Exhibit
13.01
  Nestor
Partners
  Financial
Statements for the Years Ended
 December 31,
2009, 2008 and 2007, and
 Report
of Independent Registered Public
 Accounting
Firm
  
  NESTOR
      PARTNERSTABLE
      OF CONTENTS
  PageAFFIRMATION
      OF MILLBURN RIDGEFIELD CORPORATIONREPORT
      OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
                        1FINANCIAL
      STATEMENTS FOR THE YEARSENDED
      DECEMBER 31, 2009, 2008 AND 2007:Statements
      of Financial Condition
                        2Condensed
      Schedules of Investments
                        3–6Statements
      of Operations
                        7Statements
      of Changes in Partners’ Capital
                        8Statements
      of Financial Highlights
                        9Notes
      to Financial Statements
                        10–19
  
  AFFIRMATION
OF MILLBURN RIDGEFIELD CORPORATION
  In
compliance with the Commodity Futures Trading Commission’s regulations, I hereby
affirm that to the best of my knowledge and belief, the information contained in
the statements of financial condition, including the condensed schedules of
investments, of Nestor Partners as of December 31, 2009 and 2008, and the
related statements of operations, changes in partners’ capital, and financial
highlights for each of the three years in the period ended December 31,
2009, are complete and accurate.
  Harvey
Beker, Co-Chief Executive Officer
 Millburn
Ridgefield Corporation
 General
Partner of Nestor Partners
  
  REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
  To the
Partners of
 Nestor
Partners:
  We have
audited the accompanying statements of financial condition of Nestor Partners
(the “Partnership”), including the condensed schedules of investments, as of
December 31, 2009 and 2008, and the related statements of operations,
changes in partners’ capital, and financial highlights for each of the three
years in the period ended December 31, 2009. These financial statements and
financial highlights are the responsibility of the Partnership’s management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
  We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Partnership’s internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
  In our
opinion, the financial statements and financial highlights referred to above
present fairly, in all material respects, the financial position of Nestor
Partners at December 31, 2009 and 2008, and the results of its operations,
changes in partners’ capital, and financial highlights for each of the three
years in the period ended December 31, 2009, in conformity with accounting
principles generally accepted in the United States of America.
  Deloitte
& Touche LLP
 New York,
New York
 March 10,
2010
  1
  NESTOR
      PARTNERSSTATEMENTS
      OF FINANCIAL CONDITIONAS
      OF DECEMBER 31, 2009 AND 2008
 
 2009
                                  
                                  
                                  2008ASSETSEQUITY
      IN TRADING ACCOUNTS:Investments
      in U.S. Treasury notes — at fair value(amortized
      cost $29,248,896 and $10,919,463)
                                  
                                  $
                                  29,270,970
                                  
                                  
                                  $
                                  11,026,888Net
      unrealized appreciation on open futures and forwardcurrency
      contracts
                                  
                                  
                                  1,373,232
                                  
                                  
                                  
                                  1,502,774Due
      from brokers
                                  
                                  
                                  1,349,512
                                  
                                  
                                  
                                  501,514Cash
      denominated in foreign currencies (cost $1,783,009and
      $117,799)
                                  
                                  
                                  1,854,583
                                  
                                  
                                  
                                  123,751Total
      equity in trading accounts
                                  
                                  
                                  33,848,297
                                  
                                  
                                  
                                  13,154,927INVESTMENTS
      IN U.S. TREASURY NOTES —at
      fair value (amortized cost $108,239,883 and $159,691,001)
                                  
                                  
                                  108,312,955
                                  
                                  
                                  
                                  160,955,102CASH
      AND CASH EQUIVALENTS
                                  
                                  
                                  8,697,230
                                  
                                  
                                  
                                  14,235,694ACCRUED
      INTEREST RECEIVABLE
                                  
                                  
                                  1,225,102
                                  
                                  
                                  
                                  1,593,509TOTAL
                                  
                                  $
                                  152,083,584
                                  
                                  
                                  $
                                  189,939,232LIABILITIES
      AND PARTNERS' CAPITALLIABILITIES:Capital
      contributions received in advance
                                  
                                  $
                                  35,000
                                  
                                  
                                  $
                                  537,222Net
      unrealized depreciation on open futures and forwardcurrency
      contracts
                                  
                                  
                                  2,166,888
                                  
                                  
                                  
                                  722,949Accrued
      brokerage fees
                                  
                                  
                                  261,974
                                  
                                  
                                  
                                  340,177Due
      to brokers
                                  
                                  
                                  1,852,880
                                  
                                  
                                  
                                  782,717Cash
      denominated in foreign currencies (cost $-13,463and
      $-437,052)
                                  
                                  
                                  13,434
                                  
                                  
                                  
                                  426,586Accrued
      expenses
                                  
                                  
                                  165,092
                                  
                                  
                                  
                                  302,592Capital
      withdrawals payable
                                  
                                  
                                  335,028
                                  
                                  
                                  
                                  19,505,497Due
      to General Partner
                                  
                                  
                                  -
                                  
                                  
                                  
                                  2,071Total
      liabilities
                                  
                                  
                                  4,830,296
                                  
                                  
                                  
                                  22,619,811PARTNERS'
      CAPITAL
                                  
                                  
                                  147,253,288
                                  
                                  
                                  
                                  167,319,421TOTAL
                                  
                                  $
                                  152,083,584
                                  
                                  
                                  $
                                  189,939,232
 
 See notes
to financial statements
  2
 
 NESTOR
      PARTNERSCONDENSED
      SCHEDULE OF INVESTMENTSAS
      OF DECEMBER 31, 2009
 
 Net UnrealizedAppreciation(Depreciation)
                                  
                                  
                                  Net Unrealizedas a % of
                                  
                                  
                                  Appreciation/FUTURES AND FORWARD CURRENCY CONTRACTS
                                  
                                  Partners' Capital
                                  
                                  
                                  (Depreciation)LONG
      FUTURES CONTRACTS:Energies
                                  
                                  
                                  1.36
                                  %
                                  
                                  $
                                  2,008,661Grains
                                  
                                  
                                  0.05
                                  
                                  
                                  
                                  68,608Interest
      rates2
      Year U.S. Treasury Note (199 contracts, expiration date
      03/31/2010)
                                  
                                  
                                  (0.16
                                  )
                                  
                                  
                                  (224,703
                                  )5
      Year U.S. Treasury Note (119 contracts, expiration date
      03/31/2010)
                                  
                                  
                                  (0.18
                                  )
                                  
                                  
                                  (266,062
                                  )10
      Year U.S. Treasury Note (67 contracts, expiration date
      03/31/2010)
                                  
                                  
                                  (0.07
                                  )
                                  
                                  
                                  (105,422
                                  )30
      Year U.S. Treasury Bond (2 contracts, expiration date
      03/31/2010)
                                  
                                  
                                  (0.00
                                  )
                                  
                                  
                                  (7,188
                                  )Other
                                  
                                  
                                  (0.84
                                  )
                                  
                                  
                                  (1,234,803
                                  )Total
      interest rates
                                  
                                  
                                  (1.25
                                  )
                                  
                                  
                                  (1,838,178
                                  )Metals
                                  
                                  
                                  0.34
                                  
                                  
                                  
                                  507,414Softs
                                  
                                  
                                  0.35
                                  
                                  
                                  
