, all of the Fund’s marketable securities transactions, money
balances and marketable security positions are transacted with brokers. The Fund is subject to
credit risk to the extent any broker with whom it conducts business is unable to fulfill
contractual obligations on its behalf. Superfund Capital Management monitors the financial
condition of such brokers and does not anticipate any losses from these counterparties.
|
Subscriptions and redemptions
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Subscriptions and redemptions [Abstract] | Â |
Subscriptions and redemptions |
10. Subscriptions and redemptions
Investors must submit subscriptions at least five business days prior to the applicable month-end
closing date and they will be accepted once payments are received and cleared. All subscription
funds are required to be promptly transmitted to HSBC Bank USA, as escrow agent. Subscriptions
must be accepted or rejected by Superfund Capital Management within five business days of receipt,
and the settlement date for the deposit of subscription funds in escrow must be within five
business days of acceptance.
No fees or costs will be assessed on any subscription while held in
escrow, irrespective of whether the subscription is accepted or subscription funds are returned.
Limited Partners may request any or all of their investment in a Series be redeemed by such Series
at the net asset value of a Unit within such Series as of the end of the month, subject to a
minimum redemption of $1,000. A request for less than a full redemption that would reduce a Limited
Partner’s remaining investment to less than $5,000 will be treated as a request for full
redemption. Limited Partners must transmit a written request of such redemption to Superfund
Capital Management not less than five business days prior to the end of the month (or such shorter
period as permitted by Superfund Capital Management) as of which redemption is to be effective.
Redemptions will generally be paid within 20 days after the effective date of the redemption.
However, in special circumstances, including, but not limited to, inability to liquidate dealers’
positions as of a redemption date or default or delay in payments due to each Series from clearing
brokers, banks or other persons or entities, each Series may in turn delay payment to persons
requesting redemption of the proportionate part of the net assets of each Series represented by the
sums that are the subject of such default or delay, and Limited Partners will be paid their pro
rata portion of the redemption amount not subject to defaults or delays.
|
Allocation of net profits and losses
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Allocation of net profits and losses [Abstract] | Â |
Allocation of net profits and losses |
6. Allocation of net profits and losses
In accordance with the Fund’s Second Amended and Restated Limited Partnership Agreement (the
“Limited Partnership Agreement”), net profits and losses of the Fund are allocated to partners
according to their respective interests in the Fund as of the beginning of each month.
Subscriptions received in advance, if any, represent cash received prior to the balance sheet date
for subscriptions of the subsequent month and do not participate in the earnings of the Fund until
the following month.
|
Disclosure of derivative instruments and hedging activities
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2011
|
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Disclosure of derivative instruments and hedging activities [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of derivative instruments and hedging activities |
4. Disclosure of derivative instruments and hedging activities
The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities (“ASC
815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring
enhanced disclosure that enables investors to understand how and why an entity uses derivatives,
how derivatives are accounted for, and how derivative instruments affect an entity’s results of
operations and financial position.
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging
instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its
trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its
trading activities for both derivative and nonderivative instruments in the Statement of
Operations.
The Fund engages in the speculative trading of forward contracts in currency and futures contracts
in a wide range of commodities, including equity markets, interest rates, food and fiber, energy,
livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either
assets or liabilities at fair value in the statement of financial position. Investments in forward
contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities
as “unrealized appreciation or depreciation on open forward contracts and futures contracts
purchased and futures contracts sold.” Since the derivatives held or sold by the Fund are for
speculative trading purposes, the derivative instruments are not designated as hedging instruments
under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change
in net unrealized gains or losses on open positions from the preceding period, are recognized as
part of the Fund’s realized and unrealized gain (loss)
on investments in the Statements of Operations.
Superfund Capital Management believes futures and forward trading activity expressed as a
percentage of net assets is indicative of trading activity. Information concerning the fair value
of the Fund’s derivatives held long or sold short, as well as information related to the annual
average volume of the Fund’s derivative activity, is as follows:
Superfund Gold, L.P.
