Attached files
file | filename |
---|---|
EX-31.01 - EXHIBIT 31.01 - SENECA GLOBAL FUND, L.P. | ex31_01.htm |
EX-32.02 - EXHIBIT 32.02 - SENECA GLOBAL FUND, L.P. | ex32_02.htm |
EX-31.02 - EXHIBIT 31.02 - SENECA GLOBAL FUND, L.P. | ex31_02.htm |
EX-32.01 - EXHIBIT 32.01 - SENECA GLOBAL FUND, L.P. | ex32_01.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
D.C. 20549
FORM
10-Q
T
|
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
|
|
SECURITIES
EXCHANGE ACT OF 1934
|
For
the quarterly period ended September 30, 2009
OR
o
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
|
|
SECURITIES
EXCHANGE ACT OF 1934
|
For
the transition period
from to
Commission
file number: 333-148049
ASPECT
GLOBAL DIVERSIFIED FUND LP
(Exact
name of registrant as specified in its charter)
Delaware
|
72-3236572
|
|
(State
of Incorporation)
|
(IRS
Employer Identification No.)
|
c/o
Steben & Company, Inc.
2099
Gaither Road, Suite 200
Rockville,
Maryland 20850
(Address
of Principal Executive Office)(zip code)
(240)
631-9808
Registrant’s
Telephone Number, Including Area Code:
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 T No
o
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 o No
o
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):
o Large
accelerated filer
|
o Accelerated
filer
|
|||
o Non-accelerated
filer
|
T 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 o No T
Indicate
the number of shares outstanding of each of the issuer’s classes of common
stock, as of the latest practicable date: N/A
Table of Contents
Part
I:
|
Financial
Information
|
1
|
|
Item
1.
|
Financial
Statements
|
1
|
|
1 | |||
2 | |||
4 | |||
6 | |||
8 | |||
9 | |||
10
|
|||
Item
2.
|
24
|
||
Item
3.
|
29
|
||
Item
4.
|
29
|
||
Part
II:
|
Other
Information
|
31
|
|
Item
1.
|
31
|
||
Item
1A.
|
31
|
||
Item
2.
|
31
|
||
Item
3.
|
|||
Item
4.
|
31
|
||
Item
5.
|
31
|
||
Item
6.
|
31
|
ASPECT
GLOBAL DIVERSIFIED FUND LP
STATEMENTS
OF FINANCIAL CONDITION
September
30, 2009 (Unaudited) and December 31, 2008 (Audited)
September
30,
|
December
31,
|
|||||||
2009
|
2008
|
|||||||
ASSETS
|
||||||||
Equity
in broker trading accounts
|
||||||||
Cash
|
$ | 9,310,637 | $ | 4,053,557 | ||||
Interest
receivable
|
786 | 399 | ||||||
Net
unrealized gain on open futures contracts
|
1,043,727 | 396,283 | ||||||
Net
unrealized gain (loss) on open forward currency contracts
|
299,713 | (19,689 | ) | |||||
Deposits
with brokers
|
10,654,863 | 4,430,550 | ||||||
Cash
and cash equivalents
|
19,005,111 | 7,175,901 | ||||||
Commercial
paper, at fair value (cost - $0 and $1,976,299)
|
- | 1,993,829 | ||||||
Government-sponsored
enterprises, at fair value (cost - $2,009,778 and $0)
|
2,015,592 | - | ||||||
Total
assets
|
$ | 31,675,566 | $ | 13,600,280 | ||||
LIABILITIES
|
||||||||
Accounts
payable - General Partner
|
59,528 | $ | 22,000 | |||||
Commissions
and other trading fees on open contracts
|
3,227 | 640 | ||||||
General
Partner fee
|
26,116 | 8,304 | ||||||
Trading
Advisor management fee
|
150,815 | 45,949 | ||||||
Trading
Advisor incentive fee
|
- | 326,088 | ||||||
Selling
Agents’ commissions – General Partner
|
13,753 | 282 | ||||||
Broker
dealer servicing fee – General Partner
|
1,508 | 143 | ||||||
Broker
dealer custodial fee – General Partner
|
4,024 | 115 | ||||||
Offering
expenses – General Partner
|
17,807 | 5,662 | ||||||
Redemptions
payable
|
304,681 | 125,000 | ||||||
Subscriptions
received in advance
|
2,604,956 | 3,633,808 | ||||||
Total
liabilities
|
3,186,415 | 4,167,991 | ||||||
PARTNERS’
CAPITAL (Net Asset Value)
|
||||||||
General
Partner Units 4,011.5691 units and 4,011.5691 units outstanding at
September 30, 2009 and December 31, 2008
|
$ | 445,766 | $ | 507,314 | ||||
Series
A Units – 92,210.8787 units and 1,598.6744 units outstanding at September
30, 2009 and December 31, 2008
|
8,192,773 | 166,755 | ||||||
Series
B Units – 93,269.1464 units and 3,692.0156 units outstanding at September
30, 2009 and December 31, 2008
|
8,897,032 | 408,780 | ||||||
Series
I Units – 100,471.7586 units and 66,355.1442 units outstanding at
September 30, 2009 and December 31, 2008
|
10,953,580 | 8,349,440 | ||||||
Total
partners’ capital (net asset value)
|
28,489,151 | 9,432,289 | ||||||
Total
liabilities and partners’ capital (net asset value)
|
$ | 31,675,566 | $ | 13,600,280 |
The
accompanying notes are an integral part of these financial
statements.
ASPECT
GLOBAL DIVERSIFIED FUND LP
CONDENSED
SCHEDULE OF INVESTMENTS
September
30, 2009
(Unaudited)
GOVERNMENT-SPONSORED
ENTERPRISES
|
|||||||||||
Maturity
|
%
of Net
|
||||||||||
Face Value
|
Date
|
Description
|
Fair
Value
|
Asset
Value
|
|||||||
$2,000,000 |
03/30/10
|
Federal
Home Loan Bank Bond (not callable), 1.100%
|
$ | 2,015,592 | 7.07 | % | |||||
Total
Government-sponsored enterprises (cost - $2,009,778)
|
$ | 2,015,592 | 7.07 | % | |||||||
LONG U.S. FUTURES CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain (loss)
on open long
contracts (Fair Value)
|
%
of Net Asset Value |
|||||||||
Agricultural
|
$ | 115,490 | 0.41 | % | |||||||
Currency
|
5,656 | 0.02 | % | ||||||||
Energy
|
(4,654 | ) | (0.02 | %) | |||||||
Interest
rate
|
182,339 | 0.64 | % | ||||||||
Metal
|
230,317 | 0.81 | % | ||||||||
Stock
index
|
46,672 | 0.16 | % | ||||||||
Total
long U. S. futures contracts
|
$ | 575,820 | 2.02 | % | |||||||
SHORT U.S. FUTURES
CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain (loss)
on open short
contracts (Fair Value)
|
%
of Net Asset Value |
|||||||||
Agricultural
|
$ | 19,317 | 0.07 | % | |||||||
Energy
|
(155,949 | ) | (0.55 | %) | |||||||
Metal
|
(17,976 | ) | (0.06 | %) | |||||||
Total
short U.S. futures contracts
|
$ | (154,608 | ) | (0.54 | %) | ||||||
Total
U.S. futures contracts
|
$ | 421,212 | 1.48 | % | |||||||
LONG FOREIGN FUTURES
CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain
on open long
contracts (Fair Value)
|
%
of Net Asset Value |
|||||||||
Agricultural
|
$ | 78,681 | 0.28 | % | |||||||
Interest
rate*
|
465,350 | 1.63 | % | ||||||||
Stock
index
|
46,079 | 0.16 | % | ||||||||
Total
long foreign futures contracts
|
$ | 590,110 | 2.07 | % |
*No
individual futures or forward currency contract position constituted greater
than 1 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.
ASPECT
GLOBAL DIVERSIFIED FUND LP
CONDENSED
SCHEDULE OF INVESTMENTS (CONTINUED)
September
30, 2009
(Unaudited)
SHORT FOREIGN FUTURES
CONTRACTS
|
|||||||||||||||
Description
|
Net
unrealized gain
on open short
contracts (Fair Value)
|
%
of Net Asset Value |
|||||||||||||
Agricultural
|
$ | 17,848 | 0.06 | % | |||||||||||
Interest
rate
|
14,557 | 0.05 | % | ||||||||||||
Total
short foreign futures contracts
|
$ | 32,405 | 0.11 | % | |||||||||||
Total
foreign futures contracts
|
$ | 622,515 | 2.18 | % | |||||||||||
Net
unrealized gain on open futures contracts
|
$ | 1,043,727 | 3.66 | % | |||||||||||
U.S. FORWARD CURRENCY
CONTRACTS
|
|||||||||||||||
Description
|
Net
unrealized gain on open long/short |
%
of Net Asset Value |
|||||||||||||
Long
forward currency contracts
|
$ | 93,644 | 0.33 | % | |||||||||||
Short
forward currency contracts
|
14,030 | 0.05 | % | ||||||||||||
Total
U.S. forward currency contracts
|
$ | 107,674 | 0.38 | % | |||||||||||
FOREIGN FORWARD CURRENCY
CONTRACTS
|
|||||||||||||||
Description
|
Net
unrealized gain (loss) on open long/short |
%
of Net Asset Value |
|||||||||||||
Long
forward currency contracts
|
$ | (6,588 | ) | (0.02 | %) | ||||||||||
Short
forward currency contracts
|
198,627 | 0.70 | % | ||||||||||||
Total
foreign forward currency contracts
|
$ | 192,039 | 0.68 | % | |||||||||||
Net
unrealized gain on open forward currency contracts
|
$ | 299,713 | 1.06 | % |
The
accompanying notes are an integral part of these financial
statements.
