----

| Contents                                        |    |
|-------------------------------------------------|---------|
|  Letter to Partners                        |  2 |
| Report of Independent      Auditors             | 4       |
| Financial Statements                            | 5       |
| Condensed Schedule of      Investments          | 9       |
| Notes to Financial      Statements              | 21      |
| Affirmation of the Commodity Pool      Operator | 30      |
| Additional information                          | 31      |
|                                            |    |

----

Letter to Partners

----

----

Report of Independent Auditors

Goldman Sachs Global Alpha Fund, L.P

| (in      U.S. dollars)                                               |   |   |          |
|----------------------------------------------------------------------|--------|--------|---------------|
|                                                                 |   |   |          |
| Assets                                                               |   |   |          |
|                                                                 |   |   |          |
| Securities      owned, at value (cost $4,041,665,196)                |   | $      | 4,442,694,531 |   |
| Due      from brokers                                                |   |   | 1,755,251,285 |   |
| Cash      and cash equivalents                                       |   |   | 660,524,960   |   |
| Receivable      for securities sold                                  |   |   | 155,489,799   |   |
| Interest      and dividend receivable                                |   |   | 7,584,322     |   |
|      Total      assets                      |   | $      | 7,021,544,897 |   |
|                                                                 |   |   |          |   |
|                                                                 |   |   |          |   |
| Liabilities      and Partners' Capital                               |   |   |          |   |
|                                                                 |   |   |          |   |
| Securities      sold, not yet purchased, at value ($2,758,331,881)   |   | $      | 2,889,449,970 |   |
| Due      to brokers                                                  |   |   | 738,093,357   |   |
| Due      to Special Limited Partners for withdrawals                 |   |   | 184,076,947   |   |
| Payable      for securities purchased                                |   |   | 148,530,818   |   |
| Due      to  Limited Partners for withdrawals              |   |   | 52,406,459    |   |
| Written      options, at value (proceeds $33,348,879)                |   |   | 28,298,914    |   |
| Management      fee payable                                          |   |   | 7,901,047     |   |
| Dividends      payable                                               |   |   | 1,789,120     |   |
| Accrued      expenses and other payables                             |   |   | 1,571,685     |   |
|     Total      liabilities                       |   |   | 4,052,118,317 |   |
|                                                                 |   |   |          |   |
| Partners'      Capital                                               |   |   |          |   |
|   General      Partner                                     |   |   | 30,136        |   |
|   Special      Limited Partner                             |   |   | 215,757       |   |
|   Limited      Partner                                     |   |   | 2,969,180,687 |   |
|      Total      Partners' Capital           |   |   | 2,969,426,580 |   |
|                                                                 |   |   |          |   |
|      Liabilities      and Partners' Capital |   | $      | 7,021,544,897 |   |
|                                                                 |   |   |          |   |

| Investment      income                                                                                                             |   |   |        |
|------------------------------------------------------------------------------------------------------------------------------------|--------|--------|-------------|
|         Interest                                                                                                         |   | $      | 51,834,203  |   |
|         Dividend income (net of $3,654,677 witholding tax)                                                               |   |   | 45,659,343  |   |
|           Total      investment income                                           |   |   | 97,493,546  |   |
|                                                                                                                               |   |   |        |   |
| Expenses:                                                                                                                          |   |   |        |   |
|         Management fee                                                                                                   |   |   | 36,649,485  |   |
|         Dividend expense                                                                                                 |   |   | 25,661,703  |   |
|         Interest expense                                                                                                 |   |   | 6,608,577   |   |
|         Other expenses                                                                                                   |   |   | 5,907,303   |   |
|         Administration fees                                                                                              |   |   | 2,282,730   |   |
|         Professional fees                                                                                                |   |   | 278,521     |   |
|         Total      expenses                                                                |   |   | 77,388,319  |   |
|                                                                                                                               |   |   |        |   |
|         Net      investment income                                                         |   |   | 20,105,227  |   |
|                                                                                                                               |   |   |        |   |
| Net      realized and unrealized gains (losses) on investment      transactions:                                                   |   |   |        |   |
|         Net realized gain on securities owned and securities sold, not yet      purchased                                |   |   | 111,982,953 |   |
|         Net realized gain on futures contracts, net of commissions of      $9,971,745                                    |   |   | 32,438,908  |   |
|         Net realized gain on swap contracts, forward contracts,foreign currency      and written options                 |   |   | 766,413,971 |   |
|         Change in unrealized appreciation on securities owned and      securities sold, not yet purchased           |   |   | 80,520,008  |   |
|         Change in unrealized depreciation on futures contracts                                                           |   |   | 16,288,841  |   |
|         Change in unrealized depreciation on swap contracts, forwardcontracts,      foreign currency and written options |   |   | (59,719,031 | ) |
|         Net gain on investment transactions                                                                              |   |   | 947,925,650 |   |
|            Net      increase in partners' capital resulting from operations |   | $      | 968,030,877 |   |
|                                                                                                                               |   |   |        |   |
| Allocation      of net increase in partners' capital resulting from    operations                                                  |   |   |        |   |
| Net      gain available for pro rata allocation to all partners                                                                    |   |   | 778,167,195 |   |
| Incentive      allocation to Special Limited Partner                                                                               |   |   | 189,863,682 |   |
|         Net      increase in partners' capital resulting from operations                   |   | $      | 968,030,877 |   |

----

| for      the year ended December 31, 2005  ___________________________________________________________   |   |   |   |   |
|------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|
| (in      U.S. dollars)                                                                                                  |   |   |   |   |

|                                                                              |   | Total  |          |   | General      Partner |   |       | Special      Limited Partner |   |   | Limited      Partners |   |
|-----------------------------------------------------------------------------------|--------|--------|---------------|--------|----------------------|--------|------------|------------------------------|--------|--------|-----------------------|--------|
| Partners'      capital, December 31, 2004                                         |   | $      | 1,852,326,956 |   |                 | $      | 2,850,997  |                         |   | $      | 152,430               |   |   | $ | 1,849,323,529 |   |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Capital      contributions                                                        |   |   | 587,681,046   |   |                 |   | -          |                         |   |   | -                     |   |   |   | 587,681,046 |   |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Allocation      of net increase in partners'capital resulting from    operations: |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Pro      rata allocation                                                          |   |   | 968,030,877   |   |                 |   | 608,613    |                         |   |   | 78,306                |   |   |   | 967,343,958 |   |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Incentive      allocation                                                         |   |   | -             |   |                 |   | (121,722   | )                            |   |   | 189,863,682           |   |   |   | (189,741,960 | ) |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Capital      withdrawals                                                          |   |   | (438,612,299  | )      |                 |   | (3,307,752 | )                            |   |   | (189,878,661          | )      |   |   | (245,425,886 | ) |
|                                                                              |   |   |          |   |                 |   |       |                         |   |   |                  |   |   |   |   |   |
| Partners'      capital, December 31, 2005                                         |   | $      | 2,969,426,580 |   |                 | $      | 30,136     |                         |   | $      | 215,757               |   |   | $ | 2,969,180,687 |   |