                                  515,690Stock
      indices
                                  
                                  
                                  1.29
                                  
                                  
                                  
                                  1,894,643Total
      long futures contracts
                                  
                                  
                                  2.14
                                  
                                  
                                  
                                  3,156,838SHORT
      FUTURES CONTRACTS:Energies
                                  
                                  
                                  (1.16
                                  )
                                  
                                  
                                  (1,716,056
                                  )Grains
                                  
                                  
                                  (0.06
                                  )
                                  
                                  
                                  (83,927
                                  )Interest
      rates
                                  
                                  
                                  0.01
                                  
                                  
                                  
                                  6,642Livestock
                                  
                                  
                                  (0.03
                                  )
                                  
                                  
                                  (42,540
                                  )Metals
                                  
                                  
                                  (0.20
                                  )
                                  
                                  
                                  (291,372
                                  )Softs
                                  
                                  
                                  (0.02
                                  )
                                  
                                  
                                  (23,191
                                  )Stock
      indices
                                  
                                  
                                  (0.03
                                  )
                                  
                                  
                                  (41,988
                                  )Total
      short futures contracts
                                  
                                  
                                  (1.49
                                  )
                                  
                                  
                                  (2,192,432
                                  )TOTAL
      INVESTMENTS IN FUTURES CONTRACTS — Net
                                  
                                  
                                  0.65
                                  
                                  
                                  
                                  964,406FORWARD
      CURRENCY CONTRACTS:Total
      long forward currency contracts
                                  
                                  
                                  (1.69
                                  )
                                  
                                  
                                  (2,501,185
                                  )Total
      short forward currency contracts
                                  
                                  
                                  0.50
                                  
                                  
                                  
                                  743,123TOTAL
      INVESTMENTS IN FORWARD CURRENCYCONTRACTS
      — Net
                                  
                                  
                                  (1.19
                                  )
                                  
                                  
                                  (1,758,062
                                  )TOTAL
                                  
                                  
                                  (0.54
                                  )%
                                  
                                  $
                                  (793,656
                                  )
 
 (Continued)
  3
 
 NESTOR
      PARTNERSCONDENSED
      SCHEDULE OF INVESTMENTSAS
      OF DECEMBER 31, 2009
 
 U.S.
TREASURY NOTES
 
 Value as a %Face
                      
                      
                      
                      of Partners'Amount
                      
                      Description
                      
                      Capital
                      
                      
                      Value$
                      18,000,000
                      
                      U.S.
      Treasury notes, 1.750%, 03/31/2010
                      
                      
                      12.27
                      %
                      
                      $
                      18,073,12539,100,000
                      
                      U.S.
      Treasury notes, 2.625%, 05/31/2010
                      
                      
                      26.82
                      
                      
                      
                      39,491,00039,040,000
                      
                      U.S.
      Treasury notes, 3.875%, 07/15/2010
                      
                      
                      27.03
                      
                      
                      
                      39,802,50039,040,000
                      
                      U.S.
      Treasury notes, 4.250%, 10/15/2010
                      
                      
                      27.31
                      
                      
                      
                      40,217,300TOTAL
      INVESTMENTS IN U.S. TREASURYNOTES
      (amortized cost $137,488,779)
                      
                      
                      93.43
                      %
                      
                      $
                      137,583,925
 
 (Concluded)
 See notes
to financial statements
  4
 
 NESTOR
      PARTNERSCONDENSED
      SCHEDULE OF INVESTMENTSAS
      OF DECEMBER 31, 2008
 
 Net UnrealizedAppreciation
                    
                    
                    Net(Depreciation)
                    
                    
                    Unrealizedas a % of
                    
                    
                    AppreciationFUTURES AND FORWARD CURRENCY CONTRACTS
                    
                    Partners’ Capital
                    
                    
                    (Depreciation)LONG
      FUTURES CONTRACTS:Energies
                    
                    
                    0.03
                    %
                    
                    $
                    42,915Grains
                    
                    
                    0.06
                    
                    
                    
                    104,350Interest
      rates
                    
                    
                    1.03
                    
                    
                    
                    1,717,510Metals
                    
                    
                    (0.13
                    )
                    
                    
                    (218,641
                    )Softs
                    
                    
                    0.00
                    
                    
                    
                    7,101Total
      long futures contracts
                    
                    
                    0.99
                    
                    
                    
                    1,653,235SHORT
      FUTURES CONTRACTS:Energies
                    
                    
                    0.22
                    
                    
                    
                    360,617Grains
                    
                    
                    (0.33
                    )
                    
                    
                    (559,689
                    )Interest
      rates
                    
                    
                    (0.11
                    )
                    
                    
                    (177,109
                    )Livestock
                    
                    
                    0.06
                    
                    
                    
                    97,260Metals
                    
                    
                    0.21
                    
                    
                    
                    351,967Softs
                    
                    
                    (0.07
                    )
                    
                    
                    (119,636
                    )Stock
      indices
                    
                    
                    (0.07
                    )
                    
                    
                    (112,804
                    )Total
      short futures contracts
                    
                    
                    (0.09
                    )
                    
                    
                    (159,394
                    )TOTAL
      INVESTMENTS IN FUTURES CONTRACTS-Net
                    
                    
                    0.90
                    
                    
                    
                    1,493,841FORWARD
      CURRENCY CONTRACTS:Total
      long forward currency contracts
                    
                    
                    0.16
                    
                    
                    
                    271,304Total
      short forward currency contracts
                    
                    
                    (0.59
                    )
                    
                    
                    (985,320
                    )TOTAL
      INVESTMENTS IN FORWARD CURRENCYCONTRACTS-Net
                    
                    
                    (0.43
                    )
                    
                    
                    (714,016
                    )TOTAL
                    
                    
                    0.47
                    %
                    
                    $
                    779,825
 
 (Continued)
  5
 
 NESTOR
      PARTNERSCONDENSED
      SCHEDULE OF INVESTMENTSAS
      OF DECEMBER 31, 2008
 
 U.S.
TREASURY NOTES
 
 Value as a %Face
                      
                      
                      
                      of Partners’Amount
                      
                      Description
                      
                      Capital
                      
                      
                      Value$
                      18,000,000
                      
                      U.S.
      Treasury notes, 4.000%, 03/31/2009
                      
                      
                      10.87
                      %
                      
                      $
                      18,194,06344,890,000
                      
                      U.S.
      Treasury notes, 3.875%, 05/15/2009
                      
                      
                      27.19
                      
                      
                      
                      45,500,22441,440,000
                      
                      U.S.
      Treasury notes, 3.625%, 07/15/2009
                      
                      
                      25.21
                      
                      
                      
                      42,184,62564,540,000
                      
                      U.S.
      Treasury notes, 3.375%, 10/15/2009
                      
                      
                      39.52
                      
                      
                      
                      66,103,078TOTAL
      INVESTMENTS IN U.S. TREASURYNOTES
      (amortized cost $170,610,464)
                      