ASPECT
GLOBAL DIVERSIFIED FUND LP
CONDENSED
SCHEDULE OF INVESTMENTS
December
31, 2008
(Audited)
COMMERCIAL
PAPER
|
|||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair
Value
|
%
of Net
Asset
Value
|
|||||||
$1,000,000 |
01/12/09
|
UBS
Finance Delaware LLC, 2.95%
|
$ | 999,099 | 10.59 | % | |||||
1,000,000 |
03/10/09
|
General
Elec Cap Corp, 2.79%
|
994,730 | 10.55 | % | ||||||
Total
commercial paper securities (cost - $1,976,299)
|
$ | 1,993,829 | 21.14 | % | |||||||
LONG U.S. FUTURES CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain (loss)
on
open long
contracts
(Fair
Value)
|
$
of Net
Asset
Value
|
|||||||||
Agricultural
|
$ | 1,030 | 0.01 | % | |||||||
Energy
|
(722 | ) | (0.01 | %) | |||||||
Interest
rate*
|
121,956 | 1.29 | % | ||||||||
Metal
|
8,684 | 0.09 | % | ||||||||
Total
long U. S. futures contracts
|
$ | 130,948 | 1.38 | % | |||||||
SHORT U.S. FUTURES
CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain (loss)
on
open short
contracts
(Fair
Value)
|
%
of Net
Asset
Value
|
|||||||||
Agricultural
|
$ | (33,230 | ) | (0.35 | %) | ||||||
Energy
|
36,706 | 0.39 | % | ||||||||
Metal
|
(42,435 | ) | (0.45 | %) | |||||||
Stock
index
|
(970 | ) | (0.01 | %) | |||||||
Total
short U.S. futures contracts
|
$ | (39,929 | ) | (0.42 | %) | ||||||
Total
U.S. futures contracts
|
$ | 91,019 | 0.96 | % | |||||||
LONG FOREIGN FUTURES
CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain
on
open long
contracts
(Fair
Value)
|
%
of Net
Asset
Value
|
|||||||||
Agricultural
|
$ | 11,037 | 0.12 | % | |||||||
Interest
rate*
|
298,727 | 3.17 | % | ||||||||
Total
long foreign futures contracts
|
$ | 309,764 | 3.29 | % | |||||||
SHORT FOREIGN FUTURES
CONTRACTS
|
|||||||||||
Description
|
Net
unrealized gain (loss)
on
open short
contracts
(Fair
Value)
|
%
of Net
Asset
Value
|
|||||||||
Agricultural
|
$ | (2,039 | ) | (0.02 | %) | ||||||
Stock
index
|
(2,461 | ) | (0.03 | %) | |||||||
Total
short foreign futures contracts
|
$ | (4,500 | ) | (0.05 | %) | ||||||
Total
foreign futures contracts
|
$ | 305,264 | 3.24 | % | |||||||
Net
unrealized gain on open futures contracts
|
$ | 396,283 | 4.20 | % |
*No
individual futures or forward currency contract position constituted greater
than 1 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.
ASPECT
GLOBAL DIVERSIFIED FUND LP
CONDENSED
SCHEDULE OF INVESTMENTS (CONTINUED)
December
31, 2008
(Audited)
U.S. FORWARD CURRENCY
CONTRACTS
|
|||||||||||||||
Description
|
Net
unrealized gain (loss)
on
open long/short contracts (Fair
Value)
|
%
of Net
Asset
Value
|
|||||||||||||
Long
forward currency contracts
|
$ | 17,306 | 0.18 | % | |||||||||||
Short
forward currency contracts
|
(15,189 | ) | (0.16 | %) | |||||||||||
Total
U.S. forward currency contracts
|
$ | 2,117 | 0.02 | % | |||||||||||
FOREIGN FORWARD CURRENCY
CONTRACTS
|
|||||||||||||||
Description
|
Net
unrealized gain (loss)
on
open long/short
contracts
(Fair
Value)
|
%
of Net
Asset
Value
|
|||||||||||||
Long
forward currency contracts
|
$ | (39,672 | ) | (0.42 | %) | ||||||||||
Short
forward currency contracts
|
17,866 | 0.19 | % | ||||||||||||
Total
foreign forward currency contracts
|
$ | (21,806 | ) | (0.23 | %) | ||||||||||
Net
unrealized loss on open forward currency contracts
|
$ | (19,689 | ) | (0.21 | %) |
The
accompanying notes are an integral part of these financial
statements.
ASPECT
GLOBAL DIVERSIFIED FUND LP
STATEMENTS
OF OPERATIONS
For
the Three and Nine Months Ended September 30, 2009 and 2008 (i)
(Unaudited)
_____________
Three
Months Ended
|
Nine
Months Ended
|
|||||||||||||||
September
30,
|
September
30,
|
|||||||||||||||
2009
|
2008
(i)
|
2009
|
2008
(i)
|
|||||||||||||
TRADING
GAINS (LOSS)
|
||||||||||||||||
Net
realized gain (loss)
|
$ | 394,324 | $ | 171,336 | $ | (2,550,759 | ) | $ | 171,336 | |||||||
Net
change in unrealized gain
|
1,562,883 | 112,002 | 966,846 | 112,002 | ||||||||||||
Brokerage
commissions
|
(22,558 | ) | (3,838 | ) | (53,426 | ) | (3,838 | ) | ||||||||
Net
gain (loss) from trading
|
1,934,649 | 279,500 | (1,637,339 | ) | 279,500 | |||||||||||
NET
INVESTMENT LOSS
|
||||||||||||||||
Income
|
||||||||||||||||
Interest
income
|
10,482 | 9,694 | 45,729 | 9,694 | ||||||||||||
Expenses
|
||||||||||||||||
General
Partner fee
|
67,948 | 4,825 | 159,312 | 4,825 | ||||||||||||
Trading
Advisor management fee
|
150,815 | 11,581 | 355,879 | 11,581 | ||||||||||||
Trading
Advisor incentive fee
|
- | 51,044 | - | 51,044 | ||||||||||||
Selling
Agents’ commissions – General Partner
|
32,905 | - | 52,385 | - | ||||||||||||
Offering
expenses – General Partner
|
96,065 | 3,290 | 307,417 | 3,290 | ||||||||||||
Broker
dealer servicing fee – General Partner
|
3,808 | - | 7,367 | - | ||||||||||||
Broker
dealer custodial fee – General Partner
|
10,561 | - | 19,525 | - | ||||||||||||
Administrative
expenses
|
108,579 | 4,584 | 308,541 | 4,584 | ||||||||||||
Total
expenses
|
470,681 | 75,324 | 1,210,426 | 75,324 | ||||||||||||
Administrative
and offering expenses waived
|
(98,608 | ) | - | (366,277 | ) | - | ||||||||||
Net
total expenses
|
372,073 | 75,324 | 844,149 | 75,324 | ||||||||||||
Net
investment loss
|
(361,591 | ) | (65,630 | ) | (798,420 | ) | (65,630 | ) | ||||||||
NET
INCOME (LOSS)
|
$ | 1,573,058 | $ | 213,870 | $ | (2,435,759 | ) | $ | 213,870 |
(i)
Aspect Global Diversified Fund LP Series I, B, and A Units commenced
investment operations on September 1, 2008, November 1, 2008 and December 1,
2008, respectively; therefore, operating results are for the one month ended
September 30, 2008.
The
accompanying notes are an integral part of these financial
statements.
ASPECT
GLOBAL DIVERSIFIED FUND LP
STATEMENTS
OF OPERATIONS (CONTINUED)
For
the Three and Nine Months Ended September 30, 2009 and 2008
(Unaudited)
For
the Three Months Ended September 30,
|
||||||||||||||||
2009
|
||||||||||||||||
General
Partner
|
Series
A
|
Series
B
|
Series
I
|
|||||||||||||
INCREASE
IN NET ASSET VALUE PER UNIT
|
$ | 6.80 | $ | 4.60 | $ | 5.29 | $ | 6.20 | ||||||||
NET
INCOME PER UNIT
|
$ | 6.80 | $ | 6.59 | $ | 6.12 | $ | 6.80 | ||||||||
(based
on weighted average number of units outstanding)
|
2008
|
||||||||||||||||
INCREASE
IN NET ASSET VALUE PER UNIT
|
$ | 4.01 | $ | 0.00 | $ | 0.00 | $ | 3.88 | ||||||||
NET
INCOME PER UNIT
|
$ | 4.01 | $ | 0.00 | $ | 0.00 | $ | 3.88 | ||||||||
(based
on weighted average number of units outstanding)
|
For
the Nine Months Ended September 30,
|
||||||||||||||||
2009
|
||||||||||||||||
General
Partner
|
Series
A
|
Series
B
|
Series
I
|
|||||||||||||
DECREASE
IN NET ASSET VALUE PER UNIT
|
$ | (15.34 | ) | $ | (15.46 | ) | $ | (15.33 | ) | $ | (16.81 | ) | ||||
NET
LOSS PER UNIT
|
$ | (15.34 | ) | $ | (5.07 | ) | $ | (12.98 | ) | $ | (18.37 | ) | ||||
(based
on weighted average number of units outstanding)
|
2008
|
||||||||||||||||
INCREASE
IN NET ASSET VALUE PER UNIT
|
$ | 4.01 | $ | 0.00 | $ | 0.00 | $ | 3.88 | ||||||||
NET
INCOME PER UNIT
|
$ | 4.01 | $ | 0.00 | $ | 0.00 | $ | 3.88 | ||||||||
(based
on weighted average number of units outstanding)
|
The
accompanying notes are an integral part of these financial
statements.
ASPECT GLOBAL DIVERSIFIED FUND LP
STATEMENTS
OF CASH FLOWS
For
the Nine Months Ended September 30, 2009 and 2008
(Unaudited)
__________
2009
|
2008
|
|||||||
Cash
flows provided by (used in) operating activities
|
||||||||
Net
income (loss)
|
$ | (2,435,759 | ) | $ | 213,870 | |||
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities
|
||||||||
Net
change in unrealized gain
|
(966,846 | ) | (112,002 | ) | ||||
Net
proceeds (purchases) of commercial paper
|
1,993,829 | (2,976,271 | ) | |||||
Net
purchases of investments in Government-sponsored
enterprises
|
(2,015,592 | ) | - | |||||
Increase
in interest receivable
|
(387 | ) | (4,140 | ) | ||||
Increase
in accounts payable - General Partner
|
37,528 | 4,560 | ||||||
Increase
in commissions and other trading on open contracts
|
2,587 | 436 | ||||||
Increase
in General Partner fee
|
17,812 | 4,825 | ||||||
Increase
in Trading Advisor management fee
|
104,866 | 11,581 | ||||||
Increase
(decrease) in Trading Advisor incentive fee
|
(326,088 | ) | 51,044 | |||||
Increase
in Selling Agents' commissions - General Partner
|
13,471 | - | ||||||
Increase
in broker dealer servicing fee - General Partner
|
1,365 | - | ||||||
Increase
in broker dealer custodial fee - General Partner
|
3,909 | - | ||||||
Increase
in offering expenses - General Partner
|
12,145 | 3,290 | ||||||
Net
cash used in operating activities
|
(3,557,160 | ) | (2,802,807 | ) | ||||
Cash
flows provided by (used in) financing activities
|
||||||||
Contributions
|
24,243,708 | 5,500,156 | ||||||
Subscriptions
received in advance
|
2,604,956 | - | ||||||
Redemptions
|
(6,205,214 | ) | - | |||||
Net
cash provided by financing activities
|
20,643,450 | 5,500,156 | ||||||
Net
increase in cash and cash equivalents
|
17,086,290 | 2,697,349 | ||||||
Cash
and cash equivalents
|
||||||||
Beginning
of period
|
11,229,458 | 1,000 | ||||||
End
of period
|
$ | 28,315,748 | $ | 2,698,349 | ||||
End
of period cash and cash equivalents consists of:
|
||||||||
Cash
in broker trading accounts
|
$ | 9,310,637 | $ | 2,233,881 | ||||
Cash
and cash equivalents
|
19,005,111 | 464,468 | ||||||
Total
end of period cash and cash equivalents
|
$ | 28,315,748 | $ | 2,698,349 | ||||
Supplemental
disclosure of cash flow information
|
||||||||
Prior
period redemptions paid
|
$ | 125,000 | $ | - | ||||
Prior
period subscriptions received in advance
|
$ | 3,633,808 | $ | - | ||||
Supplemental
schedule of non-cash financing activities:
|
||||||||
Redemptions
payable
|
$ | 304,681 | $ | - |
The
accompanying notes are an integral part of these financial
statements.
