Fair Value Measurements

9 Months Ended

Sep. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value Measurements

7. Fair Value Measurements

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.

Transfers between levels are recognized at the end of the reporting period. During the period from January 1, 2015 to September 30, 2015, and the twelve months ended December 31, 2014, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.

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, 2015	Level 1		Level 2		Level 3		Total
Assets
Investments in U.S. Treasury bills	$	-	$	27,950,479	$	-	$	27,950,479
Futures		5,256,807		-		-		5,256,807
Forwards		828,557		242,470		-		1,071,027
Total Assets		6,085,364		28,192,949		-		34,278,313
Liabilities
Futures		1,610,752		-		-		1,610,752
Forwards		1,039,692		321,853		-		1,361,545
Total Liabilities		2,650,444		321,853		-		2,972,297
*Net Fair Value	$	3,434,920	$	27,871,096	$	-	$	31,306,016
December 31, 2014	Level 1		Level 2		Level 3		Total
Assets
Futures	$	7,228,527	$	-	$	-	$	7,228,527
Forwards		1,699,736		646,289		-		2,346,025
Total Assets		8,928,263		646,289		-		9,574,552
Liabilities
Futures		1,519,724		-		-		1,519,724
Forwards		1,441,911		150,435		-		1,592,346
Total Liabilities		2,961,635		150,435		-		3,112,070
*Net Fair Value	$	5,966,628	$	495,854	$	-	$	6,462,482

* This amount comprises the “Net unrealized gain on open contracts” and “Investment in U.S. Treasury bills” on the Statements of Financial Condition.