Attached files
file | filename |
---|---|
EX-31.01 - SENECA GLOBAL FUND, L.P. | v193410_ex31-01.htm |
EX-32.02 - SENECA GLOBAL FUND, L.P. | v193410_ex32-02.htm |
EX-32.01 - SENECA GLOBAL FUND, L.P. | v193410_ex32-01.htm |
EX-31.02 - SENECA GLOBAL FUND, L.P. | v193410_ex31-02.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
10-Q
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES
EXCHANGE ACT OF 1934
For the
quarterly period ended June 30, 2010
Commission
file number: 000-53453
ASPECT
GLOBAL DIVERSIFIED FUND LP
Organized
in Delaware
|
IRS
Employer Identification
No.: 72-3236572
|
c/o
Steben & Company, Inc.
2099
Gaither Road, Suite 200, Rockville, Maryland 20850
(240)
631-9808
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 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 small reporting
company. See definition of “large accelerated filer”, “accelerated
filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):
[ ] Large
accelerated filer
|
[ ] Accelerated
filer
|
[ ] Non-accelerated
filer
|
[ X
] Smaller Reporting
Company
|
Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act).
Yes
[ ] No [ X
]
Item
1. Financial Statements
Aspect
Global Diversified Fund LP
Statements
of Financial Condition
June
30, 2010 (Unaudited) and December 31, 2009 (Audited)
June
30,
2010
|
December
31,
2009
|
|||||||
Assets
|
||||||||
Equity
in broker trading accounts
|
||||||||
Cash
|
$ | 9,046,261 | $ | 9,216,600 | ||||
Net
unrealized gain (loss) on open futures contracts
|
1,773,183 | (92,230 | ) | |||||
Net
unrealized loss on open forward currency contracts
|
(551,474 | ) | (122,645 | ) | ||||
Interest
receivable
|
641 | 189 | ||||||
Total
equity in broker trading accounts
|
10,268,611 | 9,001,914 | ||||||
Cash
and cash equivalents
|
31,282,240 | 22,864,973 | ||||||
Government
sponsored enterprise notes, at fair value
|
-- | 2,018,783 | ||||||
Total
assets
|
$ | 41,550,851 | $ | 33,885,670 | ||||
Liabilities
and Partners’ Capital (Net Asset Value)
|
||||||||
Liabilities
|
||||||||
Trading
Advisor management fee payable
|
$ | 229,960 | $ | 189,042 | ||||
Commissions
and other trading fees payable on open contracts
|
7,077 | 3,732 | ||||||
Administrative
expenses payable – General Partner
|
85,604 | 74,835 | ||||||
Broker
dealer custodial fee payable – General Partner
|
4,990 | 4,397 | ||||||
Broker
dealer servicing fee payable – General Partner
|
1,957 | 1,685 | ||||||
General
Partner management fee payable
|
35,071 | 28,705 | ||||||
Offering
expenses payable – General Partner
|
23,913 | 19,571 | ||||||
Selling
Agent fees payable – General Partner
|
19,382 | 15,967 | ||||||
Redemptions
payable
|
346,109 | 189,947 | ||||||
Subscriptions
received in advance
|
2,626,602 | 1,957,075 | ||||||
Total
liabilities
|
3,380,665 | 2,484,956 | ||||||
Partners’
Capital (Net Asset Value)
|
||||||||
General
Partner Units – 4,011.5691 units outstanding at
|
||||||||
June
30, 2010 and December 31, 2009
|
448,406 | 434,130 | ||||||
Series
A Units – 132,731.2497 units and 110,813.7773 units
outstanding
|
||||||||
at
June 30, 2010 and December 31, 2009, respectively
|
11,510,645 | 9,492,784 | ||||||
Series
B Units – 113,956.3882 units and 104,085.6268 units
outstanding
|
||||||||
at
June 30, 2010 and December 31, 2009, respectively
|
10,734,951 | 9,610,394 | ||||||
Series
I Units – 143,098.2372 units and 112,253.4442 units
outstanding
|
||||||||
at
June 30, 2010 and December 31, 2009, respectively
|
15,476,184 | 11,863,406 | ||||||
Total
partners’ capital (net asset value)
|
38,170,186 | 31,400,714 | ||||||
Total
liabilities and partners’ capital (net asset value)
|
$ | 41,550,851 | $ | 33,885,670 |
The
accompanying notes are an integral part of these financial
statements.
1
Condensed
Schedule of Investments
June
30, 2010
(Unaudited)
Description
|
Fair
Value
|
%
of
Partners’
Capital
(Net
Asset
Value)
|
||||||||
Long
U.S. Futures Contracts
|
||||||||||
Agricultural
|
$ | 5,853 | 0.02 | % | ||||||
Interest
rate (1)
|
611,111 | 1.60 | % | |||||||
Metal
|
66,390 | 0.17 | % | |||||||
Stock
index
|
(3,585 | ) | (0.01 | )% | ||||||
Net
unrealized gain on open long U.S. futures contracts
|
679,769 | 1.78 | % | |||||||
Short
U.S. Futures Contracts
|
||||||||||
Agricultural
|
(2,479 | ) | (0.01 | )% | ||||||
Energy
|
179,504 | 0.47 | % | |||||||
Metal
|
(44,478 | ) | (0.12 | )% | ||||||
Stock
index
|
30,680 | 0.08 | % | |||||||
Net
unrealized gain on open short U.S. futures contracts
|
163,227 | 0.42 | % | |||||||
Long
Foreign Futures Contracts
|
||||||||||
Agricultural
|
12,540 | 0.03 | % | |||||||
Interest
rate (1)
|
860,697 | 2.25 | % | |||||||
Stock
index
|
(56,861 | ) | (0.15 | )% | ||||||
Net
unrealized gain on open long foreign futures contracts
|
816,376 | 2.13 | % | |||||||
Short
Foreign Futures Contracts
|
||||||||||
Agricultural
|
(113 | ) | (0.00 | )% | ||||||
Interest
rate
|
(14,949 | ) | (0.04 | )% | ||||||
Stock
index
|
128,873 | 0.34 | % | |||||||
Net
unrealized gain on open short foreign futures contracts
|
113,811 | 0.30 | % | |||||||
Net unrealized gain on
open futures
contracts
|
$ | 1,773,183 | 4.63 | % | ||||||
U.S.
Forward Currency Contracts
|
||||||||||
Long
|
$ | (60,861 | ) | (0.16 | )% | |||||
Short
|
(65,778 | ) | (0.17 | )% | ||||||
Net
unrealized loss on open U.S. forward currency contracts
|
(126,639 | ) | (0.33 | )% | ||||||
Foreign
Forward Currency Contracts
|
||||||||||
Long
|
(354,792 | ) | (0.93 | )% | ||||||
Short
|
(70,043 | ) | (0.18 | )% | ||||||
Net
unrealized loss on open foreign forward currency contracts
|
(424,835 | ) | (1.11 | )% | ||||||
Net
unrealized loss on open forward currency contracts
|
$ | (551,474 | ) | (1.44 | )% |
(1) No
individual futures or forward currency contract position constituted greater
than one percent of net asset value. Accordingly, the number of
contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
2
Aspect
Global Diversified Fund LP
Condensed
Schedule of Investments
December
31, 2009
(Audited)
Description
|
Fair
Value
|
%
of
Partners’
Capital
(Net
Asset
Value)
|
||||||||||
Government
Sponsored Enterprise Notes
|
||||||||||||
Face
Value
|
Maturity
Date
|
|||||||||||
$2,000,000
|
3/30/10
|
Federal
Home Loan Mortgage Corporation, 1.10%
|
$ | 2,018,783 | 6.43 | % | ||||||
Total
government sponsored enterprise notes (cost: $2,009,778)
|
$ | 2,018,783 | 6.43 | % | ||||||||
Long
U.S. Futures Contracts
|
||||||||||||
Agricultural
|
$ | 290,004 | 0.92 | % | ||||||||
Currency
|
(7,350 | ) | (0.02 | )% | ||||||||
Energy
|
108,288 | 0.34 | % | |||||||||
Interest
rate
|
(307,955 | ) | (0.98 | )% | ||||||||
Metal
|
(181,592 | ) | (0.58 | )% | ||||||||
Stock
index
|
93,052 | 0.30 | % | |||||||||
Net
unrealized loss on open long U.S. futures contracts
|
(5,553 | ) | (0.02 | )% | ||||||||
Short
U.S. Futures Contracts
|
||||||||||||
Agricultural
|
(8,230 | ) | (0.03 | )% | ||||||||
Energy
|
22,300 | 0.07 | % | |||||||||
Interest
rate
|
2,000 | 0.01 | % | |||||||||
Metal
|
(17,106 | ) | (0.05 | )% | ||||||||
Net
unrealized loss on open short U.S. futures contracts
|
(1,036 | ) | (0.00 | )% | ||||||||
Long
Foreign Futures Contracts
|
||||||||||||
Agricultural
|
55,580 | 0.18 | % | |||||||||
Interest
rate (1)
|
(347,237 | ) | (1.11 | )% | ||||||||
Stock
index
|
196,445 | 0.63 | % | |||||||||
Net
unrealized loss on open long foreign futures contracts
|
(95,212 | ) | (0.30 | )% | ||||||||
Short
Foreign Futures Contracts
|
||||||||||||
Agricultural
|
475 | 0.00 | % | |||||||||
Interest
rate
|
9,096 | 0.03 | % | |||||||||
Net
unrealized gain on open short foreign futures contracts
|
9,571 | 0.03 | % | |||||||||
Net
unrealized loss on open futures contracts
|
$ | (92,230 | ) | (0.29 | )% | |||||||
U.S.
