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EX-32.01 - SENECA GLOBAL FUND, L.P.v201504_ex32-01.htm
EX-31.01 - SENECA GLOBAL FUND, L.P.v201504_ex31-01.htm
EX-31.02 - SENECA GLOBAL FUND, L.P.v201504_ex31-02.htm
EX-32.02 - SENECA GLOBAL FUND, L.P.v201504_ex32-02.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 September 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) 631-7600

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
September 30, 2010 (Unaudited) and December 31, 2009 (Audited)

   
September 30,
2010
   
December 31,
2009
 
Assets
           
Equity in broker trading accounts
           
Cash
  $ 14,927,451     $ 9,216,600  
Net unrealized gain (loss) on open futures contracts
    1,999,888       (92,230 )
Net unrealized gain (loss) on open forward currency contracts
    885,109       (122,645 )
Interest receivable
    1,119       189  
Total equity in broker trading accounts
    17,813,567       9,001,914  
Cash and cash equivalents
    32,101,610       22,864,973  
Government sponsored enterprise notes, at fair value
    -       2,018,783  
Total assets
  $ 49,915,177     $ 33,885,670  
                 
Liabilities and Partners’ Capital (Net Asset Value)
               
Liabilities
               
Trading Advisor management fee payable
  $ 266,201     $ 189,042  
Trading Advisor incentive fee payable
    35,895       --  
Commissions and other trading fees payable on open contracts
    11,371       3,732  
Administrative expenses payable – General Partner
    35,952       74,835  
Broker dealer custodial fee payable – General Partner
    5,581       4,397  
Broker dealer servicing fee payable – General Partner
    2,344       1,685  
General Partner management fee payable
    43,594       28,705  
Offering expenses payable – General Partner
    29,723       19,571  
Selling Agent fees payable – General Partner
    23,944       15,967  
Redemptions payable
    58,720       189,947  
Subscriptions received in advance
    1,693,569       1,957,075  
Total liabilities
    2,206,894       2,484,956  
Partners’ Capital (Net Asset Value)
               
        General Partner Units – 4,011.5691 units outstanding at
               
     September 30, 2010 and December 31, 2009
    483,682       434,130  
Series A Units –  153,966.1969 units and 110,813.7773 units outstanding
               
     at September 30, 2010 and December 31, 2009, respectively
    14,258,596       9,492,784  
Series B Units –  120,328.0082 units and 104,085.6268 units outstanding
               
     at September 30, 2010 and December 31, 2009, respectively
    12,151,940       9,610,394  
        Series I Units –  179,248.3627 units and 112,253.4442 units outstanding
               
at September 30, 2010 and December 31, 2009, respectively
    20,814,065       11,863,406  
Total partners’ capital  (net asset value)
    47,708,283       31,400,714  
Total liabilities and partners’ capital (net asset value)
  $ 49,915,177     $ 33,885,670  
 
The accompanying notes are an integral part of these financial statements.

 
1

 


Aspect Global Diversified Fund LP
Condensed Schedule of Investments
September 30, 2010
(Unaudited)

 
Description
 
Fair Value
   
% of Partners’ Capital (Net Asset Value)
 
Long U.S. Futures Contracts
           
 
Agricultural (1)
  $ 520,156       1.09 %
 
Currency
    1,763       0.00 %
 
Interest rate (1)
    529,671       1.11 %
 
Metal (1)
    793,863       1.66 %
 
Stock index
    71,453       0.15 %
 
Net unrealized gain on open long U.S. futures contracts
    1,916,906       4.01 %
                   
Short U.S. Futures Contracts
               
 
Agricultural
    (26,833 )     (0.06 )%
 
Energy
    (279,994 )     (0.59 )%
 
Metal
    (12,178 )     (0.03 )%
 
Stock index
    (4,050 )     (0.01 )%
 
Net unrealized loss on open short U.S. futures contracts
    (323,055 )     (0.69 )%
                   
Long Foreign Futures Contracts
               
 
Agricultural
    21,096       0.04 %
 
Interest rate
    458,059       0.96 %
 
Stock index
    (11,544 )     (0.02 )%
 
Net unrealized gain on open long foreign futures contracts
    467,611       0.98 %
                   
