dwsfq.htm

0000873799-12-000002.txt : 20120514 0000873799-12-000002.hdr.sgml : 20120514 20120514153205 ACCESSION NUMBER: 0000873799-12-000002 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120514 DATE AS OF CHANGE: 20120514 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT LP CENTRAL INDEX KEY: 0000873799 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 133619290 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-19511 FILM NUMBER: 12838427 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE, 13TH FLOOR STREET 2: C/O JEREMY BEAL CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-296-1999 MAIL ADDRESS: STREET 1: 522 FIFTH AVENUE, 13TH FLOOR STREET 2: C/O JEREMY BEAL CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MORGAN STANLEY SPECTRUM SELECT LP DATE OF NAME CHANGE: 20011101 FORMER COMPANY: FORMER CONFORMED NAME: MORGAN STANLEY DEAN WITTER SPECTRUM SELECT LP DATE OF NAME CHANGE: 19990412 FORMER COMPANY: FORMER CONFORMED NAME: DEAN WITTER SPECTRUM SELECT LP DATE OF NAME CHANGE: 19980507 10-Q 1 dwsfq.htm MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P. dwsfq.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2012 or

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from __________________to__________________

Commission File Number: 0-19511

	MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.
	(Exact name of registrant as specified in its charter)

	Delaware			13-3619290
	(State or other jurisdiction of incorporation or organization)			(I.R.S. Employer Identification No.)

Ceres Managed Futures LLC
522 Fifth Avenue, 14th Floor
New York, NY				10036
(Address of principal executive offices)				(Zip Code)

Registrant’s telephone number, including area code

(212) 296-1999

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x	Smaller reporting company o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes 0 No T

MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

INDEX TO QUARTERLY REPORT ON FORM 10-Q

March 31, 2012

	PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements (Unaudited)

	Statements of Financial Condition as of March 31, 2012 and December 31, 2011	2

	Condensed Schedule of Investments as of March 31, 2012	3

	Condensed Schedule of Investments as of December 31, 2011	4

	Statements of Income and Expenses for the Quarters Ended March 31, 2012 and 2011	5

	Statements of Changes in Partners’ Capital for the Quarters Ended March 31, 2012 and 2011	6

	Notes to Financial Statements	7-23

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	24-33

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	33-40

Item 4.	Controls and Procedures	40-41

	PART II. OTHER INFORMATION

Item 1.	Legal Proceedings	42

Item 1A.	Risk Factors	42

Item 4.	Mine Safety Disclosures	42

Item 6.	Exhibits	42-43

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

STATEMENTS OF FINANCIAL CONDITION

	(Unaudited)
	March 31,		December 31,
	2012		2011
ASSETS	$		$

Trading Equity:

Unrestricted cash	235,611,738		250,786,399
Restricted cash	36,700,883		37,327,727

Total cash	272,312,621		288,114,126

Net unrealized gain on open contracts (MS&Co.)	3,546,073		6,712,081
Net unrealized gain (loss) on open contracts (MSIP)	9,200		(310,182)

Total net unrealized gain on open contracts	3,555,273		6,401,899

Total Trading Equity	275,867,894		294,516,025

Interest receivable (MSSB)	15,342		808

Total Assets	275,883,236		294,516,833

LIABILITIES AND PARTNERS’ CAPITAL

Liabilities:

Redemptions payable	5,123,813		6,464,963
Accrued brokerage fees (MS&Co.)	1,409,076		1,459,689
Accrued management fees	431,093		447,773

Total Liabilities	6,963,982		8,372,425

Partners’ Capital:

Limited Partners (8,554,209.702 and 9,059,136.131 Units, respectively)	265,827,792		283,036,281
General Partner (99,481.769 and 99,481.769 Units, respectively)	3,091,462		3,108,127

Total Partners’ Capital	268,919,254		286,144,408

Total Liabilities and Partners’ Capital	275,883,236		294,516,833

NET ASSET VALUE PER UNIT	31.08		31.24

The accompanying notes are an integral part of these financial statements.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

CONDENSED SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)

Futures and Forward Contracts Purchased	Net unrealized gain/(loss) on open contracts	% of Partners’ Capital
	$
Commodity	1,332,495	0.50
Equity	1,831,017	0.68
Foreign currency	(365,645)	(0.14)
Interest rate	884,041	0.33

Total Futures and Forward Contracts Purchased	3,681,908	1.37


Futures and Forward Contracts Sold

Commodity	1,695,353	0.63
Equity	302,772	0.11
Foreign currency	(758,499)	(0.28)
Interest rate	(51,055)	(0.02)

Total Futures and Forward Contracts Sold	1,188,571	0.44

Unrealized Currency Loss	(1,315,206)	(0.49)

Net fair value	3,555,273	1.32

The accompanying notes are an integral part of these financial statements.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

CONDENSED SCHEDULE OF INVESTMENTS

December 31, 2011

Futures and Forward Contracts Purchased	Net unrealized gain/(loss) on open contracts	% of Partners’ Capital
	$
Commodity	(404,913)	(0.14)
Equity	300,106	0.10
Foreign currency	632,976	0.22
Interest rate	3,429,445	1.20

Total Futures and Forward Contracts Purchased	3,957,614	1.38

Futures and Forward Contracts Sold


Commodity	1,964,218	0.69
Equity	(49,301)	(0.02)
Foreign currency	1,815,614	0.63
Interest rate	17,342	0.01

Total Futures and Forward Contracts Sold	3,747,873	1.31

Unrealized Currency Loss	(1,303,588)	(0.46)

Net fair value	6,401,899	2.23

The accompanying notes are an integral part of these financial statements.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

STATEMENTS OF INCOME AND EXPENSES

(Unaudited)

	For the Quarters Ended March 31,

	2012		2011
	$		$
INVESTMENT INCOME
Interest income (MSSB)	30,128		92,500

EXPENSES
Brokerage fees (MS&Co.)	4,250,290		6,047,325
Management fees	1,300,471		2,218,654
Incentive fee	–		944,722

Total Expenses	5,550,761		9,210,701

NET INVESTMENT LOSS	(5,520,633)		(9,118,201)

TRADING RESULTS
Trading profit (loss):
Net realized	7,053,178		4,959,877
Net change in unrealized	(2,846,626)		(12,682,402)

Total Trading Results	4,206,552		(7,722,525)

NET LOSS	(1,314,081)		(16,840,726)

NET LOSS ALLOCATION

Limited Partners	(1,297,416)		(16,659,722)
General Partner	(16,665)		(181,004)

NET LOSS PER UNIT*

Limited Partners	(0.16)		(1.59)
General Partner	(0.16)		(1.59)

	Units		Units
WEIGHTED AVERAGE NUMBER
OF UNITS OUTSTANDING	9,011,174.635		10,658,482.863

* Based on change in net asset value per Unit.

The accompanying notes are an integral part of these financial statements.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the Quarters Ended March 31, 2012 and 2011

(Unaudited)

	Units of
	Partnership		Limited		General
	Interest		Partners		Partner		Total
			$		$		$
Partners’ Capital,
December 31, 2011	9,158,617.900		283,036,281		3,108,127		286,144,408

Net Loss	–		(1,297,416)		(16,665)		(1,314,081)

Redemptions	(504,926.429)		(15,911,073)		–		(15,911,073)

Partners’ Capital,
March 31, 2012	8,653,691.471		265,827,792		3,091,462		268,919,254





Partners’ Capital,
December 31, 2010	10,760,255.711		404,921,242		4,329,618		409,250,860

Net Loss	–		(16,659,722)		(181,004)		(16,840,726)

Redemptions	(315,997.827)		(11,582,655)		(199,983)		(11,782,638)

Partners’ Capital,
March 31, 2011	10,444,257.884		376,678,865		3,948,631		380,627,496

The accompanying notes are an integral part of these financial statements.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS

March 31, 2012

(Unaudited)

The unaudited financial statements contained herein include, in the opinion of management, all adjustments necessary for a fair presentation of the financial condition and results of operations of Morgan Stanley Smith Barney Spectrum Select L.P. (the “Partnership”). The financial statements and condensed notes herein should be read in conjunction with the Partnership’s Annual Report on Form 10-K for the fiscal year ending December 31, 2011.

1. Organization

Morgan Stanley Smith Barney Spectrum Select L.P. is a Delaware limited partnership organized in 1991 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, “Futures Interests”) (refer to Note 4, Financial Instruments). The Partnership is one of the Morgan Stanley Smith Barney Spectrum series of funds, comprised of the Partnership, Morgan Stanley Smith Barney Spectrum Currency and Commodity L.P., Morgan Stanley Smith Barney Spectrum Global Balanced L.P., Morgan Stanley Smith Barney Spectrum Strategic L.P., and Morgan Stanley Smith Barney Spectrum Technical L.P. (collectively, the “Spectrum Series”).

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership’s general partner is Ceres Managed Futures LLC (“Ceres” or the “General Partner”). The non-clearing commodity broker is Morgan Stanley Smith Barney LLC (“MSSB”). The clearing commodity brokers are Morgan Stanley & Co. LLC (“MS&Co.”) and Morgan Stanley & Co. International plc (“MSIP”). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. Morgan Stanley Capital Group Inc. (“MSCG”) acts as the counterparty on all trading of options on foreign currency forward contracts. MSIP serves as the commodity broker for trades on the London Metal Exchange (“LME”). Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). MSSBH is majority-owned indirectly by Morgan Stanley and minority-owned indirectly by Citigroup Inc. MSSB is the principal subsidiary of MSSBH. MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley. The trading advisors to the Partnership are Altis Partners (Jersey) Limited (“Altis”), EMC Capital Management, Inc. (“EMC”), Graham Capital Management, L.P. (“Graham”), Northfield Trading L.P. (“Northfield”), Rabar Market Research, Inc. (“Rabar”), and Sunrise Capital Management, Inc. (“Sunrise Capital”), (each individually, a “Trading Advisor”, or collectively, the “Trading Advisors”).

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

2.	Financial Highlights

Financial Highlights for the three months ended March 31, 2012 and 2011 were as follows:

For the Quarters Ended March 31,

	2012	2011
Per Unit Operating Performance:
Net asset value, January 1:	$ 31.24	$ 38.03

Interest Income	– (3)	0.01
Expenses	(0.62)	(0.87)
Realized/Unrealized Income (Loss) (1)	0.46	(0.73) (4)
Net Loss	(0.16)	(1.59)

Net asset value, March 31:	$ 31.08	$ 36.44

Ratios to average net assets:
Net Investment Loss (2)	(8.0)%	(8.7)%
Expenses before Incentive Fees (2)	8.0%	8.5%
Expenses after Incentive Fees (2)	8.0%	8.8%
Net Loss (2)	(1.9) %	(16.6) %
Total return before incentive fees	(0.5)%	(3.9)%
Total return after incentive fees	(0.5)%	(4.2)%

(1) Realized/Unrealized Income (Loss) is a balancing amount necessary to reconcile the change in net asset value per Unit

with the other per Unit information.

(2) Annualized (except for incentive fees, if applicable).

(3) Amounts less than $0.005 per Unit.