Forward Currency Contracts
|
||||||||||||
Long
|
$ | (39,736 | ) | (0.13 | )% | |||||||
Short
|
105,323 | 0.34 | % | |||||||||
Net
unrealized gain on open U.S. forward currency contracts
|
65,587 | 0.21 | % | |||||||||
Foreign
Forward Currency Contracts
|
||||||||||||
Long
|
6,446 | 0.02 | % | |||||||||
Short
|
(194,678 | ) | (0.62 | )% | ||||||||
Net
unrealized loss on open foreign forward currency contracts
|
(188,232 | ) | (0.60 | )% | ||||||||
Net
unrealized loss on open forward currency contracts
|
$ | (122,645 | ) | (0.39 | )% |
(1) No
individual futures or forward currency contract position constituted greater
than one percent of partners’ capital (net asset value). Accordingly, the number
of contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
3
Aspect
Global Diversified Fund LP
Statements
of Operations
For
the Three and Six Months Ended June 30, 2010 and 2009
(Unaudited)
Three
Months Ended June 30,
|
Six
Months Ended June 30,
|
|||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Trading
Gain (Loss)
|
||||||||||||||||
Net
realized gain (loss)
|
$ | 586,033 | $ | (3,173,881 | ) | $ | 260,063 | $ | (2,945,083 | ) | ||||||
Net
change in unrealized gain (loss)
|
(504,165 | ) | (28,912 | ) | 1,436,584 | (596,037 | ) | |||||||||
Brokerage
commissions and trading expenses
|
(25,341 | ) | (24,403 | ) | (44,215 | ) | (30,868 | ) | ||||||||
Net
gain (loss) from trading
|
56,527 | (3,227,196 | ) | 1,652,432 | (3,571,988 | ) | ||||||||||
Net
Investment Loss
|
||||||||||||||||
Income
|
||||||||||||||||
Interest
income
|
35,712 | 16,363 | 43,053 | 35,247 | ||||||||||||
Expenses
|
||||||||||||||||
Trading
Advisor management fee
|
229,960 | 119,256 | 433,408 | 205,064 | ||||||||||||
General
Partner management fee
|
104,155 | 53,426 | 196,207 | 91,364 | ||||||||||||
Selling
Agent fees
|
57,846 | 14,997 | 111,079 | 19,480 | ||||||||||||
Broker
dealer servicing fee – General Partner
|
5,851 | 2,420 | 11,315 | 3,561 | ||||||||||||
Broker
dealer custodial fee – General Partner
|
15,122 | 7,170 | 29,346 | 8,962 | ||||||||||||
Administrative
expenses – General Partner
|
212,411 | 119,546 | 408,474 | 199,962 | ||||||||||||
Offering
expenses – General Partner
|
78,019 | 134,864 | 152,268 | 211,352 | ||||||||||||
Total
expenses
|
703,364 | 451,679 | 1,342,097 | 739,745 | ||||||||||||
Administrative
and offering expenses waived
|
(128,390 | ) | (170,765 | ) | (255,405 | ) | (267,669 | ) | ||||||||
Net
total expenses
|
574,974 | 280,914 | 1,086,692 | 472,076 | ||||||||||||
Net
investment loss
|
(539,262 | ) | (264,551 | ) | (1,043,639 | ) | (436,829 | ) | ||||||||
Net
Income (Loss)
|
$ | (482,735 | ) | $ | (3,491,747 | ) | $ | 608,793 | $ | (4,008,817 | ) |
Series
A
|
Series
B
|
Series
I
|
General
Partner
|
|||||||||||||
Three
Months Ended June 30, 2010
|
||||||||||||||||
Decrease
in net asset value per Unit
|
$ | (1.30 | ) | $ | (1.04 | ) | $ | (1.03 | ) | $ | (0.54 | ) | ||||
Net
loss per Unit
(based
on weighted average number of units outstanding)
|
$ | (1.39 | ) | $ | (1.08 | ) | $ | (1.34 | ) | $ | (0.54 | ) | ||||
Weighted
average number of Units outstanding
|
129,580.7673 | 114,163.0690 | 132,958.0374 | 4,011.5691 | ||||||||||||
Three
Months Ended June 30, 2009
|
||||||||||||||||
Decrease
in net asset value per Unit
|
$ | (16.25 | ) | $ | (16.97 | ) | $ | (19.18 | ) | $ | (18.88 | ) | ||||
Net
loss per Unit
(based
on weighted average number of units outstanding)
|
$ | (20.34 | ) | $ | (20.67 | ) | $ | (21.26 | ) | $ | (18.88 | ) | ||||
Weighted
average number of Units outstanding
|
27,820.9528 | 49,127.2406 | 86,303.9540 | 4,011.5691 |
Series
A
|
Series
B
|
Series
I
|
General
Partner
|
|||||||||||||
Six
Months Ended June 30, 2010
|
||||||||||||||||
Increase
in net asset value per Unit
|
$ | 1.06 | $ | 1.87 | $ | 2.47 | $ | 3.56 | ||||||||
Net
income per Unit
(based
on weighted average number of units outstanding)
|
$ | 1.07 | $ | 2.05 | $ | 1.87 | $ | 3.56 | ||||||||
Weighted
average number of Units outstanding
|
125,110.0453 | 111,655.1874 | 124,416.9005 | 4,011.5691 | ||||||||||||
Six
Months Ended June 30, 2009
|
||||||||||||||||
Decrease
in net asset value per Unit
|
$ | (20.06 | ) | $ | (20.62 | ) | $ | (23.01 | ) | $ | (22.14 | ) | ||||
Net
loss per Unit
(based
on weighted average number of units outstanding)
|
$ | (34.22 | ) | $ | (34.64 | ) | $ | (26.49 | ) | $ | (22.15 | ) | ||||
Weighted
average number of Units outstanding
|
18,065.5577 | 32,089.7556 | 82,672.0194 | 4,011.5691 |
The
accompanying notes are an integral part of these financial
statements.
4
Aspect
Global Diversified Fund LP
Statements
of Cash Flows
For
the Six Months Ended June 30, 2010 and 2009
(Unaudited)
2010
|
2009
|
|||||||
Cash
flows from operating activities
|
||||||||
Net
income (loss)
|
$ | 608,793 | $ | (4,008,817 | ) | |||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities
|
||||||||
Net change in
unrealized
(gain) loss
|
(1,436,584 | ) | 596,037 | |||||
Changes in
|
||||||||
Interest
receivable
|
(452 | ) | 13 | |||||
Government sponsored
enterprise
notes
|
2,018,783 | (2,012,401 | ) | |||||
Commercial
paper
|
-- | 1,993,829 | ||||||
U.S. Treasury
securities
|
-- | (499,605 | ) | |||||
Trading Advisor management
fee
payable
|
40,918 | 73,306 | ||||||
Trading Advisor incentive
fee
payable
|
-- | (326,088 | ) | |||||
Commissions and other trading
expenses payable on open contracts
|
3,345 | 2,433 | ||||||
Administrative expenses payable –
General Partner
|
10,769 | 24,708 | ||||||
Broker dealer custodial fee
payable – General
Partner
|
593 | 2,452 | ||||||
Broker dealer servicing fee
payable – General
Partner
|
272 | 671 | ||||||
General Partner management
fee
payable
|
6,366 | 9,221 | ||||||
Offering expenses payable – General
Partner
|
4,342 | 6,287 | ||||||
Selling Agent fees payable – General
Partner
|
3,415 | 5,359 | ||||||
Net
cash provided by (used in) operating activities
|
1,260,560 | (4,132,595 | ) | |||||
Cash
flows from financing activities
|
||||||||
Subscriptions
|
6,496,881 | 14,407,708 | ||||||
Subscriptions
received in advance
|
2,626,602 | 3,778,249 | ||||||
Redemptions
|
(2,137,115 | ) | (4,145,265 | ) | ||||
Net
cash provided by financing activities
|
6,986,368 | 14,040,692 | ||||||
Net
increase in cash and cash equivalents
|
8,246,928 | 9,908,097 | ||||||
Cash
and cash equivalents, beginning of period
|
32,081,573 | 11,229,458 | ||||||
Cash
and cash equivalents, end of period
|
$ | 40,328,501 | $ | 21,137,555 | ||||
End
of period cash and cash equivalents consists of
|
||||||||
Cash
in broker trading accounts
|
$ | 9,046,261 | $ | 5,626,390 | ||||
Cash
and cash equivalents
|
31,282,240 | 15,511,165 | ||||||
Total
end of period cash and cash equivalents
|
$ | 40,328,501 | $ | 21,137,555 | ||||
Supplemental
disclosure of cash flow information
|
||||||||
Prior
period redemptions paid
|
$ | 189,947 | $ | 125,000 | ||||
Prior
period subscriptions received in advance
|
$ | 1,957,075 | $ | 3,633,808 | ||||
Supplemental
schedule of non-cash financing activities
|
||||||||
Redemptions
payable
|
$ | 346,109 | $ | 1,000,000 |
The
accompanying notes are an integral part of these financial
statements.