----

| Cash      flows from operating activities                                                                                          |   |   |           |
|------------------------------------------------------------------------------------------------------------------------------------|--------|--------|----------------|
| Net      increase in partners' capital resulting from operations                                                                   |   | $      | 968,030,877    |   |
| Adjustments      to reconcile net increase in partners' capital from operations to net cash      provided by operating activities: |   |   |           |   |
| Purchase      of securities owned                                                                                                  |   |   | (7,941,163,574 | ) |
| Proceeds      from disposition of securities owned                                                                                 |   |   | 7,417,906,968  |   |
| Proceeds      from sale of securities sold, not yet purchased                                                                      |   |   | 5,929,080,022  |   |
| Purchase      of securities to cover securities sold, not yet purchased                                                            |   |   | (5,646,061,384 | ) |
| Accretion      of discount                                                                                                         |   |   | (4,172,932     | ) |
| Net      realized gain from securities owned, securities sold not yet      purchased                                               |   |   | (111,982,953   | ) |
| Change      in unrealized appreciation on securities owned, securities sold not yet      purchased                                 |   |   | (80,520,008    | ) |
| Increase/decrease      in operating assets and liabilities:                                                                        |   |   |           |   |
| Due      from brokers                                                                                                              |   |   | (1,069,649,892 | ) |
| Receivable      for securities sold                                                                                                |   |   | 77,458,073     |   |
| Interest      and dividend receivable                                                                                              |   |   | (5,892,781     | ) |
| Due      to brokers                                                                                                                |   |   | 725,409,539    |   |
| Payable      for securities purchased                                                                                              |   |   | (64,422,557    | ) |
| Written      options                                                                                                               |   |   | 6,697,088      |   |
| Management      fee payable                                                                                                        |   |   | 3,448,568      |   |
| Dividends      payable                                                                                                             |   |   | 391,365        |   |
| Accrued      expenses and other payables                                                                                           |   |   | 1,245,198      |   |
| Net      cash provided by operating activities                                                                                     |   |   | 205,801,617    |   |
|                                                                                                                               |   |   |           |   |
| Cash      flows from financing activities                                                                                          |   |   |           |   |
| Capital      contributions                                                                                                         |   |   | 587,681,046    |   |
| Capital      withdrawals                                                                                                           |   |   | (292,444,114   | ) |
| Net      cash provided by financing activities                                                                                     |   |   | 295,236,932    |   |
|                                                                                                                               |   |   |           |   |
| Net      increase in cash and cash equivalents                                                                                     |   |   | 501,038,549    |   |
| Cash      and cash equivalents, beginning of year                                                                                  |   |   | 159,486,411    |   |
| Cash      and cash equivalents, end of year                                                                                        |   | $      | 660,524,960    |   |
|                                                                                                                               |   |   |           |   |
| Supplemental      disclosure of cash flow information:                                                                             |   |   |           |   |
| Cash      paid during the period for interest                                                                                      |   | $      | 6,469,860      |   |
|                                                                                                                               |   |   |           |   |

----

Condensed Schedule ofInvestments

|                                       |   |   |        |   |                  % of Partners' |   |
|--------------------------------------------|--------|--------|-------------|--------|----------------------------------------------------------------------------------------|--------|
| Security      Description                  |   | Value  |        |   | Capital                                                                                |   |
| SECURITIES      OWNED                      |   |   |        |   |                                                                                   |   |
| Common      Stock                          |   |   |        |   |                                                                                   |   |
| United      States                         |   |   |        |   |                                                                                   |   |
| Advertising                                |   | $      | 16,578,680  |   |                                                                                   |   | 0.56 |   |
| Aerospace      & Defense               |   |   | 65,472,594  |   |                                                                                   |   | 2.20 |   |
| Agriculture                                |   |   | 63,975,082  |   |                                                                                   |   | 2.16 |   |
| Airlines                                   |   |   | 5,327,983   |   |                                                                                   |   | 0.18 |   |
| Apparel                                    |   |   | 40,862,418  |   |                                                                                   |   | 1.38 |   |
| Auto      Manufacturers                    |   |   | 34,129,903  |   |                                                                                   |   | 1.15 |   |
| Auto      Parts & Equipment            |   |   | 40,631,375  |   |                                                                                   |   | 1.37 |   |
| Banking                                    |   |   | 22,904,351  |   |                                                                                   |   | 0.77 |   |
| Beverages                                  |   |   | 9,877,254   |   |                                                                                   |   | 0.33 |   |
| Biotechnology                              |   |   | 193,182,960 |   |                                                                                   |   | 6.51 |   |
| Building      Materials                    |   |   | 16,348,551  |   |                                                                                   |   | 0.55 |   |
| Chemicals                                  |   |   | 26,609,822  |   |                                                                                   |   | 0.90 |   |
| Coal                                       |   |   | 3,759,156   |   |                                                                                   |   | 0.13 |   |
| Commercial      Services                   |   |   | 85,285,624  |   |                                                                                   |   | 2.87 |   |
| Computers                                  |   |   | 145,299,270 |   |                                                                                   |   | 4.89 |   |
| Cosmetics      & Personal Care         |   |   | 19,139,204  |   |                                                                                   |   | 0.64 |   |
| Distribution      & Wholesale          |   |   | 21,970,381  |   |                                                                                   |   | 0.74 |   |
| Diversified      Financial Services        |   |   | 101,849,945 |   |                                                                                   |   | 3.43 |   |
| Electric                                   |   |   | 49,575,849  |   |                                                                                   |   | 1.67 |   |
| Electrical      Components & Equipment |   |   | 13,565,940  |   |                                                                                   |   | 0.46 |   |
| Electronics                                |   |   | 62,525,590  |   |                                                                                   |   | 2.11 |   |
| Energy-Alternative      Sources            |   |   | 3,315,872   |   |                                                                                   |   | 0.11 |   |
| Engineering      & Construction        |   |   | 5,225,796   |   |                                                                                   |   | 0.18 |   |
| Entertainment                              |   |   | 18,474,846  |   |                                                                                   |   | 0.62 |   |
| Environmental      Control                 |   |   | 6,157,383   |   |                                                                                   |   | 0.21 |   |
| Food                                       |   |   | 77,935,943  |   |                                                                                   |   | 2.62 |   |
| Forest      Products & Paper           |   |   | 4,857,471   |   |                                                                                   |   | 0.16 |   |
| Gas                                        |   |   | 1,693,592   |   |                                                                                   |   | 0.06 |   |
| Hand/Machine      Tools                    |   |   | 1,040,603   |   |                                                                                   |   | 0.04 |   |
| Healthcare-Products                        |   |   | 94,208,669  |   |                                                                                   |   | 3.17 |   |
| Healthcare-Services                        |   |   | 52,687,202  |   |                                                                                   |   | 1.77 |   |
|                                       |   |   |        |   |                                                                                   |   |   |   |