The fair value of the Fund’s derivatives by instrument type, as well as the location of those
instruments on the Statements of Assets and Liabilities, as of June 30, 2011 and December 31, 2010,
is as follows:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June
30, 2011:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June
30, 2011:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June
30, 2010:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June
30, 2010:
Superfund Gold, L.P. gross and net unrealized gains and losses by long and short positions as
of June 30, 2011 and December 31, 2010:
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30,
2011:
Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended June 30,
2010:
Superfund Gold, L.P. trading results by market sector:
Superfund Gold, L.P. — Series A
The fair value of the Fund’s derivatives by instrument type, as well as the location of those
instruments on the Statements of Assets and Liabilities, as of June 30, 2011 and December 31, 2010,
is as follows:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June 30,
2011:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June 30,
2011:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June 30,
2010:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June 30,
2010:
Superfund Gold, L.P. — Series A gross and net unrealized gains and losses by long and short
positions as of June 30, 2011 and December 31, 2010:
Series A average* monthly contract volume by market sector as of quarter ended June 30, 2011:
Series A trading results by market sector:
Superfund Gold, L.P. — Series B
The fair value of the Fund’s derivatives by instrument type, as well as the location of those
instruments on the Statements of Assets and Liabilities, as of June 30, 2011 and December 31, 2010,
is as follows:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June 30,
2011:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June 30,
2011:
Effects of Derivative Instruments on the Statement of Operations for the Quarter Ended June 30,
2010:
Effects of Derivative Instruments on the Statement of Operations for the Six Months Ended June 30,
2010:
Superfund Gold, L.P. — Series B gross and net unrealized gains and losses by long and short
positions as of June 30, 2011 and December 31, 2010:
Series B average* monthly contract volume by market sector for quarter ended June 30, 2011:
Series B average* monthly contract volume by market sector for quarter ended June 30, 2010:
Series B trading results by market sector:
|
Statements of Operations (Unaudited) (USD $)
|
3 Months Ended | 6 Months Ended | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
Jun. 30, 2010
|
Jun. 30, 2011
|
Jun. 30, 2010
|
|||||||||||||
Investment income | Â | Â | Â | Â | ||||||||||||
Interest income | $ 3,714 | $ 571 | $ 8,413 | $ 1,052 | ||||||||||||
Other Income | Â | Â | Â | 5,599 | ||||||||||||
Total income | 3,714 | 571 | 8,413 | 6,651 | ||||||||||||
Expenses | Â | Â | Â | Â | ||||||||||||
Brokerage commissions | 137,497 | 132,051 | 295,007 | 252,232 | ||||||||||||
Management fee | 170,000 | 104,246 | 327,878 | 187,311 | ||||||||||||
Selling commission | 109,469 | 68,427 | 208,960 | 123,380 | ||||||||||||
Incentive fee | 635,383 | 29,803 | 648,939 | 29,803 | ||||||||||||
Operating expenses | 56,667 | 34,749 | 109,290 | 62,437 | ||||||||||||
Other | 4,369 | 660 | 9,165 | 856 | ||||||||||||
Total expenses | 1,113,385 | 369,936 | 1,599,239 | 656,019 | ||||||||||||
Net investment loss | (1,109,671) | (369,365) | (1,590,826) | (649,368) | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net realized gain (loss) on futures and forward contracts | 1,319,934 | 1,899,211 | 4,149,201 | 240,440 | ||||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (291,388) | (928,523) | (2,565,492) | 2,463,037 | ||||||||||||
Net gain on investments | 1,028,546 | 970,688 | 1,583,709 | 2,703,477 | ||||||||||||
Net increase (decrease) in net assets from operations | (81,125) | 601,323 | (7,117) | 2,054,109 | ||||||||||||
SERIES A
|
 |  |  |  | ||||||||||||
Investment income | Â | Â | Â | Â | ||||||||||||
Interest income | 1,790 | 718 | 4,035 | 920 | ||||||||||||
Other Income | Â | Â | Â | 5,599 | ||||||||||||
Total income | 1,790 | 718 | 4,035 | 6,519 | ||||||||||||
Expenses | Â | Â | Â | Â | ||||||||||||
Brokerage commissions | 59,814 | 36,962 | 128,804 | 67,968 | ||||||||||||