Short Foreign Futures Contracts
               
 
Agricultural
    (5,972 )     (0.01 )%
 
Interest rate
    (8,229 )     (0.02 )%
 
Stock index
    (47,373 )     (0.10 )%
 
Net unrealized loss on open short foreign futures contracts
    (61,574 )     (0.13 )%
                   
 
Net unrealized gain on open futures contracts
  $ 1,999,888       4.17 %
                   
U.S. Forward Currency Contracts
               
 
Long (1)
  $ 621,409       1.30 %
 
Short
    (271,293 )     (0.57 )%
 
Net unrealized gain on open U.S. forward currency contracts
    350,116       0.73 %
                   
Foreign Forward Currency Contracts
               
 
Long
    (32,575 )     (0.07 )%
 
Short (1)
    567,568       1.19 %
 
Net unrealized gain on open foreign forward currency contracts
    534,993       1.12 %
                   
 
Net unrealized gain on open forward currency contracts
  $ 885,109       1.85 %

(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 Nine Months Ended September 30, 2010 and 2009
 (Unaudited)

   
Three Months Ended September 30,
   
Nine Months Ended
September 30,
 
   
2010
   
2009
   
2010
   
2009
 
Trading Gain (Loss)
                       
Net realized gain (loss)
  $ 2,131,124     $ 394,324     $ 2,391,187     $ (2,550,759 )
Net change in unrealized gain
    1,663,288       1,562,883       3,099,872       966,846  
Brokerage commissions and trading expenses
    (28,198 )     (22,558 )     (72,413 )     (53,426 )
Net gain (loss) from trading
    3,766,214       1,934,649       5,418,646       (1,637,339 )
                                 
Net Investment Loss
                               
Income
                               
Interest income
    38,184       10,482       81,237       45,729  
Expenses
                               
Trading Advisor management fee
    266,201       150,815       699,609       355,879  
Trading Advisor incentive fee
    35,895       --       35,895       --  
General Partner management fee
    120,720       67,948       316,927       159,312  
Selling Agent fees
    66,891       32,905       177,970       52,385  
Broker dealer servicing fee – General Partner
    6,595       3,808       17,910       7,367  
Broker dealer custodial fee – General Partner
    15,838       10,561       45,184       19,525  
Administrative expenses – General Partner
    105,370       108,579       448,922       308,541  
Offering expenses – General Partner
    167,525       96,065       319,793       307,417  
Total expenses
    785,035       470,681       2,062,210       1,210,426  
Administrative and offering expenses waived
    (85,217 )     (98,608 )     (275,700 )     (366,277 )
Net total expenses
    699,818       372,073       1,786,510       844,149  
Net investment loss
    (661,634 )     (361,591 )     (1,705,273 )     (798,420 )
Net Income (Loss)
  $ 3,104,580     $ 1,573,058     $ 3,713,373     $ (2,435,759 )

   
Series A
   
Series B
   
Series I
   
General Partner
 
Three Months Ended September 30, 2010
                       
Increase in net asset value per Unit
  $ 5.89     $ 6.79     $ 7.97     $ 8.79  
Net income per Unit
  (based on weighted average number of units outstanding)
  $ 6.20     $ 6.98     $ 8.48     $ 8.79  
Weighted average number of Units outstanding
    144,063.6227       116,661.4714       160,693.2039       4,011.5691  
                                 
Three Months Ended September 30, 2009
                               
Increase in net asset value per Unit
  $ 4.60     $ 5.29     $ 6.20     $ 6.80  
Net income per Unit
  (based on weighted average number of units outstanding)
  $ 6.59     $ 6.12     $ 6.80     $ 6.80  
Weighted average number of Units outstanding
    66,687.4396       80,019.9196       90,698.9106       4,011.5691  

   
Series A
   
Series B
   
Series I
   
General Partner
 
Nine Months Ended September 30, 2010
                       
Increase in net asset value per Unit
  $ 6.95     $ 8.66     $ 10.44     $ 12.35  
Net income per Unit
  (based on weighted average number of units outstanding)
  $ 7.78     $ 9.19     $ 11.63     $ 12.35  
Weighted average number of Units outstanding
    131,929.3558       113,427.5809       137,059.2882       4,011.5691  
                                 