----

|                                     |   |   |        |   |                                                     |   |
|------------------------------------------|--------|--------|-------------|--------|----------------------------------------------------------|--------|
|                                     |   |   |        |   |             % of Partners' |   |
| Security      Description                |   | Value  |        |   | Capital                                                  |   |
| SECURITIES      OWNED (continued)        |   |   |        |   |                                                     |   |
| Common      Stock (continued)            |   |   |        |   |                                                     |   |
| United      States (continued)           |   |   |        |   |                                                     |   |
| Holding      Companies-Diversified       |   | $      | 114,953     |   |                                                     |   | 0.00 |   |
| Home      Builders                       |   |   | 7,593,890   |   |                                                     |   | 0.26 |   |
| Home      Furnishings                    |   |   | 22,234,900  |   |                                                     |   | 0.75 |   |
| Household      Products and Wares        |   |   | 23,772,646  |   |                                                     |   | 0.80 |   |
| Housewares                               |   |   | 953,529     |   |                                                     |   | 0.03 |   |
| Insurance                                |   |   | 114,777,889 |   |                                                     |   | 3.87 |   |
| Internet                                 |   |   | 159,278,047 |   |                                                     |   | 5.36 |   |
| Investment      Companies                |   |   | 9,738       |   |                                                     |   | 0.00 |   |
| Iron      & Steel                    |   |   | 47,793,001  |   |                                                     |   | 1.61 |   |
| Leisure      Time                        |   |   | 7,307,483   |   |                                                     |   | 0.25 |   |
| Lodging                                  |   |   | 17,561,669  |   |                                                     |   | 0.59 |   |
| Machinery-Construction      & Mining |   |   | 5,215,086   |   |                                                     |   | 0.18 |   |
| Machinery-Diversified                    |   |   | 8,074,938   |   |                                                     |   | 0.27 |   |
| Media                                    |   |   | 123,540,184 |   |                                                     |   | 4.16 |   |
| Metal      Fabricate & Hardware      |   |   | 5,631,080   |   |                                                     |   | 0.19 |   |
| Mining                                   |   |   | 25,442,256  |   |                                                     |   | 0.86 |   |
| Miscellaneous      Manufacturing         |   |   | 26,785,748  |   |                                                     |   | 0.90 |   |
| Office      Furnishings                  |   |   | 1,209,692   |   |                                                     |   | 0.04 |   |
| Office      & Business Equipment     |   |   | 1,442,834   |   |                                                     |   | 0.05 |   |
| Oil      & Gas                       |   |   | 238,523,443 |   |                                                     |   | 8.03 |   |
| Oil      & Gas Services              |   |   | 42,987,992  |   |                                                     |   | 1.45 |   |
| Packaging      & Containers          |   |   | 1,883,825   |   |                                                     |   | 0.06 |   |
| Pharmaceuticals                          |   |   | 168,194,512 |   |                                                     |   | 5.66 |   |
| Pipelines                                |   |   | 12,670,501  |   |                                                     |   | 0.43 |   |
| Real      Estate                         |   |   | 1,588,309   |   |                                                     |   | 0.05 |   |
| Retail                                   |   |   | 269,116,469 |   |                                                     |   | 9.06 |   |
| Savings      & Loans                 |   |   | 34,565,130  |   |                                                     |   | 1.16 |   |
| Semiconductors                           |   |   | 210,133,604 |   |                                                     |   | 7.08 |   |
| Software                                 |   |   | 85,595,344  |   |                                                     |   | 2.88 |   |
| Storage      & Warehousing           |   |   | 561,737     |   |                                                     |   | 0.02 |   |
| Telecommunications                       |   |   | 117,605,778 |   |                                                     |   | 3.96 |   |

