Fair Value Measurements and Disclosures

9 Months Ended

Sep. 30, 2014

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

6. Fair Value Measurements and Disclosures

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

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

September 30, 2014	Unadjusted Quoted Prices in Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Total
	$		$		$			$
Assets
Futures		8,325,940		–		n/	a		8,325,940
Forwards		2,490,997		1,863,207		n/	a		4,354,204
Total Assets		10,816,937		1,863,207		n/	a		12,680,144
Liabilities
Futures		1,457,292		–		n/	a		1,457,292
Forwards		2,277,143		836,339		n/	a		3,113,482
Total Liabilities		3,734,435		836,339		n/	a		4,570,774
Unrealized currency loss									(717,886	)
*Net fair value		7,082,502		1,026,868		n/	a		7,391,484

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Total
	$		$		$			$
Assets
Futures		9,894,085		–		n/	a		9,894,085
Forwards		–		528,063		n/	a		528,063
Total Assets		9,894,085		528,063		n/	a		10,422,148
Liabilities
Futures		3,011,012		–		n/	a		3,011,012
Forwards		–		69,127		n/	a		69,127
Total Liabilities		3,011,012		69,127		n/	a		3,080,139
Unrealized currency loss									(689,577	)
*Net fair value		6,883,073		458,936		n/	a		6,652,432

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

During the period from January 1, 2014 to September 30, 2014, and the twelve months ended December 31, 2013, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.