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EX-31.02 - EXHIBIT 31.02 - FUTURES PORTFOLIO FUND L.P.ex31_02.htm
EX-32.01 - EXHIBIT 32.01 - FUTURES PORTFOLIO FUND L.P.ex32_01.htm
EX-31.01 - EXHIBIT 31.01 - FUTURES PORTFOLIO FUND L.P.ex31_01.htm
EX-32.02 - EXHIBIT 32.02 - FUTURES PORTFOLIO FUND L.P.ex32_02.htm



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 

 
FORM 10-Q
 
x
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
 
SECURITIES EXCHANGE ACT OF 1934
   
 
For the quarterly period ended September 30, 2009
   
 
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:  000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
(Exact name of registrant as specified in its charter)

 
Maryland
 
52-1627106
 
 
(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 x     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
   
x  Non-accelerated filer
o  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 x

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.
1
     
 
1
     
 
2
     
 
5
     
 
7
     
 
8
     
 
9
     
 
10
     
Item 2.
21
     
Item 3.
27
     
Item 4.
31
     
Part II:
Other Information
32
     
Item 1.
32
     
Item 1A.
32
     
Item 2.
32
     
Item 3.
32
     
Item 4.
32
     
Item 5.
32
     
Item 6.
33
 
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
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
  $ 281,184,124     $ 218,445,964  
U.S. Government securities, at fair value (cost - $0 and $66,403,849)
    -       66,972,902  
Interest receivable
    31,251       28,073  
Net unrealized gain on open futures contracts
    39,660,692       34,492,682  
Net unrealized gain (loss) on open forward currency contracts
    5,001,820       (1,202,959 )
Deposits with brokers
    325,877,887       318,736,662  
Cash and cash equivalents
    647,342,315       286,560,159  
Commercial paper, at fair value (cost - $0 and $139,797,933)
    -       140,590,377  
Government-sponsored enterprises, at fair value (cost - $107,153,196 and $74,304,142)
    107,341,414       75,198,945  
Corporate notes, at fair value (cost - $0 and $77,628,692)
    -       78,147,406  
General Partner 1 percent allocation
    267,337       -  
Total assets
  $ 1,080,828,953     $ 899,233,549  
                 
LIABILITIES
               
Accounts payable - General Partner
  $ 1,616,010     $ 1,313,479  
Commissions and other trading fees on open contracts
    115,742       60,314  
General Partner management fee
    1,689,559       1,374,743  
General Partner 1 percent allocation
    -       1,879,337  
Advisor management fees
    1,807,319       1,492,038  
Advisor incentive fees
    5,633,419       18,771,604  
Selling Agents' fee – General Partner
    1,185,478       971,084  
Redemptions payable
    3,927,068       10,448,411  
Subscriptions received in advance
    32,136,358       29,937,275  
Total liabilities
    48,110,953       66,248,285  
PARTNERS' CAPITAL (Net Asset Value)
               
Class A Interests - 138,438.6924 units and 108,989.0639 units outstanding at September 30, 2009 and December 31, 2008
  $ 670,137,654     $ 547,011,351  
Class B Interests - 57,421.4483 units and 44,268.0740 units outstanding at September 30, 2009 and December 31, 2008
    362,580,346       285,973,913  
Total partners' capital  (net asset value)
    1,032,718,000       832,985,264  
Total liabilities and partners' capital (net asset value)
  $ 1,080,828,953     $ 899,233,549  

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS
September 30, 2009
(Unaudited)

GOVERNMENT-SPONSORED ENTERPRISES
 
Face Value
 
Maturity Date
Description
 
Fair Value
   
% of Net
Asset Value
 
$46,750,000  
01/28/10
Fed Home Ln Bank Bond (not callable), 0.960%
  $ 46,873,641       4.54 %
60,000,000  
03/30/10
Fed Home Ln Bank Bond (not callable), 1.100%
    60,467,773       5.86 %
       
Total Government-sponsored enterprises (cost - $107,153,196)
  $ 107,341,414       10.40 %