ASPECT GLOBAL DIVERSIFIED FUND LP
STATEMENT
OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For
the Nine Months Ended September 30, 2009 and 2008
(Unaudited)
__________
General
Partner
|
Series
A
|
Series
B
|
Series
I
|
|||||||||||||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||||||||||||||
Nine
Months Ended September 30, 2009
|
||||||||||||||||||||||||||||||||||||
Balance
at December 31, 2008
|
4,011.5691 | $ | 507,314 | 1,598.6744 | $ | 166,755 | 3,692.0156 | $ | 408,780 | 66,355.1442 | $ | 8,349,440 | $ | 9,432,289 | ||||||||||||||||||||||
Net
loss for the nine months ended September 30, 2009
|
- | (61,548 | ) | - | (178,941 | ) | - | (622,183 | ) | - | (1,573,087 | ) | (2,435,759 | ) | ||||||||||||||||||||||
Contributions
|
- | - | 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
|
4,011.5691 | $ | 445,766 | 92,210.8787 | $ | 8,192,773 | 93,269.1464 | $ | 8,897,032 | 100,471.7586 | $ | 10,953,580 | $ | 28,489,151 | ||||||||||||||||||||||
General
Partner
|
Series
A
|
Series
B
|
Series
I
|
|||||||||||||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||||||||||||||
Nine
Months Ended September 30, 2008
|
||||||||||||||||||||||||||||||||||||
Balance
at December 31, 2007
|
10.0000 | $ | 1,000 | - | $ | - | - | $ | - | - | $ | - | $ | 1,000 | ||||||||||||||||||||||
Net
income for the nine months ended September 30, 2008
|
20,029 | - | - | - | - | - | 193,841 | 213,870 | ||||||||||||||||||||||||||||
Contributions
|
4,990.0028 | 499,000 | - | - | - | - | 50,011.5600 | 5,001,156 | 5,500,156 | |||||||||||||||||||||||||||
Balance
at September 30, 2008
|
5,000.0028 | $ | 520,029 | - | $ | - | - | $ | - | 50,011.5600 | $ | 5,194,997 | $ | 5,715,026 |
Net
Asset Value Per Unit
|
||||||||||||||||
General
Partner
|
Series
A
|
Series
B
|
Series
I
|
|||||||||||||
September
30, 2009
|
$ | 111.12 | $ | 88.85 | $ | 95.39 | $ | 109.02 | ||||||||
December
31, 2008
|
$ | 126.46 | $ | 104.31 | $ | 110.72 | $ | 125.83 | ||||||||
September
30, 2008
|
$ | 104.01 | $ | - | $ | - | $ | 103.88 | ||||||||
December
31, 2007
|
$ | 100.00 | $ | - | $ | - | $ | - |
The accompanying notes are an integral
part of these financial statements.
ASPECT
GLOBAL DIVERSIFIED FUND LP
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
__________
Note
1:
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
|
General Description of the
Fund:
Aspect
Global Diversified Fund LP (the “Fund”) was formed as a Delaware Limited
Partnership on March 23, 2007. The Fund was initially capitalized by the General
Partner on April 4, 2007 through the contribution of $1,000 and commenced
investment operations on September 1, 2008. The Fund issues units of Limited
Partnership 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, Series B and Series I were
originally offered. Series C Units will be issued in exchange for
Series A, B and I Units in certain circumstances.
The Fund
may invest the proceeds from its offerings of Units in the speculative trading
of futures, swaps, options and over-the-counter contracts, including currency
forwards traded in the United States and internationally. The Trading
Program (as defined hereinafter) does not currently utilize options or swaps as
part of its trading system, but may employ them in the future.
The Fund
is a registrant with the U.S. Securities and Exchange Commission (“SEC”)
pursuant to the U.S. Securities Act of 1933, as amended, (the “’33 Act”) and the
U.S. Securities Exchange Act of 1934, as amended, (the “’34 Act”). As a
registrant, the Fund is subject to the regulations of the SEC and the
informational requirements of the 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 United States (“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 Futures Commission
Merchants (brokers) and Interbank market makers through which the Fund
trades.
Steben
& Company, Inc. (“Steben & Company”, the “General Partner” or the
“Commodity Pool Operator”) is a Maryland corporation registered with the CFTC as
a commodity pool operator and a commodities introducing broker, and is also
registered with the SEC as a registered investment advisor and a
broker-dealer. 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 (the “Trading Advisor”) is the Fund’s sole Trading
Advisor. The Trading Advisor utilizes the Aspect Diversified Program
(the “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 (but not limited to) currencies, global interest rates,
equity indices, energies, agricultural commodities and
metals.
Significant
accounting policies are as follows:
Use of
Estimates:
The
preparation of financial statements in conformity with U.S. generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period. Actual
results could differ from those estimates.
Revenue
Recognition:
Futures,
options on futures 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. Commercial paper, corporate notes, U.S.
Government securities and Government-sponsored enterprises are recorded at
amortized cost and interest is accrued and recorded through maturity, which
approximates fair value. Fair value of exchange-traded contracts is based upon
settlement prices. Fair value of non-exchange traded contracts is based upon
third-party quoted dealer values on the Interbank market.
Investment
Valuation:
The
majority of the Fund’s positions are exchange-traded futures contracts, which
are valued at fair value daily at settlement prices published by the exchanges.
Fair value of non-exchange traded contracts is based on third-party quoted
dealer values on the Interbank market. In addition, the Fund’s U.S. Government
securities, Government-sponsored enterprises and commercial paper positions
recorded at fair value are based on amortized cost carrying amounts due to the
short-term maturity of the instruments.
Cash and Cash
Equivalents:
Cash
equivalents are highly liquid investments with an original maturity of three
months or less at the date of acquisition that are not held for sale in the
normal course of business. 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. As of
September 30, 2009, significant cash balances held at Newedge, UBS and Bank of
America are $9,310,637, $13,695,767 and $5,309,344, respectively. As
of December 31, 2008, significant cash balances held at Newedge, UBS and Bank of
America are $4,053,557, $1,031,212 and $6,144,689, respectively.
Brokerage
Commissions
Brokerage
commissions include other trading fees and are charged to expense when contracts
are opened and when the positions are closed.
Redemptions
Payable:
Redemptions
payable represent redemptions approved by the General Partner prior to period
end, including those that are not effective until subsequent
periods. 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 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, however, may be required to file returns
in various state and local jurisdictions as a result of its operations or the
residency of its partners. For the three and nine months ended September 30,
2009 and 2008, and the year ended December 31, 2008, no income tax liability for
uncertain tax positions has been recognized in the accompanying financial
statements. The 2008 tax year generally remains subject to examination by U.S.
federal and most state tax authorities.
Fair Value of Financial
Instruments:
The Fund
measures financial instruments at fair value, which is defined as the price that
would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date and sets out a
fair value hierarchy. The fair value hierarchy gives the highest
priority to quoted prices in active markets for identical assets or liabilities
(Level 1) and the lowest priority to unobservable inputs (Level
3). Inputs are broadly defined as assumptions market participants
would use in pricing an asset or liability. The three levels of the fair value
hierarchy are described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or liability.
The
following section describes the valuation techniques used by the Fund to measure
different financial instruments at fair value and includes the level within the
fair value hierarchy in which the financial instrument is
categorized.
The
Fund’s investments in U.S. Government securities, commercial paper,
Government-sponsored enterprises and corporate notes are short-term in nature
with a duration of less than one year, and typically, the Fund holds these
investments through maturity. As such, interest income generated from these
investments is recorded in the statements of operations. The fair value of these
investments as obtained from cash management and clearing firms statements are
compared to amortized cost to verify that the carrying amounts approximates
their fair value.
The
Fund’s cash management account holder and clearing firm (UBS and Newedge,
respectively) utilize pricing services to value U.S. Government securities,
commercial paper, Government-sponsored enterprises and corporate notes
investments. These pricing services utilize the market approach which uses
prices and other relevant information generated by market transactions involving
identical or comparable assets or liabilities. Valuation techniques consistent
with the market approach include matrix pricing. Matrix pricing, which is used
for Level 2 investments, is a mathematical technique used principally to value
debt securities without relying exclusively on quoted prices for the specific
securities, rather by relying on the securities’ relationship to other benchmark
quoted securities.
U.S.
Government securities are actively traded on a daily basis and the pricing
services are able to obtain bid and ask quotes for identical assets by CUSIP.
Commercial paper, Government-sponsored enterprises and corporate notes
investments are also actively traded; however, the pricing services are only
able to obtain bid and ask quotes for similar assets. As such, U.S. Government
securities are classified within Level 1 and commercial paper,
Government-sponsored enterprises and corporate notes investments are classified
within Level 2.
Fair
value of exchange traded contracts is based upon exchange settlement prices.
Fair value of non-exchange traded contracts is based on third-party quoted
dealer values on the Interbank market. The investments in money market funds and
futures contracts are valued using quoted market prices and are classified
within Level 1. The fair values of forward currency contracts are based upon an
underlying asset, index, or reference rate or a combination of these factors and
are classified within Level 2. The Fund uses some, and when applicable, all of
these financial instruments as part of its trading activities. The recorded
values of U.S. Government securities, Government-sponsored enterprises and
commercial paper are based on amortized cost carrying amounts due to the
short-term maturity of the instruments and are classified within Level 1 or 2;
therefore, their carrying amounts approximate fair values.
The
following tables present the Fund’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of September 30, 2009
and December 31, 2008:
September
30, 2009
|
||||||||||||
|
Level
1
|
Level
2
|
Total
|
|||||||||
Equity
in broker trading accounts
|
||||||||||||
Futures
contracts
|
$ | 1,043,727 | $ | 1,043,727 | ||||||||
Forward
currency contracts
|
$ | 299,713 | $ | 299,713 | ||||||||
Government-sponsored
enterprises
|
$ | 2,015,592 | $ | 2,015,592 | ||||||||
Cash
and cash equivalents
|
||||||||||||
Money
market funds
|
$ | 13,695,767 | $ | 13,695,767 |
December
31, 2008
|
||||||||||||
|
Level
1
|
Level
2
|
Total
|
|||||||||
Equity
in broker trading accounts
|
||||||||||||
Futures
contracts
|
$ | 396,283 | $ | 396,283 | ||||||||
Forward
currency contracts
|
$ | (19,689 | ) | $ | (19,689 | ) | ||||||
Cash
and cash equivalents
|
||||||||||||
Money
market funds
|
$ | 3,542,194 | $ | 3,542,194 | ||||||||
Commercial
paper
|
$ | 1,993,829 | $ | 1,993,829 |
There
were no Level 3 holdings as of September 30, 2009 and December 31, 2008 or
during the three and nine months ended September 30, 2009 and 2008.
Derivative
Instruments:
The Fund
adopted the provisions of the Derivatives and Hedging Topic of the Financial
Accounting Standards Board (“FASB”) Accounting Standards
Codification effective January 1, 2009. As required, the Fund
presents qualitative disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts of the gains and
losses on agreements.
The
Fund’s derivative contracts are comprised of futures and currency forward
contracts. These derivative contracts are recorded on the statements of
financial condition as assets measured at fair value and the related realized
and unrealized gain (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.
As of
September 30, 2009 and for the three and nine months ended September 30, 2009,
the Fund’s derivative contracts had the following impact on the statements of
financial condition and the statements of operations:
Derivative
Assets and Liabilities
|
|||||||||||||||||
Statements
of Financial Condition Location
|
Assets
|
Liabilities
|
Net
|
Number
of Contracts
|
|||||||||||||
Futures contracts
|
|||||||||||||||||
Agricultural
|
$ | 347,793 | $ | (116,457 | ) | $ | 231,336 | 346 | |||||||||
Currency
|
5,656 | - | 5,656 | 2 | |||||||||||||
Energy
|
7,650 | (168,253 | ) | (160,603 | ) | 81 | |||||||||||
Interest
rate
|
662,246 | - | 662,246 | 1,374 | |||||||||||||
Metal
|
244,998 | (32,657 | ) | 212,341 | 103 | ||||||||||||
Stock
index
|
131,267 | (38,516 | ) | 92,751 | 246 | ||||||||||||
Net
unrealized gain on open futures contracts
|
1,399,610 | (355,883 | ) | 1,043,727 | 2,152 | ||||||||||||
Forward contracts
|
|||||||||||||||||
Currency
|
Net
unrealized gain (loss) on open forward currency contracts
|
338,614 | (38,901 | ) | 299,713 | N/A | |||||||||||
$ | 1,738,224 | $ | (394,784 | ) | $ | 1,343,440 | N/A |
Revenue
|
||||||||||||||||
Three
Months
Ended
September 30, 2009
|
Nine
Months
Ended
September 30, 2009
|
|||||||||||||||
Statements
of Operations Location
|
Net
realized gain (loss)
|
Number
of Contracts
|
Net
realized gain (loss)
|
Number
of Contracts
|
||||||||||||
Futures contracts
|
||||||||||||||||
Agricultural
|
$ | 165,471 | 1,187 | $ | 20,050 | 2,204 | ||||||||||
Currency
|
5,483 | 9 | 11,154 | 10 | ||||||||||||
Energy
|
(143,251 | ) | 372 | (934,332 | ) | 793 | ||||||||||
Interest
rate
|
105,835 | 4,595 | (446,402 | ) | 8,621 | |||||||||||
Metal
|
(97,875 | ) | 246 | (579,172 | ) | 546 | ||||||||||
Stock
index
|
289,587 | 610 | 156,013 | 1,629 | ||||||||||||
325,250 | 7,019 | (1,772,689 | ) | 13,803 | ||||||||||||
Forward contracts
|
||||||||||||||||
Currency
|
60,826 | N/A | (789,047 | ) | N/A | |||||||||||
Net
realized gain (loss)
|
$ | 386,076 | $ | (2,561,736 | ) |
Revenue
|
||||||||
Net
change in unrealized gain (loss)
|
||||||||
Statements
of Operations Location
|
Three
Months
Ended
September 30, 2009
|
Nine
Months
Ended
September 30, 2009
|
||||||
Futures contracts
|
||||||||
Agricultural
|
$ | 130,707 | $ | 254,538 | ||||
Currency
|
5,656 | 5,656 | ||||||
Energy
|
(256,797 | ) | (196,587 | ) | ||||
Interest
rate
|
893,257 | 241,563 | ||||||
Metal
|
420,616 | 246,092 | ||||||
Stock
index
|
52,455 | 96,182 | ||||||
1,245,894 | 647,444 | |||||||
Forward contracts
|
||||||||
Currency
|
316,989 | 319,402 | ||||||
Net
change in unrealized gain
|
$ | 1,562,883 | $ | 966,846 |
Foreign Currency
Transactions:
The
Fund’s functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect at the date of the statements of financial
condition. Income and expense items denominated in currencies other than the
U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars are
reported in income currently as part of trading gains and losses.
Reclassification:
Certain
amounts in the 2008 financial statements have been reclassified to conform with
the 2009 presentation without affecting previously reported partners’ capital
(net asset value).
Recently Adopted Accounting
Standards:
The Fund
adopted FASB Accounting
Standards Codification (the “Codification”) on July 1,
2009. The Codification is the single source of authoritative
nongovernmental U.S. generally accepted accounting principles
(“GAAP”). The Codification does not change U.S. GAAP but combines all
authoritative standards into a comprehensive, topically organized online
database. Effective with the Codification launch on July 1, 2009,
only one level of authoritative U.S. GAAP exists, other than guidance issued by
the SEC. All other accounting literature excluded from the
Codification is considered non-authoritative. The Codification
impacted the Fund’s financial statement disclosures by eliminating prior FASB
references since all reference to authoritative accounting literature are
now referenced in accordance with the Codification.
The Fund
adopted the provisions of the Subsequent Events Topic of the Codification
effective June 30, 2009. The Subsequent Event Topic establishes
general standards of and accounting for and disclosure of events that occur
after the balance sheet data but before financial statements are issued or
available to be issued.
Note
2:
|
PARTNERSHIP
AGREEMENT
|
Series of
Units:
There are
four Series of Units held by the Limited Partners: Series A, Series B, Series C
and Series I. The Units are offered on a continuous basis issued at
the net asset value as of the close of business on the last day of the month in
which a subscription is accepted. Only Series A, Series B and Series
I are offered by the Fund. Series C Units will be issued in exchange
for Series A, B and I Units in certain circumstances. The Fund began investment
operations of its Series A Units, Series B Units and Series I Units on December
1, 2008, November 1, 2008 and September 1, 2008,
respectively.
Series A
Units are subject to the following fees and expenses: trading advisor management
fee, incentive fee, brokerage expenses, General Partner fee, administrative
expenses, offering expenses, selling agent commissions, broker dealer servicing
fee, and redemption fee (if Series A Units are redeemed within 12 months of
purchase), each as defined hereinafter. Series A Units are subject to
a Fee Limit as defined hereinafter.
Series B
Units are intended only for registered investment advisors’ fee based advisory
programs. Series B Units are subject to the same fees and expenses as the Series
A Units, except they are not subject to redemption fee or selling agent
commissions and will be subject to either the broker dealer servicing fee or the
broker dealer custodial fee, but not both. Series B Units may be
purchased by employees and relatives of Selling Agents and direct clients of the
General Partner. Series B Units are subject to a Fee Limit as defined
hereinafter.
Series I
Units are intended only for registered investment advisors’ fee based Advisory
Programs. Series I Units are subject to the same fees and expenses as the Series
B Units with the exception of the broker dealer servicing fee or the broker
dealer custodial fee. Series I Units may be purchased by employees
and relatives of the General Partner and direct clients of the General
Partner. Investors whose accounts are held at a brokerage firm
requiring a broker dealer servicing fee or broker dealer custodial fee may not
purchase Series I Units. Series I Units are subject to a Fee Limit as
defined hereinafter.
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 pay the trading advisor management fee,
incentive fee, brokerage expenses, General Partner fee and administrative
expenses.
Units of
the Fund are offered continuously to the public on a “best-efforts” basis at
their month-end net asset value per Unit. The minimum investment is
$10,000 and additional investment by existing investors is
$2,500. Units of each Series were initially offered for a period
ending August 30, 2008 (“Initial Offering Period”). Currently, Units
of each Series are offered on the first day of each month at the net asset value
per Unit of the relevant Series on the last day of the preceding
month. Units are issued as of the commencement of business on the
first business day of each month. Each Limited Partner will share in the profits
and losses of the fund in proportion to their respective ownership
interests.
General
Partner:
The Fund
issued General Partner Units to the General Partner to memorialize its ownership
interest in the Fund. The General Partner Units are subject to the
following fees, expenses and charges: trading advisor management fee,
incentive fee, brokerage expenses and administrative
expenses. General Partner Units are not subject to a broker dealer
servicing fee, General Partner fee, offering expenses, selling agent commissions
or redemption fee. The General Partner may determine and adjust the
number of General Partner Units which represent the General Partner’s interest
in the Fund. The General Partner will share in the profits and losses of the
Fund in proportion to its respective ownership interest.
The
General Partner contributed $500,000 to the initial trading capital of the Fund
and was issued General Partner Units. This amount is in addition to
the total amount of Units offered by the Fund’s
Prospectus. Thereafter, the General Partner, and/or any of its
affiliates, 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) and (ii)
$25,000.
As of
September 30, 2009 and December 31, 2008, the General Partner had an investment
of $445,766 and $507,314, respectively. Redemptions payable to the
General Partner was $0 and $125,000 as of September 30, 2009 and December 31,
2008, respectively.
Fund Fees and
Expenses:
Organizational
and Initial Offering Costs—All organizational and initial offering costs
were borne by the General Partner on behalf of the Fund without
reimbursement.
Brokerage
Expenses—Total charges paid to the clearing brokers have and are expected
to average less than $3.62 per round-turn trade, although the futures commission
merchant’s brokerage commissions and trading fees, as well as the over the
counter foreign exchange counterparty fees will be determined on a
contract-by-contract basis, have and are expected to range from $1.30 to $16.72
per round-turn. Some foreign contracts could be higher. Based on the
foregoing estimate, each Series of Units is estimated to pay the futures
commission merchant their pro rated share of the actual monthly brokerage
expenses of approximately 1/12th of 0.30% of the Fund’s net asset value (0.30%
per annum) payable in arrears. These brokerage expenses will cover
all actual brokerage and trading costs of the Fund. The exact amount
of such brokerage commissions and trading fees to be incurred is impossible to
estimate and will vary based upon a number of factors including the trading
frequency, the types of instruments traded, transaction sizes, degree of
leverage employed and transaction rates in effect from
time-to-time. The compensation paid to the futures commission
merchant is estimated at 0.30% of the Fund’s average annual net asset value and
will not, under any circumstance, exceed the maximum permissible brokerage
expense of 14% of the average annual net asset value of the Fund, established by
the guidelines of the North American Securities Administrators Association,
Inc.
For the
three months ended September 30, 2009, Series A, B, I, and General Partner Units
incurred expenses to the futures commission merchant in the amount of $5,552;
$7,185; $9,420; and $401, respectively. For the nine months ended
September 30, 2009, Series A, B, I, and General Partner Units incurred expenses
to the futures commission merchant in the amount of $9,806; $15,065; $27,384;
and $1,171, respectively.
For the
one month ended September 30, 2008, Series I and General Partner Units incurred
expenses to the futures commission merchant in the amount of $3,490 and $348,
respectively.
General Partner
Fee—Each Series of Units pays the General Partner a monthly General
Partner fee in arrears equal to 1/12th of
1.10% of the Fund’s month-end net asset value (1.10% per annum). The
General Partner fee is paid to the General Partner as compensation for services
to the Fund as General Partner and Commodity Pool Operator.
For the
three months ended September 30, 2009, Series A, B and I Units incurred General
Partner fees in the amount of $18,098; $21,819; and $28,031, respectively. For
the nine months ended September 30, 2009, Series A, B and I Units incurred
General Partner fees in the amount of $28,811; $42,099; and $88,402,
respectively. For the one month ended September 30, 2008, Series I Units
incurred General Partner fees in the amount of $4,825. As of September 30, 2009
and December 31, 2008, General Partner fee payable was $26,116 and $8,304,
respectively.
Administrative
Expenses—Each Series of Units pays actual monthly administrative expenses
to various third-party service providers, as well as to the General Partner,
estimated to be approximately 1/12th of 0.95% of the Fund’s net asset value
(0.95% per annum), 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 will
cover all actual 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, 2009, Series A, B, I, and General Partner Units
incurred administrative expenses in the amount of $15,630; $18,844; $24,209; and
$1,024, respectively. For the three months ended September 30, 2009,
the General Partner absorbed administrative expenses of $48,872 in excess of the
0.95% limitation, which are included in administrative and offering expenses
waived on the statements of operations.
For the
nine months ended September 30, 2009, Series A, B, I, and General Partner Units
incurred administrative expenses in the amount of $24,889; $36,373; $76,481; and
$3,315, respectively. For the nine months ended September 30, 2009,
the General Partner absorbed administrative expenses of $167,483 in excess of
the 0.95% limitation, which are included in administrative and offering expenses
waived on the statements of operations.
For the
one month ended September 30, 2008, Series I and General Partner Units incurred
administrative expenses in the amount of $4,167 and $417,
respectively.
As of
September 30, 2009 and December 31, 2008 administrative expenses included as
accounts payable – General Partner in the statements of financial condition was
$59,528 and $22,000, respectively.
Offering
Expenses—The Fund reimburses the General Partner for actual ongoing
offering expenses, up to 1/12th of 0.75% of the Fund’s net asset value (0.75%
per annum) pro rata for each Series of Units, payable monthly in
arrears. Actual ongoing offering expenses in excess of this
limitation are absorbed by the General Partner and may not be re-classified as
administrative expenses. The Fund is only liable for payment of
offering expenses on a monthly basis. The offering expenses cover all
actual ongoing offering expenses incurred by the General Partner on behalf of
the Fund, including regulatory fees, legal costs relating to the offering, sales
related travel, printed material, postage and freight, sales conference fees and
compensation to sales personnel of the General Partner for wholesaling the
Fund. Compensation paid to sales personnel of the General Partner for
the sale of Units is subject to the Fee Limit defined below and is separate and
apart from the compensation payable to sales personnel of the General Partner
who receive selling agent commissions. If the Fund terminates prior
to completion of payment to the General Partner for the unreimbursed offering
expenses incurred through the date of such termination, the General Partner will
not be entitled to any additional payments and the Fund will have no further
obligation to the General Partner.
Series C
Units do not pay offering expenses.
For the
three months ended September 30, 2009, Series A, B and I Units incurred offering
expenses in the amount of $12,340; $14,877; and $19,112, respectively. For the
three months ended September 30, 2009, the General Partner absorbed ongoing
offering expenses of $49,736 in excess of the 0.75% limitation, which are
included in administrative and offering expenses waived on the statements of
operations.
For the
nine months ended September 30, 2009, Series A, B and I Units incurred offering
expenses in the amount of $19,645; $28,704; and $60,274, respectively. For the
nine months ended September 30, 2009, the General Partner absorbed ongoing
offering expenses of $198,794 in excess of the 0.75% limitation, which are
included in administrative and offering expenses waived on the statements of
operations.
For the
one month ended September 30, 2008, Series I Units incurred offering expenses in
the amount of $3,290.
As of
September 30, 2009 and December 31, 2008, offering expenses payable to the
General Partner was $17,807 and $5,662, respectively.
Selling Agent
Commissions—Series A Units pay to the General Partner selling agent
commissions monthly in arrears equal to 1/12th of 2.00% of the outstanding
Series A Units’ net asset value (2.00% per annum), subject to the Fee Limit as
defined below. The General Partner pays to the Selling Agents an
upfront commission of 2.00% of the aggregate subscription amount for the sale of
Series A Units. Beginning in the 13th month, the General Partner will
pay to the Selling Agents a monthly selling agent commission in arrears equal to
1/12th of 2.00% of the outstanding Series A Units’ Net Asset Value (2.00% per
annum), subject to the Fee Limit as defined below. The net asset
value of Series A Units refers to the Fund’s net assets allocated to the capital
accounts of Series A Unit holders (the aggregate capital account balances with
respect to the Series A Units) divided by the number of outstanding Units of
such Series A Units.
The
obligation of the Series A Unit holders to pay and the amount charged to Series
A Unit holders (e.g., 1/12th of 2.00% of the outstanding Series A Units’ net
asset value, paid monthly in arrears) with respect to the selling agent
commissions remains identical throughout the life of the Units subject to the
Fee Limit. For Units where the General Partner acts as the Selling
Agent, it retains these fees and may compensate its sales
personnel.
Series B,
C and I Units do not pay selling agent commissions.
For the
three and nine months ended September 30, 2009, the Series A Units incurred
selling agent commissions in the amount of $32,905 and $52,385, respectively. As
of September 30, 2009 and December 31, 2008, selling agent commissions payable
was $13,753 and $282, respectively.
Broker Dealer
Servicing Fee—Series A Units pay to the Selling Agents a monthly broker
dealer servicing fee in arrears equal to 1/12th of 0.15% of the outstanding
Series A Units’ month-end net asset value, subject to the Fee
Limit.
Certain
of the Series B Units, which are not held by broker dealers who act as custodian
for the benefit of Limited Partners, pay to the Selling Agents a monthly broker
dealer servicing fee in arrears equal to 1/12th of 0.60% of the outstanding
Series B Units’ net asset value (0.60% per annum), subject to the Fee Limit.
Where the General Partner acts as the Selling Agent it retains these
fees.
Series C
and I Units, and certain of the Series B Units which pay a broker dealer
custodial fee as described below, do not pay a broker dealer servicing
fee.
For the
three months ended September 30, 2009, the Series A and B Units incurred a
broker dealer servicing fee in the amount of $2,468 and $1,340,
respectively. For the nine months ended September 30, 2009, the
Series A and B Units incurred a broker dealer servicing fee in the amount of
$3,929 and $3,438, respectively. As of September 30, 2009 and
December 31, 2008, broker dealer servicing fee payable to the General Partner
was $1,508 and $143, respectively.
Broker Dealer
Custodial Fee—Certain of the Series B Units, which are held by broker
dealers who act as custodian for Series B Units for the benefit of the Limited
Partners pay such broker dealers a monthly broker dealer custodial fee in
arrears equal to 1/12th of 0.60% of the outstanding Series B Units’ net asset
value (0.60% per annum).
Series A,
C and I Units, and certain of the Series B Units, which pay a broker dealer
servicing fee as described above, do not pay a broker dealer custodial
fee.
In no
event will a Limited Partner holding Series B Units pay both a broker dealer
servicing fee and a broker dealer custodial fee.
For the
three and nine months ended September 30, 2009, the Series B Units incurred a
broker dealer custodial fee in the amount of $10,561 and $19,525,
respectively. As of September 30, 2009 and December 31, 2008, broker
dealer custodial fee payable to the General Partner was $4,024 and
$115.
Fee
Limit—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 associated envelopes, folders and
printed pieces provided with the prospectuses, 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.
Each
Limited Partner who owns Series A, Series B and Series I Units will continue to
pay the selling agent commissions, offering expenses and the broker dealer
servicing fee, depending upon which expenses are applicable to the particular
Series of Units, until the aggregate of such expenses reaches an amount equal to
the Fee Limit.
Investors
in the Fund will not pay more than the Fee Limit described above. The
General Partner utilizes accounting software that tracks the fees charged to the
Units on a Limited Partner-by-Limited Partner basis. Series C Units
will be issued in exchange for an investor’s Series A, B and I Units to any
Limited Partner who owns Series A, B and I Units when the General Partner
determines that the Fee Limit has been reached as of the end of any month, or it
anticipates that the Fee Limit will be reached during the following month, on
their Series A, B and I Units pursuant to FINRA Rule 2510. As a
result, it is possible for a Limited Partner to have its Series A, B or I Units
exchanged for Series C Units prior to reaching the Fee Limit. If a
Limited Partner’s Series A, B or I Units are exchanged for Series C Units prior
to reaching the Fee Limit, the General Partner will not seek additional fees
from such Limited Partner.
Redemption
Fee—Series A Units pay a pro rata redemption fee to the General Partner
during the first 12 months after issuance of the Series A
Units. Series A Units redeemed prior to the first anniversary of the
subscription date will be 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 Units,
Series C and Series I Units are not subject to the redemption
fee. 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.
For the
three and nine months ended September 30, 2009, the Series A Units incurred a
redemption fee in the amount of $167 and $167, respectively.
Extraordinary
Fees and Expenses—The Fund will pay all extraordinary fees and expenses
incurred by the Fund, if any, as determined by the General
Partner. Extraordinary fees and expenses are considered non-recurring
and unusual in nature, such as legal claims and liabilities, and litigation
costs or indemnification or other unanticipated
expenses. Extraordinary fees and expenses also include material
expenses, which are not currently anticipated obligations of the Fund or of
managed futures funds in general. Routine operational, administrative
and other ordinary expenses are deemed to be extraordinary
expenses.
Note
3:
|
COMMODITY TRADING
ADVISOR
|
The Fund
pays management fees and incentive fees to the Trading Advisor.