5
Aspect
Global Diversified Fund LP
Statements
of Changes in Partners’ Capital (Net Asset Value)
For
the Six Months Ended June 30, 2010 and 2009
(Unaudited)
Series A
|
Series B
|
Series I
|
General
Partner
|
|||||||||||||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||||||||||||||
Six Months
Ended
June 30,
2010
|
||||||||||||||||||||||||||||||||||||
Balance at
December 31, 2009
|
110,813.7773 | $ | 9,492,784 | 104,085.6268 | $ | 9,610,394 | 112,253.4442 | $ | 11,863,406 | 4,011.5691 | $ | 434,130 | $ | 31,400,714 | ||||||||||||||||||||||
Net
income
|
133,579 | 228,766 | 232,172 | 14,276 | 608,793 | |||||||||||||||||||||||||||||||
Subscriptions
|
24,539.7525 | 2,113,449 | 21,023.2692 | 1,937,815 | 40,567.9268 | 4,402,692 | -- | 8,453,956 | ||||||||||||||||||||||||||||
Redemptions
|
(2,622.2801 | ) | (229,167 | ) | (11,152.5078 | ) | (1,042,024 | ) | (9,723.1338 | ) | (1,022,086 | ) | -- | (2,293,277 | ) | |||||||||||||||||||||
Balance at June
30, 2010
|
132,731.2497 | $ | 11,510,645 | 113,956.3882 | $ | 10,734,951 | 143,098.2372 | $ | 15,476,184 | 4,011.5691 | $ | 448,406 | $ | 38,170,186 | ||||||||||||||||||||||
Six Months
Ended
June 30,
2009
|
||||||||||||||||||||||||||||||||||||
Balance at
December 31, 2008
|
1,598.6744 | $ | 166,755 | 3,692.0156 | $ | 408,780 | 66,355.1442 | $ | 8,349,440 | 4,011.5691 | $ | 507,314 | $ | 9,432,289 | ||||||||||||||||||||||
Net
loss
|
(618,224 | ) | (1,111,528 | ) | (2,190,223 | ) | (88,842 | ) | (4,008,817 | ) | ||||||||||||||||||||||||||
Subscriptions
|
38,326.9304 | 3,815,211 | 61,645.1581 | 6,589,799 | 62,235.5689 | 7,636,506 | -- | 18,041,516 | ||||||||||||||||||||||||||||
Redemptions
|
-- | -- | (43,244.9698 | ) | (5,020,265 | ) | -- | (5,020,265 | ) | |||||||||||||||||||||||||||
Balance at June
30, 2009
|
39,925.6048 | $ | 3,363,742 | 65,337.1737 | $ | 5,887,051 | 85,345.7433 | $ | 8,775,458 | 4,011.5691 | $ | 418,472 | $ | 18,444,723 |
Net
Asset Value Per Unit
|
||||||||||||||||
Series
A
|
Series
B
|
Series
I
|
General
Partner
|
|||||||||||||
June
30, 2010
|
$ | 86.72 | $ | 94.20 | $ | 108.15 | $ | 111.78 | ||||||||
December
31, 2009
|
85.66 | 92.33 | 105.68 | 108.22 | ||||||||||||
June
30, 2009
|
84.25 | 90.10 | 102.82 | 104.32 | ||||||||||||
December
31, 2008
|
104.31 | 110.72 | 125.83 | 126.46 |
The
accompanying notes are an integral part of these financial
statements.
6
Notes
to Financial Statements
(Unaudited)
1.
|
Organization
and Summary of Significant Accounting
Policies
|
Description
of the Fund
Aspect
Global Diversified Fund LP (“Fund”) is a Delaware limited partnership, which
operates as a commodity investment pool, that commenced investment operations on
September 1, 2008. The Fund issues units of limited partner interests
(“Units”) in four series: Series A, Series B, Series C and Series I, which
represent units of fractional undivided beneficial interest in and ownership of
the Fund. Only Series A, B and I Units are offered by the
fund. Series A, B and I Units will be re-designated as Series C Units
after the Fee Limit has been reached. The Series C Units are
identical to these other Units except that the Series C Units only incur the
Trading Advisor management fee, Trading Advisor incentive fee, brokerage
expenses, General Partner management fee and administrative
expenses.
The Fee
Limit is the total amount of selling agent commissions, broker dealer servicing
fees paid to the selling agents, payments for wholesalers, payments for sales
conferences, and other offering expenses that are items of compensation to FINRA
members (but excluding among other items, the production and printing of
prospectuses and related collateral material, as well as various legal and
regulatory fees) paid by particular Series A, B or I Units when it is equal to
10.00% of the original purchase price paid by holders of those particular
Units.
The Fund
uses a commodity trading advisor to engage in the speculative trading of futures
contracts, forward currency contracts and other financial instruments traded in
the United States (“U.S.”) and internationally.
The Fund
is a registrant with the U.S. Securities and Exchange Commission (“SEC”)
pursuant to the U.S. Securities Exchange Act of 1933, as amended, (“1933 Act”)
and the U.S. Securities Exchange Act of 1934, as amended, (“1934
Act”). As a registrant, the Fund is subject to the regulations of the
SEC and the disclosure requirements of the 1933 Act and the 1934
Act. As a commodity pool, the Fund is subject to the regulations of
the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S.
government, which regulates most aspects of the commodity futures industry;
rules of the National Futures Association (“NFA”), an industry self-regulatory
organization; rules of Financial Industry Regulatory Authority (“FINRA”), an
industry self-regulatory organization; and the requirements of commodity
exchanges where the Fund executes transactions. Additionally, the Fund is
subject to the requirements of its futures broker and interbank market makers
through which the Fund trades.
Under its Amended and Restated Limited
Partnership Agreement (“Partnership Agreement”), the Fund’s
business and affairs are managed and conducted by the Fund’s general partner,
Steben & Company, Inc. (“General Partner”), a Maryland
corporation. The
General Partner is registered with the CFTC as a commodity pool operator
and a commodities introducing broker, and is registered with the SEC as an
investment advisor and a broker dealer. Additionally, the General
Partner is a member of the NFA and FINRA. The General Partner manages
all aspects of the Fund’s business and serves as one of the Fund’s selling
agents.
Aspect
Capital Limited (“Trading Advisor”) is the sole trading advisor for the
Fund. The Trading Advisor uses the Aspect Diversified Program
(“Trading Program”), a proprietary, systematic trading system that deploys
multiple trading strategies utilizing derivatives that seeks to identify and
exploit directional moves in market behavior to a broad and diversified range of
global markets including stock indices, currencies, interest rate instruments,
energy products, metals and agricultural commodities.
Significant
Accounting Policies
Financial
Accounting Standards Board Accounting Standards Codification
The Fund
follows accounting standards established by the Financial Accounting Standards
Board (“FASB”) to ensure consistent reporting of financial condition, results of
operation and cash flows in conformity with accounting principles generally
accepted in the U.S. The accounting standards are embodied in the
FASB Accounting Standards Codification, which became effective for periods
ending on or after September 15, 2009.
7
Use
of Estimates
Preparing
financial statements in conformity with accounting principles generally accepted
in the U.S. requires management to make estimates and assumptions that affect
the amounts reported in the financial statements and accompanying
notes. Actual results could differ from those estimates.
Revenue
Recognition
Futures,
options on futures contracts and forward currency contracts are recorded on a
trade date basis, and gains or losses are realized when contracts are
liquidated. Unrealized gains and losses on open futures and forward
currency contracts (the difference between contract trade price and fair value)
are reported in the statements of financial condition as net unrealized gain or
loss, as there exists a right of offset of any unrealized gains or
losses. Any change in net unrealized gain or loss from the preceding
period is reported in the statements of operations. Interest income
earned on investments in commercial paper, U.S. Treasury securities, government
sponsored enterprise notes and other cash and cash equivalent balances is
recorded on an accrual basis.
Fair
Value of Financial Instruments
Financial
instruments are carried at fair value, 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 categories:
|
Level
1 –
|
Fair
value is based on unadjusted quoted prices in active markets that are
accessible at the measurement date for identical
instruments. Financial instruments utilizing Level 1 inputs
include exchange-traded derivatives, U.S. Treasury securities and money
market funds.
|
|
Level
2 –
|
Fair
value is based on quoted prices for similar instruments in active markets
and inputs other than quoted prices that are observable for the financial
instrument, such as interest rates and yield curves that are observable at
commonly quoted intervals using a market approach. Financial
instruments utilizing Level 2 inputs include forward currency contracts
and government sponsored enterprise
notes.
|
|
Level
3 –
|
Fair
value is based on valuation techniques in which one or more significant
inputs are unobservable. The Fund has no financial instruments
utilizing Level 3 inputs.
|
U.S.
Treasury securities are recorded at amortized cost, which approximates fair
value based on bid and ask quotes for identical
instruments. Commercial paper and government sponsored enterprise
notes are recorded at amortized cost, which approximates fair value based on bid
and ask quotes for similar, but not identical,
instruments. Accordingly, U.S. Treasury securities are classified
within Level 1 and commercial paper and government sponsored enterprise notes
are classified within Level 2.
The
investment in money market fund, included in cash and cash equivalents in the
statements of financial condition, and futures contracts, all of which are
exchange-traded, are valued using quoted market prices for identical assets and
are classified within Level 1. The fair values of forward currency
contracts are based upon third-party quoted dealer values on the interbank
market and are classified within Level 2.
Derivative
Instruments
Effective
January 1, 2009, the Fund adopted new guidance issued by FASB regarding
derivatives and hedging. The Fund’s derivative contracts are
comprised of futures and forward currency contracts. These derivative
contracts are recorded in the statements of financial condition as assets
measured at fair value and the related realized and change in unrealized gain or
loss associated with these derivatives is recorded in the statements of
operations. The Fund has considered the counterparty credit risk
related to all its futures and forward currency contracts and does not deem any
counterparty credit risk material at this time. The Fund does not
designate any derivative instruments as hedging instruments.
Cash
and Cash Equivalents
Cash and
cash equivalents include highly liquid investments with original maturities of
three months or less at the date of acquisition that are not held for sale in
the ordinary course of business. The Fund maintains cash and cash
equivalents balances at Newedge USA, LLC and Newedge Group (U.K. Branch)
(collectively “NUSA”), UBS Financial Services, Inc. (“UBS”) and Bank of
America. At June 30, 2010, cash and cash equivalents balances held at
NUSA, UBS and Bank of America were $9,046,261, $7,392 and $31,274,848,
respectively. The Fund is at risk to the extent that it maintains
balances with such institutions in excess of insured limits; however, the Fund
does not believe it is exposed to any significant credit risk.
8
Brokerage
Commissions and Trading Expenses
Brokerage
commissions and trading expenses include brokerage and other trading fees, and
are charged to expense when contracts are opened and closed.
Redemptions
Payable
Redemptions
payable represent redemptions that meet the requirements of the Fund and have
been approved by the General Partner prior to period-end. These
redemptions have been recorded using the period-end net asset value per
Unit.
Income
Taxes
The Fund
prepares calendar year U.S. and applicable state and local tax
returns. The Fund is not subject to federal income taxes as each partner
is individually liable for his or her allocable share of the Fund’s income,
expenses and trading gains or losses. The Fund evaluates the tax
positions taken or expected to be taken in the course of preparing the Fund’s
tax returns to determine whether the tax positions are more-likely-than-not to
be sustained when examined by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense and liability in the current
year. Management has determined there are no material uncertain
income tax positions through June 30, 2010. All of the Fund’s income
tax returns remain subject to federal, state or local income tax
examinations.