                      
                      102.79
                      %
                      
                      $
                      171,981,990
 
 See
      notes to financial statements.
              (Concluded)
  6
 
 NESTOR
      PARTNERSSTATEMENTS
      OF OPERATIONSFOR
      THE YEARS ENDED DECEMBER 31, 2009, 2008 AND
2007
 
 2009
                              
                              
                              2008
                              
                              
                              2007INVESTMENT
      INCOME — Interest income
                              
                              $
                              1,712,546
                              
                              
                              $
                              4,703,091
                              
                              
                              $
                              7,278,769EXPENSES:Brokerage
      fees
                              
                              
                              3,393,459
                              
                              
                              
                              3,779,342
                              
                              
                              
                              3,533,293Administrative
      expenses
                              
                              
                              383,895
                              
                              
                              
                              420,720
                              
                              
                              
                              385,059Custody
      fees
                              
                              
                              33,357
                              
                              
                              
                              29,717
                              
                              
                              
                              22,648Total
      expenses
                              
                              
                              3,810,711
                              
                              
                              
                              4,229,779
                              
                              
                              
                              3,941,000NET
      INVESTMENT INCOME (LOSS)
                              
                              
                              (2,098,165
                              )
                              
                              
                              473,312
                              
                              
                              
                              3,337,769NET
      REALIZED AND UNREALIZEDGAINS
      (LOSSES):Net
      realized gains (losses) on closed positions:Futures
      and forward currency contracts
                              
                              
                              (7,852,497
                              )
                              
                              
                              43,916,606
                              
                              
                              
                              27,664,175Foreign
      exchange translation
                              
                              
                              26,572
                              
                              
                              
                              (188,851
                              )
                              
                              
                              60,753Net
      change in unrealized:Futures
      and forward currency contracts
                              
                              
                              (1,573,481
                              )
                              
                              
                              (2,264,233
                              )
                              
                              
                              (6,196,790
                              )Foreign
      exchange translation
                              
                              
                              55,185
                              
                              
                              
                              26,916
                              
                              
                              
                              (15,970
                              )Net
      gains (losses) from U.S. Treasury notes:Realized
                              
                              
                              157,970
                              
                              
                              
                              -
                              
                              
                              
                              -Net
      change in unrealized
                              
                              
                              (1,276,380
                              )
                              
                              
                              781,749
                              
                              
                              
                              636,845Total
      net realized and unrealized gains (losses)
                              
                              
                              (10,462,631
                              )
                              
                              
                              42,272,187
                              
                              
                              
                              22,149,013NET
      INCOME (LOSS)
                              
                              
                              (12,560,796
                              )
                              
                              
                              42,745,499
                              
                              
                              
                              25,486,782LESS
      PROFIT SHARE TO GENERALPARTNER
                              
                              
                              4,964
                              
                              
                              
                              5,129,390
                              
                              
                              
                              3,048,112NET
      INCOME (LOSS) AFTER PROFIT SHARE TOGENERAL
      PARTNER
                              
                              $
                              (12,565,760
                              )
                              
                              $
                              37,616,109
                              
                              
                              $
                              22,438,670
 
 See notes
to financial statements.
  7
 
 NESTOR
      PARTNERSSTATEMENTS
      OF CHANGES IN PARTNERS’ CAPITALFOR
      THE YEARS ENDED DECEMBER 31, 2009, 2008 AND
2007
 
 Special
                          
                          
                          New ProfitLimited
                          
                          
                          Limited
                          
                          
                          Memo
                          
                          
                          GeneralPartners
                          
                          
                          Partners
                          
                          
                          Account
                          
                          
                          Partner
                          
                          
                          TotalPARTNERS’
      CAPITAL — January 1, 2007
                          
                          $
                          93,445,531
                          
                          
                          $
                          50,222,014
                          
                          
                          $
                          -
                          
                          
                          $
                          4,034,296
                          
                          
                          $
                          147,701,841Contributions
                          
                          
                          2,540,000
                          
                          
                          
                          261,412
                          
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          2,801,412Withdrawals
                          
                          
                          (19,245,185
                          )
                          
                          
                          (1,347,475
                          )
                          
                          
                          -
                          
                          
                          
                          (3,361,111
                          )
                          
                          
                          (23,953,771
                          )Net
      income
                          
                          
                          14,528,281
                          
                          
                          
                          10,109,532
                          
                          
                          
                          12,999
                          
                          
                          
                          835,970
                          
                          
                          
                          25,486,782General
      Partner’s allocation — profit share
                          
                          
                          (2,868,410
                          )
                          
                          
                          (179,702
                          )
                          
                          
                          3,048,112
                          
                          
                          
                          -
                          
                          
                          
                          -Transfer
      of New Profit Memo Account toGeneral
      Partner
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          (3,061,111
                          )
                          
                          
                          3,061,111
                          
                          
                          
                          -PARTNERS’
      CAPITAL — December 31, 2007
                          
                          
                          88,400,217
                          
                          
                          
                          59,065,781
                          
                          
                          
                          -
                          
                          
                          
                          4,570,266
                          
                          
                          
                          152,036,264Contributions
                          
                          
                          6,597,665
                          
                          
                          
                          618,974
                          
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          7,216,639Withdrawals
                          
                          
                          (15,507,617
                          )
                          
                          
                          (12,112,661
                          )
                          
                          
                          -
                          
                          
                          
                          (7,058,703
                          )
                          
                          
                          (34,678,981
                          )Transfers
                          
                          
                          (378,101
                          )
                          
                          
                          378,101
                          
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          -Net
      income
                          
                          
                          23,584,533
                          
                          
                          
                          17,851,343
                          
                          
                          
                          29,313
                          
                          
                          
                          1,280,310
                          
                          
                          
                          42,745,499General
      Partner’s allocation — profit share
                          
                          
                          (4,705,978
                          )
                          
                          
                          (423,412
                          )
                          
                          
                          5,129,390
                          
                          
                          
                          -
                          
                          
                          
                          -Transfer
      of New Profit Memo Account toGeneral
      Partner
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          (5,158,703
                          )
                          
                          
                          5,158,703
                          
                          
                          
                          -PARTNERS’
      CAPITAL — December 31, 2008
                          
                          
                          97,990,719
                          
                          
                          
                          65,378,126
                          
                          
                          
                          -
                          
                          
                          
                          3,950,576
                          
                          
                          
                          167,319,421Contributions
                          
                          
                          3,738,022
                          
                          
                          
                          815,686
                          
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          4,553,708Withdrawals
                          
                          
                          (11,313,834
                          )
                          
                          
                          (740,650
                          )
                          
                          
                          -
                          
                          
                          
                          (4,561
                          )
                          
                          
                          (12,059,045
                          )Net
      loss
                          
                          
                          (8,577,639
                          )
                          
                          
                          (3,764,749
                          )
                          
                          
                          (403
                          )
                          
                          
                          (218,005
                          )
                          
                          
                          (12,560,796
                          )General
      Partner’s allocation — profit share
                          
                          
                          (4,964
                          )
                          
                          
                          -
                          
                          
                          
                          4,964
                          
                          
                          
                          -
                          
                          
                          
                          -Transfer
      of New Profit Memo Account toGeneral
      Partner
                          
                          
                          -
                          
                          
                          
                          -
                          
                          
                          
                          (4,561
                          )
                          
                          
                          4,561
                          
                          
                          