LONG U.S. FUTURES CONTRACTS
 
       
Description
 
Net unrealized gain
(loss) on open long
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 1,815,107       0.18 %
       
Currency
    5,058,830       0.49 %
       
Energy
    (337,895 )     (0.03 %)
       
Equity
    (28,886 )     0.00 %
       
Interest rate
    9,220,024       0.89 %
       
Metal**
    10,326,185       1.00 %
       
Stock index
    1,436,245       0.14 %
       
Total long U.S. futures contracts
  $ 27,489,610       2.67 %

SHORT U.S. FUTURES CONTRACTS
       
 
 
     
Description
 
Net unrealized gain
(loss)  on open short
contracts (Fair Value)
   
% of Net
Asset Value
 
     
Agricultural
  $ 2,366,379       0.23 %
       
Currency
    174,775       0.02 %
       
Energy
    (3,738,486 )     (0.36 %)
       
Interest rate
    (87,019 )     (0.01 %)
       
Metal
    (4,886,149 )     (0.47 %)
       
Stock index
    2,570       0.00 %
       
Total short U.S. futures contracts
  $ (6,167,930 )     (0.59 %)
       
Total U.S. futures contracts
  $ 21,321,680       2.08 %

LONG FOREIGN FUTURES CONTRACTS
           
     
Description
 
Net unrealized gain
(loss) on open long
contracts (Fair Value)
   
% of Net
Asset Value
 
     
Agricultural
  $ 515,350       0.05 %
       
Currency
    712,521       0.07 %
       
Energy
    (4,435 )     0.00 %
       
Interest rate**
    11,520,443       1.12 %
       
Metal
    (331,287 )     (0.03 %)
       
Stock index
    1,239,700       0.12 %
       
Total long foreign futures contracts
  $ 13,652,292       1.33 %
 
**No individual futures or forward 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.
 
The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS (continued)
September 30, 2009
(Unaudited)

SHORT FOREIGN FUTURES CONTRACTS
 
     
Description
 
Net unrealized gain
(loss) on open short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 277,771       0.03 %
       
Currency
    4,269,910       0.41 %
       
Energy
    75,877       0.01 %
       
Interest rate
    85,419       0.01 %
       
Stock index
    (22,257 )     0.00 %
       
Total short foreign futures contracts
  $ 4,686,720       0.46 %
       
Total foreign futures contracts
  $ 18,339,012       1.79 %
                         
       
Net unrealized gain on open futures contracts
  $ 39,660,692       3.87 %
                 
LONG/SHORT U.S. FORWARD CURRENCY CONTRACTS
               
       
Description
 
Net unrealized gain
on open long/short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Long U.S. forward currency
  $ 1,047,936       0.10 %
       
Short U.S. forward currency
    403,634       0.04 %
       
Total U.S. forward currency contracts
  $ 1,451,570       0.14 %
 
LONG/SHORT FOREIGN FORWARD CURRENCY CONTRACTS  
     
Description
 
Net unrealized gain
on open long/short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Long foreign forward currency
  $ 669,667       0.06 %
       
Short foreign forward currency
    2,880,583       0.28 %
       
Total foreign forward currency contracts
  $ 3,550,250       0.34 %
                         
       
Net unrealized gain on open forward currency contracts
  $ 5,001,820       0.48 %

**No individual futures or forward 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.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
(Audited)

U.S. GOVERNMENT SECURITIES*
 
Face Value
 
Maturity Date
Description
 
Fair Value
   
% of Net
Asset Value
 
$67,000,000  
01/08/09
U.S. Treasury Bill, 1.820%
  $ 66,972,902       8.04 %
       
Total U.S. Government securities (cost - $66,403,849)
  $ 66,972,902       8.04 %
                         
GOVERNMENT-SPONSORED ENTERPRISES
               
Face Value
 
Maturity Date
Description
 
Fair Value
   
% of Net
Asset Value
 
$75,204,000  
01/02/09
Fed Home Ln Discount Nt, 2.42%
  $ 75,198,945       9.03 %
       