|                                           |   |   |          |   |              % of Partners' |   |
|------------------------------------------------|--------|--------|---------------|--------|----------------------------------------------------------------|--------|
| Security      Description                      |   | Value  |          |   | Capital                                                        |   |
| SECURITIES      OWNED (continued)              |   |   |          |   |                                                           |   |
| Common      Stock (continued)                  |   |   |          |   |                                                           |   |
| United      States (continued)                 |   |   |          |   |                                                           |   |
| Textiles                                       |   | $      | 101,974       |   |                                                           |   | 0.00 |   |
| Toys,      Games & Hobbies                 |   |   | 5,351,274     |   |                                                           |   | 0.18 |   |
| Transportation                                 |   |   | 21,860,475    |   |                                                           |   | 0.74 |   |
| Trucking      & Leasing                    |   |   | 3,914,283     |   |                                                           |   | 0.13 |   |
| Water                                          |   |   | 145,396       |   |                                                           |   | 0.00 |   |
| Total      United States (cost $2,971,904,953) |   |   | 3,118,008,918 |   |                                                           |   | 105.00 |   |
|                                           |   |   |          |   |                                                           |   |   |   |
| Austria                                        |   |   |          |   |                                                           |   |   |   |
| Banks                                          |   |   | 54,148,751    |   |                                                           |   | 1.82 |   |
| Building      Materials                        |   |   | 15,977,616    |   |                                                           |   | 0.54 |   |
| Electric                                       |   |   | 14,617,446    |   |                                                           |   | 0.49 |   |
| Engineering      & Construction            |   |   | 5,423,546     |   |                                                           |   | 0.18 |   |
| Forest      Products & Paper               |   |   | 5,126,749     |   |                                                           |   | 0.17 |   |
| Iron      & Steel                          |   |   | 31,501,034    |   |                                                           |   | 1.06 |   |
| Miscellaneous      Manufacture                 |   |   | 3,397,550     |   |                                                           |   | 0.12 |   |
| Oil      & Gas                             |   |   | 68,619,988    |   |                                                           |   | 2.31 |   |
| Real      Estate                               |   |   | 11,145,449    |   |                                                           |   | 0.38 |   |
| Telecommunications                             |   |   | 60,060,413    |   |                                                           |   | 2.02 |   |
| Total      Austria (cost $144,368,666)         |   |   | 270,018,542   |   |                                                           |   | 9.09 |   |
|                                           |   |   |          |   |                                                           |   |   |   |
| Belgium                                        |   |   |          |   |                                                           |   |   |   |
| Banks                                          |   |   | 86,273,442    |   |                                                           |   | 2.91 |   |
| Beverages                                      |   |   | 10,149,230    |   |                                                           |   | 0.34 |   |
| Chemicals                                      |   |   | 12,716,788    |   |                                                           |   | 0.43 |   |
| Electrical      Components & Equipment     |   |   | 1,728,296     |   |                                                           |   | 0.06 |   |
| Electronics                                    |   |   | 1,033,309     |   |                                                           |   | 0.03 |   |
| Food                                           |   |   | 8,727,795     |   |                                                           |   | 0.29 |   |
| Holding      Companies-Diversified             |   |   | 8,691,507     |   |                                                           |   | 0.29 |   |
| Mining                                         |   |   | 37,723        |   |                                                           |   | 0.00 |   |
| Miscellaneous      Manufacturing               |   |   | 2,245,047     |   |                                                           |   | 0.08 |   |
| Pharmaceuticals                                |   |   | 6,591,412     |   |                                                           |   | 0.22 |   |

----

|                                             |   |   |        |   |             % of Partners' |   |
|--------------------------------------------------|--------|--------|-------------|--------|----------------------------------------------------------|--------|
| Security      Description                        |   | Value  |        |   | Capital                                                  |   |
| SECURITIES      OWNED (continued)                |   |   |        |   |                                                     |   |
| Common      Stock (continued)                    |   |   |        |   |                                                     |   |
| Belgium      (continued)                         |   |   |        |   |                                                     |   |
| Retail                                           |   | $      | 985,405     |   |                                                     |   | 0.03 |   |
| Telecommunications                               |   |   | 9,706,157   |   |                                                     |   | 0.33 |   |
| Transportation                                   |   |   | 1,433,968   |   |                                                     |   | 0.05 |   |
| Total      Belgium (cost $133,236,093)           |   |   | 150,320,079 |   |                                                     |   | 5.06 |   |
|                                             |   |   |        |   |                                                     |   |   |   |
| Bermuda      - Transportation (cost $12,566,325) |   |   | 13,058,689  |   |                                                     |   | 0.44 |   |
|                                             |   |   |        |   |                                                     |   |   |   |
| Denmark                                          |   |   |        |   |                                                     |   |   |   |
| Banks                                            |   |   | 7,842,935   |   |                                                     |   | 0.26 |   |
| Beverages                                        |   |   | 873,931     |   |                                                     |   | 0.03 |   |
| Biotechnology                                    |   |   | 1,464,893   |   |                                                     |   | 0.05 |   |
| Building      Materials                          |   |   | 411,797     |   |                                                     |   | 0.01 |   |
| Electrical      Components & Equipment       |   |   | 1,391,239   |   |                                                     |   | 0.05 |   |
| Food                                             |   |   | 2,858,654   |   |                                                     |   | 0.10 |   |
| Healthcare-Products                              |   |   | 1,597,707   |   |                                                     |   | 0.05 |   |
| Home      Furnishings                            |   |   | 589,231     |   |                                                     |   | 0.02 |   |
| Insurance                                        |   |   | 873,678     |   |                                                     |   | 0.03 |   |
| Miscellaneous      Manufacturing                 |   |   | 457,025     |   |                                                     |   | 0.02 |   |
| Pharmaceuticals                                  |   |   | 7,513,264   |   |                                                     |   | 0.25 |   |
| Telecommunications                               |   |   | 7,420,179   |   |                                                     |   | 0.25 |   |
| Transportation                                   |   |   | 8,035,108   |   |                                                     |   | 0.27 |   |
| Total      Denmark (cost $30,967,413)            |   |   | 41,329,641  |   |                                                     |   | 1.39 |   |
|                                             |   |   |        |   |                                                     |   |   |   |
| Greece                                           |   |   |        |   |                                                     |   |   |   |
| Banks                                            |   |   | 5,875,878   |   |                                                     |   | 0.20 |   |
| Beverages                                        |   |   | 491,587     |   |                                                     |   | 0.02 |   |
| Building      Materials                          |   |   | 470,855     |   |                                                     |   | 0.01 |   |