                          -PARTNERS’
      CAPITAL — December 31, 2009
                          
                          $
                          81,832,304
                          
                          
                          $
                          61,688,413
                          
                          
                          $
                          -
                          
                          
                          $
                          3,732,571
                          
                          
                          $
                          147,253,288
 
 See notes
to financial statements.
  8
 
 NESTOR
      PARTNERSSTATEMENTS
      OF FINANCIAL HIGHLIGHTSFOR
      THE YEARS ENDED DECEMBER 31, 2009, 2008 AND
2007
 
 SpecialLimited
                  
                  
                  LimitedPartners
                  
                  
                  PartnersYEAR
      ENDED DECEMBER 31, 2009:Ratios
      to average capital — net investment income (loss)
                  
                  
                  (2.67
                  )%
                  
                  
                  0.37
                  %Total
      expenses
                  
                  
                  3.80
                  %
                  
                  
                  0.73
                  %Profit
      share allocation
                  
                  
                  0.01
                  
                  
                  
                  0.00Total
      expenses and profit share allocation
                  
                  
                  3.81
                  %
                  
                  
                  0.73
                  %Total
      return before profit share allocation
                  
                  
                  (8.60
                  )%
                  
                  
                  (5.77
                  )%Profit
      share allocation
                  
                  
                  (0.01
                  )
                  
                  
                  0.00Total
      return after profit share allocation
                  
                  
                  (8.61
                  )%
                  
                  
                  (5.77
                  )%YEAR
      ENDED DECEMBER 31, 2008:Ratios
      to average capital — net investment income (loss)
                  
                  
                  (0.99
                  )%
                  
                  
                  1.98
                  %Total
      expenses
                  
                  
                  3.81
                  %
                  
                  
                  0.79
                  %Profit
      share allocation
                  
                  
                  4.87
                  
                  
                  
                  0.64Total
      expenses and profit share allocation
                  
                  
                  8.68
                  %
                  
                  
                  1.43
                  %Total
      return before profit share allocation
                  
                  
                  26.76
                  %
                  
                  
                  30.68
                  %Profit
      share allocation
                  
                  
                  (5.35
                  )
                  
                  
                  (0.73
                  )Total
      return after profit share allocation
                  
                  
                  21.41
                  %
                  
                  
                  29.95
                  %YEAR
      ENDED DECEMBER 31, 2007:Ratios
      to average capital — net investment income
                  
                  
                  1.07
                  %
                  
                  
                  3.82
                  %Total
      expenses
                  
                  
                  3.71
                  %
                  
                  
                  0.86
                  %Profit
      share allocation
                  
                  
                  3.10
                  
                  
                  
                  0.32Total
      expenses and profit share allocation
                  
                  
                  6.81
                  %
                  
                  
                  1.18
                  %Total
      return before profit share allocation
                  
                  
                  16.96
                  %
                  
                  
                  20.27
                  %Profit
      share allocation
                  
                  
                  (3.34
                  )
                  