(4) These amounts have been reclassified from the prior year financial statements to conform to the current year presentation. Specifically, realized and unrealized income (loss) per Unit amounts were combined in the 2011 Financial Highlights presentation.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

3. Related Party Transactions

The Partnership’s cash is on deposit with MSSB, MS&Co., and MSIP, in Futures Interests trading accounts to meet margin requirements as needed. MSSB pays the Partnership at each month end interest income on 80% of the funds on deposit with the commodity brokers at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate during such month. MSSB retains any interest earned in excess of the interest paid by MSSB to the Partnership. For purposes of such interest payments, net assets do not include monies

owed to the Partnership on Futures Interests. The Partnership pays brokerage fees to MS&Co.

4. Financial Instruments

The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts. The resulting net change in unrealized gain and loss is reflected in the “Net change in unrealized trading profit (loss)” for open contracts from one period to the next on the Statements of Income and Expenses. The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.

The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.

The Partnership’s contracts are accounted for on a trade-date basis and marked to market on a daily basis. The Partnership accounts for its derivative investments as described in Note 5, Derivatives and Hedging as required by the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC” or the “Codification”). A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

1)	a) One or more “underlyings” and b) one or more “notional amounts” or payment provisions or both;

2)	Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and

3)	Terms that require or permit net settlement.

Generally, derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars.

The net unrealized gains (loss) on open contracts, reported as a component of “Trading Equity” on the Statements of Financial Condition, and their longest contract maturities were as follows:

		Net Unrealized Gains (Loss) on Open Contracts			Longest Maturities
Date	Exchange-Traded		Off- Exchange-Traded	Total	Exchange-Traded	Off- Exchange-Traded
	$		$	$
Mar. 31, 2012	4,312,502		(757,229)	3,555,273	Jun. 2016	Jun. 2012
Dec. 31, 2011	5,995,510		406,389	6,401,899	Mar. 2016	Mar. 2012

In general, the risks associated with off-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to an off-exchange-traded contract. The Partnership has credit risk associated with counterparty nonperformance. As of the date

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gain amounts reflected in the Partnership’s Statements of Financial Condition. The net unrealized gains (losses) on open contracts is further disclosed gross by type of contract and corresponding fair value level in Note 6, Fair Value Measurements and Disclosures.

The Partnership also has credit risk because MS&Co., MSIP, and/or MSCG act as the futures commission merchants or the counterparties, with respect to most of the Partnership’s assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are fair valued on a daily basis, with variations in value settled on a daily basis. MS&Co. and MSIP, each acting as a commodity futures broker for the Partnership’s exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission (“CFTC”), to segregate from their own assets, and for the sole benefit of their commodity customers, total cash held by them with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net unrealized gains (losses) on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which funds, in the aggregate, totaled $276,625,123 and $294,109,636 at March 31, 2012 and December 31, 2011, respectively. With respect to the Partnership’s off-exchange-traded forward currency contracts and forward currency options contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated. However, the Partnership is required to meet

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co. With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. With respect to those off-exchange-traded forward currency options contracts, the Partnership is at risk to the ability of MSCG, the sole counterparty on all such contracts, to perform. The Partnership has a netting agreement with each counterparty. The primary terms are based on industry standard master agreements. These agreements, which seek to reduce both the Partnership’s and the counterparties’ exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnership’s credit risk in the event of MS&Co.’s or MSCG’s bankruptcy or insolvency.

The General Partner monitors and attempts to control the Partnership’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 Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The futures, forwards and options traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date. However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership’s accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

5. Derivatives and Hedging

The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The following tables summarize the valuation of the Partnership’s investments as of March 31, 2012 and December 31, 2011, respectively.

The Effect of Trading Activities on the Statements of Financial Condition as of March 31, 2012:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net Unrealized Gain/(Loss)	Average number of contracts outstanding for the year (absolute quantity)
	$	$	$	$	$

Commodity	3,377,775	(2,045,280)	2,775,792	(1,080,439)	3,027,848	4,302
Equity	2,556,709	(725,692)	319,938	(17,166)	2,133,789	2,446
Foreign currency	427,497	(793,142)	234,552	(993,051)	(1,124,144)	7,125
Interest rate	1,233,871	(349,830)	171,255	(222,310)	832,986	9,105
Total	7,595,852	(3,913,944)	3,501,537	(2,312,966)	4,870,479

Unrealized currency loss					(1,315,206)
Total net unrealized gain on open contracts					3,555,273

The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2011:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net Unrealized Gain/(Loss)	Average number of contracts outstanding for the year (absolute quantity)
	$	$	$	$	$

Commodity	418,029	(822,942)	4,381,649	(2,417,431)	1,559,305	4,077
Equity	307,762	(7,656)	94,660	(143,961)	250,805	1,386
Foreign currency	739,841	(106,865)	2,115,906	(300,292)	2,448,590	7,744
Interest rate	3,538,706	(109,261)	139,283	(121,941)	3,446,787	7,073
Total	5,004,338	(1,046,724)	6,731,498	(2,983,625)	7,705,487
					(1,303,588)
Unrealized currency loss					6,401,899
Total net unrealized gain on open contracts

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The following tables summarize the net trading results of the Partnership for the quarters ended March 31, 2012 and 2011, respectively.

The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2012 included in Total Trading Results:

Type of Instrument	$

Commodity	4,284,224
Equity	11,205,332
Foreign currency	(4,820,324)
Interest rate	(6,451,062)
Unrealized currency loss	(11,618)
Total	4,206,552

Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2012:

Trading Results	$

Net realized	7,053,178
Net change in unrealized	(2,846,626)
Total Trading Results	4,206,552

The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2011 included in Total Trading Results:

Type of Instrument	$

Commodity	13,675,858
Equity	(6,231,267)
Foreign currency	(9,190,128)
Interest rate	(5,813,273)
Unrealized currency loss	(163,715)
Total	(7,722,525)

Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2011:

Trading Results	$

Net realized	4,959,877
Net change in unrealized	(12,682,402)
Total Trading Results	(7,722,525)

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

6. Fair Value Measurements and Disclosures

Effective January 1, 2012, the Partnership adopted ASU 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS.” The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

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).

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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.

March 31, 2012	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	11,079,891	–	n/a		11,079,891
Forwards	–	17,498	n/a		17,498

Total Assets	11,079,891	17,498	n/a		11,097,389

Liabilities
Futures	5,452,183	–	n/a		5,452,183
Forwards	–	774,727	n/a		774,727

Total Liabilities	5,452,183	774,727	n/a		6,226,910

Unrealized currency loss					(1,315,206)

*Net fair value	5,627,708	(757,229)	n/a		3,555,273

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

December 31, 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	11,006,486	–	n/a		11,006,486
Forwards	–	729,350	n/a		729,350

Total Assets	11,006,486	729,350	n/a		11,735,836

Liabilities
Futures	3,707,388	–	n/a		3,707,388
Forwards	–	322,961	n/a		322,961

Total Liabilities	3,707,388	322,961	n/a		4,030,349

Unrealized currency loss					(1,303,588)

*Net fair value	7,299,098	406,389	n/a		6,401,899

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

During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities and there were no transfer of assets or liabilities between Level 1 and Level 2.

7. Other Pronouncements

In December 2011, the FASB issued Accounting Standards Update (“ASU”) 2011-11, “Disclosures about Offsetting Assets and Liabilities”, which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information

- 20 -

MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of accounting principles generally accepted in the United States of America (“U.S. GAAP”) and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

In October 2011, the FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company be required to consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

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MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

8. Restricted and Unrestricted Cash

As reflected on the Partnership’s Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options contracts and offset unrealized losses on offset LME positions. All of these amounts are maintained separately. Cash that is not classified as restricted cash is therefore classified as unrestricted cash.

9. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of the Partnership’s revenues or expenses for income tax purposes. The Partnership files U.S. federal and state tax returns.

The guidance issued by the FASB on income taxes, clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken. The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of March 31, 2012 and December 31, 2011. If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses. Generally, the 2008

- 22 -

MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT L.P.

NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination.

10. Subsequent Events

Management of Ceres performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

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Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS

As of March 31, 2012, the percentage of assets allocated to each market sector was approximately as follows: Interest Rate 19.10%; Currency 18.37%; Equity 24.13%; and Commodity 38.40%.

Liquidity. The Partnership deposits its assets with MSSB as non-clearing commodity broker and MS&Co. and MSIP as clearing commodity brokers in separate futures, forward and options trading accounts established for each Trading Advisor. Such assets are used as margin to engage in trading and may be used as margin solely for the Partnership’s trading. The assets are held in either non-interest bearing bank accounts or in securities and instruments permitted by the CFTC for investment of customer segregated or secured funds. Since the Partnership’s sole purpose is to trade in futures, forwards and options, it is expected that the Partnership will continue to own such liquid assets for margin purposes.

The Partnership’s investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership from promptly liquidating its futures or options contracts and result in restrictions on redemptions.

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There is no limitation on daily price moves in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership from trading in potentially profitable markets or prevent the Partnership from promptly liquidating unfavorable positions in such markets, subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s assets.

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

As of March 31, 2012, approximately 93.15% of the Partnership’s total investments are futures contracts which are exchange-traded while approximately 6.85% are forward contracts which are off-exchange traded.

Capital Resources. The Partnership does not have, nor does it expect to have, any capital assets. Redemptions of units of limited partnership interest (“Unit(s)”) in the future will affect the amount of funds available for investments in futures, forwards and options in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future outflows of Units.

There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to the Partnership’s capital resource arrangements at the present time.

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Off-Balance Sheet Arrangements and Contractual Obligations. The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments that would affect its liquidity or capital resources.

Results of Operations

General. The Partnership’s results depend on the Trading Advisors and the ability of each Trading Advisor’s trading program to take advantage of price movements in the futures, forward and options markets.

Altis trades its Global Futures Portfolio Program on behalf of the Partnership. It is a systematic, automated trading program that builds on the market experience of Altis’ principals and employs a unique proprietary Advanced Asset Allocator. The Advanced Asset Allocator was specifically developed to manage portfolios of derivative instruments in a robust and scalable manner. The portfolio management technology combines original, traditional and contrasting investment techniques into one complete and comprehensive trading system. Investment changes are implemented after considering their effect on the whole portfolio and not just on the individual markets concerned.

Graham currently trades its allocated portion of the Partnership’s assets pursuant to Graham’s Global Diversified Program, as described below, at 150% Leverage. The Global Diversified Program features the first trend system that Graham developed, which began trading client accounts in 1995. It utilizes multiple computerized trading models and offers broad diversification in both financial and non-financial markets, trading in approximately 65 global markets. The Global Diversified Program’s trend system is primarily

- 26 -

long-term in nature and is intended to generate significant returns over time with an acceptable degree of risk and volatility. The computer models analyze on a daily basis analyze the recent price action, the relative strength and the risk characteristics of each market and compare statistically the quantitative results of this data to years of historical data on each market.

EMC currently trades its Classic Program for the Partnership. EMC’s investment strategies are technical rather than fundamental in nature. In other words, they are developed from analysis of patterns of actual monthly, weekly, and daily price movements and are not based on analysis of fundamental supply and demand factors, general economic factors, or anticipated world events. EMC relies on historical analysis of these price patterns to interpret current market behavior and to evaluate technical indicators for trade initiations and liquidations.

EMC’s investment strategies used in its program are trend-following. This means that initiation and liquidation of positions in a particular market are generally in the direction of the price trend in that market, although at times counter-trend elements also may be employed.

EMC employs an investment strategy which utilizes a blend of systems (or, stated another way, a number of systems simultaneously). The strategies are diversified in that its program follows a number of futures interests and often invests in more than ten different interests at one time.