Foreign Currency
Transactions
The Fund
has certain investments denominated in foreign currencies. The
purchase and sale of investments and income and expenses are translated at the
rates of exchange prevailing on the respective dates of such
transactions. The Fund does not isolate that portion of the results
of operations resulting from changes in foreign exchange rates on investments
from the fluctuations arising from changes in market prices of investments
held. Such fluctuations are included with the net realized and
unrealized gain or loss on such investments.
Reclassification
Certain
amounts in the 2009 financial statements have been reclassified to conform to
the 2010 presentation without affecting previously reported partners’ capital
(net asset value).
Subsequent
Events
The Fund
has evaluated subsequent events for potential recognition and/or disclosure
through the date the financial statements were issued.
2.
|
Fair
Value Disclosures
|
The
Fund’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:
At
June 30, 2010
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
Equity
in broker trading accounts:
|
||||||||||||
Net
unrealized gain on open futures contracts
|
$ | 1,773,183 | $ | -- | $ | 1,773,183 | ||||||
Net
unrealized loss on open forward currency contracts
|
-- | (551,474 | ) | (551,474 | ) | |||||||
Cash
and cash equivalents:
|
||||||||||||
Money
market fund
|
7,392 | -- | 7,392 | |||||||||
Total
|
$ | 1,780,575 | $ | (551,474 | ) | $ | 1,229,101 |
9
At
December 31, 2009
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
Equity
in broker trading accounts:
|
||||||||||||
Net
unrealized gain (loss) on open futures contracts
|
$ | (92,230 | ) | $ | -- | $ | (92,230 | ) | ||||
Net
unrealized loss on open forward currency contracts
|
-- | (122,645 | ) | (122,645 | ) | |||||||
Cash
and cash equivalents:
|
||||||||||||
Money
market fund
|
20,871,136 | -- | 20,871,136 | |||||||||
Government
sponsored enterprise notes
|
-- | 2,018,783 | 2,018,783 | |||||||||
Total
|
$ | 20,778,906 | $ | 1,896,138 | $ | 22,675,044 |
There
were no Level 3 holdings at June 30, 2010 and December 31, 2009, or during the
periods then ended.
In
addition to the financial instruments listed above, substantially all of the
Fund’s other assets and liabilities are considered financial instruments and are
reflected at fair value, or at carrying amounts that approximate fair value
because of the short maturity of the instruments.
3.
|
Derivative
Instruments Disclosures
|
At June
30, 2010, the Fund’s derivative contracts had the following impact on the
statements of financial condition:
Derivative
Assets and Liabilities, at fair value
|
||||||||||||
Statements
of Financial Condition Location
|
Assets
|
Liabilities
|
Net
|
|||||||||
Net
unrealized gain (loss) on open futures contracts
|
||||||||||||
Agricultural
|
$ | 84,793 | $ | (68,992 | ) | $ | 15,801 | |||||
Energy
|
195,254 | (15,750 | ) | 179,504 | ||||||||
Interest
rate
|
1,515,570 | (58,711 | ) | 1,456,859 | ||||||||
Metal
|
79,217 | (57,305 | ) | 21,912 | ||||||||
Stock
index
|
160,156 | (61,049 | ) | 99,107 | ||||||||
Net
unrealized gain (loss) on open futures contracts
|
$ | 2,034,990 | $ | (261,807 | ) | $ | 1,773,183 | |||||
Net
unrealized loss on open forward currency contracts
|
$ | 113,591 | $ | (665,065 | ) | $ | (551,474 | ) |
At June
30, 2010, there were 2,291 open futures contracts and 283 open forward currency
contracts.
For the
three and six months ended June 30, 2010, the Fund’s derivative contracts had
the following impact on the statements of operations:
Three
Months Ended June 30, 2010
|
Six
Months Ended June 30, 2010
|
|||||||||||||||
Types
of Exposure
|
Net
realized
gain
(loss)
|
Net
change
in
unrealized
gain
(loss)
|
Net
realized
gain
(loss)
|
Net
change
in
unrealized
gain
(loss)
|
||||||||||||
Futures
contracts
|
||||||||||||||||
Agricultural
|
$ | (390,267 | ) | $ | (125,825 | ) | $ | (643,289 | ) | $ | (322,028 | ) | ||||
Currency
|
(14,144 | ) | -- | (30,493 | ) | 7,350 | ||||||||||
Energy
|
(836,550 | ) | (106,703 | ) | (990,597 | ) | 48,916 | |||||||||
Interest
rate
|
2,769,722 | 716,434 | 3,470,511 | 2,100,955 | ||||||||||||
Metal
|
(266,135 | ) | (217,803 | ) | (1,047,061 | ) | 220,610 | |||||||||
Stock
index
|
(836,063 | ) | (190,232 | ) | (1,055,996 | ) | (190,390 | ) | ||||||||
Total
futures contracts
|
426,563 | 75,871 | (296,925 | ) | 1,865,413 | |||||||||||
Forward
currency contracts
|
184,189 | (580,036 | ) | 572,731 | (428,829 | ) | ||||||||||
Total
futures and forward currency contracts
|
$ | 610,752 | $ | (504,165 | ) | $ | 275,806 | $ | 1,436,584 |
10
For the
three and six months ended June 30, 2010, the number of futures contracts closed
was 5,967 and 10,700, respectively, and the number of forward currency contracts
closed was 1,814 and 2,986, respectively.
At
December 31, 2009, the Fund’s derivative contracts had the following impact on
the statements of financial condition:
Derivative
Assets and Liabilities, at fair value
|
||||||||||||
Statements
of Financial Condition Location
|
Assets
|
Liabilities
|
Net
|
|||||||||
Net
unrealized gain (loss) on open futures contracts
|
||||||||||||
Agricultural
|
$ | 421,805 | $ | (83,976 | ) | $ | 337,829 | |||||
Currency
|
-- | (7,350 | ) | (7,350 | ) | |||||||
Energy
|
134,439 | (3,851 | ) | 130,588 | ||||||||
Interest
rate
|
180,879 | (824,975 | ) | (644,096 | ) | |||||||
Metal
|
216,721 | (415,419 | ) | (198,698 | ) | |||||||
Stock
index
|
304,167 | (14,670 | ) | 289,497 | ||||||||
Net
unrealized gain (loss) on open futures contracts
|
$ | 1,258,011 | $ | (1,350,241 | ) | $ | (92,230 | ) | ||||
Net
unrealized loss on open forward currency contracts
|
$ | 271,180 | $ | (393,825 | ) | $ | (122,645 | ) |
At
December 31, 2009, there were 2,358 open futures contracts and 170 open forward
currency contracts.
For the
three and six months ended June 30, 2009, the Fund’s derivative contracts had
the following impact on the statements of operations:
Three
Months Ended June 30, 2009
|
Six
Months Ended June 30, 2009
|
|||||||||||||||
Types
of Exposure
|
Net
realized
gain
(loss)
|
Net
change
in
unrealized
gain
(loss)
|
Net
realized
gain
(loss)
|
Net
change
in
unrealized
gain
(loss)
|
||||||||||||
Futures
contracts
|
||||||||||||||||
Agricultural
|
$ | (119,821 | ) | $ | 173,992 | $ | (145,421 | ) | $ | 123,831 | ||||||
Currency
|
5,671 | -- | 5,671 | -- | ||||||||||||
Energy
|
(921,830 | ) | 76,836 | (791,081 | ) | 60,210 | ||||||||||
Interest
rate
|
(915,431 | ) | (372,404 | ) | (552,237 | ) | (651,694 | ) | ||||||||
Metal
|
(419,977 | ) | (172,130 | ) | (481,297 | ) | (174,524 | ) | ||||||||
Stock
index
|
(445 | ) | 94,433 | (133,574 | ) | 43,727 | ||||||||||
Total
futures contracts
|
(2,371,833 | ) | (199,273 | ) | (2,097,939 | ) | (598,450 | ) | ||||||||
Forward
currency contracts
|
(808,406 | ) | 170,361 | (849,873 | ) | 2,413 | ||||||||||
Total
futures and forward currency contracts
|
$ | (3,180,239 | ) | $ | (28,912 | ) | $ | (2,947,812 | ) | $ | (596,037 | ) |
For the
three and six months ended June 30, 2009, the number of futures contracts closed
was 5,134 and 6,784, respectively, and the number of forward currency contracts
closed was 1,302 and 1,776, respectively.
4.
|
General
Partner
|
The
General Partner contributed $500,000 to the initial trading capital of the Fund
and in exchange was issued General Partner Units. In accordance with
the Partnership Agreement, the General Partner will maintain its interest in the
capital of the Fund at no less than the greater of: (i) 1% of aggregate capital
contributions to the Fund by all Partners (including the General Partner’s
contribution) or (ii) $25,000. The General Partner shares in the
profits and losses of the Fund in proportion to its respective ownership
interest.
11
At June
30, 2010 and December 31, 2009, the General Partner had an investment of
4,011.5691 Units valued at $448,406 and $434,130, respectively.
The
General Partner earns the following compensation:
|
§
|
General
Partner Management Fee – each Series of Units incurs a monthly fee equal
to 1/12th
of 1.10% of the Fund’s month-end net asset value, payable in
arrears.
|
|
§
|
Selling
Agent Fees – the General Partner charges Series A Units a monthly fee
equal to 1/12th of 2.00% of the outstanding Series A Units’ month-end net
asset value, payable in arrears. The General Partner pays to
the selling agents an upfront fee of 2.00% of the aggregate subscription
amount for the sale of Series A Units. Beginning in the 13th
month, the General Partner pays the selling agents a monthly fee in
arrears equal to 1/12th of 2.00% of the outstanding Series A Units’
month-end net asset value.
|
|
§
|
Broker
Dealer Servicing Fee – the General Partner charges Series A Units a
monthly fee equal to 1/12th of 0.15% of the outstanding Series A Units’
month-end net asset value. These fees are payable in arrears to
the selling agents by the General Partner. Where the General
Partner acts as the selling agent, it retains these
fees.
|
|
§
|
Broker
Dealer Custodial Fee – the General Partner charges Series B Units that are
held by broker dealers who act as custodian for Series B Units for the
benefit of the limited partners, a monthly fee to such broker dealers
equal to 1/12th of 0.60% of the outstanding Series B Units’ month-end net
asset value. These fees are payable in arrears to the selling
agents by the General Partner. Where the General Partner acts
as the selling agent, it retains these
fees.
|
5.
|
Trading
Advisor
|
The Fund
has an agreement with the Trading Advisor, pursuant to which the Fund incurs a
monthly management fee, payable monthly to the Trading Advisor in arrears, equal
to 1/12th of 2%
of the Fund’s trading level (as defined in the advisory agreement) and an
incentive fee, payable quarterly in arrears, equal to 20% of new trading profits
(as defined in the advisory agreement). The Fund’s trading level is
currently expected to be approximately 1.2 times the normal trading level of the
Trading Program.