                  
                  (0.36
                  )Total
      return after profit share allocation
                  
                  
                  13.62
                  %
                  
                  
                  19.91
                  %
 
 See notes
to financial statements.
  9
  NESTOR
      PARTNERSNOTES
      TO FINANCIAL STATEMENTSYEARS
      ENDED DECEMBER 31, 2009, 2008, AND
2007
  1.
              ORGANIZATION
  Nestor
Partners (the “Partnership”) is a limited partnership which was organized in
1976 under the New Jersey Uniform Limited Partnership Act. The Limited
Partnership Agreement (the “Agreement”) was amended and restated as of
April 5, 2004. The Partnership engages in the speculative trading of
futures and forward currency contracts. The instruments that are traded by the
Partnership are volatile and involve a high degree of market risk.
  The
General Partner of the Partnership is Millburn Ridgefield Corporation (the
“General Partner”). Principals, employees, former employees and other affiliates
of the General Partner have invested in the Partnership as special limited
partners.
  The
Agreement provides that subject to certain limitations, the General Partner
shall conduct and manage the business of the Partnership. The General Partner
has the right to make all investment decisions regarding the Partnership,
authorize the payments of distributions to partners, enter into customer
agreements with brokers and take such other actions as it deems necessary or
desirable to manage the business of the Partnership.
  The
limited partners, special limited partners, New Profit Memo Account (see
Note 3) and the General Partner share in the profits and losses of the
Partnership which are determined before brokerage fees (Note 2) and profit
share allocations on the basis of their proportionate interests of Partnership
capital (Note 3). The General Partner and special limited partners are
charged lower brokerage fees than limited partners in accordance with the
Agreement. No limited partner or special limited partner shall be liable for
Partnership obligations in excess of their capital contribution plus profits
allocated to their capital accounts, if any.
  Subject
to certain conditions, a partner has the right to redeem all or a portion of its
partnership capital as of any month-end upon fifteen days’ prior written notice
to the General Partner. In its sole discretion, the General Partner may permit
redemptions on shorter notice or as of a date other than month-end. Partners who
purchased their interests through certain selling agents and redeem their
partnership capital prior to the one-year anniversary of their subscription will
pay the applicable early redemption fee. Redemptions will be made as of the last
day of the month for an amount equal to the net asset value of the portion of a
partner’s capital being redeemed; a redeeming partner shall receive such
redeemed capital less the redemption fee, if any.
  The
General Partner, subject to Commodity Futures Trading Commission requirements,
may (at its discretion) sell additional Limited Partnership Interests to persons
desiring to become limited partners.
  The
Partnership will dissolve on October 31, 2017 or in the event of certain
conditions set forth in the Agreement.
  2.
              SUMMARY
      OF SIGNIFICANT ACCOUNTING POLICIES
  On June
30, 2009, the Financial Accounting Standards Board (FASB) issued FASB Accounting
Standards Codification (“Codification”). The Codification is effective for
interim and annual periods ending after September 15, 2009 and is the source,
along with guidance issued by the Securities and Exchange Commission, of
authoritative U.S. accounting and reporting standards for nongovernmental
entities. The Codification is a major restructuring of accounting and reporting
standards designed to simplify user access to all authoritative U.S. generally
accepted accounting principles by providing the authoritative literature in a
topically organized structure. All other accounting literature not included in
the Codification will be considered non-authoritative. The Codification does not
change current U.S. GAAP literature in the Partnership’s financial statements
and the notes thereto have been updated to reflect new Codification
references.
  10
  Investments — The
Partnership records its transactions in futures and forward currency contracts
and U.S. Treasury notes, including related income and expenses, on a trade-date
basis.
  Open
futures contracts are valued at quoted market values and open forward currency
contracts are valued at fair value which is based on pricing models that
consider the time value of money and the current market and contractual prices
of the underlying financial instruments. Brokerage commissions on open futures
contracts are expensed when contracts are opened. Realized gains (losses) and
changes in unrealized appreciation (depreciation) on futures and forward
currency contracts are recognized in the periods in which the contracts are
closed or the changes in the value of open contracts occur and are included in
net realized and unrealized gains (losses) in the statements of
operations.
  Investments
in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask
quotations reported daily at 3 pm EST by Bloomberg. The Partnership
amortizes premiums and accretes discounts on U.S. Treasury notes. Such
securities are normally on deposit with financial institutions (see Note 6)
as collateral for performance of the Partnership’s trading obligations with
respect to derivative contracts or are held for safekeeping in a custody account
at HSBC Bank USA, N.A.
  Cash and Cash
Equivalents — Cash and cash equivalents includes cash and an
investment in Dreyfus Treasury & Agency Cash Management, a short-term U.S.
government securities and related instruments money market fund.
  Foreign Currency
Translation — Assets and liabilities denominated in foreign
currencies are translated to U.S. Dollars at prevailing exchange rates of such
currencies. Purchases and sales of investments are translated to U.S. Dollars at
the exchange rate prevailing when such transactions occurred.
  Brokerage Fees — The
Agreement provides that the Partnership shall charge the limited partners’
capital accounts and pay the General Partner brokerage fees at a fixed rate of
0.542% per month of net asset value (6.5% per annum) of limited partnership
interests. Effective July 1, 2003, the General Partner reduced the
brokerage fee rate to 0.458% per month of net asset value (5.5% per annum). The
General Partner retains the right to charge less than the annual brokerage rate
except as specified in the Agreement.
  Administrative Expenses —
The Partnership bears expenses, including periodic legal, accounting and filing
fees, up to an amount equal to 1/4 of 1% per annum of the average net assets of
the Partnership. The General Partner bears any excess over such amounts. The
Partnership will pay any extraordinary expenses applicable to it.
  The
Partnership’s administrative expenses included $191,766, $272,572, and $254,148
in 2009, 2008, and 2007, respectively, which relates to legal and accounting
services provided to the Partnership by an affiliate of the General
Partner.
  Income Taxes  — The
Income Taxes topic of the Codification (formerly FASB Interpretation No. 48,
Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement
No. 109 (“FIN 48”)), clarifies the accounting for uncertainty in tax positions.
This requires that the Partnership recognize in its financial statements the
impact of a tax position and if that position is more likely than not of being
sustained on audit based on the technical merits of the position. Based on a
review of the Partnership’s open tax years, 2005 to 2009, for the U.S. Federal
jurisdiction, the New York, New Jersey and Connecticut State jurisdictions and
the New York City jurisdiction, the review had no impact on the Partnership. The
Partnership is treated as a limited partnership for federal and state income tax
reporting purposes and therefore the limited partners are responsible for the
payment of taxes.
  11
  Estimates — The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the amounts and disclosures reported in
the financial statements. Actual results could differ from these
estimates.
  Right of Offset — The
customer agreements between the Partnership and its brokers give the Partnership
the legal right to net unrealized gains and losses with each broker. Unrealized
gains and losses related to offsetting transactions with these brokers are
reflected on a net basis in the equity in trading accounts in the statements of
financial condition.
  Fair Value of Financial
Instruments — The fair value of the Partnership’s assets and
liabilities, which qualify as financial instruments under the Fair Value
Measurements and Disclosures topic of the Codification (formerly FAS No. 157,
Fair Value Measurements), approximates the carrying amounts presented in the
statements of financial condition. The topic defines fair value, establishes a
framework for measurement of fair value and expands disclosures about fair value
measurements. The three levels of the fair value hierarchy are described
below:
  Level 1 —
Unadjusted quoted prices in active markets that are accessible at the
measurement date for identical, unrestricted assets or liabilities;
  Level 2 — Quoted
prices in markets that are not active or financial instruments for which all
significant inputs are observable, either directly or indirectly;
  Level 3 — Prices or
valuations that require inputs that are both significant to the fair value
measurement and unobservable.
  In
determining fair value, the Partnership separates its investments into two
categories: cash instruments and derivative contracts.
  Cash Instruments — The
Partnership’s cash instruments are generally classified within level 1 of
the fair value hierarchy because they are typically valued using quoted market
prices. The types of instruments valued based on quoted market prices in active
markets include U.S. government obligations and an investment in Dreyfus
Treasury & Agency Cash Management, a short-term U.S. government securities
and related instruments money market fund. The General Partner of the
Partnership does not adjust the quoted price for such instruments even in
situations where the Partnership holds a large position and a sale could
reasonably impact the quoted price.
  Derivative Contracts —
Derivative contracts can be exchange-traded or over-the-counter (OTC).
Exchange-traded futures contracts are valued based on quoted closing settlement
prices and typically fall within level 1 of the fair value
hierarchy.
  OTC
derivatives or forward currency contracts are valued based on pricing models
that consider the current market prices (“Spot Prices”) plus the time value of
money (“Forward Points”) and contractual prices of the underlying financial
instruments. The Forward Points from the quotation service providers are
generally in periods of one month, two months, three months and six months
forward while the contractual forward delivery dates for the foreign forward
currency contracts traded by the Partnership may be in between these periods.
The General Partner’s policy is to calculate the Forward Points for each
contract being valued by determining the number of days from the date the
forward currency contract is being valued to its maturity date and then using
straight-line interpolation to calculate the valuation of Forward Points for the
applicable forward currency contract. Model inputs can generally be verified and
model selection does not involve significant management judgment. Such
instruments are typically classified within level 2 of the fair value
hierarchy.
  12
  The
following table sets forth by level within the fair value hierarchy as of
December 31, 2009:
  Level 1
                        
                        
                        Level 2
                        
                        
                        TotalU.S.
      Treasury Notes
                        
                        $
                        137,583,925
                        
                        
                        $
                        -
                        
                        
                        $
                        137,583,925Short-Term
      Money Market Fund
                        
                        
                        8,497,230
                        
                        
                        
                        -
                        
                        
                        
                        8,497,230Exchange-Traded
      Future Contracts
                        
                        
                        964,406
                        
                        
                        
                        -
                        
                        
                        
                        964,406Over-the-Counter
      Forward CurrencyContracts
                        
                        
                        -
                        
                        
                        
                        (1,758,062
                        )
                        
                        
                        (1,758,062
                        )Total
      financial assets at fair value
                        
                        $
                        147,045,561
                        
                        
                        $
                        (1,758,062
                        )
                        
                        $
                        145,287,499
 
 The
following table sets forth by level within the fair value hierarchy as of
December 31, 2008:
  Level 1
                        
                        
                        Level 2
                        
                        
                        TotalU.S.
      Treasury Notes
                        
                        $
                        171,981,990
                        
                        
                        $
                        -
                        
                        
                        $
                        171,981,990Short-Term
      Money Market Fund
                        
                        
                        13,935,694
                        
                        
                        
                        -
                        
                        
                        
                        13,935,694Exchange-Traded
      Future Contracts
                        
                        
                        1,493,841
                        
                        
                        
                        -
                        
                        
                        
                        1,493,841Over-the-Counter
      Forward CurrencyContracts
                        
                        
                        -
                        
                        
                        
                        (714,016
                        )
                        
                        
                        (714,016
                        )Total
      financial assets at fair value
                        
                        $
                        187,411,525
                        
                        
                        $
                        (714,016
                        )
                        