- 27 -

Northfield trades the Diversified Program on behalf of the Partnership. The Diversified Program was conceived, tested, and refined by Northfield’s principals. The approach is fully computerized and nondiscretionary. Money management principles are a critical element of the Diversified Program and have been carefully constructed and are rigorously applied to minimize risk exposure and to protect asset appreciation.

Rabar trades its investment strategy on behalf of the Partnership. The objective of Rabar’s investment strategy is to generate capital appreciation over the long run by investing exclusively in futures interests, including exchange traded futures contracts, options on futures contracts, foreign currency forward contracts and, to a very limited extent, cash commodities. Rabar may also engage in exchange for physical transactions, more commonly referred to as “EFPs”. Rabar’s strategy employs a diversified, systematic, technical, and trend-following approach, utilizing a blend of several separate and distinct quantitative models.

Sunrise Capital trades the CIMCO Program on behalf of the Partnership. The CIMCO—Diversified Financial Program was designed by Sunrise Capital to participate exclusively in the highly liquid financial markets. This program trades the major currencies as outrights against the U.S. dollar and selectively against each other. Interest rate futures, both long and short term (including U.S. and non-U.S. bonds, notes, and euro products), stock indices, precious and industrial metals, and energy products are also traded in this program. These commodity interests are traded on futures exchanges but may also be traded in the interbank or cash markets when appropriate.

- 28 -

The following chart sets forth the percentage and the amount of the Partnership’s net assets allocated to each Trading Advisor for the periods ending March 31, 2012, and March 31, 2011, respectively, and the change during the applicable period.

Trading Advisor	Allocations as of March 31, 2012 (%)	Allocations as of March 31, 2011 (%)	Allocations as of March 31, 2012 ($)	Allocations as of March 31, 2011 ($)	Change during the period

Sunrise Capital	10.92	14.50	29,377,949	55,190,987	-46.77%
EMC	15.24	16.00	40,984,305	60,900,399	-32.70%
Rabar	22.14	21.75	59,543,498	82,786,480	-28.08%
Northfield	10.94	11.25	29,414,761	42,820,593	-31.31%
Graham	18.12	18.25	48,720,613	69,464,518	-29.86%
Altis	22.64	18.25	60,878,128	69,464,518	-12.36%

The following presents a summary of the Partnership’s operations for the quarters ended March 31, 2012 and 2011, and a general discussion of its trading activities during each period. It is important to note, however, that the Trading Advisors trade in various markets at different times and that prior activity in a particular market does not mean that such market will be actively traded by the Trading Advisors or will be profitable in the future. Consequently, the results of operations of the Partnership are difficult to discuss other than in the context of the Trading Advisors’ trading activities on behalf of the Partnership during the period in question. Past performance is no guarantee of future results.

The Partnership’s results of operations set forth in the financial statements on pages 2 through 23 of this report are prepared in accordance with U.S. GAAP, which require the use of certain accounting policies that affect the amounts reported in these financial statements, including the following: the contracts the Partnership trades are accounted for on a trade-date basis and marked to market on a daily basis. The difference between their original contract value and market value is recorded on the Statements of Income and Expenses as “Net change

- 29 -

in unrealized” trading profit (loss) for open unrealized contracts, and recorded as “Net realized” trading profit (loss) when open positions are closed out. The sum of these amounts constitutes the Partnership’s trading results. The market value of a futures contract is the settlement price on the exchange on which that futures contract is traded on a particular day. The value of a foreign currency forward contract is based on the spot rate as of approximately 3:00 P.M. (E.T.) the close of the business day. Interest income, as well as management fees, incentive fees, and brokerage fees of the Partnership are recorded on an accrual basis.

Ceres believes that, based on the nature of the operations of the Partnership, no assumptions relating to the application of critical accounting policies other than those presently used could reasonably affect reported amounts.

For the Quarter Ended March 31, 2012

The Partnership recorded total trading results including interest income totaling $4,236,680 and expenses totaling $5,550,761, resulting in a net loss of $1,314,081 for the quarter ended March 31, 2012. The Partnership’s net asset value per Unit decreased from $31.24 at December 31, 2011, to $31.08 at March 31, 2012.

The most significant losses were incurred within the global interest rate sector in February and March from long positions in U.S., European, and Pacific Rim fixed-income futures. During February, prices fell amid optimism that Greece would receive a second bailout, thereby diminishing demand for the relative “safety” of government bonds. Meanwhile, prices fell further during March after the U.S. Federal Reserve upwardly revised its U.S. economic outlook. Within the metals markets, losses were incurred primarily during January from short futures positions in aluminum, copper, platinum, and zinc as prices advanced on speculation metals demand will be

- 30 -

supported by economic expansion in the U.S. and an easing credit policy in China. Within the currency sector, losses were incurred primarily during March from long positions in the Australian dollar versus the U.S. dollar as concern over earnings in China reduced demand for the higher-yielding currency asset. The value of the Australian dollar continued to decline after a report showed the nation’s trade balance unexpectedly turned to a deficit. Within the agricultural sector, losses were incurred primarily during January from long positions in corn futures as prices fell after favorable weather boosted crop prospects in South America. Additionally, losses were incurred from short positions in cocoa futures as prices advanced on speculation that supplies will ebb in the Ivory Coast.

A portion of the Partnership’s losses for the quarter was offset by gains achieved within the global stock index sector, primarily in February, from long positions in U.S., Pacific Rim, and European equity index futures as prices rose amid positive economic news, including a better-than-expected U.S. employment report and an expansion in manufacturing in China, Europe, and the U.S. Prices continued to advance after China cut banks’ reserve requirements to fuel lending and buoy growth. Within the energy sector, gains were achieved primarily during February from long futures positions in Brent crude oil, RBOB (unleaded) gasoline, gas oil, and WTI crude oil as prices increased after Iran denied nuclear inspectors access to a military base, adding to concern that global oil supplies may be disrupted. Further gains were recorded from short natural gas futures positions as prices declined throughout the majority of the quarter.

For the Quarter Ended March 31, 2011

The Partnership recorded total trading results including interest income totaling $(7,630,025) and expenses totaling $9,210,701, resulting in a net loss of $16,840,726 for the quarter ended March 31, 2011. The

- 31 -

Partnership’s net asset value per Unit decreased from $38.03 at December 31, 2010, to $36.44 at March 31, 2011.

The most significant trading losses were incurred within the currency markets, primarily during January, from long positions in the Japanese yen and Australian dollar versus the U.S. dollar as the value of U.S. dollar moved higher following the release of minutes from the U.S. Federal Reserve meeting that showed optimism for the U.S. economy. Additional losses were incurred from short positions in the British pound versus the Japanese yen as the value of the British pound moved higher relative to the Japanese yen amid speculation European officials may take additional measures to counter the sovereign debt crisis. Within the global stock index markets, losses were experienced primarily during March from long positions in European, U.S., and Pacific Rim equity index futures as prices reversed lower amid concern that heightened tensions in the Middle East, as well as the natural disaster and subsequent nuclear crisis in Japan, may threaten the global economic recovery. Within the global interest rate markets, losses were experienced primarily during February from long positions in U.S. fixed-income futures as prices fell on speculation the U.S. Federal Reserve may withdraw monetary stimulus as the U.S. economy shows signs of a sustained recovery. Within the metals markets, losses were experienced primarily during January from long positions in gold and silver futures as prices fell amid a strengthening U.S. dollar, which reduced the “safe-haven” appeal of precious metals. Additionally, losses were incurred within the metals markets during March from long positions in copper, nickel, and zinc futures as prices moved lower amid concern that rising energy costs associated with mounting unrest in the Middle East may slow the global economy. Within the agricultural markets, losses were incurred primarily during March from long positions in cocoa as prices fell to a 10-week low on signs that the political turmoil that hampered exports may be easing in the Ivory Coast, the world’s biggest producer of cocoa.

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A portion of the Partnership’s losses for the quarter was offset by gains achieved within the energy markets, primarily during February, from long positions in RBOB (unleaded) gas, gas oil, and heating oil as prices rose after protests in Egypt and Libya turned violent, prompting fear of contagion to other Middle Eastern and North African nations and causing concern that crude oil supplies may be disrupted.

Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

The Partnership is a commodity pool engaged primarily in the speculative trading of futures, forwards and options. The market-sensitive instruments held by the Partnership are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnership’s assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is inherent to the primary business activity of the Partnership.

The futures, forwards and options on such contracts traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership’s open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts and forward currency options contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled upon an agreed upon settlement date. However, the Partnership is required to

- 33 -

meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

The Partnership’s total market risk may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Partnership’s open positions, the volatility present within the markets, and the liquidity of the markets.

The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Partnership typically to be many times the total capitalization of the Partnership.

The Partnership’s past performance is no guarantee of its future results. Any attempt to numerically quantify the Partnership’s market risk is limited by the uncertainty of its speculative trading. The Partnership’s speculative trading and use of leverage may cause future losses and volatility (i.e., “risk of ruin”) that far exceed the Partnership’s experience to date as discussed under the “Partnership’s Value at Risk in Different Market Sectors” section and significantly exceed the Value at Risk (“VaR”) tables disclosed.

Limited partners will not be liable for losses exceeding the current net asset value of their investment.

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Quantifying the Partnership’s Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s open positions is directly reflected in the Partnership’s earnings and cash flow.

The Partnership’s risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of VaR. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Trading Advisors in their daily risk management activities.

VaR is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership of market movements for exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR of the Partnership’s experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future

- 35 -

projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s losses in any market sector will be limited to VaR or by the Partnership’s attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Partnership as the measure of its VaR. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to VaR.

The Partnership’s Value at Risk in Different Market Sectors

The following tables indicate the trading VaR associated with the Partnership’s open positions by market category as of March 31, 2012 and the highest, lowest and average values during the three months ended March 31, 2012. All open position trading risk exposures of the Partnership have been included in

calculating the figures set forth below. There has been no material change in the trading VaR information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011. As of March 31, 2012, the Partnership’s total capitalization was approximately $269 million.

Primary Market		% of Total
Risk Category	VaR	Capitalization

Currency	$6,778,675	2.52%

Interest Rate	7,054,266	2.62%

Equity	8,905,760	3.31%

Commodity	14,183,372	5.27%

Total	$36,922,073	13.72%

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Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$16,017,644	$6,612,756	$11,831,935
Interest Rate	$12,732,887	$6,729,287	$9,663,781
Equity	$12,746,735	$4,545,486	$9,991,160
Commodity	$17,501,860	$11,815,356	$14,410,255

* Average of month-end VaR

The following tables indicate the trading VaR associated with the Partnership’s open positions by market category as of December 31, 2011 and the highest, lowest and average values during the twelve months ended December 31, 2011. All open position trading risk exposure of the Partnership have been included in calculating the figures set forth below. As of December 31, 2011, the Partnership’s total capitalization was approximately $286 million.

Primary Market		% of
Risk Category	VaR	Total Capitalization

Currency	$13,024,311	4.55%

Interest Rate	11,060,388	3.87%

Equity	4,307,985	1.51%

Commodity	14,181,413	4.96%

Total	$42,574,097	14.89%

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Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$18,329,898	$4,243,012	$7,986,820
Interest Rate	$11,060,388	$2,334,453	$4,662,626
Equity	$10,612,203	$2,560,198	$3,790,165
Commodity	$15,407,368	$1,675,397	$9,512,117
*Average of month-end VaR.

Limitations on Value at Risk as an Assessment of Market Risk

VaR models permit estimation of a portfolio’s aggregate market risk exposure, incorporating a range of varied market risks, reflect risk reduction due to portfolio diversification or hedging activities, and can cover a wide

range of portfolio assets. However, VaR risk measures should be viewed in light of the methodology’s limitations, which include, but may not be limited to the following:

·	past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

·	changes in portfolio value caused by market movements may differ from those of the VaR model;

·	VaR results reflect past market fluctuations applied to current trading positions while future risk depends on future positions;

·	VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

·	the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

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Non-Trading Risk

The Partnership has non-trading market risk on its foreign cash balances not needed for margin. These balances and any market risk they may represent are immaterial.

The Partnership also maintains a substantial portion of its available assets in unrestricted cash at MSSB; as of March 31, 2012, such amount was equal to approximately 85% of the Partnership’s net asset value. A decline in short-term interest rates would result in a decline in the Partnership’s cash management income. This cash flow risk is not considered to be material.

Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality, and multiplier features of the Partnership’s market-sensitive instruments, in relation to the Partnership’s net assets.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures - except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures, as well as the strategies used and to be used by Ceres and the Trading Advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant

- 39 -

fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation, and many other factors could result in material losses, as well as in material changes to the risk exposures and the risk management strategies of the Partnership. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The Partnership and the Trading Advisors, separately, attempt to manage the risk of the Partnership’s open positions in essentially the same manner in all market categories traded. Ceres attempts to manage market exposure by diversifying the Partnership’s assets among different market sectors and trading approaches through the selection of the commodity trading advisors and by daily monitoring of their performance. In addition, the Trading Advisors establish diversification guidelines, often set in terms of the maximum margin to be committed to positions in any one market sector or market-sensitive instrument.

Ceres monitors and controls the risk of the Partnership’s non-trading instrument, cash. Cash is the only Partnership investment directed by Ceres, rather than the Trading Advisors.

Item 4.

CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of Ceres, at the time this quarterly report was filed, Ceres’ President (Ceres’ principal executive officer) and Chief Financial Officer (Ceres’ principal financial officer) have evaluated the effectiveness of the design and operation of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the

- 40 -

Exchange Act) as of March 31, 2012. The Partnership’s disclosure controls and procedures are designed to provide reasonable assurance that information the Partnership is required to disclose in the reports that the Partnership files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms. Based on this evaluation, the President and Chief Financial Officer of Ceres have concluded that the disclosure controls and procedures of the Partnership were effective at March 31, 2012.

Changes in Internal Control over Financial Reporting

There have been no changes during the period covered by this quarterly report in the Partnership’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that have materially affected or are reasonably likely to materially affect the Partnership’s internal control over financial reporting.

Limitations on the Effectiveness of Controls

Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

- 41 -

PART II. OTHER INFORMATION

Item 1. LEGAL PROCEEDINGS

There were no additional information to supplement or amend the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011.

Item 1A. RISK FACTORS

There have been no material changes from the risk factors previously referenced in the Partnership’s Report on Form 10-K for the fiscal year ended December 31, 2011.

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

Item 6.

EXHIBITS

31.01

Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.01

Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

- 42 -

101.INS*

XBRL Instance Document

101.SCH*

XBRL Taxonomy Extension Schema Document

101.CAL*

XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB*

XBRL Taxonomy Extension Label Document

101.PRE*

XBRL Taxonomy Extension Presentation Document

101.DEF*

XBRL Taxonomy Extension Definition Document

Notes to Exhibits List

*Submitted electronically herewith.

Pursuant to applicable securities laws and regulations, the Partnership is deemed to have complied with the reporting obligation relating to the submission of interactive data files in Exhibit 101 to this report and is not subject to liability under any anti-fraud provisions of the federal securities laws as long as the Partnership has made a good faith attempt to comply with the submission requirements and promptly amends the interactive data files after becoming aware that the interactive data files fails to comply with the submission requirements. Users of this data are advised that, pursuant to Rule 406T, these interactive data files are deemed not filed and otherwise are not subject to liability.

- 43 -

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Morgan Stanley Smith Barney Spectrum Select L.P.
	(Registrant)

	By:	Ceres Managed Futures LLC
		(General Partner)

May 14, 2012	By:	/s/Brian Centner
		Brian Centner
		Chief Financial Officer

The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

- 43 -

EX-31.01 2 dwsfex3101.htm EXHIBIT dwsfex3101.htm

EXHIBIT 31.01

CERTIFICATIONS

I, Walter Davis, certify that:

1.	I have reviewed this quarterly report on Form 10-Q of Morgan Stanley Smith Barney Spectrum Select L.P.;

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

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 registrant’s 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.	The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

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 registrant’s 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 registrant’s internal control over financial reporting.

Date: May 14, 2012	By:	/s/Walter Davis
		Walter Davis
		President,
		Ceres Managed Futures LLC,
		General Partner of the registrant

EX-31.02 3 dwsfex3102.htm EXHIBIT dwsfex3102.htm

EXHIBIT 31.02

CERTIFICATIONS

I, Brian Centner, certify that:

1.	I have reviewed this quarterly report on Form 10-Q of Morgan Stanley Smith Barney Spectrum Select L.P.;

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

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 registrant’s 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.	The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

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 registrant’s 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 registrant’s internal control over financial reporting.

Date: May 14, 2012	By:	/s/ Brian Centner
		Brian Centner
		Chief Financial Officer,
		Ceres Managed Futures LLC,
		General Partner of the registrant

EX-32.01 4 dwsfex3201.htm EXHIBIT dwsfex3201.htm

EXHIBIT 32.01

CERTIFICATION OF PRESIDENT PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Morgan Stanley Smith Barney Spectrum Select L.P. (the “Partnership”) on Form 10-Q for the quarter ended March 31, 2012, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Walter Davis, President of Ceres Managed Futures LLC, the general partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

(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 Partnership.

	By:	/s/Walter Davis
	Name:	Walter Davis
	Title:	President of
		Ceres Managed Futures LLC,
		General Partner of the registrant
	Date:	May 14, 2012

EX-32.02 5 dwsfex3202.htm EXHIBIT dwsfex3202.htm

EXHIBIT 32.02

CERTIFICATION OF CHIEF FINANCIAL OFFICER PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Morgan Stanley Smith Barney Spectrum Global Balanced L.P. (the “Partnership”) on Form 10-Q for the quarter ended March 31, 2012, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Brian Centner, Chief Financial Officer of Ceres Managed Futures LLC, the general partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

(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 Partnership.

	By:	/s/ Brian Centner
	Name:	Brian Centner
	Title:	Chief Financial Officer of
		Ceres Managed Futures LLC,
		General Partner of the registrant
	Date:	May 14, 2012

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<div><div><br /> </div><div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td align="right" style="width: 18pt;"><div style="display: inline; font-family: Times New Roman; font-size: 10pt;">2.  </div></td><td><div style="text-align: justify; text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">Financial Highlights</div><div style="text-align: justify; text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;"> </div><div style="text-align: justify; text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;"> </div></td></tr></table></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">Financial Highlights for the three months ended March 31, 2012 and 2011 were as follows:</div></td></tr></table></div><div style="text-align: justify; text-indent: 252pt; display: block; margin-left: 0pt; margin-right: 0pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;"><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font>                    </font><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td valign="top" style="width: 50%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="top" style="text-align: center; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> <font style="display: inline; text-decoration: underline;">For the Quarters Ended March 31,</font></td></tr><tr><td valign="top" style="width: 50%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="top" style="border-bottom: black 2px solid; text-align: center; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2012</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: center; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2011</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Per Unit Operating Performance:</div></td><td valign="top" style="width: 14%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Net asset value, January 1:</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$     31.24</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$     38.03</div></td></tr><tr><td valign="top" style="width: 50%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Interest Income</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        -  <font style="display: inline; font-size: 70%; vertical-align: text-top;">(3)</font></div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        0.01</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Expenses</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (0.62)</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (0.87)</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Realized/Unrealized Income (Loss) <font style="display: inline; font-size: 70%; vertical-align: text-top;">(1)</font></div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        0.46</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"><font style="display: inline;">       (0.73) </font><font style="display: inline; font-size: 70%; vertical-align: text-top;">(4)</font></div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Net Loss</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (0.16)</div></td><td valign="top" style="border-bottom: black 2px solid; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (1.59)</div></td></tr><tr><td valign="top" style="width: 50%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Net asset value, March 31:</div></td><td valign="top" style="border-bottom: black 4px double; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$     31.08</div></td><td valign="top" style="border-bottom: black 4px double; text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$     36.44</div></td></tr><tr><td valign="top" style="width: 50%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Ratios to average net assets:</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Net Investment Loss <font style="display: inline; font-size: 70%; vertical-align: text-top;">(2)</font></div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (8.0)%</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (8.7)%</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Expenses before  Incentive Fees <font style="display: inline; font-size: 70%; vertical-align: text-top;">(2)</font></div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        8.0%</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        8.5%</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Expenses after Incentive Fees <font style="display: inline; font-size: 70%; vertical-align: text-top;">(2)</font></div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        8.0%</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">        8.8%</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">                     Net Loss <font style="display: inline; font-size: 70%; vertical-align: text-top;">(2)</font></div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (1.9) %</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">     (16.6) %</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Total return before incentive fees</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (0.5)%</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (3.9)%</div></td></tr><tr><td align="left" valign="top" style="width: 50%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">         Total return after incentive fees</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (0.5)%</div></td><td valign="top" style="text-align: left; text-indent: 0pt; width: 14%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (4.2)%</div></td></tr></table></div><div style="text-align: left; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 0pt;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: left; font-family: Times New Roman; font-size: 10pt;"><font style="display: inline; font-size: 70%; vertical-align: text-top;">  (1)</font> Realized/Unrealized Income (Loss) is a balancing amount necessary to reconcile the change in net asset value per Unit</div></td></tr></table></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: left; font-family: Times New Roman; font-size: 10pt;">       with the other per Unit information.</div></td></tr></table></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: left; font-family: Times New Roman; font-size: 10pt;"><font style="display: inline; font-size: 70%; vertical-align: text-top;">   (2)</font> Annualized (except for incentive fees, if applicable).</div></td></tr></table></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: left; font-family: Times New Roman; font-size: 10pt;"><font style="display: inline; font-size: 70%; vertical-align: text-top;">   (3)</font> Amounts less than $0.005 per Unit.</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"><font style="display: inline; font-size: 70%; vertical-align: text-top;">   (4)</font> These amounts have been reclassified from the prior year financial statements to conform to the current year presentation. Specifically, realized and unrealized income (loss) per Unit amounts were combined in the 2011 Financial Highlights presentation.</div></td></tr></table></div></div><div style="text-align: justify; text-indent: 252pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font>                   <br /></div></div>

275883236

294516833

<div><div style="text-align: left; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">8.  <font style="display: inline; text-decoration: underline;">Restricted and Unrestricted Cash</font></div><div style="text-indent: 0pt; display: block; margin-left: 36pt;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">As reflected on the Partnership's Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options contracts and offset unrealized losses on offset LME positions.  All of these amounts are maintained separately.  Cash that is not classified as restricted cash is therefore classified as unrestricted cash.</div></div>