Nine Months Ended September 30, 2009
                               
Decrease in net asset value per Unit
  $ (15.46 )   $ (15.33 )   $ (16.81 )   $ (15.34 )
Net loss per Unit
  (based on weighted average number of units outstanding)
  $ (5.07 )   $ (12.98 )   $ (18.37 )   $ (15.34 )
Weighted average number of Units outstanding
    35,328.3057       47,937.0794       85,615.4035       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 Nine Months Ended September 30, 2010 and 2009
 (Unaudited)

   
2010
   
2009
 
Cash flows from operating activities
           
Net income (loss)
  $ 3,713,373     $ (2,435,759 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
               
Net change in unrealized gain
    (3,099,872 )     (966,846 )
Changes in
               
Interest receivable
    (930 )     (387 )
Government sponsored enterprise notes
    2,018,783       (2,015,592 )
Commercial paper
    --       1,993,829  
Trading Advisor management fee payable
    77,159       104,866  
Trading Advisor incentive fee payable
    35,895       (326,088 )
Commissions and other trading expenses payable on open contracts
    7,639       2,587  
Administrative expenses payable – General Partner
    (38,883 )     37,528  
Broker dealer custodial fee payable – General Partner
    1,184       3,909  
Broker dealer servicing fee payable – General Partner
    659       1,365  
General Partner management fee payable
    14,889       17,812  
Offering expenses payable – General Partner
    10,152       12,145  
Selling Agent fees payable – General Partner
    7,977       13,471  
Net cash provided by (used in) operating activities
    2,748,025       (3,557,160 )
                 
Cash flows from financing activities
               
Subscriptions
    13,344,785       24,243,708  
Subscriptions received in advance
    1,693,569       2,604,956  
Redemptions
    (2,838,891 )     (6,205,214 )
Net cash provided by financing activities
    12,199,463       20,643,450  
                 
Net increase in cash and cash equivalents
    14,947,488       17,086,290  
Cash and cash equivalents, beginning of period
    32,081,573       11,229,458  
Cash and cash equivalents, end of period
  $ 47,029,061     $ 28,315,748  
                 
End of period cash and cash equivalents consists of
               
Cash in broker trading accounts
  $ 14,927,451     $ 9,310,637  
Cash and cash equivalents
    32,101,610       19,005,111  
Total end of period cash and cash equivalents
  $ 47,029,061     $ 28,315,748  
                 
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
  $ 58,720     $ 304,681  

 
5

 

Aspect Global Diversified Fund LP
Statements of Changes in Partners’ Capital (Net Asset Value)
For the Nine Months Ended September 30, 2010 and 2009
 (Unaudited)
 
   
Series A
   
Series B
   
Series I
   
General Partner
       
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
   
Total
 
Nine Months Ended
September 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
            1,026,219               1,042,954               1,594,648               49,552       3,713,373  
   Subscriptions
    45,874.2383       3,977,979       29,499.3266       2,743,501       78,537.6000       8,580,380       --       --       15,301,860  
   Redemptions
    (2,721.8187 )     (238,386 )     (13,110.9112 )     (1,230,161 )     (11,669.6895 )     (1,239,117 )     --       --       (2,707,664 )
   Transfers
              --       (146.0340 )     (14,748 )     127.0080       14,748       --       --       --  
   Balance at September 30, 2010
    153,966.1969     $ 14,258,596       120,328.0082     $ 12,151,940       179,248.3627     $ 20,814,065       4,011.5691     $ 483,682     $ 47,708,283  
                                                                         
Nine Months Ended
September 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
            (178,941 )             (622,183 )             (1,573,087 )             (61,548 )     (2,435,759 )
   Subscriptions
    90,807.6295       8,222,063       91,342.5748       9,275,547       88,837.4299       10,379,906       --       --       27,877,516  
   Redemptions
    (195.4252 )     (17,104 )     (1,765.4440 )     (165,112 )     (54,720.8155 )     (6,202,679 )     --       --       (6,384,895 )
   Balance at September 30, 2009
    92,210.8787     $ 8,192,773       93,269.1464     $ 8,897,032       100,471.7586     $ 10,953,580       4,011.5691     $ 445,766     $ 28,489,151  
 