                        $
                        186,697,509
 
 Recently Issued
Pronouncements — Accounting Standards Update ("ASU") No. 2010-06,
Improving Disclosures about Fair Value Measurements, was issued in January 2010.
ASU No. 2010-06 provides amendments that require new disclosures about transfers
in and out of levels 1 and 2 and activity in level 3 fair value measurements.
ASU No. 2010-06 also clarifies existing disclosures about the level of
disaggregation and inputs and valuation techniques. The new disclosures and
clarifications of existing disclosures are effective for interim and annual
reporting periods beginning after December 15, 2009. The implementation of ASU
2010-06 is not expected to have a material impact on the Partnership's financial
statements.
  3.
              PROFIT
      SHARE ALLOCATION
  The
Agreement provides that the General Partner’s profit share equal to 20% of
Trading Profits at the end of each year is charged to the limited partners’
capital accounts. New Trading Profits includes realized and unrealized trading
profits (losses), interest income, brokerage fees, trading-related expenses and
administrative expenses. For limited partners’ withdrawals during the year, the
profit share calculation shall be computed as though the withdrawal date was at
year-end. Profit share attributable to interests redeemed during a year is
tentatively credited to an account maintained for bookkeeping purposes, called
New Profit Memo Account. Because limited partners may purchase their partnership
interests at different times, they may recognize different amounts of Trading
Profits. Each limited partner pays a profit share only on Trading Profits
applicable to its partnership interest. Limited partners who make multiple
investments in the Partnership receive separate partnership interests for
purposes of tracking the profit share. Accordingly, in any given year some
limited partners may experience net gains and be charged the 20% profit share
allocation for all or a portion of their interests where limited partners in the
aggregate experienced net losses.
  Any
profit share charged is added to the General Partner’s capital account to the
extent net taxable capital gains are allocated to the General Partner and the
remainder, if any, of such profit share is added to the New Profit Memo Account.
The General Partner may not make any withdrawal from the balance in the New
Profit Memo Account. If, at the end of a subsequent year, net taxable gains are
allocated to the General Partner in excess of such year’s profit share, a
corresponding amount is transferred from the New Profit Memo Account to the
General Partner’s capital account.
  13
  4.
              DUE
      FROM/TO BROKERS
  At
December 31, 2009 and 2008, due from and due to brokers balances in the
statements of financial condition include net cash receivable from each broker
and net cash payable to each broker, respectively.
  5.
              TRADING
      ACTIVITIES
  The
Partnership conducts its futures trading with various futures commission
merchants ("FCMs") on futures exchanges and its forward currency trading with
various banks or dealers ("Dealers") in the interbank markets. Substantially all
assets included in the Partnership's equity in trading accounts and certain
liability accounts, as discussed below, were held as collateral by such FCMs in
either U.S. regulated segregated accounts (for futures contracts traded on U.S.
exchanges) or non-U.S. secured accounts (for futures contracts traded on
non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission's
regulations, or held as collateral by the counterparty Dealers.
  Liabilities
in the statements of financial condition that are components of “Total equity in
trading accounts” include net unrealized depreciation on open futures and
forward currency contracts, cash denominated in foreign currencies and due to
brokers.
  The
Partnership enters into contracts with various financial institutions that
contain a variety of indemnifications. The Partnership’s maximum exposure under
these arrangements is unknown. However, the Partnership has not had prior claims
or losses pursuant to these contracts and expects the risk of loss to be
remote.
  6.
              DERIVATIVE
      INSTRUMENTS
  The
Partnership is party to derivative financial instruments in the normal course of
its business. These financial instruments include futures and forward currency
contracts which may be traded on an exchange (“exchange-traded contracts”) or
over-the-counter (“OTC contracts”).
  The
Partnership records its derivative activities on a mark-to-market basis as
described in Note 2. For OTC contracts, the Partnership enters into master
netting agreements with its counterparties. Therefore, assets represent the
Partnership’s unrealized gains, less unrealized losses for OTC contracts in
which the Partnership has a master netting agreement. Similarly, liabilities
represent net amounts owed to counterparties on OTC contracts.
  Futures
contracts are agreements to buy or sell an underlying asset or index for a set
price in the future. Initial margin deposits are made upon entering into futures
contracts and can be either in cash or treasury securities. Open futures
contracts are revalued on a daily basis to reflect the market value of the
contracts at the end of each trading day. Variation margin payments are received
or made, depending upon whether unrealized gains or losses are incurred. When
the contract is closed, the Partnership records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the time it was closed. The Partnership bears the market risk that arises from
changes in the value of these financial instruments.
  Forward
currency contracts entered into by the Partnership represent a firm commitment
to buy or sell an underlying currency at a specified value and point in time
based upon an agreed or contracted quantity. The ultimate gain or loss is equal
to the difference between the value of the contract at the onset and the value
of the contract at settlement date.
  Each of
these financial instruments is subject to various risks similar to those related
to the underlying financial instruments, including market risk, credit risk,
concentration risk, and sovereign risk.
  14
  Market
risk is the potential change in the value of the instruments traded by the
Partnership due to market changes, including interest and foreign exchange rate
movements and fluctuations in futures or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets in which the
related underlying assets are traded. The financial instruments traded by the
Partnership contain varying degrees of off-balance sheet risk whereby changes in
the market values of the futures and forward currency contracts and the
Partnership’s satisfaction of its obligations related to such market value
changes may exceed the amount recognized in the statements of financial
condition.
  Credit
risk is the possibility that a loss may occur due to the failure of a
counterparty to perform according to the terms of a contract. Credit risk is
normally reduced to the extent that an exchange or clearing organization acts as
a counterparty to futures transactions, since typically the collective credit of
the members of the exchange is pledged to support the financial integrity of the
exchange. In the case of OTC transactions, the Partnership must rely solely on
the credit of the individual counterparties. The contract amounts of the forward
currency and futures contracts do not represent the Partnership’s risk of loss
due to counterparty nonperformance. The Partnership’s exposure to credit risk
associated with counterparty nonperformance of these contracts is limited to the
unrealized gains inherent in such contracts, which are recognized in the
statements of financial condition, plus the value of margin or collateral held
by the counterparty. The amount of such credit risk was $15,697,636 and
$2,655,012 at December 31, 2009 and 2008, respectively.
  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 General Partner’s market risk control procedures
include diversification of the Partnership’s portfolio and continuously
monitoring the portfolio’s open positions, historical volatility and maximum
historical loss. The General Partner seeks to minimize credit risk primarily by
depositing and maintaining the Partnership’s assets at financial institutions
and brokers which the General Partner believes to be creditworthy. The
Partnership’s trading activities are primarily with brokers and other financial
institutions located in North America, Europe and Asia. All futures transactions
of the Partnership are cleared by major securities firms, pursuant to customer
agreements, including Merrill Lynch, Pierce, Fenner & Smith
Incorporated, Deutsche Bank Securities Inc. (a wholly owned subsidiary of
Deutsche Bank AG), J.P. Morgan Futures Inc. and Newedge USA, LLC (a wholly
owned subsidiary of Newedge Group, which is owned by Société Générale (50%) and
Calyon (50%)). For all forward currency transactions, the Partnership utilizes
two prime brokers, Deutsche Bank AG and Morgan
Stanley & Co., Inc.
  The
Partnership is subject to sovereign risk such as the risk of restrictions being
imposed by foreign governments on the repatriation of cash and the effects of
political or economic uncertainties. Net unrealized appreciation (depreciation)
on futures and forward currency contracts are denominated in the Partnership’s
functional currency (U.S. Dollar). Cash settlement of futures and forward
currency contracts is made in the local currency (settlement currency) and then
translated to U.S. Dollars.
  15
  Net
unrealized appreciation (depreciation) on futures and forward currency contracts
by settlement currency type, denominated in U.S. Dollars, is detailed
below:
  December 31,2009
                        
                        
                        2008Total Net
                        
                        
                        