Total Government-sponsored enterprises (cost - $74,304,142)
  $ 75,198,945       9.03 %
                         
COMMERCIAL PAPER
                 
Face Value
 
Maturity Date
Description
 
Fair Value
   
% of Net
Asset Value
 
$47,000,000  
03/06/09
Royal Bk Of Scotland Grp, 2.65%
  $ 46,778,578       5.62 %
41,670,000  
03/10/09
Citigroup Funding Inc, 3.05%
    41,429,934       4.97 %
5,000,000  
03/10/09
Citigroup Funding Inc, 2.43%
    4,977,050       0.60 %
19,800,000  
05/04/09
Shell Intl Finance Bv, 2.08%
    19,659,288       2.36 %
28,000,000  
05/04/09
Societe Generale N Amer, 2.66%
    27,745,527       3.33 %
       
Total commercial paper securities (cost - $139,797,933)
  $ 140,590,377       16.88 %
                         
CORPORATE NOTES
                 
Face Value
 
Maturity Date
Description
 
Fair Value
   
% of Net
Asset Value
 
$50,461,000  
03/25/09
Bear Stearns Co. (JP Morgan Chase & Co.), 3.25%
  $ 50,631,503       6.08 %
27,500,000  
08/19/09
Proc & Gamb Intl F, 2.49%
    27,515,903       3.30 %
       
Total corporate notes (cost - $77,628,692)
  $ 78,147,406       9.38 %
                         
LONG U.S. FUTURES CONTRACTS
               
       
Description
 
Net unrealized gain
(loss) on open long
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 209,623       0.03 %
       
Currency
    583,235       0.07 %
       
Energy
    36,851       0.00 %
       
Interest rate
    7,568,968       0.91 %
       
Metal
    (5,458,382 )     (0.66 %)
       
Stock index
    283,733       0.03 %
       
Total long U.S. futures contracts
  $ 3,224,028       0.38 %

*Pledged as collateral for the trading of futures contracts.

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS (continued)
December 31, 2008
(Audited)

SHORT U.S. FUTURES CONTRACTS
       
 
 
       
Description
 
Net unrealized gain
(loss) on open short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 203,129       0.02 %
       
Currency
    (536,035 )     (0.06 %)
       
Energy
    1,136,871       0.14 %
       
Interest rate
    (34,304 )     0.00 %
       
Metal**
    12,050,348       1.45 %
       
Stock index
    (100,242 )     (0.01 %)
       
Total short U.S. futures contracts
  $ 12,719,767       1.54 %
       
Total U.S. futures contracts
  $ 15,943,795       1.92 %
                         
LONG FOREIGN FUTURES CONTRACTS
               
       
Description
 
Net unrealized gain
on open long
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 526,077       0.06 %
       
Currency
    386,518       0.05 %
       
Interest rate**
    13,673,497       1.64 %
       
Metal
    132       0.00 %
       
Stock index
    353,887       0.04 %
       
Total long foreign futures contracts
  $ 14,940,111       1.79 %
                         
SHORT FOREIGN FUTURES CONTRACTS
               
       
Description
 
Net unrealized gain
(loss) on open short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Agricultural
  $ 1,586,457       0.19 %
       
Currency
    768,035       0.09 %
       
Energy
    761,334       0.09 %
       
Interest rate
    (443,162 )     (0.05 %)
       
Metal
    1,194,857       0.14 %
       
Stock index
    (258,745 )     (0.03 %)
       
Total short foreign futures contracts
  $ 3,608,776       0.43 %
       
Total foreign futures contracts
  $ 18,548,887       2.22 %
                         
       
Net unrealized gain on open futures contracts
  $ 34,492,682       4.14 %
                 
LONG/SHORT U.S. FORWARD CURRENCY CONTRACTS
               
       
Description
 
Net unrealized gain
(loss) on open long/short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Long U.S. forward currency
  $ 495,615       0.06 %
       