235611738

250786399

<div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">5.  <font style="display: inline; text-decoration: underline;">Derivatives and Hedging</font></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div></td></tr></table></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The Partnership's objective is to profit from speculative trading in Futures Interests.  Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategy.  As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures.  With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The following tables summarize the valuation of the Partnership's investments as of March 31, 2012 and December 31, 2011, respectively.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The Effect of Trading Activities on the Statements of Financial Condition as of March 31, 2012:</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td align="left" valign="bottom" style="border-bottom: black 2px solid; width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Futures and Forward Contracts</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Long</div><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Unrealized</div><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Gain</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Long</div><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Unrealized</div><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Loss</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 9%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"> Short Unrealized</div><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Gain</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  Short Unrealized</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Loss</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 11%;"><div style="text-align: center; text-indent: 9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Net   Unrealized</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> Gain/(Loss)</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 14%;"><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">       Average</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">         number of</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">        contracts</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">             outstanding</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">          for the</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">              three months</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">          (absolute</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">          quantity)</div></td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 9%;"><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -14.4pt;"><font style="letter-spacing: 9pt;">   </font><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 10%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -14.4pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 11%;"><div style="text-align: center; text-indent: 9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 11%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Commodity</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3,377,775</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(2,045,280)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,775,792</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(1,080,439)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  3,027,848</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 27pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">4,302</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Equity</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,556,709</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">      (725,692)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">319,938</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(17,166)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,133,789</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 27pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,446</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Foreign currency</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">427,497</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   (793,142)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">234,552</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(993,051)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(1,124,144)</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 27pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">7,125</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Interest rate</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  1,233,871</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   (349,830)</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   171,255</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   (222,310)</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">      832,986</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 27pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">9,105</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  7,595,852</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(3,913,944)</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3,501,537</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(2,312,966)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  4,870,479</div></td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 11%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> (1,315,206)</div></td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Total net unrealized gain on open contracts</div></td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td align="right" valign="top" style="border-bottom: black 4px double; width: 11%;"><div style="text-indent: 0pt; display: block;"> </div><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0.6pt;"> 3,555,273</div></td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2011:</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td align="left" valign="bottom" style="border-bottom: black 2px solid; width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Futures and Forward Contracts</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Long</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Unrealized</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -5.4pt;">Gain</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Long</div><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Unrealized</div><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -9.35pt;">Loss</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 9%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"> Short Unrealized</div><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;">Gain</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  Short Unrealized</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Loss</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 11%;"><div style="text-align: center; text-indent: 9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Net   Unrealized</div><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> Gain/(Loss)</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 14%;"><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">Average</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">number of</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">contracts</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">outstanding</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">for the year</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">(absolute</div><div style="text-align: center; text-indent: -72pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 19.95pt;">quantity)</div></td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 10%;"><div style="text-align: center; font-family: Times New Roman; font-size: 10pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 9%;"><div style="text-align: center; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -14.4pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 10%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -14.4pt;"><font style="letter-spacing: 9pt;">   </font> $</div></td><td valign="top" style="width: 11%;"><div style="text-align: center; text-indent: 9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 11%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Commodity</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">418,029</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(822,942)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">4,381,649</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(2,417,431)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  1,559,305</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -13pt;">4,077</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Equity</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">307,762</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">       (7,656)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">94,660</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(143,961)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">250,805</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -13pt;">1,386</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Foreign currency</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">739,841</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   (106,865)</div></td><td align="right" valign="bottom" style="width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,115,906</div></td><td align="right" valign="bottom" style="width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(300,292)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2,448,590</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -13pt;">7,744</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Interest rate</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3,538,706</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: -9pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">   (109,261)</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">139,283</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(121,941)</div></td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3,446,787</div></td><td align="left" valign="bottom" style="width: 14%;"><div style="text-align: left; text-indent: 18pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: -13pt;">7,073</div></td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  5,004,338</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(1,046,724)</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 9%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">6,731,498</div></td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 10%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(2,983,625)</div></td><td align="right" valign="bottom" style="width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  7,705,487</div></td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td valign="top" style="width: 28%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td align="right" valign="bottom" style="border-bottom: black 2px solid; width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> (1,303,588)</div></td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td align="right" valign="bottom" style="border-bottom: black 4px double; width: 11%;"><div style="text-align: right; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"> 6,401,899</div></td><td valign="bottom" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr><tr><td align="left" valign="top" style="width: 28%;"><div style="text-align: left; text-indent: -18pt; display: block; font-family: Times New Roman; margin-left: 36pt; font-size: 10pt; margin-right: 0pt;">Total net unrealized gain on open contracts</div></td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 9%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 10%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 11%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td><td valign="top" style="width: 14%; display: inline; font-family: Times New Roman; font-size: 10pt;">  </td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The following tables summarize the net trading results of the Partnership for the quarters ended March 31, 2012 and 2011, respectively.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2012 included in Total Trading Results:</div><div style="text-indent: 0pt; display: block;"> </div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">Type of Instrument</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="text-align: center; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">$</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td valign="bottom" style="width: 88%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Commodity</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">4,284,224</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Equity</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,205,332</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Foreign currency</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(4,820,324</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Interest rate</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(6,451,062</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(11,618</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">4,206,552</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2012:</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">Trading Results</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="text-align: center; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">$</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td valign="bottom" style="width: 88%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Net realized</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">7,053,178</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Net change in unrealized</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(2,846,626</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Total Trading Results</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">4,206,552</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2011 included in Total Trading Results:</div><div style="text-indent: 0pt; display: block;"><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">Type of Instrument</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="text-align: center; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">$</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td valign="bottom" style="width: 88%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Commodity</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">13,675,858</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Equity</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(6,231,267</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Foreign currency</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(9,190,128</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Interest rate</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(5,813,273</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(163,715</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(7,722,525</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2011:</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr bgcolor="white"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">Trading Results</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="text-align: center; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">$</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td valign="bottom" style="width: 88%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Net realized</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">4,959,877</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Net change in unrealized</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(12,682,402</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 88%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Total Trading Results</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(7,722,525</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr></table></div><br /></div></div>

<div><div style="text-align: left; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -9pt; font-size: 10pt; margin-right: 0pt;">  <div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td style="width: 18pt;"><div style="text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">7.</div></td><td><div style="text-align: left; font-family: Times New Roman; font-size: 10pt; text-decoration: underline;">Other Pronouncements</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">In December 2011, the FASB issued Accounting Standards Update ("ASU") 2011-11, "<font style="font-style: italic; display: inline;">Disclosures about Offsetting Assets and Liabilities</font>", which creates a new disclosure requirement about the nature of an entity's rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of accounting principles generally accepted in the United States of America ("U.S. GAAP") and those entities that prepare their financial statements on the basis of International Financial Reporting Standards ("IFRS"). The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented.  The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.<br /></div><div style="text-indent: 0pt; display: block;"> </div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">In October 2011, the FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company.  Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company.  The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements.  In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company be required to consolidate another investment company if it holds a controlling financial interest in the entity.  The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.</div><br /></div></div>

1409076

1459689

<div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">6.  <font style="display: inline; text-decoration: underline;">Fair Value Measurements and Disclosures</font></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 0pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">Effective January 1, 2012, the Partnership adopted ASU 2011-04, <font style="font-style: italic; display: inline;">"Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS."  </font>The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS.  However, some of the amendments clarify the FASB's intent about the </font><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.  This new guidance did not have a significant impact on the Partnership's financial statements.</font></div><div style="text-indent: 0pt; display: block; margin-left: 36pt;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 0pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">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 </font><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">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).</font></div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 0pt;">  <div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">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.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">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.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: left;"><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td align="left" valign="bottom" style="padding-bottom: 2px;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">March 31, 2012</div></td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Unadjusted</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Quoted Prices in Active Markets for Identical Assets</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 1)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Significant Other Observable Inputs</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 2)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Significant Unobservable Inputs</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 3)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td></tr><tr><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td></tr><tr><td align="left" valign="bottom"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; font-weight: bold; margin-right: 0pt;">Assets</div></td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Futures</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,079,891</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,079,891</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Forwards</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">17,498</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">17,498</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Total Assets</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,079,891</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">17,498</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,097,389</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; font-weight: bold; margin-right: 0pt;">Liabilities</div></td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Futures</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">5,452,183</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">5,452,183</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Forwards</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">774,727</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">774,727</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Total Liabilities</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">5,452,183</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">774,727</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">6,226,910</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(1,315,206</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">*Net fair value</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">5,627,708</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(757,229</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 4px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">3,555,273</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr></table></div><br /><br /><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: left;"><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td align="left" valign="bottom" style="padding-bottom: 2px;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt; text-decoration: underline;">December 31, 2011</div></td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Unadjusted</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Quoted Prices in Active Markets for Identical Assets</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 1)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Significant Other Observable Inputs</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 2)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Significant Unobservable Inputs</div><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(Level 3)</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; font-family: times new roman; font-size: 10pt;"> </td></tr><tr><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td></tr><tr><td align="left" valign="bottom"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; font-weight: bold; margin-right: 0pt;">Assets</div></td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td colspan="2" valign="bottom" style="display: inline; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Futures</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,006,486</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,006,486</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Forwards</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">729,350</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">729,350</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Total Assets</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,006,486</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">729,350</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">11,735,836</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; font-weight: bold; margin-right: 0pt;">Liabilities</div></td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td align="left" valign="bottom" style="width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Futures</div></td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">3,707,388</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">3,707,388</td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Forwards</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">-</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">322,961</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">322,961</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">Total Liabilities</div></td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">3,707,388</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">322,961</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">4,030,349</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 2px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 9pt; font-size: 10pt; margin-right: 0pt;">Unrealized currency loss</div></td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 2px; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 2px solid; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">(1,303,588</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 2px; width: 1%; font-family: times new roman; font-size: 10pt;">)</td></tr><tr bgcolor="#cceeff"><td valign="bottom" style="width: 52%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="width: 1%; display: inline; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;"> </td><td nowrap="nowrap" valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr><tr bgcolor="white"><td align="left" valign="bottom" style="padding-bottom: 4px; width: 52%;"><div style="text-align: left; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 18pt; font-size: 10pt; margin-right: 0pt;">*Net fair value</div></td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">7,299,098</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">406,389</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="text-align: right; padding-bottom: 4px; width: 9%; font-family: times new roman; font-size: 10pt;">n/a</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td align="right" valign="bottom" style="padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: left; width: 1%; font-family: times new roman; font-size: 10pt;"> </td><td valign="bottom" style="border-bottom: black 4px double; text-align: right; width: 9%; font-family: times new roman; font-size: 10pt;">6,401,899</td><td nowrap="nowrap" valign="bottom" style="text-align: left; padding-bottom: 4px; width: 1%; font-family: times new roman; font-size: 10pt;"> </td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">* This amount comprises the "Total net unrealized gain on open contracts" on the Statements of Financial Condition.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities and there were no transfer of assets or liabilities between Level 1 and Level 2.</div></div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 0pt;"><br /> <br /></div></div>