Management fee | 90,402 | 41,546 | 174,267 | 71,958 | ||||||||||||
Selling commission | 64,176 | 28,747 | 123,098 | 50,174 | ||||||||||||
Incentive fee | 241,830 | 29,803 | 243,449 | 29,803 | ||||||||||||
Operating expenses | 30,134 | 13,849 | 58,089 | 23,986 | ||||||||||||
Other | 1,563 | 34 | 3,453 | 46 | ||||||||||||
Total expenses | 487,919 | 150,941 | 731,160 | 243,935 | ||||||||||||
Net investment loss | (486,129) | (150,223) | (727,125) | (237,416) | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net realized gain (loss) on futures and forward contracts | 610,192 | 717,670 | 1,915,001 | 307,326 | ||||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (130,948) | (46,317) | (1,181,004) | 863,552 | ||||||||||||
Net gain on investments | 479,244 | 671,353 | 733,997 | 1,170,878 | ||||||||||||
Net increase (decrease) in net assets from operations | (6,885) | 521,130 | 6,872 | 933,462 | ||||||||||||
SERIES B
|
 |  |  |  | ||||||||||||
Investment income | Â | Â | Â | Â | ||||||||||||
Interest income | 1,924 | (147) | 4,378 | 132 | ||||||||||||
Total income | 1,924 | (147) | 4,378 | 132 | ||||||||||||
Expenses | Â | Â | Â | Â | ||||||||||||
Brokerage commissions | 77,683 | 95,089 | 166,203 | 184,264 | ||||||||||||
Management fee | 79,598 | 62,700 | 153,611 | 115,353 | ||||||||||||
Selling commission | 45,293 | 39,680 | 85,862 | 73,206 | ||||||||||||
Incentive fee | 393,553 | Â | 405,490 | Â | ||||||||||||
Operating expenses | 26,533 | 20,900 | 51,201 | 38,451 | ||||||||||||
Other | 2,806 | 626 | 5,712 | 810 | ||||||||||||
Total expenses | 625,466 | 218,995 | 868,079 | 412,084 | ||||||||||||
Net investment loss | (623,542) | (219,142) | (863,701) | (411,952) | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net realized gain (loss) on futures and forward contracts | 709,742 | 1,181,541 | 2,234,200 | (66,886) | ||||||||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (160,440) | (882,206) | (1,384,488) | 1,599,485 | ||||||||||||
Net gain on investments | 549,302 | 299,335 | 849,712 | 1,532,599 | ||||||||||||
Net increase (decrease) in net assets from operations | $ (74,240) | $ 80,193 | $ (13,989) | $ 1,120,647 | ||||||||||||
Series A-1
|
 |  |  |  | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | $ (4.36) | [1] | $ 85.33 | [1] | $ (3.22) | [1] | $ 165.01 | [1] | ||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | $ 5.79 | $ 79.42 | $ (2.38) | $ 144.19 | ||||||||||||
Series A-2
|
 |  |  |  | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | $ 14.80 | [2] | $ 88.26 | [2] | $ 17.02 | [2] | $ 180.54 | [2] | ||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | $ 12.90 | $ 88.03 | $ 11.68 | $ 160.83 | ||||||||||||
Series B-1
|
 |  |  |  | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | $ (9.82) | [3] | $ 7.67 | [3] | $ (5.24) | [3] | $ 100.29 | [3] | ||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | $ (14.89) | $ 0.19 | $ (15.95) | $ 84.22 | ||||||||||||
Series B-2
|
 |  |  |  | ||||||||||||
Realized and unrealized gain (loss) on investments | Â | Â | Â | Â | ||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period) | $ (3.86) | [4] | $ 5.96 | [4] | $ 5.22 | [4] | $ 104.43 | [4] | ||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period) | $ (9.48) | $ 5.11 | $ (4.72) | $ 95.31 | ||||||||||||
|
Nature of operations
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Nature of operations, Basis of presentation and significant accounting policies and Financial highlights [Abstract] | Â |
Nature of operations |
1. Nature of operations
Organization and Business
Superfund Gold, L.P., a Delaware limited partnership (the “Fund”), commenced operations on April 1,
2009. The Fund was organized to trade speculatively in the United States (“U.S.”) and
international commodity futures and forward markets using a strategy developed by Superfund Capital
Management, Inc., the general partner and trading advisor of the Fund (“Superfund Capital
Management”). The Fund has issued two series of units of limited partnership interest (the
“Units”), each with a subseries, Series A-1/A-2 and Series B-1/B-2 (each, a “Series”). Series
A-1/A-2 and Series B-1/B-2 are traded and managed the same way, with the exception of the degree of
leverage.
Series B implements the Fund’s futures and forward trading program at a leverage level equal to
approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years),
the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B.