----

|                                    |   |   |        |   |               % of Partners' |   |
|-----------------------------------------|--------|--------|-------------|--------|----------------------------------------------------------------------|--------|
| Security      Description               |   | Value  |        |   | Capital                                                              |   |
| SECURITIES      OWNED (continued)       |   |   |        |   |                                                                 |   |
| Common      Stock (continued)           |   |   |        |   |                                                                 |   |
| Greece      (continued)                 |   |   |        |   |                                                                 |   |
| Electric                                |   | $      | 459,026     |   |                                                                 |   | 0.01 |   |
| Engineering      & Construction     |   |   | 205,880     |   |                                                                 |   | 0.01 |   |
| Entertainment                           |   |   | 1,105,652   |   |                                                                 |   | 0.04 |   |
| Holding      Companies-Diversified      |   |   | 177,671     |   |                                                                 |   | 0.01 |   |
| Lodging                                 |   |   | 106,832     |   |                                                                 |   | 0.00 |   |
| Mining                                  |   |   | 40,269      |   |                                                                 |   | 0.00 |   |
| Oil      & Gas                      |   |   | 302,555     |   |                                                                 |   | 0.01 |   |
| Retail                                  |   |   | 308,701     |   |                                                                 |   | 0.01 |   |
| Telecommunications                      |   |   | 1,685,167   |   |                                                                 |   | 0.06 |   |
| Total      Greece (cost $7,482,230)     |   |   | 11,230,073  |   |                                                                 |   | 0.38 |   |
|                                    |   |   |        |   |                                                                 |   |   |   |
| Jersey-Real      Estate (cost $106,426) |   |   | 107,075     |   |                                                                 |   | 0.00 |   |
|                                    |   |   |        |   |                                                                 |   |   |   |
| Luxembourg                              |   |   |        |   |                                                                 |   |   |   |
| Oil      & Gas Services             |   |   | 6,195,324   |   |                                                                 |   | 0.21 |   |
| Transportation                          |   |   | 613,929     |   |                                                                 |   | 0.02 |   |
| Total      Luxembourg (cost $4,991,254) |   |   | 6,809,253   |   |                                                                 |   | 0.23 |   |
|                                    |   |   |        |   |                                                                 |   |   |   |
| Norway                                  |   |   |        |   |                                                                 |   |   |   |
| Banks                                   |   |   | 34,054,512  |   |                                                                 |   | 1.15 |   |
| Chemicals                               |   |   | 17,479,977  |   |                                                                 |   | 0.59 |   |
| Environmental      Control              |   |   | 6,433,038   |   |                                                                 |   | 0.22 |   |
| Food                                    |   |   | 37,498,273  |   |                                                                 |   | 1.26 |   |
| Forest      Products & Paper        |   |   | 9,265,714   |   |                                                                 |   | 0.31 |   |
| Holding      Companies-Diversified      |   |   | 1,973,508   |   |                                                                 |   | 0.06 |   |
| Insurance                               |   |   | 11,317,058  |   |                                                                 |   | 0.38 |   |
| Media                                   |   |   | 7,365,933   |   |                                                                 |   | 0.25 |   |
| Oil      & Gas                      |   |   | 146,508,068 |   |                                                                 |   | 4.93 |   |
| Oil      & Gas Services             |   |   | 17,262,880  |   |                                                                 |   | 0.58 |   |
| Telecommunications                      |   |   | 44,148,902  |   |                                                                 |   | 1.49 |   |
| Total      Norway (cost $246,566,482)   |   |   | 333,307,863 |   |                                                                 |   | 11.22 |   |

----

|                                      |   |   |       |   |                 % of Partners' |   |
|-------------------------------------------|--------|--------|------------|--------|----------------------------------------------------------------------------------|--------|
| Security      Description                 |   | Value  |       |   | Capital                                                                          |   |
| SECURITIES      OWNED (continued)         |   |   |       |   |                                                                             |   |
| Common      Stock (continued)             |   |   |       |   |                                                                             |   |
| Pakistan                                  |   |   |       |   |                                                                             |   |
| Banks                                     |   | $      | 943,508    |   |                                                                             |   | 0.03 |   |
| Chemicals                                 |   |   | 1,287,172  |   |                                                                             |   | 0.04 |   |
| Electric                                  |   |   | 543,551    |   |                                                                             |   | 0.02 |   |
| Gas                                       |   |   | 441,118    |   |                                                                             |   | 0.02 |   |
| Oil      & Gas                        |   |   | 1,548,240  |   |                                                                             |   | 0.05 |   |
| Telecommunications                        |   |   | 1,069,057  |   |                                                                             |   | 0.04 |   |
| Total      Pakistan (cost $2,065,594)     |   |   | 5,832,646  |   |                                                                             |   | 0.20 |   |
|                                      |   |   |       |   |                                                                             |   |   |   |
| Puerto      Rico                          |   |   |       |   |                                                                             |   |   |   |
| Banks                                     |   |   | 6,467,626  |   |                                                                             |   | 0.22 |   |
| Diversified      Financial Services       |   |   | 5,104,918  |   |                                                                             |   | 0.17 |   |
| Total      Puerto Rico (cost $11,546,319) |   |   | 11,572,544 |   |                                                                             |   | 0.39 |   |
|                                      |   |   |       |   |                                                                             |   |   |   |
| Singapore                                 |   |   |       |   |                                                                             |   |   |   |
| Airlines                                  |   |   | 96,945     |   |                                                                             |   | 0.00 |   |
| Banks                                     |   |   | 648,653    |   |                                                                             |   | 0.02 |   |
| Beverages                                 |   |   | 44,503     |   |                                                                             |   | 0.00 |   |
| Computers                                 |   |   | 9,815      |   |                                                                             |   | 0.00 |   |
| Distribution      & Wholesale         |   |   | 20,026     |   |                                                                             |   | 0.00 |   |
| Diversified      Financial Services       |   |   | 29,649     |   |                                                                             |   | 0.00 |   |
| Electronics                               |   |   | 41,496     |   |                                                                             |   | 0.00 |   |
| Engineering      & Construction       |   |   | 85,848     |   |                                                                             |   | 0.00 |   |
| Healthcare-Services                       |   |   | 17,765     |   |                                                                             |   | 0.00 |   |
| Holding      Companies-Diversified        |   |   | 92,194     |   |                                                                             |   | 0.01 |   |
| Lodging                                   |   |   | 6,555      |   |                                                                             |   | 0.00 |   |
| Media                                     |   |   | 95,682     |   |                                                                             |   | 0.01 |   |
| Real      Estate                          |   |   | 172,181    |   |                                                                             |   | 0.01 |   |
| Semiconductors                            |   |   | 14,686     |   |                                                                             |   | 0.00 |   |
| Shipbuilding                              |   |   | 19,918     |   |                                                                             |   | 0.00 |   |
| Telecommunications                        |   |   | 218,521    |   |                                                                             |   | 0.01 |   |
| Transportation                            |   |   | 75,719     |   |                                                                             |   | 0.00 |   |
| Total      Singapore (cost $1,456,460)    |   |   | 1,690,156  |   |                                                                             |   | 0.06 |   |
|                                      |   |   |       |   |                                                                             |   |   |   |

