Derivatives and Hedging

9 Months Ended

Sep. 30, 2014

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, 2014 and December 31, 2013, respectively.

Offsetting of Derivative Assets and Liabilities as of September 30, 2014:

	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
	$			$			$
Assets
Futures		8,325,940			(1,457,292	)		6,868,648
Forwards		4,354,204			(3,113,482	)		1,240,722
Total Assets		12,680,144			(4,570,774	)		8,109,370
Liabilities
Futures		(1,457,292	)		1,457,292			–
Forwards		(3,113,482	)		3,113,482			–
Total Liabilities		(4,570,774	)		4,570,774			–
Unrealized currency loss								(717,886	)
Total net unrealized gain on open contracts								7,391,484

Offsetting of Derivative Assets and Liabilities as of December 31, 2013:

	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
	$			$			$
Assets
Futures		9,894,085			(3,011,012	)		6,883,073
Forwards		528,063			(69,127	)		458,936
Total Assets		10,422,148			(3,080,139	)		7,342,009
Liabilities
Futures		(3,011,012	)		3,011,012			–
Forwards		(69,127	)		69,127			–
Total Liabilities		(3,080,139	)		3,080,139			–
Unrealized currency loss								(689,577	)
Net unrealized gain on open contracts								6,652,432

The effect of Trading Activities on the Statements of Financial Condition as of September 30, 2014:

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		286,131		(2,359,874	)		7,003,676		(335,500	)		4,594,433			4,495
Equity		527,726		(595,758	)		102,085		(7,838	)		26,215			1,243
Foreign currency		501,286		(973,183	)		3,401,358		(113,388	)		2,816,073			1,928
Interest rate		820,493		(166,179	)		37,389		(19,054	)		672,649			4,651
Total		2,135,636		(4,094,994	)		10,544,508		(475,780	)		8,109,370
Unrealized currency loss												(717,886	)
Net unrealized gain on open contracts												7,391,484

The effect of Trading Activities on the Statements of Financial Condition as of December 31, 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 year (absolute quantity)
	$		$			$		$						$
Commodity		561,914		(1,776,263	)		2,430,029		(322,157	)		893,523			4,153
Equity		3,462,235		–			36,105		(3,696	)		3,494,644			1,717
Foreign currency		1,474,046		(124,132	)		986,884		(59,129	)		2,277,669			3,214
Interest rate		61,862		(636,034	)		1,409,073		(158,728	)		676,173			5,741
Total		5,560,057		(2,536,429	)		4,862,091		(543,710	)		7,342,009
Unrealized currency loss												(689,577	)
Net unrealized gain on open contracts												6,652,432

			Average Number of Contracts Outstanding for the Year (Absolute Quantity)
Option Contracts at Fair Value	$
Options purchased		–		3
Options written		–		2

The following tables summarize the net trading results of the Partnership for the three and nine months ended September 30, 2014 and 2013, respectively.

The effect of Trading Activities on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2014 included in Total Trading Results:

	For the Three Months			For the Nine Months
	Ended September 30, 2014			Ended September 30, 2014
Type of Instrument	$			$
Commodity		4,004,766			4,169,820
Equity		13,041			(1,899,782	)
Foreign currency		4,567,296			1,555,532
Interest rate		1,113,909			2,536,244
Unrealized currency loss		(58,636	)		(28,311	)
Total		9,640,376			6,333,503

Line items on the Statements of Income and Expenses for the Three and Nine Months Ended September 30, 2014:

	For the Three Months		For the Nine Months
	Ended September 30, 2014		Ended September 30, 2014
Trading Results	$		$
Net realized		8,004,639		5,594,451
Net change in unrealized		1,635,737		739,052
Total Trading Results		9,640,376		6,333,503

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	)