Short U.S. forward currency
    (1,697,447 )     (0.20 %)
       
Total U.S. forward currency contracts
  $ (1,201,832 )     (0.14 %)

**No individual futures or forward 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.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS (continued)
December 31, 2008
(Audited)
 
LONG/SHORT FOREIGN FORWARD CURRENCY CONTRACTS
           
     
Description
 
Net unrealized gain
(loss) on open long/short
contracts (Fair Value)
   
% of Net
Asset Value
 
       
Long foreign forward currency
  $ 217,280       0.03 %
       
Short foreign forward currency
    (218,407 )     (0.03 %)
       
Total foreign forward currency contracts
  $ (1,127 )     0.00 %
                         
       
Net unrealized loss on open forward currency contracts
  $ (1,202,959 )     (0.14 %)

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
For the Three and Nine Months Ended September 30, 2009 and 2008
 (Unaudited)
 
   
Three Months Ended
   
Nine Months Ended
 
   
September 30,
   
September 30,
 
   
2009
   
2008
   
2009
   
2008
 
TRADING GAIN (LOSS)
                       
Net realized gain (loss)
  $ 15,792,051     $ (17,407,249 )   $ 10,951,064     $ 122,910,706  
Net change in unrealized gain (loss)
    32,514,500       (32,409,033 )     11,372,789       (11,233,308 )
Brokerage commissions
    (794,199 )     (578,707 )     (1,976,539 )     (1,601,441 )
Net gain (loss) from trading
    47,512,352       (50,394,989 )     20,347,314       110,075,957  
NET INVESTMENT LOSS
                               
Income
                               
Interest income
    633,167       4,250,117       4,125,311       14,779,999  
Expenses
                               
General Partner management fee
    4,876,085       3,267,502       13,715,606       9,410,879  
General Partner 1 percent allocation
    289,447       (591,773 )     (267,337 )     621,241  
Advisor management fees
    3,630,303       2,798,548       10,665,853       8,235,991  
Advisor incentive fees
    5,631,887       3,572,159       12,560,513       35,230,213  
Selling Agents' fee – General Partner
    3,418,167       2,294,877       9,639,693       6,677,820  
Operating expenses
    2,201,007       2,560,381       6,507,786       5,430,445  
Total expenses
    20,046,896       13,901,694       52,822,114       65,606,589  
Operating expenses waived
    (556,610 )     (1,461,050 )     (1,883,103 )     (2,253,515 )
Net total expenses
    19,490,286       12,440,644       50,939,011       63,353,074  
Net investment loss
    (18,857,119 )     (8,190,527 )     (46,813,700 )     (48,573,075 )
                                 
NET INCOME (LOSS)
  $ 28,655,233     $ (58,585,516 )   $ (26,466,386 )   $ 61,502,882  
                                 
 
   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
   
2009
   
2008
   
2009
   
2008
 
   
Class A
   
Class B
   
Class A
   
Class B
   
Class A
   
Class B
   
Class A
   
Class B
 
INCREASE (DECREASE) IN NET ASSET VALUE PER UNIT
  $ 126.03     $ 191.93     $ (394.66 )   $ (478.97 )   $ (178.28 )   $ (145.68 )   $ 407.37     $ 586.55  
                                                                 
NET INCOME (LOSS) PER UNIT
(based on weighted average number of units outstanding)
  $ 131.58     $ 198.71     $ (380.34 )   $ (470.82 )   $ (163.61 )   $ (124.05 )   $ 407.07     $ 551.33  

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
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)
  $ (26,466,386 )   $ 61,502,882  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
               
Net change in unrealized (gain) loss
    (11,372,789 )     11,233,308  
Net proceeds from commercial paper
    140,590,377       3,802,964  
Net proceeds from corporate notes
    78,147,406       -  
Net proceeds (purchases) of investments in U.S. government securities
    66,972,902       (158,516,198 )
Net purchases of Government-sponsored enterprises
    (32,142,469 )     -  
(Increase) decrease in interest receivable
    (3,178 )     106,985  
Decrease in accounts payable and accrued expenses
    (11,935,735 )     (3,119 )
Increase (decrease) in General Partner 1 percent allocation
    (2,146,674 )     370,923  
Net cash provided by (used in) operating activities
    201,643,454       (81,502,255 )
                 
