Derivatives and Hedging

9 Months Ended

Sep. 30, 2013

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.

On January 1, 2013, the Partnership adopted Accounting Standards Update (“ASU”) 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”.  ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11.  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 these disclosures 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. The new guidance did not have a significant impact on the Partnership’s financial statements.

The following tables summarize the valuation of the Partnership’s investments as of September 30, 2013 and December 31, 2012, respectively.

Offsetting of Derivative Assets and Liabilities as of September 30, 2013:

	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
	$		$			$
Assets
Futures		4,185,155		(3,156,029	)		1,029,126
Forwards		824,186		(189,790	)		634,396
Total Assets		5,009,341		(3,345,819	)		1,663,522
Liabilities
Futures		2,006,805		(2,569,193	)		(562,388	)
Forwards		3,404		(302,620	)		(299,216	)
Total Liabilities		2,010,209		(2,871,813	)		(861,604	)
Unrealized currency loss							(624,412	)
Total net unrealized gain on open contracts							177,506

Offsetting of Derivative Assets and Liabilities as of December 31, 2012:

	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the  Statement of Financial Condition
	$		$			$
Assets
Futures		4,891,012		(2,689,281	)		2,201,731
Forwards		353,745		(479,152	)		(125,407	)
Total Assets		5,244,757		(3,168,433	)		2,076,324
Liabilities
Futures		2,985,462		(1,480,054	)		1,505,408
Forwards		265,987		(92,500	)		173,487
Total Liabilities		3,251,449		(1,572,554	)		1,678,895
Unrealized currency loss							(1,203,865	)
Net unrealized gain on open contracts							2,551,354

The Effect of Trading Activities on the Statements of Financial Condition as of September 30, 2013:

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 nine months (absolute quantity)
	$		$			$		$			$
Commodity		792,943		(1,693,971	)		1,817,733		(1,418,099	)		(501,394	)		4,032
Equity		275,859		(1,174,630	)		–		–			(898,771	)		1,722
Foreign currency		2,829,400		(388,370	)		192,448		(324,869	)		2,308,609			3,336
Interest rate		1,111,139		(88,848	)		28		(1,128,845	)		(106,526	)		5,727
Total		5,009,341		(3,345,819	)		2,010,209		(2,871,813	)		801,918
Unrealized currency loss												(624,412	)
Net unrealized gain on open contracts												177,506

The Effect of Trading Activities on the Statements of Financial Condition as of December 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		763,693		(1,021,268	)		1,051,860		(1,134,848	)		(340,563	)		4,025
Equity		1,842,840		(517,175	)		–		(36,283	)		1,289,382			1,915
Foreign currency		1,878,922		(1,022,609	)		2,196,364		(253,560	)		2,799,117			5,689
Interest rate		759,302		(607,381	)		3,225		(147,863	)		7,283			9,810
Total		5,244,757		(3,168,433	)		3,251,449		(1,572,554	)		3,755,219
Unrealized currency loss												(1,203,865	)
Net unrealized gain on open contracts												2,551,354

The following tables summarize the net trading results of the Partnership for the three and nine months ended September 30, 2013 and 2012, respectively.

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2013 included in Total Trading Results:

	For the Three Months			For the Nine Months
	Ended September 30, 2013			Ended September 30, 2013
Type of Instrument	$			$
Commodity		(7,566,747	)		(5,995,332	)
Equity		858,668			10,312,031
Foreign currency		(953,057	)		(2,368,368	)
Interest rate		(1,263,761	)		(3,176,168	)
Unrealized currency gain		568,120			579,453
Total		(8.356,777	)		(648,384	)

Line Items on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2013:

	For the Three Months			For the Nine Months
	Ended September 30, 2013			Ended September 30, 2013
Trading Results	$			$
Net realized		(3,781,720	)		1,725,464
Net change in unrealized		(4,575,057	)		(2,373,848	)
Total Trading Results		(8,356,777	)		(648,384	)

The Effect of Trading Activities on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2012 included in Total Trading Results:

	For the Three Months			For the Nine Months
	Ended September 30, 2012			Ended September 30, 2012
Type of Instrument	$			$
Commodity		(1,395,944	)		2,027,073
Equity		788,371			3,850,137
Foreign currency		264,529			(5,570,086	)
Interest rate		346,896			6,400,961
Unrealized currency gain		53,155			134,821
Total		57,007			6,842,906

Line Items on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2012:

	For the Three Months			For the Nine Months
	Ended September 30, 2012			Ended September 30, 2012
Trading Results	$			$
Net realized		1,327,550			14,755,603
Net change in unrealized		(1,270,543	)		(7,912,697	)
Total Trading Results		57,007			6,842,906