                        
                        
                        Total NetUnrealized
                        
                        
                        
                        
                        
                        UnrealizedAppreciation
                        
                        
                        Percent of
                        
                        
                        Appreciation
                        
                        
                        Percent of(Depreciation)
                        
                        
                        Total
                        
                        
                        (Depreciation)
                        
                        
                        TotalCurrency
      type:Aussie
      dollar
                        
                        $
                        244,832
                        
                        
                        
                        (30.85
                        )%
                        
                        $
                        152,519
                        
                        
                        
                        19.56
                        %British
      pound
                        
                        
                        (113,176
                        )
                        
                        
                        14.26
                        
                        
                        
                        215,624
                        
                        
                        
                        27.65Canadian
      dollar
                        
                        
                        (435,758
                        )
                        
                        
                        54.91
                        
                        
                        
                        248,731
                        
                        
                        
                        31.89Czech
      koruna
                        
                        
                        -
                        
                        
                        
                        -
                        
                        
                        
                        18,117
                        
                        
                        
                        2.32Euro
                        
                        
                        (47,039
                        )
                        
                        
                        5.93
                        
                        
                        
                        133,427
                        
                        
                        
                        17.11Hong
      Kong dollar
                        
                        
                        141,211
                        
                        
                        
                        (17.79
                        )
                        
                        
                        (448
                        )
                        
                        
                        (0.06
                        )Hungarian
      forint
                        
                        
                        (19,880
                        )
                        
                        
                        2.50
                        
                        
                        
                        -
                        
                        
                        
                        -Japanese
      yen
                        
                        
                        (70,110
                        )
                        
                        
                        8.83
                        
                        
                        
                        (25,588
                        )
                        
                        
                        (3.28
                        )Korean
      won
                        
                        
                        132,003
                        
                        
                        
                        (16.63
                        )
                        
                        
                        -
                        
                        
                        
                        -Mexican
      peso
                        
                        
                        3,590
                        
                        
                        
                        (0.45
                        )
                        
                        
                        -
                        
                        
                        
                        -New
      Zealand dollar
                        
                        
                        133,099
                        
                        
                        
                        (16.77
                        )
                        
                        
                        (1,938
                        )
                        
                        
                        (0.25
                        )Norwegian
      krone
                        
                        
                        100,443
                        
                        
                        
                        (12.66
                        )
                        
                        
                        120,529
                        
                        
                        
                        15.46Polish
      zloty
                        
                        
                        (82,788
                        )
                        
                        
                        10.43
                        
                        
                        
                        24,867
                        
                        
                        
                        3.19Singapore
      dollar
                        
                        
                        82,896
                        
                        
                        
                        (10.44
                        )
                        
                        
                        (12,030
                        )
                        
                        
                        (1.54
                        )South
      African rand
                        
                        
                        133,148
                        
                        
                        
                        (16.78
                        )
                        
                        
                        6,835
                        
                        
                        
                        0.88Swedish
      krona
                        
                        
                        265,773
                        
                        
                        
                        (33.49
                        )
                        
                        
                        48,781
                        
                        
                        
                        6.25Swiss
      franc
                        
                        
                        65,930
                        
                        
                        
                        (8.31
                        )
                        
                        
                        71,664
                        
                        
                        
                        9.19Taiwan
      dollar
                        
                        
                        181,213
                        
                        
                        
                        (22.83
                        )
                        
                        
                        -
                        
                        
                        
                        -Thai
      bhat
                        
                        
                        429
                        
                        
                        
                        (0.05
                        )
                        
                        
                        -
                        
                        
                        
                        -Turkish
      lira
                        
                        
                        44,440
                        
                        
                        
                        (5.60
                        )
                        
                        
                        (4,362
                        )
                        
                        
                        (0.56
                        )U.S.
      dollar
                        
                        
                        (1,553,912
                        )
                        
                        
                        195.79
                        
                        
                        
                        (216,903
                        )
                        
                        
                        (27.81
                        )Total
                        
                        $
                        (793,656
                        )
                        
                        
                        100.00
                        %
                        
                        $
                        779,825
                        
                        
                        
                        100.00
                        %
 
 The
Derivatives and Hedging topic of the Codification (formerly FAS 161, Disclosures
about Derivative Instruments and Hedging Activities — an amendment of FASB
Statement No. 133) requires qualitative disclosure about objectives and
strategies for using derivatives, quantitative disclosures about fair value
amounts of gains and losses on derivative instruments and disclosures about
credit-risk-related contingent features in derivative agreements. The
Partnership adopted these changes on January 1, 2009. As a result the
Partnership has expanded its disclosures regarding derivative
instruments.
  The
Partnership’s market risk is influenced by a wide variety of factors, including
the level and volatility of interest rates, exchange rates, equity price levels,
the market value of financial instruments and contracts, the diversification
effects among the Partnership’s open positions and the liquidity of the markets
in which it trades.
  The
Partnership engages in the speculative trading of futures and forward contracts
on currencies, energies, grains, interest rates, livestock, metals, softs and
stock indicies. The following were the primary trading risk exposures of the
Partnership at December 31, 2009, by market sector:
  Agricultural (grains, livestock and
softs) — The Partnership’s primary exposure is to agricultural price
movements, which are often directly affected by severe or unexpected weather
conditions.
  Currencies — Exchange
rate risk is a principal market exposure of the Partnership. The Partnership’s
currency exposure is to exchange rate fluctuations, primarily fluctuations which
disrupt the historical pricing relationships between different currencies and
currency pairs. The fluctuations are influenced by interest rate changes as well
as political and general economic conditions. The Partnership trades in a large
number of currencies, including cross-rates — e.g., positions between two
currencies other than the U.S. dollar.
  16
  Energies — The
Partnership’s primary energy market exposure is to gas and oil price movements,
often resulting from political developments in the Middle East and economic
conditions worldwide. Energy prices are volatile and substantial profits and
losses have been and are expected to continue to be experienced in this
market.
  Interest rates— Interest rate
movements directly affect the price of the sovereign bond futures positions held
by the Partnership and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative interest
rate movements between countries may materially impact the Partnership’s
profitability. The Partnership’s primary interest rate exposure is to interest
rate fluctuations in countries or regions including Australia, Canada, Japan,
Switzerland, the United Kingdom, the United States, and the
Eurozone. However, the Partnership also may take positions in futures
contracts on the government debt of other nations. The General Partner
anticipates that interest rates in these industrialized countries or areas,
both long-term and short-term, will remain the primary market exposure of the
Partnership for the foreseeable future.
  Metals — The
Partnership’s metals market exposure is to fluctuations in the price of
aluminum, copper, gold, lead, nickel, platinum, silver, tin and
zinc.
  Stock Indices — The
Partnership’s equity exposure, through stock index futures, is to equity price
risk in the major industrialized countries as well as other
countries.
  The
Derivatives and Hedging topic of the Codification requires entities to recognize
in the statements of financial condition all derivative contracts as assets or
liabilities. Fair value of futures and forward currency contracts are
first netted by broker as discussed in Note 2. Futures and forward currency
contracts in an asset or liability position are recorded in the statements of
financial condition as Net
unrealized appreciation on open futures and forward currency contracts or
Net unrealized depreciation on
open futures and forward currency contracts, respectively. The
Partnership’s policy regarding fair value measurement is discussed earlier in
Note 2.
  Since the
derivatives held or sold by the Partnership are for speculative trading
purposes, the derivative instruments are not designated as hedging instruments
under the provisions of the Derivatives and Hedging guidance. Accordingly, all
realized gains and losses, as well as any change in net unrealized gains or
losses on open positions from the preceding period, are recognized as part of
the Partnership’s trading gains and losses in the statements of
operations.
  The
following table presents the fair value of open futures and forward currency
contracts, held long or sold short, at December 31, 2009. Fair value is
presented on a gross basis even though the contracts are subject to master
netting agreements and qualify for net presentation in the statements of
financial condition.
  17
  Net UnrealizedFair Value — Long Positions
                        