Cash flows provided by (used in) financing activities
               
Contributions
    262,412,284       147,677,830  
Subscriptions received in advance
    32,136,358       8,604,457  
Redemptions
    (72,671,780 )     (61,726,355 )
Net cash provided by financing activities
    221,876,862       94,555,932  
Net increase in cash and cash equivalents
    423,520,316       13,053,677  
                 
Cash and cash equivalents
               
Beginning of period
    505,006,123       85,537,812  
End of period
  $ 928,526,439     $ 98,591,489  
End of period cash and cash equivalents consists of:
               
Cash in broker trading accounts
  $ 281,184,124     $ 70,173,684  
Cash and cash equivalents
    647,342,315       28,417,805  
Total end of period cash and cash equivalents
  $ 928,526,439     $ 98,591,489  
                 
Supplemental disclosure of cash flow information:
               
Prior period redemptions paid
  $ 10,448,411     $ 4,753,938  
Prior period subscriptions received in advance
  $ 29,937,275     $ 3,956,128  
                 
Supplemental schedule of non-cash financing activities:
               
Redemptions payable
  $ 3,927,068     $ 4,518,384  

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2009 and 2008
(Unaudited)
__________

   
Class A Interests
   
Class B Interests
       
   
Units
   
Amount
   
Units
   
Amount
   
Total
 
Nine Months Ended September 30, 2009
                             
Balance at December 31, 2008
    108,989.0639     $ 547,011,351       44,268.0740     $ 285,973,913     $ 832,985,264  
Net loss for the nine months ended September 30, 2009
    -       (20,137,315 )             (6,329,071 )     (26,466,386 )
Contributions
    38,143.3711       185,460,951       16,967.3754       106,888,608       292,349,559  
Redemptions
    (7,367.0398 )     (35,743,853 )     (4,839.0585 )     (30,406,584 )     (66,150,437 )
Transfers
    (1,326.7028 )     (6,453,480 )     1,025.0574       6,453,480       -  
Balance at September 30, 2009
    138,438.6924     $ 670,137,654       57,421.4483     $ 362,580,346     $ 1,032,718,000  
                                         
                                         
   
Class A Interests
   
Class B Interests
         
   
Units
   
Amount
   
Units
   
Amount
   
Total
 
Nine Months Ended September 30, 2008
                                       
Balance at December 31, 2007
    94,188.7078     $ 364,289,314       36,968.6171     $ 180,817,671     $ 545,106,985  
Net income for the nine months ended September 30, 2008
    -       39,577,371       -       21,925,511       61,502,882  
Contributions
    22,398.8129       95,765,492       10,309.8664       55,868,466       151,633,958  
Redemptions
    (10,156.9137 )     (44,638,161 )     (3,144.1560 )     (16,852,640 )     (61,490,801 )
Transfers
    (166.0804 )     (711,220 )     131.0055       711,220       -  
Balance at September 30, 2008
    106,264.5266     $ 454,282,796       44,265.3330     $ 242,470,228     $ 696,753,024  

Net Asset Value Per Unit
 
                                             
September 30, 2009
   
December 31, 2008
   
September 30, 2008
   
December 31, 2007
 
Class A
   
Class B
   
Class A
   
Class B
   
Class A
   
Class B
   
Class A
   
Class B
 
                                                             
$ 4,840.68     $ 6,314.37     $ 5,018.96     $ 6,460.05     $ 4,275.02     $ 5,477.66     $ 3,867.65     $ 4,891.11  

The accompanying notes are an integral part of these financial statements.