   
Net Asset Value Per Unit
 
   
Series A
   
Series B
   
Series I
   
General Partner
 
September 30, 2010
  $ 92.61     $ 100.99     $ 116.12     $ 120.57  
December 31, 2009
    85.66       92.33       105.68       108.22  
September 30, 2009
    88.85       95.39       109.02       111.12  
December 31, 2008
    104.31       110.72       125.83       126.46  


 
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 (UK Branch) (collectively “NUSA”), UBS Financial Services, Inc. (“UBS”) and Bank of America.  At September 30, 2010, cash and cash equivalents balances held at NUSA, UBS and Bank of America were $14,927,451, $7,396 and $32,094,214, 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 asset or liability in the current year.  Management has determined there are no material uncertain income tax positions through September 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.  Effective November 1, 2010, the General Partner invested an additional $100,000 in the Fund (see Note 4).
   
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 September 30, 2010
                 
   
Level 1
   
Level 2
   
Total
 
Equity in broker trading accounts:
                 
Net unrealized gain on open futures contracts
  $ 1,999,888     $ --     $ 1,999,888  
Net unrealized gain on open forward currency contracts
    --       885,109       885,109  
Cash and cash equivalents:
                       
    Money market fund
    7,396       --       7,396  
Total
  $ 2,007,284     $ 885,109     $ 2,892,393  


 
9

 


At December 31, 2009
                 
   
Level 1
   
Level 2
   
Total
 
Equity in broker trading accounts:
                 
Net unrealized 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 September 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 September 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
  $ 684,965     $ (176,518 )   $ 508,447  
Currency
    1,763       --       1,763  
Energy
    129,380       (409,374 )     (279,994 )
Interest rate
    1,323,154       (343,653 )     979,501  
Metal
    798,048       (16,363 )     781,685  
Stock index
    99,290       (90,804 )     8,486  
Net unrealized gain (loss) on open futures contracts
  $ 3,036,600     $ (1,036,712 )   $ 1,999,888  
                         
Net unrealized gain (loss) on open forward currency contracts
  $ 1,291,615     $ (406,506 )   $ 885,109  

At September 30, 2010, there were 3,470 open futures contracts and 617 open forward currency contracts.

 
10

 


For the three and nine months ended September 30, 2010, the Fund’s derivative contracts had the following impact on the statements of operations:

   
Three Months Ended
September 30, 2010
   
Nine Months Ended
September 30, 2010
 
Types of Exposure
 
Net realized gain (loss)
   
Net change
in unrealized gain
   
Net realized gain (loss)
   
Net change
in unrealized gain
 
Futures contracts
                       
Agricultural
  $ (141,439 )   $ 492,646     $ (784,728 )   $ 170,618  
Currency
    7,084       1,763       (23,409 )     9,113  
Energy
    (474,606 )     (459,498 )     (1,465,203 )     (410,582 )
Interest rate
    3,419,844       (477,358 )     6,890,355       1,623,597  
Metal
    (292,049 )     759,773       (1,339,110 )     980,383  
Stock index
    (286,925 )     (90,621 )     (1,342,921 )     (281,011 )
Total futures contracts
    2,231,909       226,705       1,934,984       2,092,118  
                                 
Forward currency contracts
    (80,637 )     1,436,583       492,094       1,007,754  
                                 
Total futures and forward currency contracts
  $ 2,151,272     $ 1,663,288     $ 2,427,078     $ 3,099,872  

For the three and nine months ended September 30, 2010, the number of futures contracts closed was 5,926 and 16,626, respectively, and the number of forward currency contracts closed was 2,002 and 4,988, 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 gain (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.