The leverage with which each of the Series is traded is the only difference between the Series.
Sub-Series within a Series are not managed differently. Rather, Series A-1 Units and
Series B-1 Units are subject to selling commissions. Series A-2 Units and Series B-2 Units are not
subject to selling commissions but are available exclusively to: (i) investors participating in
selling agent asset-based or fixed-fee investment programs or a registered investment adviser’s
asset-based fee or fixed-fee advisory program through which an investment adviser recommends a
portfolio allocation to the Fund and for which Superfund USA, Inc. serves as selling agent, (ii)
investors who purchased the Units through Superfund USA, Inc. or an affiliated broker and who are
commodity pools operated by commodity pool operators registered as such with the Commodity Futures
Trading Commission, and (iii) investors who have paid the maximum selling commission on their
Series A-1 or Series B-1 Units (by re-designation of such Units as Series A-2 Units or Series B-2
Units as described herein). The foregoing eligibility requirements and selling commissions are the
only differences between the Sub-Series within a Series.
The term of the Fund commenced on the day on which the Certificate of Limited Partnership was filed
with the Secretary of State of the State of Delaware pursuant to the provisions of the Delaware
Revised Uniform Limited Partnership Act and shall end upon the first of the following to occur: (i)
receipt by Superfund Capital Management of an approval to dissolve the Fund at a specified time by
limited partners of the Fund (the “Limited Partners”) owning Units representing more than fifty
percent (50%) of the outstanding Units of each Series then owned by Limited Partners of each
Series, notice of which is sent by certified mail return receipt requested to Superfund Capital
Management not less than 90 days prior to the effective date of such dissolution; (ii) withdrawal,
insolvency or dissolution of Superfund Capital Management or any other event that causes Superfund
Capital Management to cease to be the general partner of the Fund, unless (a) at the time of each
event there is at least one remaining general partner of the Fund who carries on the business of
the Fund (and each remaining general partner of the Fund is hereby authorized to carry on the
business of general partner of the Fund in such an event), or (b) within 120 days after such event
Limited Partners of a Series holding a majority of Units of such Series agree in writing to
continue the business of the Fund and such Series and to the appointment, effective as of the date
of such event, of one or more general partners of the Fund and such Series; (iii) a decline in the
aggregate net assets of each Series to less than $500,000 at any time following commencement of
trading in the Series; or (iv) any other event which shall make it unlawful for the existence of
the Fund to be continued or which requires termination of the Fund.
|
Financial instrument risk
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Financial instrument risk [Abstract] | Â |
Financial instrument risk |
9. Financial instrument risk
In the normal course of its business, the Fund is party to financial instruments with off-balance
sheet risk, including derivative financial instruments and derivative commodity instruments. The
term “off balance sheet risk” refers to an unrecorded potential liability that, even though it does
not appear on the balance sheet, may result in a future obligation or loss. These financial
instruments may include forwards, futures and options, whose values are based upon an underlying
asset, index, or reference rate, and generally represent future commitments to exchange currencies
or cash flows, to purchase or sell other financial instruments at specific terms at specific future
dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be
settled in cash, through physical delivery or with another financial instrument. These instruments
may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include
futures and certain option contracts. OTC contracts are negotiated between contracting parties and
include forwards and certain options. Each of these instruments is subject to various risks similar
to those related to the underlying financial instruments including market and credit risk. In
general, the risks associated with OTC contracts are greater than those associated with
exchange-traded instruments because of the greater risk of default by the counterparty to an OTC
contract.
For the Fund, gross unrealized gains and losses related to exchange-traded futures were $923,447
and $825,374 respectively, and gross unrealized gains and losses related to non-exchange-traded
forwards were $60,732 and $53,056, respectively, at June 30, 2011.
For Series A, gross unrealized gains and losses related to exchange-traded futures were $429,050
and $404,038 respectively, and gross unrealized gains and losses related to non-exchange-traded
forwards were $27,856 and $23,872, respectively, at June 30, 2011.
For Series B, gross unrealized gains and losses related to exchange-traded futures were $494,397
and $421,336, respectively, and gross unrealized gains and losses related to non-exchange-traded
forwards were $32,876 and $29,184, respectively, at June 30, 2011.