<div><div style="text-indent: 0pt; display: block;"> </div><div style="text-indent: 0pt; display: block;"> </div><div style="text-indent: 0pt; display: block;">  <div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">4.  <font style="display: inline; text-decoration: underline;">Financial Instruments</font></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The Partnership trades Futures Interests.  Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price.  Futures Interests are open commitments until settlement date, at which time they are realized.  They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts.  The resulting net change in unrealized gain and loss is reflected in the "Net change in unrealized trading profit (loss)" for open contracts from one period to the next on the Statements of Income and Expenses.  The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period.</div><div style="text-indent: 0pt; display: block;"> </div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 18pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period from various exchanges.  The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the </font><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period.  Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts.  There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.</font></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 18pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined.  If an exchange-traded contract could not have </font><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.</font></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 18pt;">The Partnership's contracts are accounted for on a trade-date basis and marked to market on a daily basis.  The Partnership accounts for its derivative investments as described in Note 5, <font style="display: inline; text-decoration: underline;">Derivatives and Hedging</font><font style="font-style: italic; display: inline;"> </font>as required by the Financial Accounting Standards Board ("FASB") <font style="font-style: italic; display: inline;">Accounting Standards Codification</font> ("ASC" or the<font style="font-style: italic; display: inline;"> </font>"Codification").  A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:</div><div style="text-indent: 0pt; display: block;">  <div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td style="width: 18pt;"><div style="text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">1)</div></td><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">a) One or more "underlyings" and b) one or more "notional amounts" or payment provisions or both;</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td style="width: 18pt;"><div style="text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">2)</div></td><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td style="width: 18pt;"><div style="text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3)</div></td><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">Terms that require or permit net settlement.</div></td></tr></table></div></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"><font style="letter-spacing: 9pt;">    </font> Generally, derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"><font style="letter-spacing: 9pt;">   </font>     The net unrealized gains (loss) on open contracts, reported as a component of "Trading Equity" on the Statements of Financial Condition, and their longest contract maturities were </div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"><font style="letter-spacing: 9pt;">   </font>     as follows:</div><div><table cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr><td valign="bottom" style="width: 13%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td colspan="3" valign="bottom" style="border-bottom: black 2px solid; width: 42%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Net Unrealized Gains (Loss) on Open Contracts</div></td><td colspan="2" valign="bottom" style="border-bottom: black 2px solid; width: 34%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Longest Maturities</div></td></tr><tr><td align="left" valign="bottom" style="border-bottom: black 2px solid; width: 13%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Date</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 15%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Exchange-Traded</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 17%;"><div style="text-align: center; text-indent: -27pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: -8.95pt;">   <font style="display: inline;">Off-Exchange-Traded</font></div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 9%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Total</div></td><td valign="bottom" style="border-bottom: black 2px solid; width: 16%;"><div style="text-align: center; text-indent: 9pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Exchange-Traded</div></td><td valign="bottom" style="border-bottom: black 2px solid; text-align: center; text-indent: 0pt; width: 18%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Off- Exchange-Traded</div></td></tr><tr><td valign="bottom" style="width: 13%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="width: 15%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td valign="bottom" style="width: 17%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td valign="bottom" style="width: 9%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">$</div></td><td valign="bottom" style="width: 16%; display: inline; font-family: times new roman; font-size: 10pt;">  </td><td valign="bottom" style="text-align: left; text-indent: 0pt; width: 18%; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  </td></tr><tr><td align="left" valign="bottom" style="width: 13%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Mar. 31, 2012</div></td><td valign="bottom" style="width: 15%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">4,312,502</div></td><td valign="bottom" style="width: 17%;"><div style="text-align: center; text-indent: -9pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">(757,229)</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 9%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">3,555,273</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 16%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Jun. 2016</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 18%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Jun. 2012</div></td></tr><tr><td align="left" valign="bottom" style="width: 13%;"><div style="text-align: left; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Dec. 31, 2011</div></td><td valign="bottom" style="width: 15%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">5,995,510</div></td><td valign="bottom" style="width: 17%;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">406,389</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 9%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">6,401,899</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 16%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Mar. 2016</div></td><td valign="bottom" style="text-align: center; text-indent: 0pt; width: 18%; margin-left: 0pt; margin-right: 0pt;"><div style="text-align: center; text-indent: 0pt; display: block; font-family: times new roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Mar. 2012</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"><font style="letter-spacing: 9pt;">    </font></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"> </div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: -36pt; font-size: 10pt; margin-right: 18pt;"><br /> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> In general, the risks associated with off-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to an off-exchange-traded contract.  The Partnership has credit risk associated with counterparty nonperformance.  As of the date of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gain amounts reflected in the Partnership's Statements of Financial Condition.  The net unrealized gains (losses) on open contracts is further disclosed gross by type of contract and corresponding fair value level in Note 6, <font style="display: inline; text-decoration: underline;">Fair Value Measurements and Disclosures</font>.</div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The Partnership also has credit risk because MS&Co., MSIP, and/or MSCG act as the futures commission merchants or the counterparties, with respect to most of the Partnership's assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are fair valued on a daily basis, with variations in value settled on a daily basis.  MS&Co. and MSIP, each acting as a commodity futures broker for the Partnership's exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission   ("CFTC"), to segregate from their own assets, and for the sole benefit of their commodity customers, total cash held by them with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net  unrealized gains (losses) on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which funds, in the aggregate, totaled $276,625,123 and $294,109,636 at March 31, 2012 and December 31, 2011, respectively. With respect to the Partnership's off-exchange-traded forward currency contracts and forward currency options contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated.  However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.  With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform.  With respect to those off-exchange-traded forward currency options contracts, the Partnership is at risk to the ability of MSCG, the sole counterparty on all such contracts, to perform.  The Partnership has a netting agreement with each counterparty.  The primary terms are based on industry standard master agreements.  These agreements, which seek to reduce both the Partnership's and the counterparties' exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnership's credit risk in the event of MS&Co.'s or MSCG's bankruptcy or insolvency.<br /></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">The General Partner monitors and attempts to control the Partnership'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 Partnership may be subject.  These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics.  In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.</div><div style="text-indent: 0pt; display: block;"> </div><div style="text-indent: 0pt; display: block;">The futures, forwards and options traded by the Partnership involve varying degrees of related market risk.  Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership's open positions, and consequently in its earnings, whether realized or unrealized, and cash flow.  Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin.  Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract.  Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date.  However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership's accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.</div><div style="text-indent: 0pt; display: block;"> </div></div><div style="text-indent: 0pt; display: block;"><br /> </div></div>

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<div>  <div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td style="width: 18pt;"><div style="text-indent: 0pt; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">9.</div></td><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt; text-decoration: underline;">Income Taxes</div></td></tr></table></div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of the Partnership's revenues or expenses for income tax purposes.  The Partnership files U.S. federal and state tax returns.</div><div style="text-indent: 0pt; display: block;"><br /></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">The guidance issued by the FASB on income taxes, clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken.  The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of March 31, 2012 and December 31, 2011.  If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses.  Generally, the 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities.  No income tax returns are currently under examination.</div><br /></div>

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<div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">  <div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">1.  <font style="display: inline; text-decoration: underline;">Organization<br /></font></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;"><font style="display: inline; text-decoration: underline;"> </font></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 18pt;">Morgan Stanley Smith Barney Spectrum Select L.P. is a Delaware limited partnership organized in 1991 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, "Futures Interests") (refer to Note 4, <font style="display: inline; text-decoration: underline;">Financial Instruments</font>).  The Partnership is one of the Morgan Stanley Smith Barney Spectrum series of funds, comprised of the Partnership, Morgan Stanley Smith Barney Spectrum Currency and Commodity L.P., Morgan Stanley Smith Barney Spectrum Global Balanced L.P., Morgan Stanley Smith Barney Spectrum Strategic L.P., and Morgan Stanley Smith Barney Spectrum Technical L.P. (collectively, the "Spectrum Series").</div><div style="text-indent: 0pt; display: block;"> </div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 18pt;">The Partnership's general partner is Ceres Managed Futures LLC ("Ceres" or the "General Partner").  The non-clearing commodity broker is Morgan Stanley Smith Barney LLC ("MSSB").  The clearing commodity brokers are Morgan Stanley & Co. LLC ("MS&Co.") and Morgan Stanley & Co. International plc ("MSIP").  MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts.  Morgan Stanley Capital Group Inc. ("MSCG") acts as the counterparty on all trading of options on foreign currency forward contracts.  MSIP serves as the commodity broker for trades on the London Metal Exchange ("LME"). Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC ("MSSBH").  MSSBH is majority-owned indirectly by Morgan Stanley and minority-owned indirectly by Citigroup Inc.  MSSB is the principal subsidiary of MSSBH.  MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley.  The trading advisors to the Partnership are Altis Partners (Jersey) Limited ("Altis"), EMC Capital Management, Inc. ("EMC"), Graham Capital Management, L.P. ("Graham"), Northfield Trading L.P. ("Northfield"), Rabar Market Research, Inc. ("Rabar"), and Sunrise Capital Management, Inc. ("Sunrise Capital"), (each individually,  a "Trading Advisor", or collectively, the "Trading Advisors").</div></div></div>

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<div><div>  <div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">3.  <font style="display: inline; text-decoration: underline;">Related Party Transactions</font></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div></td></tr></table></div><div style="text-align: justify; text-indent: 0pt; display: block; margin-left: 0pt; margin-right: 18pt;"><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">The Partnership's cash is on deposit with MSSB, MS&Co., and MSIP, in Futures Interests trading accounts to meet margin requirements as needed.  MSSB pays the Partnership at each month end interest income on 80% </font><font style="display: inline; font-family: Times New Roman; font-size: 10pt;">of the funds on deposit with the commodity brokers at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate during such month.  MSSB retains any interest earned in excess of the interest paid by MSSB to the Partnership.  For purposes of such interest payments, net assets do not include monies</font></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 18pt;">owed to the Partnership on Futures Interests.  The Partnership pays brokerage fees to MS&Co.</div></div></div>

36700883

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<div><div><table align="center" border="0" cellpadding="0" cellspacing="0" style="width: 100%; font-family: times new roman; font-size: 10pt;"><tr valign="top"><td><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;">10.  <font style="display: inline; text-decoration: underline;">Subsequent Events</font></div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div><div style="text-align: justify; font-family: Times New Roman; font-size: 10pt;"> </div></td></tr></table></div><div style="text-align: justify; text-indent: 0pt; display: block; font-family: Times New Roman; margin-left: 0pt; font-size: 10pt; margin-right: 0pt;">Management of Ceres performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.</div><div style="text-indent: 0pt; display: block; margin-left: 36pt;"><br /></div></div>

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Related Party Transactions

3 Months Ended

Mar. 31, 2012

Related Party Transactions [Abstract]

Related Party Transactions

3. Related Party Transactions

The Partnership's cash is on deposit with MSSB, MS&Co., and MSIP, in Futures Interests trading accounts to meet margin requirements as needed. MSSB pays the Partnership at each month end interest income on 80% of the funds on deposit with the commodity brokers at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate during such month. MSSB retains any interest earned in excess of the interest paid by MSSB to the Partnership. For purposes of such interest payments, net assets do not include monies

owed to the Partnership on Futures Interests. The Partnership pays brokerage fees to MS&Co.

The entire disclosure for related party transactions. Examples of related party transactions include transactions between (a) a parent company and its subsidiary; (b) subsidiaries of a common parent; (c) and entity and its principal owners; and (d) affiliates.

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Financial Highlights
3 Months Ended

Mar. 31, 2012

Financial Highlights [Abstract]

Financial Highlights

2.
Financial Highlights

Financial Highlights for the three months ended March 31, 2012 and 2011 were as follows:

For the Quarters Ended March 31,

2012
2011
         Per Unit Operating Performance:

         Net asset value, January 1:
$     31.24
$     38.03

                     Interest Income
        -  (3)
        0.01
                     Expenses
       (0.62)
       (0.87)
                     Realized/Unrealized Income (Loss) (1)
        0.46
       (0.73) (4)
                     Net Loss
       (0.16)
       (1.59)

         Net asset value, March 31:
$     31.08
$     36.44

         Ratios to average net assets:

                     Net Investment Loss (2)
       (8.0)%
       (8.7)%
                     Expenses before  Incentive Fees (2)
        8.0%
        8.5%
                     Expenses after Incentive Fees (2)
        8.0%
        8.8%
                     Net Loss (2)
       (1.9) %
     (16.6) %
         Total return before incentive fees
       (0.5)%
       (3.9)%
         Total return after incentive fees
       (0.5)%
       (4.2)%

  (1) Realized/Unrealized Income (Loss) is a balancing amount necessary to reconcile the change in net asset value per Unit
       with the other per Unit information.
   (2) Annualized (except for incentive fees, if applicable).
   (3) Amounts less than $0.005 per Unit.

   (4) These amounts have been reclassified from the prior year financial statements to conform to the current year presentation. Specifically, realized and unrealized income (loss) per Unit amounts were combined in the 2011 Financial Highlights presentation.

XML 16 R2.htm IDEA: XBRL DOCUMENT

Statements of Financial Condition (USD $)	Mar. 31, 2012	Dec. 31, 2011
Trading Equity:
Unrestricted cash	$ 235,611,738	$ 250,786,399
Restricted cash	36,700,883	37,327,727
Total cash	272,312,621	288,114,126
Net unrealized gain on open contracts (MS&Co.)	3,546,073	6,712,081
Net unrealized gain (loss) on open contracts (MSIP)	9,200	(310,182)
Total net unrealized gain on open contracts	3,555,273	6,401,899
Total Trading Equity	275,867,894	294,516,025
Interest receivable (MSSB)	15,342	808
Total Assets	275,883,236	294,516,833
LIABILITIES
Redemptions payable	5,123,813	6,464,963
Accrued brokerage fees (MS&Co.)	1,409,076	1,459,689
Accrued management fees	431,093	447,773
Total Liabilities	6,963,982	8,372,425
PARTNERS' CAPITAL
Limited Partners	265,827,792	283,036,281
General Partner	3,091,462	3,108,127
Total Partners' Capital	268,919,254	286,144,408
Total Liabilities and Partners' Capital	$ 275,883,236	$ 294,516,833
NET ASSET VALUE PER UNIT (in dollars per unit)	$ 31.08	$ 31.24

XML 17 R6.htm IDEA: XBRL DOCUMENT

Statements of Changes in Partners' Capital (USD $)	Limited Partners [Member]	General Partner [Member]	Total
Balance at Dec. 31, 2010	$ 404,921,242	$ 4,329,618	$ 409,250,860
Balance (in units) at Dec. 31, 2010			10,760,255.711
Statement of change in Partners' Capital [Roll Forward]
Net Loss	(16,659,722)	(181,004)	(16,840,726)
Redemptions (in units)			(315,997.827)
Redemptions	(11,582,655)	(199,983)	(11,782,638)
Balance at Mar. 31, 2011	376,678,865	3,948,631	380,627,496
Balance (in units) at Mar. 31, 2011			10,444,257.884
Balance at Dec. 31, 2011	283,036,281	3,108,127	286,144,408
Balance (in units) at Dec. 31, 2011			9,158,617.900
Statement of change in Partners' Capital [Roll Forward]
Net Loss	(1,297,416)	(16,665)	(1,314,081)
Redemptions (in units)			(504,926.429)
Redemptions	(15,911,073)	0	(15,911,073)
Balance at Mar. 31, 2012	$ 265,827,792	$ 3,091,462	$ 268,919,254
Balance (in units) at Mar. 31, 2012			8,653,691.471

The portion of profit or loss for the period, net of income taxes, which is attributable to the parent.

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-Glossary Other Comprehensive Income

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Reference 7: http://www.xbrl.org/2003/role/presentationRef

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-Glossary Net Income

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Reference 15: http://www.xbrl.org/2003/role/presentationRef

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-Name Accounting Research Bulletin (ARB)

-Number 51

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Reference 16: http://www.xbrl.org/2003/role/presentationRef

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+ Details

The amount of ownership interest of different classes of partners in limited partnership.

+ References+ Details

Total change in each class of partners' capital accounts during the year due to redemptions and adjustments to redemption value. All partners include general, limited and preferred partners.

+ References+ Details

The number of each class of partnership units outstanding at the balance sheet date. Units represent shares of ownership of the general, limited, and preferred partners.

+ References+ Details

The number of units redeemed during the year of each class of partners' capital account. Units represent shares of ownership of the general, limited, and preferred partners.

+ References+ Details

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Organization	3 Months Ended
Organization	Mar. 31, 2012
Organization [Abstract]
Organization	1. Organization Morgan Stanley Smith Barney Spectrum Select L.P. is a Delaware limited partnership organized in 1991 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, "Futures Interests") (refer to Note 4, Financial Instruments). The Partnership is one of the Morgan Stanley Smith Barney Spectrum series of funds, comprised of the Partnership, Morgan Stanley Smith Barney Spectrum Currency and Commodity L.P., Morgan Stanley Smith Barney Spectrum Global Balanced L.P., Morgan Stanley Smith Barney Spectrum Strategic L.P., and Morgan Stanley Smith Barney Spectrum Technical L.P. (collectively, the "Spectrum Series"). The Partnership's general partner is Ceres Managed Futures LLC ("Ceres" or the "General Partner"). The non-clearing commodity broker is Morgan Stanley Smith Barney LLC ("MSSB"). The clearing commodity brokers are Morgan Stanley & Co. LLC ("MS&Co.") and Morgan Stanley & Co. International plc ("MSIP"). MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. Morgan Stanley Capital Group Inc. ("MSCG") acts as the counterparty on all trading of options on foreign currency forward contracts. MSIP serves as the commodity broker for trades on the London Metal Exchange ("LME"). Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC ("MSSBH"). MSSBH is majority-owned indirectly by Morgan Stanley and minority-owned indirectly by Citigroup Inc. MSSB is the principal subsidiary of MSSBH. MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley. The trading advisors to the Partnership are Altis Partners (Jersey) Limited ("Altis"), EMC Capital Management, Inc. ("EMC"), Graham Capital Management, L.P. ("Graham"), Northfield Trading L.P. ("Northfield"), Rabar Market Research, Inc. ("Rabar"), and Sunrise Capital Management, Inc. ("Sunrise Capital"), (each individually, a "Trading Advisor", or collectively, the "Trading Advisors").

The entire disclosure for the organization, consolidation and basis of presentation of financial statements disclosure, and significant accounting policies of the reporting entity. May be provided in more than one note to the financial statements, as long as users are provided with an understanding of (1) the significant judgments and assumptions made by an enterprise in determining whether it must consolidate a VIE and/or disclose information about its involvement with a VIE, (2) the nature of restrictions on a consolidated VIE's assets reported by an enterprise in its statement of financial position, including the carrying amounts of such assets, (3) the nature of, and changes in, the risks associated with an enterprise's involvement with the VIE, and (4) how an enterprise's involvement with the VIE affects the enterprise's financial position, financial performance, and cash flows. Describes procedure if disclosures are provided in more than one note to the financial statements.

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Statements of Financial Condition (Parenthetical)	Mar. 31, 2012	Dec. 31, 2011
PARTNERS' CAPITAL
Limited Partners, Units (in units)	8,554,209.702	9,059,136.131
General Partner, Units (in units)	99,481.769	99,481.769

The number of general partner units issued.

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The number of limited partner units issued.

+ References+ Details

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Document and Entity Information (USD $)	3 Months Ended
Document and Entity Information (USD $)	Mar. 31, 2012	Jun. 30, 2011
Document and Entity Information [Abstract]
Entity Registrant Name	MORGAN STANLEY SMITH BARNEY SPECTRUM SELECT LP
Entity Central Index Key	0000873799
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	Non-accelerated Filer
Entity Public Float		$ 334,886,507
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q1
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2012

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Condensed Schedule of Investments (USD $)	Mar. 31, 2012	Dec. 31, 2011
Investment Holdings [Line Items]
Unrealized Currency Gain/(Loss)	$ (1,315,206)	$ (1,303,588)
Unrealized Currency Gain/(Loss) Percentage of Partners' Capital (in hundredths)	(0.49%)	(0.46%)
Fair value	3,555,273	6,401,899
Fair value Percentage of Partners' Capital (in hundredths)	1.32%	2.23%
Futures And Forward Contracts [Member] \| Contracts Purchased [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	3,681,908	3,957,614
Percentage of Partners' Capital (in hundredths)	1.37%	1.38%
Futures And Forward Contracts [Member] \| Contracts Sold [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	1,188,571	3,747,873
Percentage of Partners' Capital (in hundredths)	0.44%	1.31%
Futures And Forward Contracts [Member] \| Commodity Contract [Member] \| Contracts Purchased [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	1,332,495	(404,913)
Percentage of Partners' Capital (in hundredths)	0.50%	(0.14%)
Futures And Forward Contracts [Member] \| Commodity Contract [Member] \| Contracts Sold [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	1,695,353	1,964,218
Percentage of Partners' Capital (in hundredths)	0.63%	0.69%
Futures And Forward Contracts [Member] \| Equity Contract [Member] \| Contracts Purchased [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	1,831,017	300,106
Percentage of Partners' Capital (in hundredths)	0.68%	0.10%
Futures And Forward Contracts [Member] \| Equity Contract [Member] \| Contracts Sold [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	302,772	(49,301)
Percentage of Partners' Capital (in hundredths)	0.11%	(0.02%)
Futures And Forward Contracts [Member] \| Foreign Currency [Member] \| Contracts Purchased [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	(365,645)	632,976
Percentage of Partners' Capital (in hundredths)	(0.14%)	0.22%
Futures And Forward Contracts [Member] \| Foreign Currency [Member] \| Contracts Sold [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	(758,499)	1,815,614
Percentage of Partners' Capital (in hundredths)	(0.28%)	0.63%
Futures And Forward Contracts [Member] \| Interest Rate Contract [Member] \| Contracts Purchased [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	884,041	3,429,445
Percentage of Partners' Capital (in hundredths)	0.33%	1.20%
Futures And Forward Contracts [Member] \| Interest Rate Contract [Member] \| Contracts Sold [Member]
Investment Holdings [Line Items]
Net unrealized gain/(loss) on open contracts	$ (51,055)	$ 17,342
Percentage of Partners' Capital (in hundredths)	(0.02%)	0.01%

Value of the investment at close of period. For schedules of investments that are categorized, the value would be aggregated by category. For investment in and advances to affiliates, if operations of any controlled companies are different in character from those of the company, group such affiliates within divisions and by type of activities.

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Fair Value Measurements and Disclosures

3 Months Ended

Mar. 31, 2012

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

6. Fair Value Measurements and Disclosures

Effective January 1, 2012, the Partnership adopted ASU 2011-04, "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS." The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB's intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership's financial statements.

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.