 
11

 


For the three and nine months ended September 30, 2009, the Fund’s derivative contracts had the following impact on the statements of operations:

   
Three Months Ended
September 30, 2009
   
Nine Months Ended
September 30, 2009
 
Types of Exposure
 
Net realized gain (loss)
   
Net change
in unrealized gain
   
Net realized gain (loss)
   
Net change
in unrealized gain
 
Futures contracts
                       
Agricultural
  $ 165,471     $ 130,707     $ 20,050     $ 254,538  
Currency
    5,483       5,656       11,154       5,656  
Energy
    (143,251 )     (256,797 )     (934,332 )     (196,587 )
Interest rate
    105,835       893,257       (446,402 )     241,563  
Metal
    (97,875 )     420,616       (579,172 )     246,092  
Stock index
    289,587       52,455       156,013       96,182  
Total futures contracts
    325,250       1,245,894       (1,772,689 )     647,444  
                                 
Forward currency contracts
    60,826       316,989       (789,047 )     319,402  
                                 
Total futures and forward currency contracts
  $ 386,076     $ 1,562,883     $ (2,561,736 )   $ 966,846  

For the three and nine months ended September 30, 2009, the number of futures contracts closed was 7,019 and 13,803, respectively, and the number of forward currency contracts closed was 1,562 and 3,338, 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.

At September 30, 2010 and December 31, 2009, the General Partner had an investment of 4,011.5691 Units valued at $483,682 and $434,130, respectively.  Effective November 1, 2010, the General Partner purchased an additional 795.2081 Units for $100,000.  This investment was made to maintain its interest in the capital of the Fund above the minimum requirements described above.

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.

 
12

 

 
5.
Trading Advisor

The Fund has an agreement with the Trading Advisor, pursuant to which the Fund incurs a 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 September 30, 2010 and December 31, 2009, the Fund had margin requirements of $8,806,882 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 September 30, 2010 and 2009, actual administrative expenses were $105,370 and $108,579, respectively.  For the nine months ended September 30, 2010 and 2009, actual administrative expenses were $448,922 and $308,541, respectively.  Such amounts are presented as administrative expenses – General Partner in the statements of operations.

Additionally, during the three months ended September 30, 2010, actual expenses did not exceed the 0.95% limitation.  However, during the three months ended September 30, 2009, the General Partner absorbed administrative expenses in excess of the 0.95% limitation of $48,872.  During the nine months ended September 30, 2010 and 2009, the General Partner absorbed administrative expenses in excess of the 0.95% limitation of $171,993 and $167,483, respectively.  Such amounts are included in administrative and offering expenses waived in the statements of operations.

At September 30, 2010 and December 31, 2009, $35,952 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 September 30, 2010 and 2009, offering expenses were $167,525 and $96,065, respectively.  For the nine months ended September 30, 2010 and 2009, offering expenses were $319,793 and $307,417, respectively.  Such amounts are presented as offering expenses – General Partner in the statements of operations.

Additionally, during the three months ended September 30, 2010 and 2009, the General Partner absorbed offering expenses in excess of the 0.75% limitation of $85,217 and $49,736, respectively.  During the nine months ended September 30, 2010 and 2009, the General Partner absorbed offering expenses in excess of the 0.75% limitation of $103,707 and $198,794, respectively.  Such amounts are included in administrative and offering expenses waived in the statements of operations.  At September 30, 2010 and December 31, 2009, $29,723 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.

 
13

 

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 September 30, 2010 and December 31, 2009, the Fund received advance subscriptions of $1,693,569 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 in 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 non-exempt 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.

Purchase and sale of futures contracts requires margin deposits with futures brokers. Additional deposits may be necessary for any loss of 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 (UK 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 non-performance 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.

 
14

 


The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance.  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 mark-to-market losses on the Fund’s fixed income instruments, although substantially all of the short-term investments are held to maturity.

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.
 
11.
Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, at September 30, 2010, the statements of operations for the three and nine months ended September 30, 2010 and 2009, the statements of cash flows and changes in partners’ capital (net asset value) for the nine months ended September 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 September 30, 2010, results of operations for the three and nine months ended September 30, 2010 and 2009, cash flows and changes in partners’ capital (net asset value) for the nine months ended September 30, 2010 and 2009.  The results of operations for the three and nine months ended September 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.

 
15

 

12.           Financial Highlights

The following information presents per Unit operating performance results and other supplemental financial ratios for the three and nine months ended September 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
September 30, 2010
   
Three Months Ended
September 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
  $ 86.72     $ 94.20     $ 108.15     $ 84.25     $ 90.10     $ 102.82  
Income from operations
                                               
Gain from trading (1)
    7.59       8.23       9.50       6.37       6.69       7.61  
Net investment loss (1)
    (1.70 )     (1.44 )     (1.53 )     (1.77 )     (1.40 )     (1.41 )
Total income from operations
    5.89       6.79       7.97       4.60       5.29       6.20  
Net asset value per Unit at end of period
  $ 92.61     $ 100.99     $ 116.12     $ 88.85     $ 95.39     $ 109.02  
                                                 
Total return (5)
    6.79 %     7.21 %     7.37 %     5.46 %     5.87 %     6.03 %
                                                 
Other Financial Ratios
                                               
Ratios to average net asset value
                                               
Expenses prior to Trading Advisor incentive fee (2) (3) (4)
    7.66 %     5.95 %     5.48 %     8.42 %     6.26 %     5.57 %
Trading Advisor incentive fee (5)
    0.08 %     0.08 %     0.09 %     --       --       --  
Total expenses (2) (3) (4)
    7.74 %     6.03 %     5.57 %     8.42 %     6.26 %     5.57 %
Net investment loss (2) (3) (4) (6)
    (7.30 )%     (5.60 )%     (5.12 )%     (8.23 )%     (6.08 )%     (5.39 )%


 
16

 


   
Nine Months Ended
September 30, 2010
   
Nine Months Ended
September 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)
    11.80       12.78       14.72       (10.19 )     (10.91 )     (12.26 )
Net investment loss (1)
    (4.85 )     (4.12 )     (4.28 )     (5.27 )     (4.42 )     (4.55 )
Total income (loss) from operations
    6.95       8.66       10.44       (15.46 )     (15.33 )     (16.81 )
Net asset value per Unit at end of period
  $ 92.61     $ 100.99     $ 116.12     $ 88.85     $ 95.39     $ 109.02  
                                                 
Total return (5)
    8.11 %     9.38 %     9.87 %     (14.82 )%     (13.84 )%     (13.36 )%
                                                 
Other Financial Ratios
                                               
Ratios to average net asset value
                                               
Expenses prior to Trading Advisor incentive fee (2) (3) (4)
    7.56 %     5.97 %     5.39 %     8.18 %     6.44 %     5.68 %
Trading Advisor incentive fee (5)
    0.09 %     0.09 %     0.10 %     --       --       --  
Total expenses (2) (3) (4)
    7.65 %     6.06 %     5.49 %     8.18 %     6.44 %     5.68 %
Net investment loss (2) (3) (4) (6)
    (7.27 )%     (5.69 )%     (5.10 )%     (7.91 )%     (6.15 )%     (5.30 )%

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 September 30, 2010 and 2009, the ratios are net of 0% and 0.85% effect of waived administrative expenses, respectively.  For the three months ended September 30, 2010 and 2009, the ratios are net of 0.81% and 0.88% effect of waived offering expenses, respectively.  For the nine months ended September 30, 2010 and 2009, the ratios are net of 0.61% and 1.24% effect of waived administrative expenses, respectively.  For the nine months ended September 30, 2010 and 2009, the ratios are net of 0.37% and 1.51% effect of waived offering expenses, respectively.
 
(3)
The net investment loss includes interest income and excludes realized and unrealized gain (loss) 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 gain (loss) 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.
 
(6)
Ratio excludes Trading Advisor incentive fee.
 
 
 

 
17

 

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.

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 September 30, 2010, 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 nine months ended September 30, 2010 and 2009 were:

Series of Units
 
2010
 
2009
  Series A
 
8.11%
 
(14.82)%
  Series B
 
9.38%
 
(13.84)%
  Series I
 
9.87%
 
(13.36)%

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 UK 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.

 
18

 


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 UK 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 U.S. 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.
 

 
19

 

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.
 
July
 
The Fund’s Series A, B and I Units finished the month down 1.98%, 1.86% and 1.81%, respectively.  In a similar pattern to recent months, positive performance was seen in currency markets and from long positions in the fixed income sector.  However, short exposures in equities and commodities experienced losses as these sectors generally rallied, reversing the downward trends of previous months.  The fixed income perfor­mance was driven by the U.S. and UK markets.  In the U.S., weaker than expected economic data released in the middle of the month pushed both government bonds and short-term interest rate futures higher.  In the UK, the trend was briefly derailed by unexpectedly strong GDP figures but prices recovered following the Bank of England statement playing down the significance of this on the outlook for interest rates.  Global equity mar­kets rallied sharply, helped by strong earnings results and economic data in Europe and the UK, as well as the relatively benign impact of the EU banks’ stress testing results.  Energy and base metal markets also joined in this rally, hurting the Fund’s short exposures, especially in Zinc.  By contrast, Gold prices fell back in July as economic worries waned, causing some giveback of recent profits.  Finally, agriculturals produced mixed results.  The Fund’s short position in wheat suffered as the market saw its biggest monthly gain since 1973 driven by supply concerns over droughts in Russia and Ukraine.  However, long exposure in coffee profited as prices reached a 12-year high.
 
August
 
The Fund’s Series A, B and I Units finished the month up 7.90%, 8.04% and 8.09%, respectively.  Performance was largely driven by the Fund’s long positions in fixed income, particu­larly bonds.  August was characterized by risk-aversion in markets, which was fueled by poor economic data out of the U.S. and comments Bernanke made early in the month.  The UK, Europe and Japan also released weak data.  Consequently, the majority of global stock markets sold off and posted losses for the month.  Against this backdrop, fixed income markets rallied worldwide and the U.S. dollar strengthened.  Losses on the Fund’s net short exposure to the U.S. dollar were partially offset by gains on long exposures to other safe-haven currencies, namely, the Swiss franc and the Japanese yen.  The yen hit 15-year highs in August and the Bank of Japan met several times to discuss the yen’s strength. In energies, gains on short positions in crude oil and natural gas were reduced by variable exposures to gas oil and reformulated gasoline.  Crude oil and natural gas prices declined as a result of the weaker growth outlook and risk aversion. Natural gas was further affected by bearish inventory data.  Performance in agriculturals was mostly driven by losses on long positions in Robusta coffee.  After range bound behavior for most of the month, prices pulled back sharply on the 24th following strong export numbers out of Vietnam.
 
September
 
The Fund’s Series A, B and I Units finished the month up 0.98%, 1.11% and 1.16%, respectively.  The month started with investor optimism following strong manufacturing numbers out of China and the U.S. Consequently, fixed income markets sold off, to the detriment of the Fund’s long positions, while equity markets rallied. However, the prices of U.S. bonds recovered following the U.S. Federal Reserve’s comments towards the end of the month about the possibility of a further round of quantitative easing. Similarly, Japanese Government bonds prices also recovered following the Bank of Japan’s mid-month market action in an effort to weaken the Yen. Against this backdrop, the U.S. dollar declined to the benefit of the Fund’s net short positioning, particularly against commodity currencies and the Swiss franc. Long positions in emerging market currencies also contributed positively. Performance in commodities was mixed. Strong performance in agriculturals was driven by gains on long positions in cotton, the soy complex, sugar and corn. Grain prices rallied after delays in the U.S. harvest and poor crop yields; cotton reached 15-year highs as poor weather in China and floods in Pakistan damaged crops. In energies, oil prices gained on the back of a weaker U.S. dollar and an unexpected drop in inventories towards the end of the month, to the detriment of the Fund’s short positioning. Lastly, performance in metals was largely driven by gains from gold and silver, whose prices rallied on the back of safe-haven buying.
 

 
20

 


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 UK 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 UK.

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.

 
21

 

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 U.S. Dollar, which hit 2009 lows towards the end of the month and inflicted losses in the currencies sector.  This weakening in the U.S. 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 U.S. 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 U.S. 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.

July
 
The Fund’s Series A Units were down 1.91%, Series B Units were down 1.78% and Series I Units were down 1.73% for the month of July 2009.  Global equity markets sold off at the start of the month in response to poor economic data in the U.S. In addition, the ECB announced that it would keep interest rates on hold at their current levels resulting in a rally in fixed income markets. This benefited the Fund’s long exposure to European bonds and short-term rates. However, investor sentiment changed mid-month as corporate earnings announcements across a broad range of industries exceeded analysts’ forecasts and drove stock markets higher. Increased risk appetite in turn resulted in commodities markets rallying, the U.S. dollar weakening and fixed income markets selling off. Consequently, the Fund saw a reduction of the previous gains made in fixed income and its net short USD exposure also saw losses. The agricultural sector was the worst performer in July; the Fund’s long positions in the soy complex suffered as grains sold off early in the month due to favorable weather conditions in the U.S. In energies, short positions in natural gas continued to be profitable as mild weather and inventory build-ups pushed prices downwards. However, these gains were more than offset by losses on short positions across most of the other energy markets.

 
22

 

August
 
The Fund’s Series A Units were up 4.37%, Series B Units were up 4.50% and Series I Units were up 4.55% for the month of August 2009.  The Fund had a positive month, with all sectors contributing positively. Performance in August was led by commodities, with agricultural finishing as the best sector. The long positions in sugar provided much of the profit, as global supplies and crop forecasts declined due to adverse weather conditions in Brazil and India, pushing prices to 28-year highs. In contrast, natural gas profits came on the short side as inventory build-ups pushed prices down to 7-year lows, making it the Fund’s second best market this month. Positions elsewhere in the energies sector were less successful however, as the oil price became more range-bound. In metals, the continued rally in copper provided better opportunities. In financial markets, the recovery of risk appetite continued with global stock markets finishing higher for another month. The Fund’s long stock indices exposure was able to take advantage of this strengthening trend. Furthermore, major central bankers reiterated that interest rate increases are unlikely in the near-term, causing the prices of short-term interest rate futures to rise and to result in positive performance from the Fund’s positions in that sector. The Bank of England’s bearish tones on the UK economy particularly boosted the short sterling.

September
 
The Fund’s Series A Units were up 3.01%, Series B Units were up 3.15% and Series I Units were up 3.20% for the month of September 2009.  The Fund returns were driven by the financials and metals sectors. Global stock markets started the month on the decline following some poor economic data from the U.S. and the UK Sentiment later recovered and stock markets rallied following more positive economic releases, increased merger activity and comments by the ECB indicating that the worst of the recession is over. The ECB also, however, cautioned that it was too early to unwind monetary stimuli, which resulted in fixed income markets, particularly short-term rates, rallying as the likelihood of interest rate hikes was discounted. The currencies sector was the best performer as the U.S. dollar sold off and the Dollar Index hit its lowest levels since September 2008. In commodities, the price of natural gas provided most of the volatility within the sector. Front month natural gas contracts eventually rallied by over 30% from 7-year lows following bullish inventory data and short covering. Consequently, the Fund’s short position here was the worst performer. The contribution from the metals sector was also volatile over the course of the month but finished positively. Precious metals were the key within this sector with strong gains on long positions in gold and silver, which both rallied on the back of U.S. dollar weakness.

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%.

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency 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.

 
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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 September 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 nine months ended September 30, 2010 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.


 
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None.


Not required.


There were no sales of unregistered securities of the Fund during the three months ended September 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 September 30, 2010 were as follows:

   
July
   
August
   
September
   
Total
 
A Units
                       
Units redeemed
    --       --       99.5386       99.5386  
Average net asset value per Unit
  $ 85.00     $ 91.71     $ 92.61     $ 92.61  
                                 
B Units
                               
Units redeemed
    1,189.9604       534.1470       234.2960       1,958.4034  
Average net asset value per Unit
  $ 93.38     $ 99.88     $ 100.99     $ 96.07  
                                 
I Units
                               
Units redeemed
    780.7183       943.3016       222.5358       1,946.5557  
Average net asset value per Unit
  $ 106.20     $ 114.79     $ 116.12     $ 111.50  
 

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

 
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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.



 
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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:  November 10, 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)
     



 
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