Trading Advisor
Management Fee—Each Series of Units pays to the Trading Advisor a monthly
management fee payable in arrears equal to 1/12th of 2.00% of the Fund’s trading
level allocated to the Trading Program. The trading level is
currently expected to be approximately 1.20 times the normal trading level of
the Trading Program. The normal trading level of the Trading Program
is the number of trading positions per dollar customarily taken by the Trading
Advisor for client accounts utilizing the Trading Program. Because
the Fund is generally trading at approximately 1.20 times the normal trading
level of the Trading Program, the Trading Advisor is increasing the number of
trading positions per dollar by 20%. At a normal trading level, the
margin requirements relative to equity in the account range from 5% to
30%. Because the Fund is trading at approximately 1.20 times the
normal trading level of the Trading Program, the margin requirements relative to
equity becomes proportionately higher, or from 6% to 36%. Since the
Fund is trading at approximately 1.20 times the normal trading level of the
Trading Program, the management fee of 2.00% is multiplied by the overall
trading level of the Fund (1.20 x 2.0% = 2.40%). Therefore, the
management fee will be 1/12th of 2.40% of the Fund’s month-end net asset value
(2.40% per annum). Adjustments to the trading level will not affect
the management fee percentage or calculation.
For the
three months ended September 30, 2009, Series A, B, I and General Partner Units
incurred management fees to the Trading Advisor in the amount of $39,481;
$47,599; $61,150; and $2,585, respectively. For the nine months ended
September 30, 2009, Series A, B, I and General Partner Units incurred management
fees to the Trading Advisor in the amount of $62,851; $91,836; $192,839; and
$8,353, respectively. For the one months ended September 30, 2008,
Series I and General Partner Units incurred management fees to the Trading
Advisor in the amount of $10,528 and $1,053, respectively.
Trading Advisor
Incentive Fee—Each Series of Units pays the Trading Advisor a quarterly
incentive fee payable in arrears equal to 20% of any new trading
profits. Trading profits are the sum of: (i) the net of all realized
profits and losses on account commodity positions liquidated during the quarter,
plus (ii) the net of all unrealized profits and losses net of accrued brokerage
expenses, NFA fees and give up fees on account commodity open positions as of
the quarter end, minus: (iii) the net of all unrealized profits and losses on
account commodity open positions at the end of the previous quarter end, and
(iv) any cumulative net realized losses (which does not include incentive fee
expenses) from the Trading Advisor’s trading of the account carried forward from
all previous quarters since the last quarter for which an incentive fee was
payable to the Trading Advisor, and (v) any fees or expenses of the Fund (except
for accrued incentive fees). Trading profits does not include
interest income earned by the Fund.
Trading
profits are calculated on the basis of assets allocated to the Trading
Advisor. In determining trading profits, any trading losses generated
by the Trading Advisor for the Fund in prior periods are carried forward, so the
incentive fee is paid only if and to the extent the profits generated by the
Trading Advisor for the period exceed any losses (excluding losses relating to
redeemed Units) from prior periods. The loss carry-forward is
proportionally reduced
if and to the extent the Fund reduces the amount of assets allocated to the
Trading Advisor or redemptions occur during a period that a loss carry-forward
exists.
In the
event that any Units are redeemed prior to the end of a calendar quarter, the
Trading Advisor will be entitled to an incentive fee (as applicable), payable on
a quarterly basis, of the redeemed Units to the extent any accrued incentive fee
are allocable to the redeemed Units as of the redemption date.
For the
three and nine months ended September 30, 2009, Series A, B, I and General
Partner Units did not incur incentive fees to the Trading
Advisor. For the one month ended September 30, 2008, Series I and
General Partner Units incurred incentive fees to the Trading Advisor in the
amount of $46,257 and $4,787, respectively.
As of
September 30, 2009 and December 31, 2008, the Trading Advisor had 0 and
50,011.3963 Series I Units, respectively, with a value of $0 and $6,292,934,
respectively. There were no redemptions payable to the Trading Advisor as of
September 30, 2009 and December 31, 2008.
Note
4:
|
DEPOSITS WITH
BROKERS
|
The Fund
deposits funds with the broker, subject to U.S. Commodity Futures Trading
Commission regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of
cash, U.S. Treasuries, U.S. Government Sponsored Agency Securities and
investment grade commercial paper with maturities of less than one year with
such broker. The Fund earns interest income on its assets deposited
with the broker. The Fund’s excess margin monies are managed by the
General Partner.
Note
5:
|
SUBSCRIPTIONS,
DISTRIBUTIONS, AND
REDEMPTIONS
|
Investments
in the Fund are made by subscription agreement, subject to acceptance by the
General Partner. 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. For
the nine months ended September 30, 2009 and 2008, $27,877,516 and $5,500,156 of
subscriptions were effective as of September 30, 2009 and 2008, respectively. As
of September 30, 2009 and December 31, 2008, the Fund had $2,604,956 and
$3,633,808 in subscriptions received in advance, respectively, which were
additions to the Fund or returned, if applicable, subsequent to the quarter-end
and year-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
5 business days prior written notice to the General Partner and restrictions in
the Amended and Restated Limited Partnership Agreement.
Series A
Units redeemed prior to the first anniversary of the subscription date will be
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.
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. No other Series of Units will pay the redemption
fee. Pursuant
to the Amended and Restated Limited Partnership Agreement, the General Partner
may require a Limited Partner to be redeemed from the Fund in the event that the
General Partner, in its sole discretion, considers the redemption of the Limited
Partner as being in the best interest of the Fund, including without limitation
a required redemption (i) in efforts to avoid the Fund’s assets being subject to
the Employee Retirement Income Security Act of 1974, as amended, (ii) because
the continued participation of a person as a Limited Partner will have adverse
regulatory or tax consequences to the Fund or other partners or (iii) 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.
Note
6:
|
TRADING ACTIVITIES AND
RELATED RISKS
|
The Fund
engages in the speculative trading of futures, options and over-the-counter
contracts, including currency forwards traded in the United States and
internationally (collectively, “derivatives”). The Fund is exposed to both
market risk, the risk arising from changes in the fair value of the contracts,
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 the brokers.
Additional deposits may be necessary for any loss on contract value. The
Commodity Exchange Act 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. Government 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 utilizes Newedge USA, LLC as its futures broker and
Newedge Group (U.K. Branch) as its options broker and forwards
counterparty.
The Fund
trades forward currency contracts in unregulated markets between principals and
assumes the risk of loss from counterparty nonperformance. Accordingly, the
risks associated with forward currencies 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
has a substantial portion of its assets on deposit with Interbank market makers
and other financial institutions in connection with its trading of forward
currency contracts and its cash management activities. In the event of an
Interbank market maker’s or financial institution’s insolvency, recovery of Fund
assets on deposit may be limited to account insurance or other protection
afforded such deposits.
The Fund
utilizes UBS Financial Services, Inc. and Bank of America as its cash management
securities broker for the investment of some margin excess amounts into
short-term fixed income instruments including high grade commercial paper
(interest bearing with some credit risk), U.S. Government securities and
Government-sponsored enterprises (interest bearing and credit risk free) with
durations of less than one year. The Fund invests in certain commercial paper
issued by an affiliate of UBS Financial Services, Inc. Fluctuations in
prevailing interest rates could cause immaterial market-to-market losses on the
Fund’s fixed income instruments, although substantially all of the short-term
investments are held to maturity.
For
derivatives, 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. As both a buyer and seller of options, the Fund pays or
receives a premium at the outset and then bears the risk of unfavorable changes
in the price of the contract underlying the option. Written options expose the
Fund to potentially unlimited liability; for purchased options the risk of loss
is limited to the premiums paid.
In
addition to market risk, upon entering into commodity interest contracts there
is a credit risk that a counterparty will not be able to meet its obligations to
the Fund. The counterparty for futures and options on futures contracts traded
in the United States and on most non-U.S. futures exchanges is the clearinghouse
associated with such exchanges. In general, clearinghouses are backed by the
corporate members of the clearinghouse who are required to share any financial
burden resulting from the nonperformance by one of their members and, as such,
should significantly reduce this credit risk. In cases where the clearinghouse
is not backed by the clearing members, like some non-U.S. exchanges, it is
normally backed by a consortium of banks or other financial
institutions.
In the
case of forward 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. The
Fund trades only with those counterparties that it believes to be creditworthy.
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 net
unrealized gain (loss) on open futures and forward currency contracts is
comprised of the following:
Futures
Contracts
|
Forward
Currency Contracts
|
|||||||||||||||
(exchange
traded)
|
(non-exchange
traded)
|
|||||||||||||||
|
September
30, 2009
|
December
31, 2008
|
September
30, 2009
|
December
31, 2008
|
||||||||||||
Gross
unrealized gains
|
$ | 1,399,610 | $ | 495,238 | $ | 338,614 | $ | 70,100 | ||||||||
Gross
unrealized losses
|
(355,883 | ) | (98,955 | ) | (38,901 | ) | (89,789 | ) | ||||||||
Net
unrealized gain (loss)
|
$ | 1,043,727 | $ | 396,283 | $ | 299,713 | $ | (19,689 | ) |
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
specific circumstances, distributions and redemptions received.
Note
7:
|
INDEMNIFICATIONS
|
The Fund
is required to indemnify the General Partner, the Trading Advisor, the Selling
Agents, the Futures Commission Merchant, any other of the Fund’s service
providers, and their affiliates, against various liabilities they may incur in
providing services to the Fund, provided the indemnified party met the standard
of conduct specified in the applicable indemnification clause. The Fund’s
indemnification obligations could require the Fund to make substantial
indemnification payments and reduce the net assets of the Fund, and ultimately,
the net asset value of the Limited Partners’ Units. 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.
Note
8:
|
INTERIM FINANCIAL
STATEMENTS
|
The
statements of financial condition, including the condensed schedule of
investments, as of September 30, 2009, the statements of operations for the
three and nine months ended September 30, 2009 and 2008, the statements of cash
flows and changes in partners’ capital (net asset value) for the nine months
ended September 30, 2009 and 2008 and the accompanying notes to the financial
statements are unaudited. Certain information and footnote
disclosures normally included in financial statements prepared in accordance
with U.S. generally accepted accounting principles 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 for a fair presentation of
financial position as of September 30, 2009, results of operations for the three
and nine months ended September 30, 2009 and 2008, cash flows and changes in
partners’ capital (net asset value) for the nine months ended September 30, 2009
and 2008. The results of operations for the three and nine months
ended September 30, 2009 and 2008 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 our Form 10-K as filed with the U.S.
Securities and Exchange Commission.
Note
9:
|
FINANCIAL
HIGHLIGHTS
|
The
following information presents per unit operating performance data and other
supplemental financial data for the three and nine months ended September 30,
2009, and the one month ended September 30, 2008. This information
has been derived from information presented in the financial statements for
Limited Partner Units.