                        
                        Fair Value — Short Positions
                        
                        
                        Gain (Loss) onSector
                        
                        Gains
                        
                        
                        Losses
                        
                        
                        Gains
                        
                        
                        Losses
                        
                        
                        Open PositionsFutures
      contracts:Energies
                        
                        $
                        2,078,011
                        
                        
                        $
                        (69,350
                        )
                        
                        $
                        39,100
                        
                        
                        $
                        (1,755,156
                        )
                        
                        $
                        292,605Grains
                        
                        
                        68,608
                        
                        
                        
                        -
                        
                        
                        
                        18,238
                        
                        
                        
                        (102,165
                        )
                        
                        
                        (15,319
                        )Interest
      rates
                        
                        
                        16,678
                        
                        
                        
                        (1,854,856
                        )
                        
                        
                        16,764
                        
                        
                        
                        (10,122
                        )
                        
                        
                        (1,831,536
                        )Livestock
                        
                        
                        -
                        
                        
                        
                        -
                        
                        
                        
                        -
                        
                        
                        
                        (42,540
                        )
                        
                        
                        (42,540
                        )Metals
                        
                        
                        672,035
                        
                        
                        
                        (164,621
                        )
                        
                        
                        7,338
                        
                        
                        
                        (298,710
                        )
                        
                        
                        216,042Softs
                        
                        
                        515,690
                        
                        
                        
                        -
                        
                        
                        
                        1,707
                        
                        
                        
                        (24,898
                        )
                        
                        
                        492,499Stock
      indices
                        
                        
                        1,972,536
                        
                        
                        
                        (77,893
                        )
                        
                        
                        -
                        
                        
                        
                        (41,988
                        )
                        
                        
                        1,852,655Total
      futures contracts:
                        
                        
                        5,323,558
                        
                        
                        
                        (2,166,720
                        )
                        
                        
                        83,147
                        
                        
                        
                        (2,275,579
                        )
                        
                        
                        964,406Forward
      currency contracts
                        
                        
                        755,530
                        
                        
                        
                        (3,256,715
                        )
                        
                        
                        1,218,522
                        
                        
                        
                        (475,399
                        )
                        
                        
                        (1,758,062
                        )Total
      futures andforward
      currency contracts
                        
                        $
                        6,079,088
                        
                        
                        $
                        (5,423,435
                        )
                        
                        $
                        1,301,669
                        
                        
                        $
                        (2,750,978
                        )
                        
                        $
                        (793,656
                        )
 
 The
effect of trading futures and forward currency contracts is represented on the
statements of operations for the year ended December 31, 2009 as Net realized gains (losses) on
closed positions, futures and forward currency contracts and Net change in unrealized, futures
and forward currency contracts.These trading gains and losses are
detailed below:
  TradingSector
                    
                    Gain (Loss)Futures
      contracts:Currencies
                    
                    $
                    2,563Energies
                    
                    
                    (3,339,716
                    )Grains
                    
                    
                    (1,120,412
                    )Interest
      rates
                    
                    
                    (3,200,905
                    )Livestock
                    
                    
                    318,170Metals
                    
                    
                    (1,924,741
                    )Softs
                    
                    
                    (29,933
                    )Stock
      indices
                    
                    
                    1,338,439Total
      futures contracts
                    
                    
                    (7,956,535
                    )Forward
      currency contracts
                    
                    
                    (1,469,443
                    )Total
      futures and forward currency contracts
                    
                    $
                    (9,425,978
                    )
 
 The
following table presents the average notional value by sector of open futures
and forward currency contracts in U.S. dollars for the year ended December 31,
2009. The Partnership’s average quarter-end net asset value during 2009 was
approximately $151,000,000.
  Notional
values in the interest rate sector were calculated by converting the notional
value in local currency of all open interest rate futures positions to 10-year
equivalent fixed income instruments, translated to U.S. Dollars at each quarter
end during 2009. The 10-year note is often used as a benchmark for many types of
fixed-income instruments and the General Partner believes it is a more
meaningful representation of notional values of the Partnership’s open interest
rate positions.
  18
  Sector
                    
                    Long Positions
                    
                    
                    Short PositionsFutures
      contracts:Currencies
                    
                    $
                    -
                    
                    
                    $
                    498,113Energies
                    
                    
                    17,975,714
                    
                    
                    
                    18,437,117Grains
                    
                    
                    3,605,812
                    
                    
                    
                    8,547,755Interest
      rates
                    
                    
                    152,835,252
                    
                    
                    
                    6,276,989Livestock
                    
                    
                    -
                    
                    
                    
                    4,222,300Metals
                    
                    
                    8,720,446
                    
                    
                    
                    6,262,552Softs
                    
                    
                    3,326,462
                    
                    
                    
                    2,171,276Stock
      indices
                    
                    
                    56,753,772
                    
                    
                    
                    13,713,258Total
      futures
                    
                    
                    243,217,458
                    
                    
                    
                    60,129,360Forward
      currency contracts
                    
                    
                    77,258,937
                    
                    
                    
                    32,340,691Total
      average notional
                    
                    $
                    320,476,395
                    
                    
                    $
                    92,470,051
 
 7.
              FINANCIAL
      HIGHLIGHTS
  The
ratios are calculated based on limited partners’ capital and special limited
partners’ capital taken as a whole. The computation of such ratios based on the
amount of expenses and profit share allocation assessed to an individual
partner’s capital account may vary from these ratios based on the timing of
capital transactions and differences in individual partner’s brokerage fees and
profit share allocation arrangements.
  Returns
are calculated for limited partners and special limited partners taken as a
whole. An individual partner’s returns may vary from these returns based on the
timing of capital transactions and differences in individual partner’s brokerage
fees and profit share allocation arrangements.
  8.
              REDEMPTION
      PAYABLE TO GENERAL PARTNER
  At
December 31, 2009 and 2008, redemption payable of $4,561 and $5,158,703
respectively, was related to profit share allocated to the General Partner at
each year-end and redeemed.
  9.
              SUBSEQUENT
      EVENTS
  The
Subsequent Events topic of the Codification (formerly FAS 165, “Subsequent
Events”) establishes principles and requirements for disclosure about events
that occur after the balance sheet date but before financial statements are
issued or available to be issued. The Partnership adopted these measures in the
second quarter of 2009. Based on a review of any events occurring after the
balance sheet date that may effect estimates made in the financial statements,
especially with regard to litigation or realization of receivables, the General
Partner has determined that the guidance did not have an impact on the
Partnership. The Partnership has updated its subsequent events disclosures
through the issuance date of the financial statements.
  ******
  19