Fair Value Measurements and Disclosures

9 Months Ended

Sep. 30, 2011

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

6.  Fair Value Measurements and Disclosures

Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.  Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 - unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 - inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates, credit risk); and Level 3 - unobservable inputs for the asset or liability (including the Partnership's own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.  In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.  The Partnership's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The Partnership's assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.

September 30, 2011	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
	$	$	$	$
Assets
Futures	16,135,147	–	n/a	16,135,147
Forwards	–	1,893,158	n/a	1,893,158
Total Assets	16,135,147	1,893,158	n/a	18,028,305
Liabilities
Futures	4,232,129	–	n/a	4,232,129
Forwards	–	1,139,344	n/a	1,139,344
Total Liabilities	4,232,129	1,139,344	n/a	5,371,473
Unrealized currency loss				(1,457,444)
*Net fair value	11,903,018	753,814	n/a	11,199,388

December 31, 2010	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
	$	$	$	$
Assets
Futures	22,348,537	–	n/a	22,348,537
Forwards	–	3,248,292	n/a	3,248,292
Total Assets	22,348,537	3,248,292	n/a	25,596,829
Liabilities
Futures	4,839,789	–	n/a	4,839,789
Forwards	–	218,049	n/a	218,049
Total Liabilities	4,839,789	218,049	n/a	5,057,838
Unrealized currency loss				(735,824)
*Net fair value	17,508,748	3,030,243	n/a	19,803,167

* This amount comprises the “Total net unrealized gain on open contracts” on the Statements of Financial Condition.