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.