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
__________

Note 1:
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

General Description of the Fund:

Futures Portfolio Fund, Limited Partnership (the “Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990.  The Fund issues units of Limited Partnership Interests (“Units”) in two Classes, Class A and Class B, which represent units of fractional undivided beneficial interest in and ownership of the Fund.  The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Limited Partnership Agreement.

The Fund utilizes commodity trading advisors to engage in the trading of futures contracts, forward currency contracts, and other financial instruments traded in the United States and internationally.

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the Securities Act of 1933, as amended, (the “’33 Act”) and the U.S. Securities Exchange Act of 1934 (the “’34 Act”).  As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the Act.  As a commodity pool, the Fund is subject to the regulations of the U.S.  Commodity Futures Trading Commission, 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.

Classes of Interests:

There are two Classes of Interests held by the Limited Partners, Class A and Class B Units. The General Partner may offer additional classes at its discretion. Both Class A and Class B Units are traded pursuant to identical trading programs and differ only in respect to the selling agents’ fees, which consists of selling agents’ commissions and broker dealer servicing fees. Class B Units are issued only at the General Partner’s discretion and are generally intended for investors who are participating in fee based investment advisory programs. All items of income or loss, except for the selling agents’ fees, are allocated pro rata between Class A and Class B Units. The selling agents’ fees applicable to each class of Units are then charged to each class. All items of income or loss allocated to each class of Units are then allocated pro rata to each Limited Partner within each class. For purposes of both financial reporting and calculation of redemption value, net asset value per Class A or Class B Unit is calculated by dividing the net asset value of Class A or Class B Interests by the number or outstanding units of Class A or Class B.

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, forward currency and swap contracts are recorded on a trade date basis, and gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open 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.

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 $261,849,432, $294,946,984 and $371,730,023, respectively.  As of December 31, 2008, significant cash balances held at Newedge, UBS, and Bank of America are $209,660,354, $213,671,965 and $81,663,804, 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 2006 through 2008 tax years generally remain 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 or all, when applicable, of these financial instruments as part of its trading activities. The recorded values of commercial paper, Government-sponsored enterprises, U.S. Government securities and corporate notes 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
  $ 39,660,692           $ 39,660,692  
Forward currency contracts
          $ 5,001,820     $ 5,001,820  
Government-sponsored enterprises
          $ 107,341,414     $ 107,341,414  
Cash and cash equivalents
                       
Money market funds
  $ 600,776,990             $ 600,776,990  

 
   
December 31, 2008
 
   
Level 1
   
Level 2
   
Total
 
Equity in broker trading accounts
                 
Futures contracts
  $ 34,492,682           $ 34,492,682  
Forward currency contracts
          $ (1,202,959 )   $ (1,202,959 )
U.S. Government securities
  $ 66,972,902             $ 66,972,902  
Commercial paper
          $ 140,590,377     $ 140,590,377  
Government-sponsored enterprises
          $ 75,198,945     $ 75,198,945  
Corporate notes
          $ 78,147,406     $ 78,147,406  
Cash and cash equivalents
                       
Money market funds
  $ 256,592,512             $ 256,592,512  

There were no Level 3 holdings as of September 30, 2009 or December 31, 2008 or during the three and nine months ended September 30, 2009 and 2008, respectively.

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
  $ 5,759,379     $ (784,772 )   $ 4,974,607       5,007  
Currency
    10,656,964       (440,928 )     10,216,036       4,945  
Energy
    365,551       (4,370,490 )     (4,004,939 )     2,524  
Equity
    1,478       (30,364 )     (28,886 )     20  
Interest rate
    21,121,712       (382,845 )     20,738,867       36,836  
Metal
    10,360,588       (5,251,839 )     5,108,749       4,775  
Stock index
    3,729,104       (1,072,846 )     2,656,258       7,513  
 
Net unrealized gain on open futures contracts
    51,994,776       (12,334,084 )     39,660,692       61,620  
                         