March 31, 2012		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			11,079,891				-				n/a				11,079,891
Forwards			-				17,498				n/a				17,498

Total Assets			11,079,891				17,498				n/a				11,097,389

Liabilities
Futures			5,452,183				-				n/a				5,452,183
Forwards			-				774,727				n/a				774,727

Total Liabilities			5,452,183				774,727				n/a				6,226,910

Unrealized currency loss															(1,315,206	)

*Net fair value			5,627,708				(757,229	)			n/a				3,555,273

December 31, 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			11,006,486				-				n/a				11,006,486
Forwards			-				729,350				n/a				729,350

Total Assets			11,006,486				729,350				n/a				11,735,836

Liabilities
Futures			3,707,388				-				n/a				3,707,388
Forwards			-				322,961				n/a				322,961

Total Liabilities			3,707,388				322,961				n/a				4,030,349

Unrealized currency loss															(1,303,588	)

*Net fair value			7,299,098				406,389				n/a				6,401,899

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

During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities and there were no transfer of assets or liabilities between Level 1 and Level 2.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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Derivatives and Hedging

3 Months Ended

Mar. 31, 2012

Derivatives and Hedging [Abstract]

Derivatives and Hedging

5. Derivatives and Hedging

The Partnership's objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors for the Partnership will take speculative positions in Futures Interests where they feel the best profit opportunities exist for their trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention.

The following tables summarize the valuation of the Partnership's investments as of March 31, 2012 and December 31, 2011, respectively.

The Effect of Trading Activities on the Statements of Financial Condition as of March 31, 2012:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net Unrealized Gain/(Loss)	Average number of contracts outstanding for the three months (absolute quantity)
	$	$	$	$	$

Commodity	3,377,775	(2,045,280)	2,775,792	(1,080,439)	3,027,848	4,302
Equity	2,556,709	(725,692)	319,938	(17,166)	2,133,789	2,446
Foreign currency	427,497	(793,142)	234,552	(993,051)	(1,124,144)	7,125
Interest rate	1,233,871	(349,830)	171,255	(222,310)	832,986	9,105
Total	7,595,852	(3,913,944)	3,501,537	(2,312,966)	4,870,479

Unrealized currency loss					(1,315,206)
Total net unrealized gain on open contracts					3,555,273

The Effect of Trading Activities on the Statements of Financial Condition as of December 31, 2011:

Futures and Forward Contracts	Long Unrealized Gain	Long Unrealized Loss	Short Unrealized Gain	Short Unrealized Loss	Net Unrealized Gain/(Loss)	Average number of contracts outstanding for the year (absolute quantity)
	$	$	$	$	$

Commodity	418,029	(822,942)	4,381,649	(2,417,431)	1,559,305	4,077
Equity	307,762	(7,656)	94,660	(143,961)	250,805	1,386
Foreign currency	739,841	(106,865)	2,115,906	(300,292)	2,448,590	7,744
Interest rate	3,538,706	(109,261)	139,283	(121,941)	3,446,787	7,073
Total	5,004,338	(1,046,724)	6,731,498	(2,983,625)	7,705,487
					(1,303,588)
Unrealized currency loss					6,401,899
Total net unrealized gain on open contracts

The following tables summarize the net trading results of the Partnership for the quarters ended March 31, 2012 and 2011, respectively.

The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2012 included in Total Trading Results:

Type of Instrument		$

Commodity			4,284,224
Equity			11,205,332
Foreign currency			(4,820,324	)
Interest rate			(6,451,062	)
Unrealized currency loss			(11,618	)
Total			4,206,552

Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2012:

Trading Results		$

Net realized			7,053,178
Net change in unrealized			(2,846,626	)
Total Trading Results			4,206,552

The Effect of Trading Activities on the Statements of Income and Expenses for the Quarter Ended March 31, 2011 included in Total Trading Results:

Type of Instrument		$

Commodity			13,675,858
Equity			(6,231,267	)
Foreign currency			(9,190,128	)
Interest rate			(5,813,273	)
Unrealized currency loss			(163,715	)
Total			(7,722,525	)

Line Items on the Statements of Income and Expenses for the Quarter Ended March 31, 2011:

Trading Results		$

Net realized			4,959,877
Net change in unrealized			(12,682,402	)
Total Trading Results			(7,722,525	)

The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items.

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Income Taxes
3 Months Ended

Mar. 31, 2012

Income Taxes [Abstract]

Income Taxes

9.
Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of the Partnership's revenues or expenses for income tax purposes. The Partnership files U.S. federal and state tax returns.

The guidance issued by the FASB on income taxes, clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken. The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of March 31, 2012 and December 31, 2011. If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses. Generally, the 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination.

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 109

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-Name Regulation S-X (SX)

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Other Pronouncements
3 Months Ended

Mar. 31, 2012

Other Pronouncements [Abstract]

Other Pronouncements

7.
Other Pronouncements

In December 2011, the FASB issued Accounting Standards Update ("ASU") 2011-11, "Disclosures about Offsetting Assets and Liabilities", which creates a new disclosure requirement about the nature of an entity's rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of accounting principles generally accepted in the United States of America ("U.S. GAAP") and those entities that prepare their financial statements on the basis of International Financial Reporting Standards ("IFRS"). The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

In October 2011, the FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company.  Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company.  The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements.  In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company be required to consolidate another investment company if it holds a controlling financial interest in the entity.  The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

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The entire disclosure for a new accounting pronouncement that has been issued but not yet adopted.

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-SubTopic 10

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Restricted and Unrestricted Cash
3 Months Ended

Mar. 31, 2012

Restricted and Unrestricted Cash [Abstract]

Restricted and Unrestricted Cash
8.  Restricted and Unrestricted Cash

As reflected on the Partnership's Statements of Financial Condition, restricted cash equals the cash portion of assets on deposit to meet margin requirements plus the cash required to offset unrealized losses on foreign currency forwards and options contracts and offset unrealized losses on offset LME positions.  All of these amounts are maintained separately.  Cash that is not classified as restricted cash is therefore classified as unrestricted cash.

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The entire disclosure for cash and cash equivalent footnotes, which may include the types of deposits and money market instruments, applicable carrying amounts, restricted amounts and compensating balance arrangements. Cash and equivalents include: (1) currency on hand (2) demand deposits with banks or financial institutions (3) other kinds of accounts that have the general characteristics of demand deposits (4) short-term, highly liquid investments that are both readily convertible to known amounts of cash and so near their maturity that they present insignificant risk of changes in value because of changes in interest rates. Generally, only investments maturing within three months from the date of acquisition qualify.

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Subsequent Events
3 Months Ended

Mar. 31, 2012

Subsequent Events [Abstract]

Subsequent Events
10.  Subsequent Events

Management of Ceres performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

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Statements of Income and Expenses (USD $)
3 Months Ended

Mar. 31, 2012

Mar. 31, 2011

INVESTMENT INCOME

Interest income (MSSB) $ 30,128 $ 92,500

EXPENSES

Brokerage fees (MS&Co.) 4,250,290 6,047,325

Management fees 1,300,471 2,218,654

Incentive fees 0 944,722

Total Expenses 5,550,761 9,210,701

NET INVESTMENT LOSS (5,520,633) (9,118,201)

Trading profit (loss):

Net realized 7,053,178 4,959,877

Net change in unrealized (2,846,626) (12,682,402)

Total Trading Results 4,206,552 (7,722,525)

NET LOSS (1,314,081) (16,840,726)

Net Loss Allocation

Limited Partners (1,297,416) (16,659,722)

General Partner $ (16,665) $ (181,004)

Net Loss Per Unit

Limited Partners (in dollars per unit) $ (0.16) ^[1] $ (1.59) ^[1]

General Partner (in dollars per unit) $ (0.16) ^[1] $ (1.59) ^[1]

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING (in units) 9,011,174.635 10,658,482.863

[1] Based on change in net asset value per Unit.

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XML 31 R10.htm IDEA: XBRL DOCUMENT v2.4.0.6

Financial Instruments
3 Months Ended

Mar. 31, 2012

Financial Instruments [Abstract]

Financial Instruments

4.  Financial Instruments

The Partnership trades Futures Interests.  Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price.  Futures Interests are open commitments until settlement date, at which time they are realized.  They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as a net unrealized gain or loss on open contracts.  The resulting net change in unrealized gain and loss is reflected in the "Net change in unrealized trading profit (loss)" for open contracts from one period to the next on the Statements of Income and Expenses.  The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period.

The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period from various exchanges.  The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period.  Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts.  There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.

The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined.  If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.

The Partnership's contracts are accounted for on a trade-date basis and marked to market on a daily basis.  The Partnership accounts for its derivative investments as described in Note 5, Derivatives and Hedging as required by the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC" or the "Codification").  A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:

1)
a) One or more "underlyings" and b) one or more "notional amounts" or payment provisions or both;

2)
Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and

3)
Terms that require or permit net settlement.

     Generally, derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars.

        The net unrealized gains (loss) on open contracts, reported as a component of "Trading Equity" on the Statements of Financial Condition, and their longest contract maturities were
        as follows:

Net Unrealized Gains (Loss) on Open Contracts
Longest Maturities
Date
Exchange-Traded
   Off-Exchange-Traded
Total
Exchange-Traded
Off- Exchange-Traded

$
$
$

Mar. 31, 2012
4,312,502
(757,229)
3,555,273
Jun. 2016
Jun. 2012
Dec. 31, 2011
5,995,510
406,389
6,401,899
Mar. 2016
Mar. 2012



In general, the risks associated with off-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to an off-exchange-traded contract.  The Partnership has credit risk associated with counterparty nonperformance.  As of the date of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gain amounts reflected in the Partnership's Statements of Financial Condition.  The net unrealized gains (losses) on open contracts is further disclosed gross by type of contract and corresponding fair value level in Note 6, Fair Value Measurements and Disclosures.

The Partnership also has credit risk because MS&Co., MSIP, and/or MSCG act as the futures commission merchants or the counterparties, with respect to most of the Partnership's assets. Exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are fair valued on a daily basis, with variations in value settled on a daily basis.  MS&Co. and MSIP, each acting as a commodity futures broker for the Partnership's exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission   ("CFTC"), to segregate from their own assets, and for the sole benefit of their commodity customers, total cash held by them with respect to exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, including an amount equal to the net  unrealized gains (losses) on all open exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts, which funds, in the aggregate, totaled $276,625,123 and $294,109,636 at March 31, 2012 and December 31, 2011, respectively. With respect to the Partnership's off-exchange-traded forward currency contracts and forward currency options contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated.  However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.  With respect to those off-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform.  With respect to those off-exchange-traded forward currency options contracts, the Partnership is at risk to the ability of MSCG, the sole counterparty on all such contracts, to perform.  The Partnership has a netting agreement with each counterparty.  The primary terms are based on industry standard master agreements.  These agreements, which seek to reduce both the Partnership's and the counterparties' exposure on off-exchange-traded forward currency contracts, including options on such contracts, should materially decrease the Partnership's credit risk in the event of MS&Co.'s or MSCG's bankruptcy or insolvency.
The General Partner monitors and attempts to control the Partnership'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 Partnership may be subject.  These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics.  In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The futures, forwards and options traded by the Partnership involve varying degrees of related market risk.  Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnership's open positions, and consequently in its earnings, whether realized or unrealized, and cash flow.  Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin.  Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract.  Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date.  However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnership's accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

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The entire disclosure for financial instruments. This disclosure includes, but is not limited to, fair value measurements of short and long term marketable securities, international currencies forward contracts, and auction rate securities. Financial instruments may include hedging and non-hedging currency exchange instruments, derivatives, securitizations and securities available for sale at fair value. Also included are investment results, realized and unrealized gains and losses as well as impairments and risk management disclosures.

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