Three
Months Ended September 30, 2009
|
One
Month Ended September 30, 2008
|
|||||||||||||||
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
Series
I
Units
|
|||||||||||||
Per
unit Performance
|
||||||||||||||||
(for
a unit outstanding throughout the entire period)
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 84.25 | $ | 90.10 | $ | 102.82 | $ | 100.00 | ||||||||
Income
from operations:
|
||||||||||||||||
Gain
from trading (1)
|
6.37 | 6.69 | 7.61 | 5.08 | ||||||||||||
Net
investment loss (1)
|
(1.77 | ) | (1.40 | ) | (1.41 | ) | (1.20 | ) | ||||||||
Total
income from operations
|
4.60 | 5.29 | 6.20 | 3.88 | ||||||||||||
Net
asset value per unit at end of period
|
$ | 88.85 | $ | 95.39 | $ | 109.02 | $ | 103.88 | ||||||||
Total
return (5)
|
5.46 | % | 5.87 | % | 6.03 | % | 3.88 | % | ||||||||
Supplemental
data
|
||||||||||||||||
Ratios
to average net asset value:
|
||||||||||||||||
Expenses
prior to advisor incentive fee(2),
(3), (4)
|
8.42 | % | 6.26 | % | 5.57 | % | 5.37 | % | ||||||||
Advisor
incentive fee(5)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.91 | % | ||||||||
Total
expenses
|
8.42 | % | 6.26 | % | 5.57 | % | 6.28 | % | ||||||||
Net
investment loss (2),
(3), (4), (6)
|
(8.23 | %) | (6.08 | %) | (5.39 | %) | (3.30 | %) |
Nine
Months Ended September 30, 2009
|
||||||||||||
Series
A
Units
|
Series
B
Units
|
Series
I
Units
|
||||||||||
Per
unit Performance
|
||||||||||||
(for
a unit outstanding throughout the entire period)
|
||||||||||||
Net
asset value per unit at beginning of period
|
$ | 104.31 | $ | 110.72 | $ | 125.83 | ||||||
Income
(loss) from operations:
|
||||||||||||
Gain
(loss) from trading (1)
|
(10.19 | ) | (10.91 | ) | (12.26 | ) | ||||||
Net
investment loss (1)
|
(5.27 | ) | (4.42 | ) | (4.55 | ) | ||||||
Total
gain (loss) from operations
|
(15.46 | ) | (15.33 | ) | (16.81 | ) | ||||||
Net
asset value per unit at end of period
|
$ | 88.85 | $ | 95.39 | $ | 109.02 | ||||||
Total
return (5)
|
(14.82 | %) | (13.84 | %) | (13.36 | %) | ||||||
Supplemental
data
|
||||||||||||
Ratios
to average net asset value:
|
||||||||||||
Expenses
prior to advisor incentive fee(2),
(3), (4)
|
8.18 | % | 6.44 | % | 5.68 | % | ||||||
Advisor
incentive fee(5)
|
0.00 | % | 0.00 | % | 0.00 | % | ||||||
Total
expenses
|
8.18 | % | 6.44 | % | 5.68 | % | ||||||
Net
investment loss (2),
(3), (4), (6)
|
(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 contributions 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 year. 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
and nine months ended September 30, 2009 the ratios are net of 0.85% and
1.24% effect of waived administrative expenses,
respectively. For the three and nine months ended September 30,
2009 the ratios are net of 0.88% and 1.51% effect of waived offering
expenses, respectively.
|
|
(3)
|
The
net investment loss includes interest income and excludes realized and
unrealized gains from trading activities as shown on the statements of
operations. The total amount is then reduced by all expenses,
excluding brokerage commissions, which are included in net trading gains
(losses) on the statements of operations. The resulting amount is divided
by the average net asset value for the
quarter.
|
|
(4)
|
Ratios
have been annualized.
|
|
(5)
|
Ratios
have not been annualized.
|
|
(6)
|
Ratio
excludes advisor incentive fee.
|
Note
10:
|
SUBSEQUENT
EVENTS
|
The Fund
received new subscriptions of $2,477,441and $1,262,910, which are effective
October 1, 2009 and November 1, 2009, respectively.
Subsequent
events were evaluated for disclosure through November 16, 2009, the date on
which the financial statements were issued.
Item
2. Management’s Discussion and Analysis of
Financial Condition and Results of Operations
Reference
is made to Item 1, “Financial Statements,” the information contained therein is
essential to, and should be read in connection with the following
analysis.
Introduction
Aspect
Global Diversified Fund LP (the “Fund”) was formed as a Delaware Limited
Partnership on March 23, 2007. The Fund issues units of Limited
Partnership 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, Series B and Series I were
initially offered by the Fund. Series C Units will be issued in
exchange for Series A, B and I Units in certain circumstances.
The Fund
may invest the proceeds from its offering of Units in the speculative
trading of futures, swaps, options and over-the-counter contracts, including
currency forwards traded in the United States and
internationally. The Trading Program (as defined hereinafter) does
not currently utilize options or swaps as part of its trading system, but may
employ them in the future.
Aspect
Capital Limited (the “Trading Advisor”) is the Fund’s sole Trading
Advisor. The Trading Advisor trades the assets of the Fund in the
Aspect Diversified Program (the “Trading Program”), a proprietary, systematic
trading system that deploys multiple trading strategies utilizing derivatives
that seek to identify and exploit directional moves in market behavior to a
broad and diversified range of global markets including (but not limited to)
currencies, global interest rates, equity indices, energies, agricultural
commodities and metals. Generally, the Trading Advisor will seek to
trade the Fund’s assets at approximately 1.20 times the trading level normally
utilized by the Trading Program (which typically trades at a margin to equity
ratio of approximately 5% to 30%, or for the Fund, at a margin to equity ratio
of approximately 6% to 36%).
Recent
Global Financial Crisis
There
were several events that led to significant volatility in global capital markets
during 2008 and continuing in 2009. Following a series of global
announcements regarding failures in financial institutions including the
government take-over of Fannie Mae and Freddie Mac, equity markets fell and
credit markets experienced a sharp drop in liquidity. On October 3,
2008, President Bush signed into law the Emergency Economic Stabilization Act of
2008. The Act gave the U.S. Treasury certain powers to assist troubled financial
institutions, especially those with assets that may have been affected by
sub-prime mortgage exposure or credit default insurance
exposure.
Despite
the increased volatility in the capital markets, the Fund was not adversely
impacted by these developments. In fact, as a result of the declining global
markets in 2008 and the first quarter of 2009, the Fund’s short positions in
equity indices were highly profitable. Additionally, the Fund’s short positions
in physical commodities and long positions in interest rate instruments were
also profitable in 2008 as commodity prices decreased and bond prices
increased.
Critical
Accounting Policies
The
preparation of the Fund’s financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
Fair
value is defined as the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants at
the measurement date and sets out a fair value hierarchy. The fair value
hierarchy gives the highest priority to quoted prices in active markets for
identical assets or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3). Inputs are broadly defined as assumptions market
participants would use in pricing an asset or liability. The three levels of the
fair value hierarchy are described below:
Level 1:
Unadjusted quoted prices in active markets for identical assets or liabilities
that the reporting entity has the ability to access at the measurement
date.
Level 2:
Inputs others than quoted prices within Level 1 that are observable for the
asset or liability, either directly or indirectly. A significant adjustment to a
Level 2 input could result in the Level 2 measurement becoming a Level 3
measurement.
Level 3:
Inputs are unobservable for the asset or liability.
The
Fund’s investments in U.S. Government securities, commercial paper,
Government-sponsored enterprises and corporate notes are short-term in nature
with a duration of less than one year, and typically, the Fund holds these
investments through maturity. As such, interest income generated from these
investments is recorded in the statements of operations. The fair value of these
investments as obtained from cash management and clearing firms statements are
compared to amortized cost to verify that the carrying amounts approximates
their fair value.
The
Fund’s cash management account holder and clearing firm (UBS and Newedge,
respectively) utilize pricing services to value U.S. Government securities,
commercial paper, Government-sponsored enterprises and corporate notes
investments. These pricing services utilize the market approach which uses
prices and other relevant information generated by market transactions involving
identical or comparable assets or liabilities. Valuation techniques consistent
with the market approach include matrix pricing. Matrix pricing, which is used
for Level 2 investments, is a mathematical technique used principally to value
debt securities without relying exclusively on quoted prices for the specific
securities, rather by relying on the securities’ relationship to other benchmark
quoted securities.
U.S.
Government securities are actively traded on a daily basis and the pricing
services are able to obtain bid and ask quotes for identical assets by CUSIP.
Commercial paper, Government-sponsored enterprises, and corporate notes
investments are also actively traded, however, the pricing services are only
able to obtain bid and ask quotes for similar assets. As such, U.S. Government
securities are classified within Level 1 and commercial paper,
Government-sponsored enterprises and corporate notes investments are classified
within Level 2.
Fair
value of exchange traded contracts is based upon exchange settlement prices.
Fair value of non-exchange traded contracts is based on third-party quoted
dealer values on the Interbank market. The investments in money market funds and
futures contracts are valued using quoted market prices and are classified
within Level 1. The fair values of forward currency contracts are based upon an
underlying asset, index, or reference rate or a combination of these factors and
are classified within Level 2. The Fund uses some, and when applicable, all of
these financial instruments as part of its trading activities. The recorded
values of U.S. Government securities, Government-sponsored enterprises and
commercial paper are based on amortized cost carrying amounts due to the
short-term maturity of the instruments and are classified within Level 1 or 2;
therefore, their carrying amounts approximate fair values.
Futures,
options on futures 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. Commercial paper, corporate notes, U.S.
Government securities and Government-sponsored enterprises are recorded at
amortized cost and interest is accrued and recorded through maturity, which
approximates fair value. Fair value of exchange-traded contracts is based upon
settlement prices. Fair value of non-exchange traded contracts is based upon
third-party quoted dealer values on the Interbank market.
For
purposes of both financial reporting and calculation of redemption value, net
asset value per unit is calculated by dividing the net assets of Series A, B or
I Units by the number of outstanding Series A, B or I Units. The Fund’s net
assets refers to the total assets of the Fund (including without limitation all
cash and cash equivalents (valued at cost), any unrealized profits and losses,
accrued interest and amortization of original issue discount, and the fair value
of all open futures, forwards or derivatives positions and other assets of the
Fund, minus the total liabilities of the Fund, including without limitation,
one-half of the brokerage commissions that would be payable with respect to the
closing of each of the Fund’s open commodities interests positions (if charged
on a round-turn basis), or brokerage expenses (if charged on a flat rate basis),
and fees and expenses (including accrued Incentive Fees), determined in
accordance with U.S. generally accepted accounting principles consistently
applied under the accrual basis of accounting. Net income (loss) is calculated
for the Fund as a whole on a monthly basis. Once calculated, net income (loss)
is then allocated to Limited Partners based on their Unit ownership as of the
beginning of each month.
As of
September 30, 2009, the aggregate capitalization of the Fund was $28,489,151,
consisting of Series A Units of $8,192,773; Series B Units of $8,897,032; Series
I Units of $10,953,580; and General Partner Units of $445,766. The
net asset value per Unit of the Series A Units was $88.85; Series B Units was
$95.39; Series I Units was $109.02; and General Partner Units was $111.12 as of
September 30, 2009.