Forward contracts
                       
Currency
Net unrealized gain (loss) on open forward currency contracts
    7,143,681       (2,141,861 )     5,001,820       N/A  
    $ 59,138,457     $ (14,475,945 )   $ 44,662,512       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
  $ 2,973,007       15,253     $ 1,230,290       40,324  
Currency
    (1,393,033 )     19,770       (6,233,611 )     34,234  
Energy
    (19,190,870 )     17,854       (21,725,672 )     34,194  
Equity
    (182,209 )     725       (82,127 )     1,087  
Interest rate
    570,484       86,512       (9,651,428 )     215,342  
Metal
    (1,446,981 )     6,530       240,460       14,376  
Stock index
    31,688,972       33,875       58,509,749       72,710  
    13,019,370       180,519       22,287,661       421,267  
                                 
Forward contracts
                               
Currency
    2,706,661       N/A       (10,977,047 )     N/A  
Net realized gain (loss)
  $ 15,726,031             $ 11,310,614          

   
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
  $ 882,036     $ 2,449,321  
Currency
    7,789,122       9,014,283  
Energy
    (7,920,562 )     (5,939,995 )
Equity
    (28,738 )     (28,886 )
Interest rate
    17,069,854       (26,132 )
Metal
    8,587,533       (2,678,206 )
Stock index
    1,591,361       2,377,625  
    27,970,606       5,168,010  
                 
Forward contracts
               
Currency
    4,543,894       6,204,779  
Net change in unrealized gain (loss)
  $ 32,514,500     $ 11,372,789  

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 net 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 partner’s 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 reference since all references 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:
GENERAL PARTNER

The General Partner of the Fund is Steben & Company, Inc., which conducts and manages the business of the Fund.  During the nine months ended September 30, 2009 and 2008, the General Partner did not maintain a capital balance in the Fund; however, the sole shareholder of the General Partner has an investment in Class B Interests of the Fund.

During the nine months ended September 30, 2009 and 2008, the General Partner received the following compensation:

 
·
Class A Units incur a monthly management fee equal to 1/12 of 1.95 percent (1.95 percent per annum) of the net asset value of the Class A Interests as of the last day of each month.

 
·
Class A Units incur a monthly selling agents’ commissions equal to 1/12 of 2 percent (2.00 percent per annum) of the net asset value of the Class A Units as of the last day of each month. The General Partner, in turn, pays the selling agents’ commissions to the respective selling agents. If the selling agents’ commissions are not paid to the selling agent, or the General Partner was the selling agent, such portions of the selling agents’ commissions are retained by the General Partner.

 
·
Class B Units incur a monthly management fee equal to 1/12 of 1.95 percent (1.95 percent per annum) of the net asset value of the Class B Units as of the last day of each month.

 
·
Class B Units incur a monthly broker dealer servicing fee equal to 1/12 of 0.20 percent (0.20 percent per annum) of the net asset value of the Class B Units as of the last day of each month.  The General Partner, in turn, pays the broker dealers’ servicing fees to the respective selling agent.  If the broker dealers’ servicing fees are not paid to the selling agent, or the General Partner was the selling agent, such portions of the broker dealers’ servicing fees are retained by the General Partner.

Pursuant to the terms of the Limited Partnership Agreement, the General Partner receives 1 percent of any increase or decrease in the Fund’s net assets, as defined.  Such amount is reflected as the General Partner 1 percent allocation in the statements of financial condition and the statements of operations.

Note 3:
COMMODITY TRADING ADVISORS

 
The Fund has Advisory Agreements with various commodity trading advisors, pursuant to which the Fund pays each commodity trading advisor a monthly or quarterly management fee equal to 0 percent, 1 percent or 2 percent per annum of allocated net assets (as separately defined in each respective Advisory Agreement) and a quarterly or annual incentive fee equal to 20 percent, 25 percent or 30 percent of net new trading profits (as separately defined in each respective Advisory Agreement).


Note 4:
DEPOSITS WITH BROKERS

The Fund deposits funds with brokers, subject to U.S. Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Government securities and cash with such brokers. The Fund earns interest income on its assets deposited with the brokers.