6.
|
Deposits
with Brokers
|
To meet
margin requirements, the Fund deposits funds with its brokers, subject to CFTC
regulations and various exchange and broker requirements. The Fund
earns interest income on its assets deposited with its brokers. At
June 30, 2010 and December 31, 2009, the Fund had margin requirements of
$3,745,336 and $5,413,756, respectively.
7.
|
Administrative
and Offering Expenses
|
The
Fund reimburses the General Partner for
actual monthly administrative expenses paid to various third-party
service providers, including the General Partner, up to 1/12th of
0.95% of the Fund’s month-end net asset value, payable in
arrears. Actual administrative expenses may vary; however, such
administrative expenses will not exceed 0.95% of the Fund’s net asset value per
annum. The administrative expenses include legal, accounting,
clerical and other back office related expenses related to the administration of
the Fund and all other associated costs incurred by the Fund. For the
three months ended June 30, 2010 and 2009, actual administrative expenses were
$212,411 and $119,546, respectively. For the six months ended June
30, 2010 and 2009, actual administrative expenses were $408,474 and $199,962,
respectively. Such amounts are presented as administrative expenses –
General Partner in the statements of operations.
Additionally,
during the three months ended June 30, 2010 and 2009, the General Partner
absorbed administrative expenses in excess of the 0.95% limitation of $121,386
and $72,328, respectively. During the six months ended June 30, 2010
and 2009, the General Partner absorbed administrative expenses in excess of the
0.95% limitation of $236,915 and $118,611, respectively. Such amounts
are included in administrative and offering expenses waived in the statements of
operations.
12
At June
30, 2010 and December 31, 2009, $85,604 and $74,835, respectively, were payable
to the General Partner for administrative expenses incurred on behalf of the
Fund and not waived by the General Partner. Such amounts are
presented as administrative expenses payable – General Partner in the statements
of financial condition.
The Fund
reimburses the General Partner for actual ongoing offering expenses, up to
1/12th of 0.75% of the Fund’s month-end net asset value pro rata for each Series
of Units except for the General Partner Units, payable monthly in
arrears. Actual ongoing offering expenses in excess of this
limitation are absorbed by the General Partner. For the three months
ended June 30, 2010 and 2009, offering expenses were $78,019 and $134,846,
respectively. For the six months ended June 30, 2010 and 2009,
offering expenses were $152,268 and $211,352, respectively. Such
amounts are presented as offering expenses – General Partner in the statements
of operations.
Additionally,
during the three months ended June 30, 2010 and 2009, the General Partner
absorbed offering expenses in excess of the 0.75% limitation of $7,004 and
$98,437, respectively. During the six months ended June 30, 2010 and
2009, the General Partner absorbed offering expenses in excess of the 0.75%
limitation of $18,490 and $149,058, respectively. Such amounts are
included in administrative and offering expenses waived in the statements of
operations. At June 30, 2010 and December 31, 2009, $23,913 and
$19,571, respectively, were payable to the General Partner for offering expenses
incurred on behalf of the Fund and not waived by the General
Partner. Such amounts are presented as offering expenses payable –
General Partner in the statements of financial condition.
8.
|
Subscriptions,
Distributions and Redemptions
|
Investments
in the Fund are made by subscription agreement and must be received within five
business days of the end of the month, subject to acceptance by the General
Partner. The minimum investment is $10,000. Units are sold
at the net asset value per Series A, B and I Units as of the close of business
on the last day of the month in which the subscription is
accepted. Investors whose subscriptions are accepted are admitted as
limited partners as of the beginning of the month following the month in which
their subscriptions were accepted. At June 30, 2010 and December 31,
2009, the Fund received advance subscriptions of $2,626,602 and $1,957,075,
respectively, which were recognized as subscriptions to the Fund or returned, if
applicable, subsequent to period-end.
The Fund
is not required to make distributions, but may do so at the sole discretion of
the General Partner. A limited partner may request and receive
redemption of Series A, B and I Units owned at the end of any month, subject to
five business days’ prior written notice to the General Partner and certain
circumstances, restrictions in the partnership agreement.
Series A
Units redeemed prior to the first anniversary of the subscription date are
subject to a redemption fee equal to the product of (i) 2.00% of the
subscription price for such Series A Units on the subscription date, divided by
twelve (ii) multiplied by the number of months remaining before the first
anniversary of the subscription date. Series B and I Units are not
subject to the redemption fee.
The
General Partner may require a limited partner to redeem from the Fund if the
General Partner deems the redemption (a) necessary to prevent or correct the
occurrence of a nonexempt prohibited transaction under the Employee Retirement
Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986,
as amended, (b) beneficial to the Fund, or (c) necessary to comply with any
applicable government or self-regulatory agency regulations. Limited
partners will not be required to pay any redemption fees if such limited
partners are subject to a mandatory redemption of their Units within the first
year of purchase.
9.
|
Trading
Activities and Related Risks
|
The Fund
engages in the speculative trading of futures, options and over-the-counter
contracts, including forward currency contracts traded in the U.S. and
internationally. Trading in derivatives exposes the fund to both
market risk, the risk arising from a change in the fair value of a contract and
credit risk, the risk of failure by another party to perform according to the
terms of a contract.
13
Purchase
and sale of futures contracts requires margin deposits with futures brokers.
Additional deposits may be necessary for any loss on contract
value. The Commodity Exchange Act (“CEAct”) requires a broker to
segregate all customer transactions and assets from such broker’s proprietary
activities. A customer’s cash and other property (for example, U.S.
Treasury securities) deposited with a broker are considered commingled with all
other customer funds subject to the broker’s segregation
requirements. In the event of a broker’s insolvency, recovery may be
limited to a pro rata share of segregated funds available. It is
possible that the recovered amount could be less than (or none of) the total
cash and other property deposited. The Fund uses Newedge USA, LLC as
its futures broker and Newedge Group (U.K. Branch) as its options broker and
forward currency counterparty.
For
futures contracts, risks arise from changes in the market value of the
contracts. Theoretically, the Fund is exposed to a market risk equal
to the value of futures and forward contracts purchased and unlimited liability
on such contracts sold short.
In
addition to market risk, upon entering into commodity interest contracts there
is a credit risk that the counterparty will not be able to meet its obligations
to the Fund. The counterparty for futures and options on futures
contracts traded in the U.S. and on most non-U.S. futures exchanges is the
clearinghouse associated with such exchanges. In general,
clearinghouses are backed by the corporate members of the clearinghouse who are
required to share any financial burden resulting from the nonperformance by one
of their members and, as such, should significantly reduce this credit
risk. In cases where the clearinghouse is not backed by the clearing
members, like some non-U.S. exchanges, it is normally backed by a consortium of
banks or other financial institutions.
In the
case of forward currency contracts, over-the-counter options contracts or swap
contracts, which are traded on the interbank or other institutional market
rather than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a clearinghouse backed by a group of
financial institutions; thus, there likely will be greater counterparty credit
risk. While the Fund trades only with those counterparties that it
believes to be creditworthy, there can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to the
Fund.
The Fund
trades forward currency contracts in unregulated markets between principals and
assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated with
exchange-traded contracts because of the greater risk of counterparty
default. Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.
The Fund
uses UBS as its cash management securities broker for the investment of a
portion of the Fund’s excess margin amounts into short-term fixed income
instruments including commercial paper, U.S. Treasury securities and government
sponsored enterprise notes with maturities of less than one
year. Fluctuations in prevailing interest rates could cause
immaterial market-to-market losses on the Fund’s fixed income instruments,
although substantially all of the short-term investments are held to
maturity.
The net
unrealized gain or loss on open futures and forward currency contracts is
comprised of the following:
Futures
Contracts
(exchange-traded)
|
Forward
Currency Contracts
(non-exchange-traded)
|
|||||||||||||||
June
30,
2010
|
December
31,
2009
|
June
30,
2010
|
December
31,
2009
|
|||||||||||||
Gross
unrealized gain
|
$ | 2,034,990 | $ | 1,258,011 | $ | 113,591 | $ | 271,180 | ||||||||
Gross
unrealized loss
|
(261,807 | ) | (1,350,241 | ) | (665,065 | ) | (393,825 | ) | ||||||||
Net
unrealized gain (loss)
|
$ | 1,773,183 | $ | (92,230 | ) | $ | (551,474 | ) | $ | (122,645 | ) |
The
General Partner has established procedures to actively monitor market risk and
minimize credit risk, although there can be no assurance that it will, in fact,
succeed in doing so. The limited partners bear the risk of loss only
to the extent of the fair value of their respective investments and, in certain
circumstances, distributions and redemptions received.
10.
|
Indemnifications
|
In the
normal course of business, the Fund may enter into contracts and agreements that
contain a variety of representations and warranties and which provide general
indemnifications. The Fund’s maximum exposure under these
arrangements cannot be estimated. However, the Fund believes that it
is unlikely it will have to make material payments under these arrangements and
has not recorded any contingent liability in the financial statements for such
indemnifications.