Liquidity
Most
United States 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. In addition, 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 5 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.
Capital
Resources
The Fund
intends to raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund’s business, the Fund does not
contemplate making capital expenditures.
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 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. Steben & Company, 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 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 United States and on most foreign 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 foreign
exchanges, it is normally backed by a consortium of banks or other financial
institutions.
In the
case of forward 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. Steben & Company utilizes 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
utilizes U.S. Treasuries, Government-sponsored enterprises and investment grade
commercial paper with maturities of less than one year. Investment
grade 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, so only commercial paper
issued by firms with high-quality debt ratings will be used. As
commercial paper is not backed by the full faith and credit of the U.S.
government, if the issuing corporation defaults on their obligations to the
Fund, the Fund bears the risk of loss of the amount expected to be
received.
Results
of Operations
The
returns for Series A, B, I and General Partner Units for the nine months ended
September 30, 2009 were (14.82%), (13.84%), (13.36%) and (12.13%),
respectively. Further analysis of the trading gains and losses is provided
below.
Past
performance is not indicative of expected future financial condition or results
of operations.
2009
January
The
Fund’s Series A Units were up 0.37%, Series B Units were up 0.47% and Series I
Units were up 0.51% for the month of January 2009. The muted contributions from
several sectors reflect the systematic reduction in exposures resulting from the
increased market volatility experienced in the fourth quarter of 2008. Stock
markets started 2009 with renewed investor optimism in response to President
Obama’s stimulus plan. The optimism was short-lived however, and stock markets
declined as economic and earnings data continued to show a negative outlook.
Bonds also sold off and yields rose as governments continued to develop rescue
plans and packages to boost growth. This was particularly seen in European bond
markets with U.K. Gilts and Bunds being two of the worst contracts this month.
Conversely, the portfolio’s long positions in interest rates benefited from
the rate cut decisions of the Bank of England and the ECB. In currencies, the
U.S. dollar continued strengthening as a result of risk aversion and the
increasingly negative outlook for Europe, which continues to deal with crises in
the financial sector; this effect continued to be particularly seen in the
weakness of Sterling to the benefit of the Fund’s short exposure. The energy
sector was the best performer this month, driven by gains from crude oil and
natural gas, whose prices declined on the back of bearish inventory data.
Similarly, industrial metals also declined due to stock build-ups, benefiting
the Fund’s short positions.
February
The
Fund’s Series A Units were up 0.57%, Series B Units were up 0.67% and Series I
Units were up 0.71% for the month of February 2009. In comparison with recent
months, returns were relatively muted overall. The Fund, however, still made
profits in the majority of sectors. The currency sector had an eventful month
and provided the most volatility; profits were seen from weakness in the Swedish
krona and Canadian dollar which offset losses in the yen against the U.S.
dollar. The Swedish Krona fell to a record low against the euro after an
unexpectedly large rate-cut and the worst Swedish GDP figures since 1940. The
best performing sectors overall were stock indices and energies. Global equity
markets continued their poor start to the year amid further weak economic data
and problems for financial companies, which benefited the Fund’s small short
exposure. In energy, it was short positions in natural gas and products of crude
oil which drove performance in a choppy month for crude itself. Agricultural
commodities were also profitable, despite some losses from a sharp reversal in
cocoa markets. Fixed income markets were more mixed. The longer end of the curve
was generally profitable, with the exception of Australian bonds, however,
performance was dragged down by losses in shorter-dated Australian bills and
especially in short sterling, as quantitative easing started to seem more likely
than further rate-cuts in the U.K.
March
The
Fund’s Series A Units were down 4.55%, Series B Units were down 4.40% and Series
I Units were down 4.23% for the month of March 2009. Although most global stock
markets remain in negative territory year to date, many saw a strong rally
during March, to the detriment of the Fund’s short positions. Investor risk
appetite appeared to return following some positive corporate earnings news and
the U.S. Federal Reserve’s revamped toxic asset repurchase and quantitative
easing plans. The S&P 500 had its strongest monthly rally since October
2002, recovering from a 12-year low on March 9. The Federal Reserve’s plan to
repurchase debt caused U.S. fixed income markets to rally. U.S. interest rate
markets and European fixed income markets followed and the Fund’s long positions
performed positively in fixed income sectors. In currency, the announcement of
the Treasury’s new plans resulted in the U.S. dollar weakening against major
currencies and consequently a give-back of some of the profits the Fund had
generated on the back of U.S. dollar strength since the third quarter of 2008.
U.S. dollar weakness and revised inflationary expectations caused commodities
markets to rally to the detriment of the Fund’s short positions. This was seen
particularly in metals, where strategic buying by China caused the prices of
base metals to rally. Precious metals on the other hand declined as investors
sold out of safe haven assets, contrary to the Fund’s long positioning. Energy
markets followed stock markets' direction, with crude oil prices rising over 10%
this month, despite OPEC announcing that it will not cut
output.
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 equity 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 U.K.
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 - this benefited long positions in
agricultural 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.
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 U.K. 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
U.K. 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.
2008
September
The
Fund’s Series I Units were up 3.88% for the month of September 2008. The Fund
issued Series B Units and Series A Units on November 1, 2008 and December 1,
2008, respectively. Therefore, there is no performance information for the month
of September for the Series B Units and the Series A Units. Global markets were
particularly volatile as a number of unexpected events had dramatic effects on
overall market sentiment. Increasing risk aversion through the course of the
year was reflected in the Fund’s positioning of long bonds and short equities
for the month which was the main performance driver. However, as
volatility of markets increased, position sizes in many markets were reduced
substantially. The Fund’s positioning generated profits at the beginning of the
month but then reversed somewhat on September 19 as market participants returned
to riskier assets as expectation of a U.S. Government-led recovery increased.
Continued uncertainty through the end of the month, particularly with regard to
the likely nature of government action, resulted in further profit generation
toward the end of the month. In currencies, there were two main themes: the U.S.
dollar continued to strengthen as demand for dollar funding increased amid the
reduced liquidity in money markets, and emerging markets currencies declined as
a result of risk aversion. In metals, recessionary concerns and stock build-ups
continued to place downward pressure on industrial metals, especially aluminum,
the second best contract the month of September 2008.
Item 3. Quantitative and Qualitative Disclosures about Market Risk
A smaller
reporting company, as defined by Rule 12b-2 of the Exchange Act, is not required
to provide the information under this item.
Item
4: Controls and Procedures
Evaluation
of Disclosure Controls and Procedures
Under the
supervision and with the participation of the management of the General Partner,
including its Chief Executive Officer and Interim Chief Financial Officer, the
Fund evaluated the effectiveness of the design and operation of the Fund’s
disclosure controls and procedures (as defined in Rule 13a-15(e) under the
Exchange Act) as of December 31, 2008 (the “Evaluation Date”). Any control
system, no matter how well designed and operated, can provide only reasonable
(not absolute) assurance that its objectives will be met. Furthermore, no
evaluation of controls can provide absolute assurance that all control issues
and instances of fraud, if any, have been detected. Based upon our evaluation,
the Chief Executive Officer and Interim Chief Financial Officer of the General
Partner concluded that, as of the Evaluation Date, the Fund’s disclosure
controls and procedures were effective to provide reasonable assurance that they
are timely alerted to material information relating to the Fund required to be
disclosed in the Fund’s periodic SEC filings.
Changes
in Internal Control Over Financial Reporting
There has
been no change in internal control over financial reporting (as defined in the
Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the
Fund’s last fiscal quarter that has materially affected or is reasonably likely
to materially affect, the Fund’s internal control over financial
reporting.
PART
II-OTHER INFORMATION
Item 1: Legal Proceedings.
None
Item 1A: Risk Factors.
There have been no material changes from the risk
factors disclosed in the Fund’s Registration Statement on Post-Effective
Amendment No. 1 to Form S-1 (SEC File No.: 333-148049) which was declared
effective by the SEC on May 1, 2009.
Item
2: Unregistered Sales of Equity Securities and Use of
Proceeds
(a) None.
(b) Recent Sales of Unregistered
Securities, Use of Proceeds from Registered Securities
There
were no sales of unregistered securities of the Fund during the nine months
ended September 30, 2009.
The
Fund’s Registration Statement on Form S-1 (Registration No.: 333-148049),
registering $60,000,000 Series A Units, $24,000,000 Series B Units and
$36,000,000 Series I Units, was declared effective on August 12, 2008 with
information with respect to the use of proceeds from the sale of Units being
disclosed therein. The Fund’s initial offering period was from August
12, 2008 through August 31, 2008. Thereafter, the Fund began
investment operations of its Series A Units, Series B Units and Series I Units
on December 1, 2008, November 1, 2008 and September 1, 2008, respectively. The
Fund’s Post-Effective Amendment No. 1 to Form S-1
(SEC File No.: 333-148049) was declared effective by the SEC on May 1,
2009.
The
proceeds of the offering of the Fund’s Units are deposited in the Fund’s bank
and brokerage accounts for the purpose of engaging in trading activities in
accordance with the Fund’s trading policies and its trading advisor’s respective
trading strategies.
Issuer
Purchases of Equity Securities
Pursuant
to the Fund’s Amended and Restated Limited 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. The redemption of Units
has no impact on the value of Units that remain outstanding, and Units are not
reissued once redeemed.
The Fund
had $2,020,265, $3,000,000, and $1,364,630 in redemptions by Limited Partners
during the first, second and third calendar quarter of 2009,
respectively.
Item
3: Defaults Upon Senior Securities
Not
applicable.
Item
4: Submissions of Matters to a vote of Security
Holders.
None
Item
5: Other Information
None
Item
6: Exhibits.
(a) Exhibits
and Index.
The
following exhibits filed herewith.
Exhibit
No.
|
Description
of Document
|
Page
No.
|
Certification
of Kenneth E. Steben, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
E-2
|
|
Certification
of Yun T. Callahan, Controller and Interim Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
E-3
|
|
Certification
of Kenneth E. Steben, Chief Executive Officer, pursuant to 18 U.S.C.
Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of
2002.
|
E-4
|
|
Certification
of Yun T. Callahan, Controller and Interim Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
|
E-5
|
(b)
Reports.
None.
SIGNATURES
Pursuant
to the requirements of the U.S. Securities Exchange Act of 1934, the registrant
has duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorized.
ASPECT
GLOBAL DIVERSIFIED FUND LP
(Registrant
By:
|
Steben
& Company, Inc.
|
||
General
Partner
|
|||
By:
|
/s/ Kenneth E. Steben
|
November 16, 2009
|
|
Kenneth E. Steben
|
|||
Chief Executive Officer
|
|||
(Principal Executive
Officer)
|
|||
By:
|
/s/ Yun T. Callahan
|
November
16, 2009
|
|
Yun
T. Callahan
|
|||
Controller
and Interim Chief Financial Officer
|
|||
(Principal Financial
Officer)
|
E-1