Market risk is the potential for changes in the value of the financial instruments traded by the
Fund due to market changes, including interest and foreign exchange rate movements and fluctuations
in commodity or security prices. In entering into these contracts, there exists a market risk that
such contracts may be significantly influenced by conditions, such as interest rate volatility,
resulting in such contracts being less valuable. If the markets should move against all of the
futures interest positions at the same time, and Superfund Capital Management was unable to offset
such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to
perform according to the terms of a contract. Credit risk with respect to exchange-traded
instruments is reduced to the extent that an exchange or clearing organization acts as a
counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is
typically limited to the amounts recognized in the statements of assets and liabilities and not
represented by the contract or notional amounts of the instruments. As the Fund’s assets are held
in segregated accounts with futures commission merchants, the Fund has credit risk and
concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services,
Inc., Barclays Capital Inc., MF Global Inc., and Rosenthal Collins Group, L.L.C.
Superfund Capital Management monitors and controls the Fund’s risk exposure on a daily basis
through financial, credit, and risk management monitoring systems, and accordingly believes that it
has effective procedures for evaluating and limiting the credit and market risks to which the Fund
is subject. These monitoring systems allow Superfund Capital Management to statistically analyze
actual trading results with risk adjusted performance indicators and correlation statistics. In
addition, on-line monitoring systems provide account analysis of futures and forward positions by
sector, margin requirements, gain and loss transactions, and collateral positions.
The majority of these futures and forwards mature within one year of June 30, 2011. However, due to
the nature of the Fund’s business, these instruments may not be held to maturity.
|
Basis of presentation and significant accounting policies
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Nature of operations, Basis of presentation and significant accounting policies and Financial highlights [Abstract] | Â |
Basis of presentation and significant accounting policies |
2. Basis of presentation and significant accounting policies
Basis of Presentation
The unaudited financial statements have been prepared in accordance with the rules and regulations
of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in
the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the
opinion of management are normal and recurring, and which are necessary for a fair statement of the
results of interim periods presented. It is suggested that these financial statements be read in
conjunction with the financial statements and the related notes included in the Fund’s Annual
Report on Form 10-K for the year ended December 31, 2010.
Valuation of Investments in Futures Contracts, Forward Contracts, and U.S. Treasury Bills
All commodity interests (including derivative financial instruments and derivative commodity
instruments) are used for trading purposes. The commodity interests are recorded on a trade date
basis and open contracts are recorded in the statements of assets and liabilities at fair value
based upon market quotes on the last business day of the period.
Exchange-traded futures contracts are valued at settlement prices published by the recognized
exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at
published settlement prices or at dealers’ quotes. The Fund uses the amortized cost method for
valuing U.S. Treasury Bills due to the short-term nature of such investments; accordingly, the cost
of securities plus accreted discount or minus amortized premium approximates fair value.
Translation of Foreign Currency
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at
the period-end exchange rates. Purchases and sales of investments and income and expenses that are
denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date.
Adjustments arising from foreign currency transactions are reflected in the statements of
operations.
The Fund does not isolate that portion of the results of operations arising from the effect of
changes in foreign exchange rates on investments from fluctuations from changes in market prices of
investments held. Such fluctuations are included in net gain (loss) on investments in the
statements of operations.
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are
recognized on the accrual basis.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open
contracts (the difference between contract trade price and market price) are reported in the
statements of assets and liabilities as a net gain or loss, as there exists a right of offset of
unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”)
Accounting Standards Codification (“ASC”) 210-20, Offsetting — Balance Sheet.
Income Taxes
The Fund does not record a provision for U.S. income taxes because the partners report their share
of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s
transactions without adjustment, if any, required for income tax purposes.
Superfund Capital Management has evaluated the application of ASC 740, Income Taxes (“ASC 740”), to
the Fund, and has determined whether or not there are uncertain tax positions that require
financial statement recognition. Based on this evaluation, Superfund Capital Management has
determined no reserves for uncertain tax positions are required to be recorded as a result of the
application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it
is reasonably possible that the total amounts of unrecognized tax benefits will change materially
in the next twelve months. As a result, no income tax liability or expense has been recorded in the
accompanying financial statements. The Fund files federal and various state tax returns. The 2009
and 2010 tax years generally remain subject to examination by the U.S. federal and most state tax
authorities.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital
Management to make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets from operations during
the reporting period. Actual results may differ from the estimates.
|
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