Note 5:
OPERATING EXPENSES

The Fund is responsible for all of its operating expenses such as accounting, audit, legal, administrative, marketing and offering expenses.  Operating expenses also include salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund, such as salaries and commissions of General Partner marketing personnel, and administrative employee salaries and related costs.  Pursuant to the terms of the Limited Partnership Agreement, operating expenses that exceed 1 percent of the average month-end net assets of the Fund are the responsibility of the General Partner.  For the three and nine months ended September 30, 2009, actual operating expenses were below this 1 percent (pro rated operating expense limitation) of average month-end net assets of the Fund by $319,229 and $580,530, respectively.  For the three and nine months ended September 30, 2008, actual operating expenses exceeded this 1 percent (pro rated operating expense limitation) of average month-end net assets of the Fund by $879,390 and $586,634, respectively.  Additionally, during the three and nine months ended September 30, 2009, the General Partner voluntarily waived $556,610 and $1,883,103, respectively ($581,660 and $1,666,881, respectively – September 30, 2008), of operating expenses of the Fund, with such amounts included in operating expenses waived in the statements of operations.  As of September 30, 2009 and December 31, 2008, $1,616,010 and $1,313,479, respectively, were payable to the General Partner for operating expenses not waived.  Such amounts are presented as accounts payable in the statements of financial condition.

Note 6:
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 Class A or Class B Unit as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as Limited Partners as of the beginning of the month following the month in which their subscriptions were accepted. At September 30, 2009 and December 31, 2008, the Fund had received subscriptions of $32,136,358 and $29,937,275, 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 Class A or Class B Units owned at the end of any month, subject to 15 days written notice to the General Partner and restrictions in the Limited Partnership Agreement.

The General Partner may require a Limited Partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a nonexempt prohibited transaction (see SA-4, “Investment by Employee Benefit Plans”) under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, or (b) beneficial to the Fund or (c) necessary to comply state, federal, or other self-regulatory organization regulations.

Note 7:
TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of futures, swaps, 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 no longer 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 U.S. Government securities and other fixed income instruments, although substantially all of the short-term investments are held to maturity.

For derivatives, risks arise from changes in the fair 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
(exchange traded)
   
Forward Currency Contracts
 (non-exchange traded)
 
   
September 30,
2009
   
December 31,
2008
   
September 30,
2009
   
December 31,
2008
 
Gross unrealized gains
  $ 51,994,776     $ 45,886,155     $ 7,143,681     $ 2,924,001  
Gross unrealized losses
    (12,334,084 )     (11,393,473 )     (2,141,861 )     (4,126,960 )
Net unrealized gain (loss)
  $ 39,660,692     $ 34,492,682     $ 5,001,820     $ (1,202,959 )

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 8:
INDEMNIFICATIONS

In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Fund’s maximum exposure under these arrangements cannot be estimated.  However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications.

Note 9:
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 10: 
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 2008.  This information has been derived from information presented in the financial statements.



   
Three months ended September 30,
 
   
2009
   
2008
 
   
(Unaudited)
   
(Unaudited)
 
   
Class A
   
Class B
   
Class A
   
Class B
 
   
Interests
   
Interests
   
Interests
   
Interests
 
                         
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
                         
Net asset value per unit at beginning of period
  $ 4,714.65     $ 6,122.44     $ 4,669.68     $ 5,956.63  
                                 
Income (loss) from operations:
                               
Gain (loss) from trading (1)
    225.14       292.65       (335.19 )     (428.03 )
Net investment loss (1)
    (99.11 )     (100.72 )     (59.47 )     (50.94 )
                                 
Total income (loss) from operations
    126.03       191.93       (394.66 )     (478.97 )
                                 
Net asset value per unit at end of period
  $ 4,840.68     $ 6,314.37     $ 4,275.02     $ 5,477.66  
                                 
Total Return
    2.67 %     3.13 %     (8.45 %)     (8.04 %)
                                 
Supplemental data
                               
Ratios to average net asset value: