NESTOR PARTNERS - FORM 10-Q - November 13, 2009

Attached files

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EX-31.03 - NESTOR PARTNERS	v164273_ex31-03.htm
EX-32.02 - NESTOR PARTNERS	v164273_ex32-02.htm
EX-31.01 - NESTOR PARTNERS	v164273_ex31-01.htm
EX-32.01 - NESTOR PARTNERS	v164273_ex32-01.htm
EX-31.02 - NESTOR PARTNERS	v164273_ex31-02.htm
EX-32.03 - NESTOR PARTNERS	v164273_ex32-03.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: September 30, 2009

¨	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-50725

NESTOR PARTNERS

(Exact name of registrant as specified in its charter)

NEW JERSEY		22-2149317
State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices)

Registrant's telephone number, including area code: (203) 625-7554

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes ¨ No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definition of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer ¨	Accelerated filer ¨
Non-accelerated filer ¨	Smaller reporting company x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ¨ No x

Nestor Partners

Financial statements

For the three and nine months ended September 30, 2009 and 2008 (unaudited)

Statements of Financial Condition (a)			1
Condensed Schedules of Investments (a)			2
Statements of Operations (b)			6
Statements of Changes in Partners' Capital (c)			8
Statements of Financial Highlights (b)			9
Notes to the Financial Statements (unaudited)			11

(a) At September 30, 2009 (unaudited) and December 31, 2008

(b) For the three and nine months ended September 30, 2009 and 2008 (unaudited)

Nestor Partners

Statements of Financial Condition

	September 30
	2009		December 31
	(UNAUDITED)		2008
ASSETS
Equity in trading accounts:
Investments in U.S. Treasury notes at market value (amortized cost $16,562,853 and $10,919,463)	$	16,574,855	$	11,026,888
Net unrealized appreciation on open futures and forward currency contracts		5,718,068		1,502,774
Due from brokers		2,042,079		501,514
Restricted cash		4,479,000		-
Cash denominated in foreign currencies (cost $762,351 and $117,799)		864,395		123,751
Total equity in trading accounts		29,678,397		13,154,927

INVESTMENTS IN U.S. TREASURY NOTES at market value (amortized cost $113,228,940 and $159,691,001)		113,358,642		160,955,102
CASH AND CASH EQUIVALENTS		5,846,310		14,235,694
ACCRUED INTEREST RECEIVABLE		1,205,320		1,593,509
TOTAL	$	150,088,669	$	189,939,232

LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Capital contributions received in advance	$	-	$	537,222
Unrealized depreciation on open futures contracts		-		722,949
Accrued brokerage fees		268,792		340,177
Due to brokers		35,801		782,717
Cash denominated in foreign currencies (cost $-100,140 and $-437,052)		96,713		426,586
Accrued expenses		525,251		302,592
Capital withdrawals payable		455,040		19,505,497
Due to General Partner		57		2,071
Total liabilities		1,381,654		22,619,811

PARTNERS' CAPITAL		148,707,015		167,319,421

TOTAL	$	150,088,669	$	189,939,232

See notes to financial statements

Nestor Partners

Condensed Schedule of Investments

September 30, 2009 (UNAUDITED)

Futures and Forward Currency Contracts	% of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS:
Long futures contracts:
Energies		0.09	%	$	129,988
Grains		(0.06	)		(84,598	)
Interest rates
2 Year U.S. Treasury Note (382 contracts, expiration date Dec. 31, 2009)		0.08			114,343
5 Year U.S. Treasury Note (157 contracts, expiration date Dec. 31, 2009)		0.02			37,265
10 Year U.S. Treasury Note (102 contracts, expiration date Dec. 31, 2009)		0.03			39,140
30 Year U.S. Treasury Bond (65 contracts, expiration date Dec. 31, 2009)		0.01			10,310
Other		0.47			702,550
Total interest rates		0.61			903,608

Metals		0.19			273,620
Softs		0.14			208,074
Stock indices		0.33			495,700
Total long futures contracts		1.30			1,926,392

Short futures contracts:
Energies		(0.20	)		(295,413	)
Grains		0.29			428,844
Interest rates		0.01			22,182
Livestock		(0.00	)		(7,360	)
Metals		(0.10	)		(148,279	)
Softs		(0.03	)		(37,606	)
Total short futures contracts		(0.03	)		(37,632	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		1.27			1,888,760

FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		2.12			3,138,800
Total short forward currency contracts		0.46			690,508
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net		2.58			3,829,308

TOTAL		3.85	%	$	5,718,068

(Continued)

Nestor Partners

Condensed Schedule of Investments

September 30, 2009 (UNAUDITED)

U.S. Treasury Notes

Face Amount		Description	% of Partners' Capital			Value

$	37,540,000	U.S. Treasury notes, 3.375%, 10/15/2009		25.28	%	$	37,586,925
	18,000,000	U.S. Treasury notes, 1.750%, 03/31/2010		12.20			18,137,812
	37,500,000	U.S. Treasury notes, 2.625%, 05/31/2010		25.61			38,085,938
	35,140,000	U.S. Treasury notes, 3.875%, 07/15/2010		24.29			36,122,822
		Total investments in U.S. Treasury notes (amortized cost $129,791,793)		87.38	%	$	129,933,497

See notes to financial statements

(Concluded)

Nestor Partners

Condensed Schedule of Investments

December 31, 2008

Futures and Forward Currency Contracts	% of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS:
Long futures contracts:
Energies		0.03	%	$	42,915
Grains		0.06			104,350
Interest rates		1.03			1,717,510
Metals		(0.13	)		(218,641	)
Softs		0.00			7,101
Total long futures contracts		0.99			1,653,235

Short futures contracts:
Energies		0.22			360,617
Grains		(0.33	)		(559,689	)
Interest rates		(0.11	)		(177,109	)
Livestock		0.06			97,260
Metals		0.21			351,967
Softs		(0.07	)		(119,636	)
Stock indices		(0.07	)		(112,804	)
Total short futures contracts		(0.09	)		(159,394	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		0.90			1,493,841

FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		0.16			271,304
Total short forward currency contracts		(0.59	)		(985,320	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net		(0.43	)		(714,016	)

TOTAL		0.47	%	$	779,825

(Continued)

Nestor Partners

Condensed Schedule of Investments

December 31, 2008

U.S. Treasury Notes

Face Amount		Description	% of Partners' Capital			Value

$	18,000,000	U.S. Treasury notes, 4.000%, 03/31/2009		10.87	%	$	18,194,063
	44,890,000	U.S. Treasury notes, 3.875%, 05/15/2009		27.19			45,500,224
	41,440,000	U.S. Treasury notes, 3.625%, 07/15/2009		25.21			42,184,625
	64,540,000	U.S. Treasury notes, 3.375%, 10/15/2009		39.52			66,103,078
		Total investments in U.S. Treasury notes (amortized cost $170,610,464)		102.79	%	$	171,981,990

See notes to financial statements

(Concluded)

Nestor Partners

Statements of Operations (UNAUDITED)

	For the three months ended
	September 30			September 30
	2009			2008
INVESTMENT INCOME:
Interest income	$	286,210		$	1,059,029

EXPENSES:
Brokerage fees		802,877			921,090
Administrative expenses		91,360			100,634
Custody fees		7,822			7,959
Total expenses		902,059			1,029,683

NET INVESTMENT INCOME (LOSS)		(615,849	)		29,346

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		1,276,444			(4,430,520	)
Foreign exchange translation		-			1,788
Net change in unrealized:
Futures and forward currency contracts		5,394,994			(3,797,456	)
Foreign exchange translation		66,313			(42,972	)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(49,112	)		15,245
Total net realized and unrealized gains (losses)		6,688,639			(8,253,915	)

NET INCOME (LOSS)		6,072,790			(8,224,569	)
LESS PROFIT SHARE TO GENERAL PARTNER		59			(1,175,445	)
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	6,072,731		$	(7,049,124	)

(Continued)

Nestor Partners

Statements of Operations (UNAUDITED)

	For the nine months ended
	September 30			September 30
	2009			2008
INVESTMENT INCOME:
Interest income	$	1,619,340		$	3,929,702

EXPENSES:
Brokerage fees		2,572,222			2,778,314
Administrative expenses		291,537			307,449
Custody fees		26,263			21,464
Total expenses		2,890,022			3,107,227

NET INVESTMENT INCOME (LOSS)		(1,270,682	)		822,475

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(15,088,820	)		17,243,651
Foreign exchange translation		14,217			(190,494	)
Net change in unrealized:
Futures and forward currency contracts		4,938,243			29,934
Foreign exchange translation		89,053			(41,980	)
Net losses from U.S. Treasury notes:
Realized		87,250			-
Net change in unrealized		(1,229,822	)		(319,671	)
Total net realized and unrealized gains (losses)		(11,189,879	)		16,721,440

NET INCOME (LOSS)		(12,460,561	)		17,543,915
LESS PROFIT SHARE TO GENERAL PARTNER		4,965			1,962,655
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	(12,465,526	)	$	15,581,260

See notes to financial statements

(Concluded)

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)

For the nine months ended September 30, 2009:

	Limited Partners			Special Limited Partners			New Profit Memo Account			General Partner			Total

PARTNERS' CAPITAL-
January 1, 2009	$	97,990,719		$	65,378,126		$	-		$	3,950,576		$	167,319,421
Contributions		3,738,022			802,546			-			-			4,540,568
Withdrawals		(9,990,964	)		(701,449	)		-			-			(10,692,413	)
Transfers														-
Net loss		(8,238,413	)		(3,987,838	)		(422	)		(233,888	)		(12,460,561	)
General Partner's allocation:
New Profit-Accrued		(4,965	)		-			4,965			-			-
Transfer of New Profit Memo
Account to General Partner		-			-			-			-			-
PARTNERS' CAPITAL-
September 30, 2009	$	83,494,399		$	61,491,385		$	4,543		$	3,716,688		$	148,707,015

For the nine months ended September 30, 2008:
	Limited Partners			Special Limited Partners			New Profit Memo Account			General Partner			Total

PARTNERS' CAPITAL-
January 1, 2008	$	88,400,217		$	59,065,781		$	-		$	4,570,266		$	152,036,264
Contributions		6,469,565			603,998			-			-			7,073,563
Withdrawals		(8,344,038	)		(3,723,093	)		-			(1,000,000	)		(13,067,131	)
Transfers		(378,101	)		378,101									-
Net income		9,244,915			7,662,900			1,335			634,765			17,543,915
General Partner's allocation:
New Profit-Accrued		(1,839,364	)		(123,291	)		1,962,655			-			-
PARTNERS' CAPITAL-
September 30, 2008	$	93,553,194		$	63,864,396		$	1,963,990		$	4,205,031		$	163,586,611

See notes to financial statements

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2009	Limited Partners			Special Limited Partners

Ratios to average capital:
Net investment income (loss) (a)		(3.02	)%		0.05	%

Total expenses (a)		3.81	%		0.73	%
Profit share allocation (b)		-	%		-	%
Total expenses and profit share allocation		3.81	%		0.73	%

Total return before profit share allocation (b)		3.90	%		4.70	%
Profit share allocation (b)		-	%		-	%
Total return after profit share allocation		3.90	%		4.70	%

For the three months ended September 30, 2008	Limited Partners			Special Limited Partners

Ratios to average capital:
Net investment income (loss) (a)		(1.18	)%		1.78	%

Total expenses (a)		3.82	%		0.82	%
Profit share allocation (b)		(1.09	)%		(0.24	)%
Total expenses and profit share allocation		2.73	%		0.58	%

Total return before profit share allocation (b)		(5.06	)%		(4.36	)%
Profit share allocation (b)		0.89	%		0.21	%
Total return after profit share allocation		(4.17	)%		(4.15	)%

(a) annualized
(b) not annualized	(Continued)

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2009	Limited Partners			Special Limited Partners

Ratios to average capital:
Net investment income (loss) (a)		(2.39	)%		0.67	%

Total expenses (a)		3.79	%		0.71	%
Profit share allocation (b)		0.01	%		-	%
Total expenses and profit share allocation		3.80	%		0.71	%

Total return before profit share allocation (b)		(8.25	)%		(6.11	)%
Profit share allocation (b)		0.01	%		-	%
Total return after profit share allocation		(8.24	)%		(6.11	)%

For the nine months ended September 30, 2008	Limited Partners			Special Limited Partners

Ratios to average capital:
Net investment income (loss) (a)		(0.58	)%		2.36	%

Total expenses (a)		3.81	%		0.82	%
Profit share allocation (b)		1.95	%		0.19	%
Total expenses and profit share allocation		5.76	%		1.01	%

Total return before profit share allocation (b)		10.15	%		12.71	%
Profit share allocation (b)		(2.02	)%		(0.19	)%
Total return after profit share allocation		8.13	%		12.52	%

(a) annualized

(b) not annualized

See notes to financial statements

(Concluded)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at September 30, 2009 and December 31, 2008 and the results of its operations for the three and nine months ended September 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2008. The December 31, 2008 information has been derived from the audited financial statements as of December 31, 2008.

Restricted cash of $4,479,000 was used as margin collateral related to forward currency contracts held at Morgan Stanley & Co., Inc.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. A portion of such expenses are paid to an affiliate of Millburn Ridgefield Corporation (the “General Partner”), The Millburn Corporation (“TMC”), for providing accounting services to the Partnership. The Partnership incurred administrative expenses of $291,537 during the nine months ended September 30, 2009, of which $128,942 relates to legal and accounting services provided to the Partnership by TMC. The General Partner pays all administrative expenses in excess of 0.25 of 1% per annum of the Partnership's average month-end net assets.

Interests sold through Selling Agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. There were no charges due to the General Partner at September 30, 2009.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

On June 30, 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Accounting Standards Codification (“Codification”). The Codification is effective for interim and annual periods ending after September 15, 2009 and is the source, along with guidance issued by the Securities and Exchange Commission, of authoritative U.S. accounting and reporting standards for nongovernmental entities. The Codification is a major restructuring of accounting and reporting standards designed to simplify user access to all authoritative U.S. generally accepted accounting principles by providing the authoritative literature in a topically organized structure. All other accounting literature not included in the Codification will be considered non-authoritative. The Codification does not change current U.S. GAAP. In the quarter ended September 30, 2009, references to authoritative U.S. GAAP literature in the Partnership’s financial statements and the notes thereto in this Quarterly Report on Form 10-Q have been updated to reflect new Codification references.

The Income Taxes topic of the Codification (formerly FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109 ("FIN 48")), clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements, the impact of a tax position, and if that position is more likely than not of being sustained on audit, based on the technical merits of the position. Based on a review of the Partnership’s open tax years, 2005 to 2008, for the U.S. Federal jurisdiction, the New York and New Jersey State jurisdictions, and the New York City jurisdiction, it did not have an impact on the Partnership. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes and therefore the limited partners are responsible for the payment of taxes.

The Fair Value Measurements and Disclosures topic of the Codification (formerly SFAS No. 157, Fair Value Measurements), defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Partnership’s cash instruments are generally classified within level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and a short-term U.S. government money market fund. The General Partner of the Partnership does not adjust the quoted price for such instruments, even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (OTC). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within level 1 of the fair value hierarchy.

OTC derivatives, or forward currency contracts, are valued based on pricing models that consider the current market prices (“Spot Prices”) plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments. The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within level 2 of the fair value hierarchy.

The following table sets forth by level and major category within the fair value hierarchy:

Financial Assets at Fair Value as of September 30, 2009

	Level 1		Level 2		Total
U.S. Treasury Notes	$	129,933,497	$	0	$	129,933,497
Short-Term Money Market Fund		5,546,310		0		5,546,310
Exchange-Traded
Futures Contracts		1,888,760		0		1,888,760
Over-the-Counter
Forward Currency Contracts		0		3,829,308		3,829,308
Total assets at fair value	$	137,368,567	$	3,829,308	$	141,197,875

Financial Assets at Fair Value as of December 31, 2008

	Level 1		Level 2			Total
U.S. Treasury Notes	$	171,981,990	$	0		$	171,981,990
Short-Term Money Market Fund		13,935,694		0			13,935,694
Exchange-Traded
Futures Contracts		1,493,841		0			1,493,841
Over-the-Counter
Forward Currency Contracts		0		(714,016	)		(714,016	)
Total financial assets at fair value	$	187,411,525	$	(714,016	)	$	186,697,509

Derivative Instruments

The Derivatives and Hedging topic of the Codification (formerly FAS 161, "Disclosures about Derivative Instruments and Hedging Activities—an amendment of FASB Statement No. 133" which amends and expands the disclosure requirements of FAS 133, “Accounting for Derivative Instruments and Hedging Activities”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Partnership adopted the these changes on January 1, 2009. As a result the Partnership has expanded its disclosures regarding derivative instruments.

The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which it trades.

The Partnership engages in the speculative trading of futures and forward contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Partnership at September 30, 2009, by market sector:

Agricultural. The Partnership’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions.

Currencies. Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar. At September 30, 2009, the Partnership had currency exposures to the Australian dollar, Brazilian real, British pound, Canadian dollar, Chilean peso, Colombian peso, Czech koruna, Euro, Hong Kong dollar, Hungarian forint, Indian rupee, Israeli shekel, Japanese yen, Korean won, Mexican peso, New Zealand dollar, Norwegian krone, Polish zloty, Russian ruble, Singapore dollar, South African rand, Swedish krone, Swiss franc, Taiwan dollar, Thai baht and the Turkish lira.

Energies. The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest rates. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the United States and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in the industrialized countries, both long-term and short-term, will remain the primary market exposure of the Partnership for the foreseeable future.

Metals. The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock Indices. The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a liability position are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations.

The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2009. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	185,114	$	(55,126	)	$	48,077	$	(343,490	)	$	(165,425	)
Grains		-		(84,598	)		534,838		(105,994	)		344,246
Interest rates		935,879		(32,271	)		25,287		(3,105	)		925,790
Livestock		-		-			-		(7,360	)		(7,360	)
Metals		383,492		(109,872	)		-		(148,279	)		125,341
Softs		208,074		-			-		(37,606	)		170,468
Stock indices		761,807		(266,107	)		-		-			495,700
Total futures contracts:		2,474,366		(547,974	)		608,202		(645,834	)		1,888,760

Forward currency contracts		3,419,635		(280,835	)		1,312,195		(621,687	)		3,829,308

Total futures and
forward currency contracts	$	5,894,001	$	(828,809	)	$	1,920,397	$	(1,267,521	)	$	5,718,068

The effect of trading futures and forward currency contracts on the Statements of Operations for the three and nine months ended September 30, 2009 is detailed below:

	Three months ended:			Nine months ended:
Sector	September 30, 2009			September 30, 2009
Futures contracts:
Currencies	$	-		$	2,563
Energies		(926,213	)		(2,794,406	)
Grains		303,112			(65,614	)
Interest rates		1,802,057			(1,541,772	)
Livestock		107,200			469,200
Metals		366,704			(3,611,347	)
Softs		467,645			(253,659	)
Stock indices		2,220,983			(1,097,892	)
Total futures contracts		4,341,488			(8,892,927	)

Forward currency contracts		2,329,950			(1,257,650	)

Total futures and
forward currency contracts	$	6,671,438		$	(10,150,577	)

Location of Trading Gain (Loss) recognized in the Statements of Operations:

a. Net realized gains (losses) on closed positions: Futures and forward currency contracts, or

b. Net change in unrealized: Futures and forward currency contracts

The following table presents notional value by sector of open futures and forward currency contracts at September 30, 2009, in U.S. Dollars:

	Long		Short
Sector	Positions		Positions
Energies	$	13,781,232	$	16,318,478
Grains		2,143,350		9,114,720
Interest rates		216,383,888		6,970,653
Livestock		-		4,271,970
Metals		11,685,023		-
Softs		4,002,078		970,235
Stock indices		71,201,185		-
Futures - Total		319,196,756		37,646,056
Forward currency contracts		141,498,594		29,833,189
Total notional	$	460,695,350	$	67,479,245

Notional values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate futures positions to 10-year equivalent fixed income instruments, translated to U.S. Dollars at September 30, 2009. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

Concentration of Credit Risk

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for over-the-counter forward currency contracts, the Partnership enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Partnership’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. Inc. (“MS”) The Partnership’s concentration of credit risk associated with DB and MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and MS. The amount of such credit risk was $12,172,025 at September 30, 2009.

Recently Issued Accounting Pronouncements

The Subsequent Events topic of the Codification (formerly FAS 165, “Subsequent Events”) establishes principles and requirements for disclosure about events that occur after the balance sheet date but before financial statements are issued or available to be issued. The Partnership adopted these measures during the second quarter of 2009. Based on a review of any events occurring after the balance sheet date that may effect estimates made in the financial statements especially with regard to litigation or realization of receivables, the General Partner has determined that the guidance did not have an impact on the Partnership. The Partnership has updated its subsequent events disclosure through November 13, 2009, the filing date of this Form 10-Q Report.

The Fair Value Measurements and Disclosures topic of the Codification (formerly FASB Staff Position (“FSP”) No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP No. 157-4”)). This provides additional guidance for determining fair value and requires new disclosures regarding the categories of fair value instruments, as well as the inputs and valuation techniques utilized to determine fair value and any changes to the inputs and valuation techniques during the period. FASB further requires fair value disclosures of financial instruments on a quarterly basis as well as new disclosures regarding the methodology and significant assumptions underlying the fair value measures and any changes to the methodology and assumptions during the reporting period. The Partnership adopted the guidance in the second quarter of 2009; the adoption had no material impact on the Partnership’s financial statements.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements". The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's trading methods are confidential, so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

The Partnership raises additional capital only through the sale of Interests. Partnership capital may also be increased by trading profits, if any. The Partnership does not engage in borrowing. Interests may be offered for sale as of the beginning of each month.

The Partnership trades futures and forward contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. Due to the nature of the Partnership's business, substantially all its assets are represented by cash and United States government obligations, while the Partnership maintains its market exposure through open futures and forward contract positions.

The Partnership's assets are generally held as cash, cash equivalents or U.S. Government obligations which are used to margin or collateralize the Partnership's futures and forward positions and are withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to daily price fluctuation limits, which are inherent in the Partnership's futures and forward trading, the Partnership's assets are highly liquid and are expected to remain so.

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2008.

PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2009 and 2008. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit memo account as defined in the Partnership’s Partnership Agreement.

	Three months ended:
	September 30, 2009		September 30, 2008

Profit share earned	$	0	$	60,232
Reversal of profit share (1)		0		(30,48,663	)
Profit share accrued (2)		59		1,812,986
Total profit share	$	59	$	(1,175,445	)

	Nine months ended:
	September 30, 2009		September 30, 2008

Profit share earned	$	4,906	$	149,669
Profit share accrued (2)		59		1,812,986
Total profit share	$	4,965	$	1,962,655

(1) At July 1

(2) At September 30

RESULTS OF OPERATIONS

During its operations for the three months ending September 30, 2009, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended September 30, 2009

	Total
	Partners'
Month Ending:	Capital
September 30, 2009	$	148,707,015
June 30, 2009		145,611,711
December 31, 2008		167,319,421

	Three months			Nine Months
Change in Partners' Capital	$	3,095,304		$	(18,612,406	)
Percent Change		2.13	%		(11.12	)%

THREE MONTHS ENDED SEPTEMBER 30, 2009

The increase in the Partnership’s net assets of $3,095,304 was attributable to a net gain (before profit share) of $6,072,790 and contributions of $59,469, which was partially offset by withdrawals of $3,036,955.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2009 decreased $118,213 relative to the corresponding period in 2008. The decrease was due primarily to a decrease in the average net assets of the special limited partners and limited partners during the three months ended September 30, 2009 relative to the corresponding period in 2008.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended September 30, 2009 decreased $9,274 relative to the corresponding period in 2008. The decrease was due mainly to a decrease in the Partnership’s average net assets during the three months ended September 30, 2009, relative to the corresponding period in 2008.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended September 30, 2009 decreased $772,819 relative to the corresponding period in 2008. This decrease was due partially to a decrease in the Partnership’s average net assets but mainly to a decrease in short-term Treasury yields during the three months ended September 30, 2009, relative to the corresponding period in 2008.

During the three months ended September 30, 2009, the Partnership experienced net realized and unrealized gains of $6,688,639 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $802,877, administrative expenses of $91,360 and custody fees of $7,822 and an accrued profit share allocation to the General Partner of $59 were incurred. Interest income of $286,210 offset the Partnership's expenses resulting in a net gain after profit share to General Partner of $6,072,731. An analysis of the trading income (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		1.53	%
Energies		-0.64	%
Grains		0.20	%
Interest Rates		1.23	%
Livestock		0.07	%
Metals		0.25	%
Softs		0.33	%
Stock Indices		1.49	%
Trading Gain/(Loss)		4.46	%

NINE MONTHS ENDED SEPTEMBER 30, 2009

The decrease in the Partnership’s net assets of $18,612,406 was attributable to a net loss (before profit share) of $12,460,561 and withdrawals of $10,692,413, which was partially offset by contributions of $4,540,568.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2009 decreased $206,092 relative to the corresponding period in 2008. The decrease was due primarily to a decrease in the average net assets of the special limited partners and limited partners during the nine months ended September 30, 2009 relative to the corresponding period in 2008.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the nine months ended September 30, 2009 decreased $15,912 relative to the corresponding period in 2008. The decrease was due mainly to a decrease in the Partnership’s average net assets during the nine months ended September 30, 2009, relative to the corresponding period in 2008.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the nine months ended September 30, 2009 decreased $2,310,362 relative to the corresponding period in 2008. This decrease was due partially to a decrease in the Partnership’s average net assets but mainly to a decrease in short-term Treasury yields during the nine months ended September 30, 2009, relative to the corresponding period in 2008.

During the nine months ended September 30, 2009, the Partnership experienced net realized and unrealized losses of $11,189,879 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,572,222, administrative expenses of $291,537, custody fees of $26,263 and a profit share of $4,965. Interest income of $1,619,340 offset the Partnership's expenses resulting in a net loss after profit share to General Partner of $12,465,526. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		-0.78	%
Energies		-1.89	%
Grains		0.00	%
Interest Rates		-1.03	%
Livestock		0.30	%
Metals		-2.23	%
Softs		-0.11	%
Stock Indices		-0.60	%
Trading Gain/(Loss)		-6.34	%

MANAGEMENT DISCUSSION – 2009

Three months ended September 30, 2009

For the three months ended September 30, 2009, the Partnership’s Limited Partners and Special Limited Partners had returns, net of fees, of 3.90% and 4.70%, respectively. The financial markets led the way to profitable results in the third quarter, while commodities had a limited positive impact. Currencies were the most profitable sector, while long stock index and interest rate futures positions continued to contribute to positive performance.

The U.S. dollar has been on a losing streak since stocks started rallying in March and the global appetite for risk started increasing. The U.S. dollar has become a low yielder and its weakness is partially attributable to resurgence of the carry trade where U.S. dollars are sold and higher yielding currencies are bought. The downtrend is also supported by movement toward commodity-based currencies as confidence in the world economy improves. Short U.S. dollar positions versus the Australian and New Zealand dollars, Brazilian real, Colombian peso, South African rand, Korean won and Singapore dollar were profitable. In non-U.S. dollar crosses, the same factors generated profits on long Australian dollar positions versus the Canadian dollar, euro and British pound, and long New Zealand dollar positions versus the Canadian dollar, euro and Swiss franc.

The stock market rally of 2009 continued in the third quarter (except in Japan where the strong yen pinched exporters), and profits were generated on long positions in European, Asian and U.S. stock index futures.

Notwithstanding perceptions that the global economy has turned the corner, interest rates on government debt continued steady, and long positions in German, U.S., British and Japanese interest rate futures – particularly on the short end of the duration spectrum – were profitable.

After rising and falling in tandem earlier in the year, stocks and commodities have begun to diverge, with commodity prices beginning to reflect specific factors relevant to each market. Overall, the commodity sector of the portfolio was fractionally positive. Energy trading was negative as the long downtrend in natural gas and uptrend in gasoline reversed and moderate losses were sustained on short natural gas and long gasoline positions. Trading of crude oil also was not profitable. Metals were slightly positive with gains on long positions in gold, silver (related to a weaker dollar), lead and copper outweighing a loss on aluminum trading. Agricultural commodities were fractionally positive. Short positions in various wheat contracts and long positions in sugar, and cocoa were profitable. Long positions in soybeans and soybean meal, and a short position in coffee were unprofitable.

Three months ended June 30, 2009

For the three months ended June 30, 2009, the Partnership’s Limited Partners and Special Limited Partners had returns, net of all fees, of (9.60)% and (8.91)%, respectively. The trend reversals which had commenced abruptly in mid-March continued in April and May, and were followed in June by volatile non-directional range trading. Consequently losses were sustained in each of the major sectors of the portfolio; interest rates, stock indices, currencies, energy, metals and agricultural commodities.

During April and May, market participants took heart from evidence that the worldwide recession was easing, banking systems were stabilizing, and credit markets were thawing. As stock markets rallied, losses were generated on existing short positions which were gradually reduced and reversed to long positions by early June. This stock market action, improving sentiment about the global economy and a willingness of investors to take on more risk weakened the dollar which had been playing a safe haven role during the financial crisis. Thus, long dollar positions produced losses and were reversed to short dollar positions by the end of May. The weaker dollar supported commodity prices, as did fears of inflation, improved capital goods orders and signs of improving Chinese demand. Consequently, losses were registered as short energy, metals, and agricultural positions were being reduced and, in many cases, reversed. The weaker dollar and higher commodity prices combined with the Treasury’s increased borrowing needs and the Fed’s quantitative easing to send interest rates on intermediate and long term government debt markedly higher, even as short rates remained near zero. Losses were incurred from long note and bond futures; positions which were reduced significantly.

In June, there were no clear pricing trends exhibited in global markets. The mid-March through May equity and commodity rallies, and dollar falloff began to lose momentum amidst sentiment that prices had gone too far too fast. Moreover, rumors that the Fed might raise rates before the end of the year—which were later deemed premature—sent short term interest rates sharply higher early in the month, producing losses on long positions.

Three months ended March 31, 2009

For the three months ended March 31, 2009, the Parntership’s Limited Partners and Special Limited Partners had negative returns, net of all fees, of 2.31% and 1.56%, respectively. As the year began, the trends which had been dominant since the middle of 2008—declining equities, declining commodities, declining interest rates, and a rising US dollar—persisted and the Partnership posted a moderate gain. However, in early March, many of these trends reversed abruptly and the Partnership suffered a loss during the final three weeks of the quarter that more than outweighed the earlier gain. For the quarter, trading of metals, currencies, energy and soft commodities futures was unprofitable while trading of interest rate futures, and to a lesser extent equity and livestock futures was profitable.

For much of the quarter, a profusion of international government interventions failed to allay concerns about the ongoing financial and economic crisis which continued to roil markets. In this environment, the Partnership continued to hold short positions in equity indices worldwide; short positions in most energy, metals, and agricultural commodity markets; long positions in interest rate futures; and long US dollar positions. Consequently, into early March, as equity and commodity prices fell, and as the dollar rose, the Partnership registered a gain.

However, with equity markets at multi-year lows following six consecutive quarterly drops, some reports suggesting that the economic decline was slowing and perceptions that the latest government interventions might aid the financial system triggered some short covering and bottom fishing, causing stock markets to stage a substantial rally. As risk aversion decreased and the Federal Reserve announced plans to buy massive amounts of Treasury securities, the dollar lost some of its safe haven cachet and fell. This dollar decline, coupled with reduced pessimism about the future, arrested the decline in commodity prices. Interest rates did not respond to these changes and generally continued to decline. As a result, trading of equities, commodities and currencies was highly unprofitable for the month of March, while trading of interest rates provided only a partial offset.

Periods ended September 30, 2008

Month Ending:	Total Partners' Capital

September 30, 2008	$	163,586,611
June 30, 2008		172,404,499
December 31, 2007		152,036,264

	Three Months			Nine Months
Change in Partners' Capital	$	(8,817,888	)	$	11,550,347
Percent Change		-5.11	%		7.60	%

THREE MONTHS ENDED SEPTEMBER 30, 2008

The decrease in the Partnership’s net assets of $8,817,888 was attributable to net loss (before profit share) of $8,224,569 and withdrawals of $1,137,738, which was partially offset by contributions of $544,419.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2008 increased $74,489 relative to the corresponding period in 2007. The increase in brokerage fees was due primarily to an increase in the average net assets of the limited partners during the three months ended September 30, 2008, relative to the corresponding period in 2007.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the three months ended September 30, 2008 increased $6,362 relative to the corresponding period in 2007. The increase was due mainly to an increase in the Partnership's average net assets during the three months ended September 30, 2008, relative to the corresponding period in 2007.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the three months ended September 30, 2008 decreased $901,760 relative to the corresponding period in 2007. This decrease was due mainly to a significant decrease in short-term Treasury yields during the three months ended September 30, 2008, relative to the corresponding period in 2007.

During the three months ended September 30, 2008, the Partnership experienced net realized and unrealized losses of $8,253,915 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $921,090, administrative expenses of $100,634, custody fees of $7,959 were incurred. Interest income of $1,059,029 and a reversal of accrued profit share allocation to the General Partner of $1,175,445 offset the Partnership's expenses resulting in a net loss after profit share to General Partner of $7,049,124. Analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		-2.43	%
Energies		-2.02	%
Grains		-1.44	%
Interest Rates		0.22	%
Livestock		-0.08	%
Metals		-1.54	%
Softs		-0.05	%
Stock Indices		2.48	%
Trading Gain/(Loss)		-4.86	%

NINE MONTHS ENDED SEPTEMBER 30, 2008

The increase in the Partnership’s net assets of $11,550,347 was attributable to net income (before profit share) of $17,543,915 and contributions of $7,073,563, which was partially offset by withdrawals of $13,067,131.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2008 increased $118,225 relative to the corresponding period in 2007. The increase was due primarily to an increase in the average net assets of the special limited partners and limited partners during the nine months ended September 30, 2008, relative to the corresponding period in 2007.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the nine months ended September 30, 2008 increased $18,901 relative to the corresponding period in 2007. The increase was due mainly to an increase in the Partnership's average net assets during the nine months ended September 30, 2008, relative to the corresponding period in 2007.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the nine months ended September 30, 2008 decreased $1,626,984 relative to the corresponding period in 2007. This decrease was due mainly to a significant decrease in short-term Treasury yields during the nine months ended September 30, 2008, relative to the corresponding period in 2007.

During the nine months ended September 30, 2008, the Partnership experienced net realized and unrealized gains of $16,721,440 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,778,314, administrative expenses of $307,449, custody fees of $21,464 and an accrued profit share allocation to the General Partner of $1,962,655 were incurred. Interest income of $3,929,702 offset the Partnership's expenses resulting in a net gain after profit share to General Partner of $15,581,260 analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		2.42	%
Energies		3.34	%
Grains		1.56	%
Interest Rates		0.46	%
Livestock		0.34	%
Metals		-0.01	%
Softs		-0.42	%
Stock Indices		3.25	%
Trading Gain/(Loss)		10.94	%

MANAGEMENT DISCUSSION – 2008

Three months ended September 30, 2008

For the three-month period ended September 30, 2008, the Partnership's Limited Partners and Special Limited Partners had negative returns, net of all fees, of 4.17% and 4.15%, respectively, as negative results in July and August were only partially offset by a gain in September. Trading of currency, energy, metal and grain futures was unprofitable. Equity futures and interest rate trading produced a profit, while trading of soft and livestock futures had little impact on quarterly performance.

As the ongoing financial and economic turmoil triggered by the U.S. housing and mortgage crises and subsequent credit crunch exploded with international ramifications, worldwide inflation and growth dynamics changed markedly. Concerns about stagflation with the worst growth slowdown in the U.S. were replaced by worries about global deflation, recession and perhaps even depression as the world’s financial system seized up and nearly ground to a halt. In particular, September was a tumultuous month in world financial markets. Extraordinary events were too numerous to list completely but included the government seizures of Fannie and Freddie, the government bailout and substantial takeover of AIG Insurance, the bankruptcy of Lehman Brothers, “breaking the buck” by a major institutional money market fund, the rescue and sale of Washington Mutual and Wachovia in the U.S. and several major financial institutions in Europe and the initial defeat by the U.S. House of Representatives of the administration’s and Treasury secretary’s $700 billion bailout plan.

In this environment, an unwinding of risky trades and a flight to safety occurred, triggering reversals in a number of previously existing trends.

The U.S. dollar, which had been in a multi-year bear market, staged a strong rally. Losses were taken on short dollar positions against a variety of currencies, and many of those positions were switched to long dollar trades by quarter-end. In cross rate trading, losses were due to an unwinding of carry trades. Long positions in Aussie, New Zealand and Canadian dollars against lower yielding units were unprofitable.

Perceptions of weakening demand due to a global economic slowdown, increasing supplies, and the dollar rally contributed to a generalized weakening of commodity prices. Falling energy prices led to losses on long energy positions. Precious and industrial metal prices fell significantly. Long positions in gold, silver, platinum, copper and aluminum were unprofitable and subsequently reversed to short positions. Short positions in nickel and zinc were profitable. Trading of agricultural commodities resulted in moderate losses. Long positions in corn, and the soybean complex produced losses before being reversed to short positions. A long position in cocoa and trading of coffee and rubber also generated losses. On the other hand, short positions in wheat, cotton, sugar, and live cattle were profitable.

Not surprisingly, short stock index futures positions across a wide swath of global equity markets were quite profitable.

Finally, as inflation concerns gave way to deflation fears, the trend toward higher interest rates, evident in the first half of 2008, was interrupted in July and reversed to a declining trend by the end of the quarter. Long positions in U.S. and Japanese interest rate futures produced gains, but most of these gains were offset by losses on short positions in European interest rate futures that were later reversed to long positions. Trading of Australian interest rate futures was marginally profitable.

Three months ended June 30, 2008

For the three-month period ended June 30, 2008, the Partnership's Limited Partners and Special Limited Partners had positive returns, net of all fees, of 6.84% and 9.01%, respectively. Energy trading accounted for a large portion of the gain, and significant profits were registered from currency, metals, equity, and grain trading as well. Meanwhile, trading of interest rate futures, and to a lesser extent, livestock and soft commodities futures were unprofitable.

Energy prices continued their upward thrust with crude oil hitting successive new all-time highs throughout the second quarter. Strong demand, including fundamental, investment and speculative components, along with low inventories, periodic supply disruptions, and geopolitical uncertainties underpinned energy price surges. Consequently, long positions in crude oil, gasoline, heating oil, kerosene, London gas oil, and natural gas were profitable. Near quarter-end, the high volatility in the energy markets resulted in further significant reductions in energy positions.

In currency trading, the dollar was under pressure due to the ongoing financial and economic turmoil triggered by the housing and mortgage crises and subsequent credit crunch. The easier Federal Reserve monetary policy that has ensued also weighed on the U.S. currency. Therefore, short dollar positions against a number of higher yield currencies including the Aussie and Singapore dollars, Brazilian real and Mexican peso, and Eastern European currencies were profitable. A long dollar trade versus the Korean won also produced a gain. On the other hand, short dollar positions against the New Zealand dollar and Chilean peso were unprofitable, as was a long dollar position against the South African rand. In non-dollar cross rate trading, short euro positions relative to the Eastern European currencies and a long Aussie dollar/short Canadian dollar trade were profitable.

Equity markets declined rather broadly during the quarter and short positions in European and U.S. equity indices generated profits. Meanwhile, long positions in South African, Hong Kong and Chinese indices resulted in losses.

Industrial metals prices were mixed. Short positions in zinc, nickel and lead, and long positions in tin, copper and aluminum were profitable. Long positions in precious metals had no appreciable effect on performance this quarter.

In grains, long positions in the soybean complex and corn were profitable, and more than offset the modest loss from trading wheat.

As the quarter began, the portfolio was positioned for a continuation of the lower interest rate trend. However, as inflation concerns spread even though economic activity remained questionable, market participants came to believe that monetary easing was at an end. Hence during April and May losses were sustained on long positions in U.S., European, and Japanese short, medium, and long term interest rate instruments. In response numerous positions were reduced and/or reversed. In June, interest rate trading was profitable largely due to short futures positions but still ended up with a loss for the quarter.

In soft commodities, the losses from trading sugar and cotton outweighed the gains from long cocoa and coffee trades. Short positions in livestock were unprofitable as the market expected herd liquidation due to high feed prices to abate and on positive export news.

Three months ended March 31, 2008

For the three-month period ended March 31, 2008, the Partnership's Limited Partners and Special Limited Partners had positive returns, net of all fees, of 5.60% and 7.69%, respectively. Trading of dollar currency positions, and interest rate, grain, energy, metal and livestock futures were profitable. On the other hand, fractional losses were sustained from trading of cross currency positions, and stock index and soft commodity futures.

As the credit crisis spread and deepened, imperiling growth and employment prospects worldwide, central banks in the developed countries made more money available against a broader range of collateral for longer periods to a wider group of financial firms than ever before. In the U.S., increasing evidence of stress in the economy prompted the Federal Reserve to announce dramatic cuts in the federal funds and discount rates, providing much-needed liquidity and also facilitating a sale of embattled Bear Stearns to J.P. Morgan Chase.

In this environment, the U.S. dollar was under persistent pressure, falling to an all-time low against the euro and multi-year lows against a number of currencies including the yen, Swiss franc, Brazilian real and Columbian peso. As a result, short dollar positions were broadly profitable. Meanwhile, non-dollar cross rate trading was fractionally unprofitable.

As interest rates eased in a number of countries, long positions in U.S., Canadian and Japanese long-term and short-term interest rate futures were profitable, and outweighed losses on short positions in Australian interest rate futures. A long position in short-term euro rate futures was unprofitable as the ECB continued to resist calls for rate reductions due to inflation worries.

Agricultural markets, which have had a legendary run-up with several markets setting all-time records, were quite profitable, even though there was a significant sell-off in March. Grain prices have been underpinned by strong demand from the developing world that is experiencing an economic boom and by tight supplies. The USDA projects U.S. wheat inventories as the lowest for the end of the marketing year since 1948, and global wheat stockpiles headed for a 30-year low. Also, demand for corn and oilseeds was boosted by increased use of ethanol and diesel from vegetable oils. Indeed, some governments are restricting or taxing exports to retain domestic supplies. Consequently, long positions in wheat, corn, and the soybean complex were profitable. Further, short positions in livestock were profitable as high feed prices motivated producer selling.

Energy prices were firm and crude oil prices reached record levels due to strong global demand and tight supplies. The weakening U.S. dollar also buttressed energy and other commodity prices. Long positions in crude and London gas oil led to energy sector profits.

Precious metals prices advanced as the dollar fell, particularly early in the quarter and profits on long positions in gold, silver and platinum outweighed losses from trading of industrial metals.

High volatility and lack of well defined persistent trends kept equity futures positions reduced during the quarter, and gains and losses for individual equity futures netted to a marginal loss for the sector.

Off-Balance Sheet Arrangements

The partnership does not engage in off-balance sheet arrangements.

Contractual Obligations

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Partnership’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within one year of the trade date and substantially all such contracts are held by the Partnership for less than one year before being offset or rolled over into new contracts with similar maturities. The Financial Statements present a Condensed Schedule of Investments setting forth the Partnership’s open futures, forward and other contracts at September 30, 2009.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not applicable.

ITEM 4T. CONTROLS AND PROCEDURES

Millburn Ridgefield Corporation, the General Partner of the Partnership, with the participation of the General Partner's Co-Chief Executive Officers and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal control over financial reporting during the quarter ended September 30, 2009 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal control over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings - None

ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) Pursuant to the Partnership's Declaration of Partnership and Partnership Agreement, the Partnership may sell Limited Partnership Interests ("Interests") at the beginning of each calendar month. On August 1, 2009, the Partnership sold Interests to existing limited partners in the amount of $5,000. On July 1, 2009 and September 1, 2009 the Partnership sold Interests to an existing special limited partner in the amount of $44,653, and $9,816, respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.

(c) Pursuant to the Partnership's Declaration of Partnership and Partnership Agreement, investors may redeem their Interests at the end of each calendar month at the then current month-end Net Asset Value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.

The following table summarizes Interests redeemed during the three months ended September 30, 2009:

Date of Withdrawal	Limited Partners			Special Limited Partners			Total

July 31, 2009	$	(496,888	)	$	(1,366	)	$	(498,254	)
August 31, 2009		(2,083,604	)		-			(2,083,604	)
September 30, 2009		(424,053	)		(31,044	)		(455,097	)
Total	$	(3,004,545	)	$	(32,410	)	$	(3,036,955	)

ITEM 3. Defaults Upon Senior Securities - None

ITEM 4. Submission of Matters to a Vote of Security Holders - None

ITEM 5. Other Information - None

ITEM 6. (a) Exhibits -

The following exhibits are incorporated by reference from the exhibit of the same number and description filed with the Partnership's Registration Statement (file # 000-50725) filed on April 29, 2005 on Form 10 under the Securities Act of 1934 and declared effective June 28, 2005.

3.01	Amended and Restated Certificate of Limited Partnership of Nestor Partners
3.02	Amended and Restated Agreement of Limited Partnership of Nestor Partners
10.01	Acknowledgement of Separate Risk Disclosure Statements and Customer Agreement between Merrill Lynch Futures Inc. and Nestor Partners
10.02	Customer Agreement between Warburg Dillon Reed LLC and Nestor Partners
10.03	Futures and Options Agreement for Institutional Customers between Deutsche Morgan Grenfell Inc. and Nestor Partners
10.04	Form of Selling Agreement

The following exhibits are included herewith:

31.01	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03	Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01	Section 1350 Certification of Co-Chief Executive Officer
32.02	Section 1350 Certification of Co-Chief Executive Officer
32.03	Section 1350 Certification of Chief Financial Officer

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By: Millburn Ridgefield Corporation,
General Partner

Date: November 13, 2009
	/s/Tod A. Tanis
	Tod A. Tanis
	Vice-President
	(principal accounting officer)

Attached files

NESTOR PARTNERS Reports

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