14
11.
|
Interim
Financial Statements
|
The
statements of financial condition, including the condensed schedule of
investments, at June 30, 2010, the statements of operations for the three and
six months ended June 30, 2010 and 2009, the statements of cash flows and
changes in partners’ capital (net asset value) for the six months ended June 30,
2010 and 2009 and the accompanying notes to the financial statements are
unaudited. Certain information and footnote disclosures normally
included in financial statements prepared in accordance with accounting
principles generally accepted in the U.S. may be omitted pursuant to such rules
and regulations. In the opinion of management, such financial
statements and accompanying disclosures reflect all adjustments, which were of a
normal and recurring nature, necessary to present fairly the financial position
at June 30, 2010, results of operations for the three and six months ended June
30, 2010 and 2009, cash flows and changes in partners’ capital (net asset value)
for the six months ended June 30, 2010 and 2009. The results of
operations for the three and six months ended June 30, 2010 and 2009 are not
necessarily indicative of the results to be expected for the full year or any
other period. These financial statements should be read in
conjunction with the audited financial statements and the notes thereto included
in the Fund’s Form 10-K as filed with the SEC.
12.
|
Financial
Highlights
|
The
following information presents per unit operating performance results and other
supplemental financial ratios for the three and six months ended June 30, 2010
and 2009. This information has been derived from information
presented in the financial statements for limited partner Units and assumes that
a Unit is outstanding throughout the entire period:
Three
Months Ended
June
30, 2010
|
Three
Months Ended
June
30, 2009
|
|||||||||||||||||||||||
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
|||||||||||||||||||
Per
Unit Operating Performance
|
||||||||||||||||||||||||
Net
asset value per Unit at beginning of period
|
$ | 88.02 | $ | 95.24 | $ | 109.18 | $ | 100.50 | $ | 107.07 | $ | 122.00 | ||||||||||||
Loss
from operations
|
||||||||||||||||||||||||
Gain
(loss) from trading (1)
|
0.26 | 0.28 | 0.35 | (14.36 | ) | (15.40 | ) | (17.66 | ) | |||||||||||||||
Net
investment loss (1)
|
(1.56 | ) | (1.32 | ) | (1.38 | ) | (1.89 | ) | (1.57 | ) | (1.52 | ) | ||||||||||||
Total
loss from operations
|
(1.30 | ) | (1.04 | ) | (1.03 | ) | (16.25 | ) | (16.97 | ) | (19.18 | ) | ||||||||||||
Net
asset value per Unit at end of period
|
$ | 86.72 | $ | 94.20 | $ | 108.15 | $ | 84.25 | $ | 90.10 | $ | 102.82 | ||||||||||||
Total
return (5)
|
(1.48 | )% | (1.09 | )% | (0.94 | )% | (16.17 | )% | (15.85 | )% | (15.72 | )% | ||||||||||||
Other
Financial Ratios
|
||||||||||||||||||||||||
Ratios
to average net asset value
|
||||||||||||||||||||||||
Total
expenses (2) (3)
(4)
|
7.49 | % | 5.93 | % | 5.47 | % | 8.65 | % | 6.79 | % | 5.70 | % | ||||||||||||
Net
investment loss (2) (3)
(4)
|
(7.11 | )% | (5.55 | )% | (5.07 | )% | (8.27 | )% | (6.40 | )% | (5.34 | )% |
15
Six
Months Ended
June
30, 2010
|
Six
Months Ended
June
30, 2009
|
|||||||||||||||||||||||
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
|||||||||||||||||||
Per
Unit Operating Performance
|
||||||||||||||||||||||||
Net
asset value per Unit at beginning of period
|
$ | 85.66 | $ | 92.33 | $ | 105.68 | $ | 104.31 | $ | 110.72 | $ | 125.83 | ||||||||||||
Income
(loss) from operations
|
||||||||||||||||||||||||
Gain
(loss) from trading (1)
|
4.22 | 4.56 | 5.22 | (16.30 | ) | (17.50 | ) | (19.84 | ) | |||||||||||||||
Net
investment loss (1)
|
(3.16 | ) | (2.69 | ) | (2.75 | ) | (3.76 | ) | (3.12 | ) | (3.17 | ) | ||||||||||||
Total
income (loss) from operations
|
1.06 | 1.87 | 2.47 | (20.06 | ) | (20.62 | ) | (23.01 | ) | |||||||||||||||
Net
asset value per Unit at end of period
|
$ | 86.72 | $ | 94.20 | $ | 108.15 | $ | 84.25 | $ | 90.10 | $ | 102.82 | ||||||||||||
Total
return (5)
|
1.24 | % | 2.03 | % | 2.34 | % | (19.23 | )% | (18.62 | )% | (18.29 | )% | ||||||||||||
Other
Financial Ratios
|
||||||||||||||||||||||||
Ratios
to average net asset value
|
||||||||||||||||||||||||
Total
expenses (2) (3)
(4)
|
7.57 | % | 6.00 | % | 5.38 | % | 8.51 | % | 6.68 | % | 5.80 | % | ||||||||||||
Net
investment loss (2) (3)
(4)
|
(7.33 | )% | (5.76 | )% | (5.13 | )% | (8.08 | )% | (6.25 | )% | (5.32 | )% |
Total
returns are calculated based on the change in value of a Series A, Series B or
Series I Units during the period. An individual limited partner’s
total returns and ratios may vary from the above total returns and ratios based
on the timing of subscriptions and redemptions.
(1)
|
The
net investment loss per unit is calculated by dividing the net investment
loss by the average number of Series A, Series B or Series I Units
outstanding during the period. Gain (loss) from trading is a
balancing amount necessary to reconcile the change in net asset value per
Unit with the other per Unit information. Such balancing amount
may differ from the calculation of gain (loss) from trading per Unit due
to the timing of trading gains and losses during the period relative to
the number of Units outstanding.
|
(2)
|
All
of the ratios under the supplemental data are computed net of involuntary
waivers of administrative and offering expenses. For the three
months ended June 30, 2010 and 2009, the ratios are net of 1.31% and 1.64%
effect of waived administrative expenses, respectively. For the
three months ended June 30, 2010 and 2009, the ratios are net of 0.08% and
2.29% effect of waived offering expenses, respectively. For the
six months ended June 30, 2010 and 2009, the ratios are net of 1.36 % and
1.56 % effect of waived administrative expenses,
respectively. For the six months ended June 30, 2010 and 2009,
the ratios are net of 0.11 % and 2.02% effect of waived offering expenses,
respectively.
|
(3)
|
The
net investment loss includes interest income and excludes realized and
unrealized gains from trading activities as shown on the statements of
operations. The total amount is then reduced by all expenses,
excluding brokerage commissions, which are included in net trading gains
(losses) on the statements of operations. The resulting amount is divided
by the average net asset value for the period.
|
(4)
|
Ratios
have been annualized.
|
(5)
|
Ratios
have not been annualized.
|
Item
2. Management’s Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
Using a
professional trading advisor, the Fund engages in the speculative trading of
futures contracts, forward currency contracts and other financial
instruments. The Fund primarily trades futures contracts within six
major market sectors: stock indices, currencies, interest rate instruments,
energy products, metals and agricultural commodities.
16
Liquidity
Most U.S.
commodity exchanges limit fluctuations in futures contracts prices during a
single day by regulations referred to as daily price fluctuation limits or daily
limits. During a single trading day, no trades may be executed at
prices beyond the daily limit. Once the price of a futures contract
has reached the daily limit for that day, positions in that contract can neither
be taken nor liquidated. Futures prices have occasionally moved the
daily limit for several consecutive days with little or no trading. Similar
occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. Additionally, even if
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are
inherent in the Fund’s futures trading operations, the Fund’s assets are
expected to be highly liquid.
Redemptions
may be made by a limited partner as of the last business day of any month at the
net asset value on such redemption date of the redeemed Units (or portion
thereof) on that date, on five business days’ prior written notice to the
General Partner. Partial redemptions must be for at least $1,000,
unless such requirement is waived by the General Partner. In
addition, the limited partner, if making a partial redemption, must maintain at
least $10,000 or his original investment amount, whichever is less, in the Fund
unless such requirement is waived by the General Partner.
At June
30, 2010, illiquidity has not materially affected the Fund’s
assets. There are no known material trends, demands, commitments,
events, or uncertainties at the present time that are reasonably likely to
result in the Fund’s liquidity increasing or decreasing in any material
way.
Capital
Resources
The Fund
intends to raise additional capital only through the sale of Units and does not
intend to raise capital through borrowing. Due to the nature of the
Fund’s business, the Fund does not have, nor does it expect to have, any capital
assets. Redemptions, exchanges and sales of Units in the future will
affect the amount of funds available for investment in futures contracts and
other financial instruments in subsequent periods. It is not possible
to estimate the amount, and therefore the impact, of future capital inflows and
outflows related to the sale and redemption of Units. There are no
known material trends, favorable or unfavorable, that would affect, nor any
expected material changes to, the Fund’s capital resource arrangements at the
present time.
Results
of Operations
The returns for Series A, B, and I Units for the six months ended June 30, 2010 and 2009 were:
Series of
Units
|
2010
|
2009
|
||||||
Series
A
|
1.24 | % | (19.23 | )% | ||||
Series
B
|
2.03 | % | (18.62 | )% | ||||
Series
I
|
2.34 | % | (18.29 | )% |
Past performance is not necessarily indicative of future
results. Further analysis of the trading gains
and losses is provided below.
2010
January
The
Fund’s Series A, B and I Units were down 3.61%, 3.49% and 3.44%, respectively,
for the month of January 2010. After positive performance in the
first two weeks of the year, a reversal in investor risk appetite resulted in a
loss for the calendar month. The change in sentiment was driven, in
part, by disappointing earnings announcements and fears over potential monetary
tightening in China as the People’s Bank of China increased banks’ reserve
requirements and introduced measures aimed at curbing lending. As a
result, the Fund’s long positions in stock indices and the net short exposure to
the U.S. dollar saw losses. Long positions in fixed income markets
benefited from the move toward risk aversion, some U.K. data and comments by
both the Bank of England and the ECB. In addition, the strengthening
U.S. dollar and poorer growth outlook also resulted in many commodities markets
selling off. This was particularly detrimental to the Fund’s long positioning in
the oil complex and industrial metals. Oil prices faced additional
downward pressure due to an increase in inventories and milder weather in the
Unites States. In agriculturals, gains on the long exposure to sugar
markets, whose price rallied due to supply concerns, more than offset losses on
long positions in the soy complex and cotton.
17
February
The
Fund’s Series A, B and I Units ended the month of February up 2.44%, 2.57% and
2.63%, respectively. The month of February was, to a large degree,
dominated by news relating to the debt crisis within the Euro
area. The prevailing macroeconomic sentiment oscillated between risk
aversion and inflationary concerns with the former being marginally dominant
over the calendar month. As a result, the Fund saw profits from long
positions in both short-term interest rate futures contracts and some bond
markets. Positive performance was also seen in other sectors with
long positions in energy contracts benefiting from the further upward move in
prices during the middle of the month and the weakness of the EU euro and
British pound providing opportunity for profits in the currencies
sector. Smaller positive contributions were seen from small long
exposures in both stock indices and metals; the price action in each of these
sectors were similar as a sell-off at the beginning of the month was followed by
a recovery during the remainder of the month as risk aversion fears
dominated. The largest negative performance was seen in agricultural
commodities. The longer-term bull market in sugar reversed sharply
from multi-year highs as output in both Brazil and India rose.
March
The
Fund’s Series A, B and I Units were up 4.06%, 4.19% and 4.24%, respectively, for
the month of March 2010. Data pointing to economic recovery drove the
prices of risky assets higher, despite some continued concerns about European
sovereign debt mid-month. Consequently, global stock markets rallied,
producing good profits for the Fund, and bond markets sold
off. Japanese Government Bonds were the Fund’s worst performer. In
currencies, emerging market and commodity currencies strengthened against the
U.S. dollar to the benefit of the Fund’s positioning, while European interest
rate markets were buoyed by concerns over Greece and poor economic data out of
the U.K. Commodities markets generally followed the direction of stock markets
and finished the month higher. In energies, this resulted in positive
performance on long positions in the oil complex, but the Fund also profited on
the short side from the decline in the natural gas price following milder
weather in the U.S. and a build-up in inventories. In agricultural
commodities, positive performance on short positions in corn and wheat was
offset by losses in sugar and coffee. The sugar losses were incurred
early in the month when prices fell to 11-week lows as the supply outlook
improved. Good profits were seen in industrial metals, especially
nickel which reached 22-month highs.
April
The
Fund’s Series A, B and I Units were up 1.82%, 1.95% and 2.01%, respectively, for
the month of April 2010. Competing drivers of returns characterized
the month. Strong economic data and positive earnings announcements
aided long equity positions in the early part of the month, but these gains were
mostly given back as sentiment reversed following the announcement of SEC
charges against Goldman Sachs and sovereign credit downgrades in
Europe. The latter events, however, provided good opportunities for
the Fund’s long fixed income positions, notably in Europe and
Japan. Positive returns in currency markets were driven by a
weakening EU dollar and emerging market exposure. Performance in
commodities was mixed. The Fund benefited from a continued rise in
the oil market, but incurred modest losses in other commodity
sectors. Agricultural markets painted a mixed picture with gains on
short positions in sugar being offset by losses on short exposures to
grains. Base metals declined following more bearish economic
sentiment towards the end of the month, resulting in small losses on long
positions in aluminum and copper.
May
The
Fund’s Series A, B and I Units finished the month down 4.01%, 3.88% and 3.83%,
respectively. Most of the performance in the month was driven by a
sell-off in stock indices and commodities which hurt the Fund’s long exposures
in these sectors. Fears of contagion in the European debt crisis
drove stock markets downward. Energy markets also fell sharply during
this period and these two sectors finished as the Fund’s worst performers for
the month. Their performance impact for the remainder of the month
was relatively muted as the fund’s systematic trading models adjusted position
sizes to offset the importance of the price reversals. Performance in
industrial metals followed a similar pattern, but was partly offset by profits
in gold, which hit new highs mid-month. Fixed income markets also saw
positive performance throughout the month as general risk aversion saw these
markets rally. The best performances came from long positions in
European and UK markets at both ends of the yield curve. The
strengthening US dollar yielded good profits for long positions against the
major European currencies, but these were offset by losses elsewhere in the
sector, most notably against the Australian dollar.
18
June
The
Fund’s Series A, B and I Units finished the month up 0.80%, 0.93% and 0.98%,
respectively. Long positions in the fixed income markets drove gains
as prices rallied toward the end of the month. This happened as
investors questioned the sustainability of global growth given the poor economic
data out of the U.S., Japan, China and concerns about the creditworthiness
of European banks and governments. The central bank’s commitment to
keep rates at current levels also helped boost the price of interest rate
futures. The currencies sector was the worst performer as losses on
the short Swiss Franc and British Pound exposures offset small gains on the
short Euro exposure. The Swiss National Bank decided that
deflationary risks were no longer a threat and stopped limiting the Swiss
Franc’s strength, while in the UK, the emergency budget and commentary
surrounding it caused the British Pound to strengthen against the U.S.
dollar. In agriculturals, NYMEX front-month coffee futures
rallied 22% over the course of June, to the detriment of the Fund’s short
position. Price action was driven by concerns about global
supply. In energies, natural gas prices rallied in the first half of
the month due to a combination of short covering and bullish inventory
data.
2009
January
The
Fund’s Series A Units were up 0.37%, Series B Units were up 0.47% and Series I
Units were up 0.51% for the month of January 2009. The muted
contributions from several sectors reflect the systematic reduction in exposures
resulting from the increased market volatility experienced in the fourth quarter
of 2008. Stock markets started 2009 with renewed investor optimism in
response to President Obama’s stimulus plan. The optimism was short-lived
however, and stock markets declined as economic and earnings data continued to
show a negative outlook. Bonds also sold off and yields rose as governments
continued to develop rescue plans and packages to boost growth. This was
particularly seen in European bond markets with U.K. Gilts and Bunds being two
of the worst contracts this month. Conversely, the portfolio’s long positions in
interest rates benefited from the rate cut decisions of the Bank of England and
the ECB. In currencies, the U.S. dollar continued strengthening as a result of
risk aversion and the increasingly negative outlook for Europe, which continues
to deal with crises in the financial sector; this effect continued to be
particularly seen in the weakness of Sterling to the benefit of the Fund’s short
exposure. The energy sector was the best performer this month, driven by gains
from crude oil and natural gas, whose prices declined on the back of bearish
inventory data. Similarly, industrial metals also declined due to stock
build-ups, benefiting the Fund’s short positions.
February
The
Fund’s Series A Units were up 0.57%, Series B Units were up 0.67% and Series I
Units were up 0.71% for the month of February 2009. In comparison with recent
months, returns were relatively muted overall. The Fund, however, still made
profits in the majority of sectors. The currency sector had an eventful month
and provided the most volatility; profits were seen from weakness in the Swedish
krona and Canadian dollar which offset losses in the yen against the U.S.
dollar. The Swedish krona fell to a record low against the euro after an
unexpectedly large rate-cut and the worst Swedish GDP figures since 1940. The
best performing sectors overall were stock indices and energies. Global equity
markets continued their poor start to the year amid further weak economic data
and problems for financial companies, which benefited the Fund’s small short
exposure. In energy, it was short positions in natural gas and products of crude
oil which drove performance in a choppy month for crude itself. Agricultural
commodities were also profitable, despite some losses from a sharp reversal in
cocoa markets. Fixed income markets were more mixed. The longer end of the curve
was generally profitable, with the exception of Australian bonds, however,
performance was dragged down by losses in shorter-dated Australian bills and
especially in short sterling, as quantitative easing started to seem more likely
than further rate-cuts in the U.K.
March
The
Fund’s Series A Units were down 4.55%, Series B Units were down 4.40% and Series
I Units were down 4.23% for the month of March 2009. Although most global stock
markets remain in negative territory year to date, many saw a strong rally
during March, to the detriment of the Fund’s short positions. Investor risk
appetite appeared to return following some positive corporate earnings news and
the U.S. Federal Reserve’s revamped toxic asset repurchase and quantitative
easing plans. The S&P 500 had its strongest monthly rally since October
2002, recovering from a 12-year low on March 9. The Federal Reserve’s plan to
repurchase debt caused U.S. fixed income markets to rally. U.S. interest rate
markets and European fixed income markets followed and the Fund’s long positions
performed positively in fixed income sectors. In currency, the announcement of
the Treasury’s new plans resulted in the U.S. dollar weakening against major
currencies and consequently a give-back of some of the profits the Fund had
generated on the back of U.S. dollar strength since the third quarter of 2008.
U.S. dollar weakness and revised inflationary expectations caused commodities
markets to rally to the detriment of the Fund’s short positions. This was seen
particularly in metals, where strategic buying by China caused the prices of
base metals to rally. Precious metals on the other hand declined as investors
sold out of safe haven assets, contrary to the Fund’s long positioning. Energy
markets followed stock markets' direction, with crude oil prices rising over 10%
this month, despite OPEC announcing that it will not cut output.
19
April
The
Fund’s Series A Units were down (4.18)%, Series B Units were down (4.05)% and
Series I Units were down (4.00)% for the month of April
2009. Performance suffered early in the month as the trend reversals
seen in late March continued, most notably in currencies, and also in interest
rate markets following the ECB’s surprise decision to only reduce rates by
25bps. The interest rates sector recovered well to finish the month
flat, but the currencies sector was unable to match this: both the
Sterling and the Canadian dollar recovered following recent weakness and the
resulting losses outweighed the profits seen from the strengthening South
African Rand. In commodities, the energies and agricultural sectors
recorded small profits driven by short positions in natural gas, which reached
multi-year lows, and in lean hogs following concerns over swine
flu. Metals markets were less successful however; short positions in
aluminum and nickel suffered as markets anticipated increased demand as equities
rallied following the G20 summit. Most stock index positions also
suffered from this rally continuing in early April, but positions responded and
small profits were seen in the MSCI Taiwan index and in European sector
indices.
May
The
Fund’s Series A Units were down (2.77)%, Series B Units were down (2.65)% and
Series I Units were down (2.60)% for the month of May
2009. Performance was dominated by the energies sector, which saw
sharp price movements against the Fund's net short position. Positive
economic releases continued to boost investor optimism and risk appetite,
consequently global stock indices finished the month positively. The
portfolio managed to capture this equity market strength, producing positive
returns from most of the positions. Rallying equity markets were
accompanied by a sell-off in fixed income markets. This was to the
benefit of the Fund’s short positions in several bond contracts, most notably
Japanese and Australian government bonds. The interest rates sector
also contributed positively to performance; increased liquidity within the
financial sector helped short ends to rally, particularly Euribor which was the
second best contract for the month. Short sterling also rallied
following the latest UK inflation report however increased risk appetite
resulted in a sell-off in the US Dollar, which hit 2009 lows towards the end of
the month and inflicted losses in the currencies sector. This
weakening in the US Dollar coupled with improving global outlook prompted most
commodity markets to rally. Prices of energies were further boosted
by bullish inventory data, particularly in natural gas.
June
The
Fund’s Series A Units were down (10.02)%, Series B Units were down (9.90)% and
Series I Units were down (9.86)% for the month of June 2009. The
majority of the losses occurred early in the month and were driven by positions
in the interest rates and metals sectors. Rallying equity and
commodities markets continued to boost investor optimism and also increased
speculation that central banks would need to increase short-term rates to
counteract inflationary pressures. Consequently, the US dollar, which
had been weakening since the Fed announced its quantitative easing policies in
March, regained some of its strength and the recent trend in short-term interest
rates reversed. Eurodollar, short sterling and Euribor all saw their
most aggressive selling since October 2008. These sharp moves
resulted in losses on the Fund’s long positions in these
contracts. In response, the Fund reduced its positions as volatility
increased. Performance in other sectors also reflected the difficult
market environment for medium-term trend-following strategies. The
bonds sector saw some losses with the Fund’s short exposure to Japanese
government bonds suffering from the weak outlook for the Japanese
economy. In currencies, the losses in US dollar positions were
compounded by losses in the Swiss Franc and Japanese Yen; these were partially
offset by gains on the Fund’s short Euro exposure. Commodities
markets meanwhile rallied during the month, benefiting long positions in
agricultural commodities such as sugar and soy meal but resulted in losses on
short positions in metals including aluminum.
Off-Balance
Sheet Risk
The term
off-balance sheet risk refers to an unrecorded potential liability that, even
though it does not appear on the balance sheet, may result in future obligation
or loss. The Fund trades in futures and forward currency contracts,
and is therefore a party to financial instruments with elements of off-balance
sheet market and credit risk. In entering into these contracts there
exists a risk to the Fund, market risk, that such contracts may be significantly
influenced by market conditions, such as interest rate volatility, resulting in
such contracts being less valuable. If the markets should move
against all of the futures interests positions of the Fund at the same time, and
if the Trading Advisor was unable to offset futures interest positions of the
Fund, the Fund could lose all of its assets and the limited partners would
realize a 100% loss. The General Partner attempts to decrease market
risk through maintenance of a margin-to-equity ratio that rarely exceeds
30%.
20
In
addition to subjecting the Fund to market risk, upon entering into futures and
forward contracts there is a risk that the counterparty will not be able to meet
its obligations to the Fund. The counterparty for futures contracts
traded in the U.S. and on most non-U.S. exchanges is the clearinghouse
associated with such exchange. In general, clearinghouses are backed
by the corporate members of the clearinghouse who are required to share any
financial burden resulting from the non-performance by one of their members and,
as such, should significantly reduce this risk. In cases where the
clearinghouse is not backed by the clearing members, like some non-U.S.
exchanges, it is normally backed by a consortium of banks or other financial
institutions.
In the
case of forward currency contracts, which are traded on the interbank market
rather than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a group of financial institutions; thus there
may be a greater counterparty risk. The General Partner uses only those
counterparties that it believes to be creditworthy for the Fund. All
positions of the Fund are valued each day on a mark-to-market
basis. There can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to the
Fund.
The Fund
uses U.S. Treasury securities, government sponsored enterprise notes and
commercial paper with maturities of less than one year. Commercial
paper is an unsecured, short-term debt instrument issued by a corporation with
maturities rarely longer than 270 days. Commercial paper is not
usually backed by any form of collateral, therefore only commercial paper issued
by firms with high-quality debt ratings will be used.
Significant
Accounting Estimates
Management
believes that the application of the accounting policy for the fair value of
financial instruments, which is significant to the Fund’s financial position and
results of operations, requires judgments and estimates on the part of
management. A summary of all of the Fund’s significant accounting
policies are included in Note 1 to the Financial Statements.
The
Fund’s financial instruments are carried at fair value. In
determining fair value, management uses inputs that are observable in active or
inactive markets for identical or similar instruments. The Fund’s
investments in money market funds are valued based on published closing prices
for identical instruments. Similarly, the fair value of
exchange-traded futures contracts are based on exchange settlement
prices.
In the
absence of an active market closing price, estimates are involved in determining
fair value. The Fund’s cash management securities broker, futures
broker and forward currency counterparty use third-party pricing services to
value investments that do not trade on active markets. These
third-party pricing services use a market approach which uses prices and other
relevant information generated by market transactions involving identical or
comparable assets or liabilities.
Not
required.
The
General Partner of the Fund, with the participation of the Chief Executive
Officer and Chief Financial Officer, evaluated the effectiveness of the design
and operation of the Fund’s disclosure controls and procedures at June 30, 2010
(the “Evaluation Date”). Based on their evaluation, the Chief
Executive Officer and Chief Financial Officer of the General Partner concluded
that, as of the Evaluation Date, the Fund’s disclosure controls and procedures
were effective.
There has been no change in internal
control over financial reporting that occurred during the six months ended June 30, 2010 that has materially affected, or
is reasonably likely to materially affect, the Fund’s internal control over
financial reporting.
21
None.
Not
required.
There
were no sales of unregistered securities of the Fund during the three months
ended June 30, 2010. Under the Partnership Agreement, limited
partners may redeem their Units at the end of each calendar month at the then
current month-end net asset value per Unit. Redemptions of Units
during the three months ended June 30, 2010 were as follows:
April
|
May
|
June
|
Total
|
|||||||||||||
A Units
|
||||||||||||||||
Units
redeemed
|
225.3931 | 649.1323 | 548.9857 | 1,423.5111 | ||||||||||||
Average net asset value per
Unit
|
$ | 89.62 | $ | 86.03 | $ | 86.72 | $ | 86.86 | ||||||||
B Units
|
||||||||||||||||
Units
redeemed
|
1,687.1252 | 853.6522 | 2,090.8148 | 4,631.5922 | ||||||||||||
Average net asset value per
Unit
|
$ | 97.10 | $ | 93.33 | $ | 94.20 | $ | 95.10 | ||||||||
I Units
|
||||||||||||||||
Units
redeemed
|
948.2005 | 201.8687 | 938.8810 | 2,088.9502 | ||||||||||||
Average net asset value per
Unit
|
$ | 111.37 | $ | 107.10 | $ | 108.15 | $ | 109.51 |
Not
applicable.
None.
The
following exhibits are filed herewith or incorporated by reference.
Exhibit
No.
|
Description
of Exhibit
|
1.1***
|
Form of Selling
Agreement
|
4.1****
|
Limited Partnership
Agreement
|
22
4.2*****
|
Amended and Restated Limited
Partnership Agreement
|
10.1***
|
Form of Amended and Restated
Advisory Agreement between the Fund and the Trading
Advisor
|
10.1.1****
|
Form of Second Amended and
Restated Advisory Agreement between the Fund and the Trading
Advisor
|
10.2*
|
Form of Commodity Brokerage
Agreement between the Fund and Newedge
|
10.3**
|
Form of Corporate Cash Management
Account Agreement between the Fund and UBS
|
31.01
|
Certification
of Chief Executive Officer of the General Partner in accordance with
Section 302 of the Sarbanes-Oxley Act of 2002
|
31.02
|
Certification
of Chief Financial Officer of the General Partner in accordance with
Section 302 of the Sarbanes-Oxley Act of 2002
|
32.01
|
Certification
of Chief Executive Officer of the General Partner in accordance with
Section 906 of the Sarbanes-Oxley Act of 2002
|
32.02
|
Certification
of Chief Financial Officer of the General Partner in accordance with
Section 906 of the Sarbanes-Oxley Act of
2002
|
* Previously filed as an exhibit to
Pre-Effective Amendment No. 2 to the Registration Statement on Form S-1 (SEC
File No.: 333-148049) on April 8, 2008 and incorporated herein by
reference.
** Previously filed as an exhibit to
Pre-Effective Amendment No. 1 to the Registration Statement on Form S-1 (SEC
File No.: 333-148049) on February 14, 2008 and incorporated herein by
reference.
*** Previously filed as an exhibit to
Pre-Effective Amendment No. 3 to the Registration Statement on Form S-1 (SEC
File No.: 333-148049) on May 23, 2008 and incorporated herein by
reference.
**** Previously filed as an exhibit to
Pre-Effective Amendment No. 4 to the Registration Statement on Form S-1 (SEC
File No.: 333-148049) on August 7, 2008 and incorporated herein by
reference.
***** Previously filed as an
exhibit to the
Form 10-K filed on March 31, 2009, and incorporated herein by
reference.
23
SIGNATURES
Pursuant
to the requirements of the U.S. Securities Exchange Act of 1934, the registrant
has caused this report to be signed on its behalf by the undersigned thereunto
duly authorized.
Date: August
12, 2010
|
ASPECT
GLOBAL DIVERSIFIED FUND LP
|
|
By:
|
Steben
& Company, Inc.
|
|
General
Partner
|
||
By:
|
/s/ Kenneth E. Steben
|
|
Name:
|
Kenneth
E. Steben
|
|
Title:
|
President,
Chief Executive Officer and Director of the General
Partner
|
|
(Principal
Executive Officer)
|
||
By:
|
/s/ Carl A. Serger
|
|
Name:
|
Carl
A. Serger
|
|
Title:
|
Chief
Financial Officer and Director of the General Partner
|
|
(Principal
Financial and Accounting
Officer)
|
24