----

|                                                        |   |   |          |   |              % of Partners' |   |
|-------------------------------------------------------------|--------|--------|---------------|--------|----------------------------------------------------------------|--------|
| Security      Description                                   |   | Value  |          |   | Capital                                                        |   |
| SECURITIES      OWNED (continued)                           |   |   |          |   |                                                           |   |
| Common      Stock (continued)                               |   |   |          |   |                                                           |   |
| Venezuela      - Telecommunications (cost $5,790,892)       |   | $      | 5,220,058     |   |                                                           |   | 0.19 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| Total      Common Stock (cost $3,573,049,107)               |   | $      | 3,968,505,537 |   |                                                           |   | 133.65 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| Corporate      Debt                                         |   |   |          |   |                                                           |   |   |   |
| Norway      - Forest Products & Paper (cost $5,723,203) |   |   | 5,568,061.00  |   |                                                           |   | 0.18 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| United      States                                          |   |   |          |   |                                                           |   |   |   |
| Auto      Manufacturers                                     |   |   | 1,991,829     |   |                                                           |   | 0.07 |   |
| Auto      Parts & Equipment                             |   |   | 1,096,620     |   |                                                           |   | 0.04 |   |
| Beverages                                                   |   |   | 7,970,955     |   |                                                           |   | 0.27 |   |
| Diversified      Financial Services                         |   |   | 4,350,839     |   |                                                           |   | 0.15 |   |
| Electric                                                    |   |   | 15,663,520    |   |                                                           |   | 0.53 |   |
| Food                                                        |   |   | 1,720,366     |   |                                                           |   | 0.06 |   |
| Home      Builders                                          |   |   | 3,631,613     |   |                                                           |   | 0.12 |   |
| Insurance                                                   |   |   | 13,838,970    |   |                                                           |   | 0.47 |   |
| Iron/Steel                                                  |   |   | 1,924,133     |   |                                                           |   | 0.06 |   |
| Lodging                                                     |   |   | 5,222,672     |   |                                                           |   | 0.18 |   |
| Media                                                       |   |   | 22,644,830    |   |                                                           |   | 0.76 |   |
| Packaging      & Containers                             |   |   | 5,041,851     |   |                                                           |   | 0.17 |   |
| Real      Estate                                            |   |   | 1,878,526     |   |                                                           |   | 0.06 |   |
| Retail                                                      |   |   | 8,453,700     |   |                                                           |   | 0.28 |   |
| Telecommunications                                          |   |   | 10,437,656    |   |                                                           |   | 0.35 |   |
| Total      United States (cost $107,594,749)                |   |   | 105,868,080   |   |                                                           |   | 3.57 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| Total      Corporate Debt (cost $113,317,952)               |   | $      | 111,436,141   |   |                                                           |   | 3.75 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| REITs                                                       |   |   |          |   |                                                           |   |   |   |
| United      States (cost $72,419,290)                       |   |   | 70,919,513.00 |   |                                                           |   | 2.39 |   |
|                                                        |   |   |          |   |                                                           |   |   |   |
| Belgium      (cost $979,611)                                |   |   | 1,005,260.00  |   |                                                           |   | 0.03 |   |

----

|               |        |                                |                                                                |   |       |          |             % of Partners' |   |
|--------------------|-------------|-------------------------------------|---------------------------------------------------------------------|--------|------------|---------------|----------------------------------------------------------|--------|
| Par      Value ($) |        | Security      Description           |                                                                | Value  |       |          | Capital                                                  |   |
|               |        | SECURITIES      OWNED (continued)   |                                                                |   |       |          |                                                     |   |
|               |        | REITs      (continued)              |                                                                |   |       |          |                                                     |   |
|               |        | Singapore      (cost $28,693)       |                                                                |   | 37,798     |          |                                                     |   | 0.00 |   |
|               |        |                                |                                                                |   |       |          |                                                     |   |   |   |
|               |        | Total      REITs (cost $73,427,594) |                                                                | $      | 71,962,571 |          |                                                     |   | 2.42 |   |
|               |        |                                |                                                                |   |       |          |                                                     |   |   |   |
|               |        | Government      Debt                |                                                                |   |       |          |                                                     |   |   |   |
|               |        | United      States                  |                                                                |   |       |          |                                                     |   |   |   |
|               | 250,000,000 |                                | Fannie      Mae - Discount Note, due 02/22/2006 (cost $248,473,385) |   |       | 248,550,000   |                                                     |   |   | 8.37 |   |
|               |        |                                |                                                                |   |       |          |                                                     |   |   |   |   |
|               |        |                                | Purchased      Options                                              |   |       |          |                                                     |   |   |   |   |
|               |        |                                | U.S.      Purchased Options                                         |   |       | 17,621,816    |                                                     |   |   | 0.59 |   |
|               |        |                                | Non-U.S.      Purchased Options                                     |   |       | 20,226,850    |                                                     |   |   | 0.68 |   |
|               |        |                                | Total      Purchased Options (cost $33,397,158)                     |   |       | 37,848,666    |                                                     |   |   | 1.27 |   |
|               |        |                                |                                                                |   |       |          |                                                     |   |   |   |   |
|               |        |                                | Warrants                                                            |   |       |          |                                                     |   |   |   |   |
|               |        |                                | France                                                              |   |       |          |                                                     |   |   |   |   |
|               |        |                                | Electric                                                            |   |       | 1,669         |                                                     |   |   | 0.00 |   |
|               |        |                                | Water                                                               |   |       | 4,389,947     |                                                     |   |   | 0.15 |   |
|               |        |                                | Total      France                                                   |   |       | 4,391,616     |                                                     |   |   | 0.15 |   |
|               |        |                                |                                                                |   |       |          |                                                     |   |   |   |   |
|               |        |                                | TOTAL      SECURITIES OWNED (cost $4,041,665,196)                   |   | $          | 4,442,694,531 |                                                     |   |   | 149.61 |   |

----

|                                       |   |   |        |   |        % of Partners' |   |
|--------------------------------------------|--------|--------|-------------|--------|----------------------------|--------|
| Security      Description                  |   | Value  |        |   | Capital                    |   |
| SECURITIES      SOLD, NOT YET PURCHASED    |   |   |        |   |                       |   |
| Common      Stock                          |   |   |        |   |                       |   |
| United      States                         |   |   |        |   |                       |   |
| Advertising                                |   | $      | 297,892     |   |                       |   | 0.01 |   |
| Aerospace      & Defense               |   |   | 5,647,216   |   |                       |   | 0.19 |   |
| Agriculture                                |   |   | 588,454     |   |                       |   | 0.02 |   |
| Airlines                                   |   |   | 1,722,342   |   |                       |   | 0.06 |   |
| Apparel                                    |   |   | 10,640,396  |   |                       |   | 0.36 |   |
| Auto      Parts & Equipment            |   |   | 226,101     |   |                       |   | 0.01 |   |
| Banks                                      |   |   | 15,410,180  |   |                       |   | 0.52 |   |
| Beverages                                  |   |   | 17,901,818  |   |                       |   | 0.60 |   |
| Biotechnology                              |   |   | 49,788,584  |   |                       |   | 1.68 |   |
| Building      Materials                    |   |   | 29,753,991  |   |                       |   | 1.00 |   |
| Chemicals                                  |   |   | 16,200,054  |   |                       |   | 0.55 |   |
| Coal                                       |   |   | 78,113,642  |   |                       |   | 2.63 |   |
| Commercial      Services                   |   |   | 19,110,321  |   |                       |   | 0.64 |   |
| Computers                                  |   |   | 32,680,314  |   |                       |   | 1.10 |   |
| Cosmetics      & Personal Care         |   |   | 10,781,850  |   |                       |   | 0.36 |   |
| Distribution      & Wholesale          |   |   | 18,330,084  |   |                       |   | 0.62 |   |
| Diversified      Financial Services        |   |   | 131,636,869 |   |                       |   | 4.43 |   |
| Electric                                   |   |   | 11,152,900  |   |                       |   | 0.38 |   |
| Electrical      Components & Equipment |   |   | 813,603     |   |                       |   | 0.03 |   |
| Electronics                                |   |   | 12,491,577  |   |                       |   | 0.42 |   |
| Energy-Alternative      Sources            |   |   | 970,283     |   |                       |   | 0.03 |   |
| Engineering      & Construction        |   |   | 1,245,855   |   |                       |   | 0.04 |   |
| Entertainment                              |   |   | 8,339,098   |   |                       |   | 0.28 |   |
| Environmental      Control                 |   |   | 1,949,373   |   |                       |   | 0.07 |   |
| Food                                       |   |   | 39,664,177  |   |                       |   | 1.34 |   |
| Forest      Products & Paper           |   |   | 16,029,906  |   |                       |   | 0.54 |   |
| Gas                                        |   |   | 9,381,814   |   |                       |   | 0.32 |   |
| Hand/Machine      Tools                    |   |   | 23,547      |   |                       |   | 0.00 |   |
| Healthcare-Products                        |   |   | 68,224,214  |   |                       |   | 2.30 |   |
| Healthcare-Services                        |   |   | 80,505,692  |   |                       |   | 2.71 |   |
| Holding      Companies-Diversified         |   |   | 914,649     |   |                       |   | 0.03 |   |
| Home      Builders                         |   |   | 32,699,630  |   |                       |   | 1.10 |   |
| Home      Furnishings                      |   |   | 1,395,545   |   |                       |   | 0.05 |   |
| Household      Products/Wares              |   |   | 11,719,389  |   |                       |   | 0.39 |   |
| Insurance                                  |   |   | 114,349,463 |   |                       |   | 3.85 |   |

----

|                                                |   |   |          |   | %      of Partners' |   |
|-----------------------------------------------------|--------|--------|---------------|--------|---------------------|--------|
| Security      Description                           |   | Value  |          |   | Capital             |   |
| SECURITIES      SOLD, NOT YET PURCHASED (continued) |   |   |          |   |                |   |
| Common      Stock (continued)                       |   |   |          |   |                |   |
| United      States (continued)                      |   |   |          |   |                |   |
| Internet                                            |   | $      | 95,258,420    |   |                |   | 3.21 |   |
| Investment      Companies                           |   |   | 2,451,417     |   |                |   | 0.08 |   |
| Iron/Steel                                          |   |   | 7,979,009     |   |                |   | 0.27 |   |
| Leisure      Time                                   |   |   | 4,449,540     |   |                |   | 0.15 |   |
| Lodging                                             |   |   | 31,668,478    |   |                |   | 1.07 |   |
| Machinery-Construction      & Mining            |   |   | 40,954,210    |   |                |   | 1.38 |   |
| Machinery-Diversified                               |   |   | 10,611,898    |   |                |   | 0.36 |   |
| Media                                               |   |   | 23,646,390    |   |                |   | 0.80 |   |
| Metal      Fabricate & Hardware                 |   |   | 104,225       |   |                |   | 0.00 |   |
| Mining                                              |   |   | 133,586,675   |   |                |   | 4.50 |   |
| Miscellaneous      Manufacturing                    |   |   | 10,390,461    |   |                |   | 0.35 |   |
| Office      Furnishings                             |   |   | 81,033        |   |                |   | 0.00 |   |
| Office      & Business Equipment                |   |   | 320,297       |   |                |   | 0.01 |   |
| Oil      & Gas                                  |   |   | 44,796,865    |   |                |   | 1.51 |   |
| Oil      & Gas Services                         |   |   | 85,670,499    |   |                |   | 2.88 |   |
| Packaging      & Containers                     |   |   | 4,431,709     |   |                |   | 0.15 |   |
| Pharmaceuticals                                     |   |   | 82,346,935    |   |                |   | 2.77 |   |
| Pipelines                                           |   |   | 53,439,531    |   |                |   | 1.80 |   |
| Retail                                              |   |   | 209,271,025   |   |                |   | 7.05 |   |
| REITs                                               |   |   | 34,525,094    |   |                |   | 1.16 |   |
| Savings      & Loans                            |   |   | 1,030,632     |   |                |   | 0.03 |   |
| Semiconductors                                      |   |   | 180,387,504   |   |                |   | 6.07 |   |
| Software                                            |   |   | 56,032,266    |   |                |   | 1.89 |   |
| Telecommunications                                  |   |   | 57,833,794    |   |                |   | 1.95 |   |
| Textiles                                            |   |   | 11,068,663    |   |                |   | 0.37 |   |
| Toys/Games/Hobbies                                  |   |   | 3,279,494     |   |                |   | 0.11 |   |
| Transportation                                      |   |   | 63,570,176    |   |                |   | 2.14 |   |
| Trucking      & Leasing                         |   |   | 639,722       |   |                |   | 0.02 |   |
| Water                                               |   |   | 1,515,149     |   |                |   | 0.05 |   |
| Total      United States (proceeds $2,007,025,894)  |   |   | 2,102,041,934 |   |                |   | 70.79 |   |

----

|                                                |   |   |        |   |              % of Partners' |   |
|-----------------------------------------------------|--------|--------|-------------|--------|----------------------------------------------------------------|--------|
| Security      Description                           |   | Value  |        |   | Capital                                                        |   |
| SECURITIES      SOLD, NOT YET PURCHASED (continued) |   |   |        |   |                                                           |   |
| Common      Stock (continued)                       |   |   |        |   |                                                           |   |
| Finland                                             |   |   |        |   |                                                           |   |
| Auto      Parts & Equipment                     |   | $      | 1,508,911   |   |                                                           |   | 0.05 |   |
| Computers                                           |   |   | 3,131,707   |   |                                                           |   | 0.11 |   |
| Diversified      Financial Services                 |   |   | 6,810,638   |   |                                                           |   | 0.23 |   |
| Electric                                            |   |   | 8,356,207   |   |                                                           |   | 0.28 |   |
| Engineering      & Construction                 |   |   | 1,832,615   |   |                                                           |   | 0.06 |   |
| Food                                                |   |   | 2,350,433   |   |                                                           |   | 0.08 |   |
| Forest      Products & Paper                    |   |   | 18,849,248  |   |                                                           |   | 0.67 |   |
| Hand/Machine      Tools                             |   |   | 511,373     |   |                                                           |   | 0.02 |   |
| Insurance                                           |   |   | 87,573      |   |                                                           |   | 0.00 |   |
| Iron/Steel                                          |   |   | 2,549,257   |   |                                                           |   | 0.09 |   |
| Leisure      Time                                   |   |   | 1,454,795   |   |                                                           |   | 0.05 |   |
| Machinery-Diversified                               |   |   | 7,197,470   |   |                                                           |   | 0.24 |   |
| Mining                                              |   |   | 1,591,102   |   |                                                           |   | 0.05 |   |
| Miscellaneous      Manufacturing                    |   |   | 2,623,782   |   |                                                           |   | 0.09 |   |
| Oil      & Gas                                  |   |   | 3,819,808   |   |                                                           |   | 0.13 |   |
| Pharmaceuticals                                     |   |   | 1,921,900   |   |                                                           |   | 0.06 |   |
| Telecommunications                                  |   |   | 89,387,415  |   |                                                           |   | 3.01 |   |
| Transportation                                      |   |   | 1,405,686   |   |                                                           |   | 0.05 |   |
| Total      Finland (proceeds $109,619,337)          |   |   | 155,389,920 |   |                                                           |   | 5.27 |   |
|                                                |   |   |        |   |                                                           |   |   |   |
| New      Zealand                                    |   |   |        |   |                                                           |   |   |   |
| Building      Materials                             |   |   | 1,108,614   |   |                                                           |   | 0.04 |   |
| Diversified      Financial Services                 |   |   | 218,453     |   |                                                           |   | 0.01 |   |
| Electric                                            |   |   | 655,270     |   |                                                           |   | 0.02 |   |
| Engineering      & Construction                 |   |   | 738,212     |   |                                                           |   | 0.02 |   |
| Environmental      Control                          |   |   | 169,093     |   |                                                           |   | 0.00 |   |
| Healthcare-Products                                 |   |   | 676,954     |   |                                                           |   | 0.02 |   |
| Home      Furnishings                               |   |   | 293,425     |   |                                                           |   | 0.01 |   |
| Lodging                                             |   |   | 732,265     |   |                                                           |   | 0.02 |   |
| Media                                               |   |   | 185,673     |   |                                                           |   | 0.01 |   |
| Real      Estate                                    |   |   | 488,896     |   |                                                           |   | 0.02 |   |
| Retail                                              |   |   | 236,713     |   |                                                           |   | 0.01 |   |
| Telecommunications                                  |   |   | 4,054,409   |   |                                                           |   | 0.14 |   |
| Total      New Zealand (proceeds $9,522,664)        |   |   | 9,557,977   |   |                                                           |   | 0.32 |   |

----

|   |      |                                                        |                                                                       |   |          |          |               % of Partners' |   |
|--------|-----------|-------------------------------------------------------------|----------------------------------------------------------------------------|--------|---------------|---------------|----------------------------------------------------------------------|--------|
| Shares |      | Security      Description                                   |                                                                       | Value  |          |          | Capital                                                              |   |
|   |      | SECURITIES      SOLD, NOT YET PURCHASED (continued)         |                                                                       |   |          |          |                                                                 |   |
|   |      | Common      Stock (continued)                               |                                                                       |   |          |          |                                                                 |   |
|   |      | Norway      - Holding Companies-Diversified (proceeds $nil) |                                                                       | $      | 29            |          |                                                                 |   | 0.00 |   |
|   |      |                                                        |                                                                       |   |          |          |                                                                 |   |   |   |
|   |      | Puerto      Rico - Banks (proceeds $95,515)                 |                                                                       |   | 96,109        |          |                                                                 |   | 0.00 |   |
|   |      |                                                        |                                                                       |   |          |          |                                                                 |   |   |   |
|   |      |                                                        |                                                                       |   |          |          |                                                                 |   |   |   |
|   |      | Total      Common Stock (proceeds $2,126,263,410)           |                                                                       | $      | 2,268,085,969 |          |                                                                 |   | 76.38 |   |
|   |      |                                                        |                                                                       |   |          |          |                                                                 |   |   |   |
|   |      | Exchange      Traded Funds                                  |                                                                       |   |          |          |                                                                 |   |   |   |
|   |      | United      States                                          |                                                                       |   |          |          |                                                                 |   |   |   |
|   | 7,509,311 |                                                        | iShares      Russell 2000                                                  |   |          | 500,795,951   |                                                                 |   |   | 16.87 |   |
|   | 2,982,881 |                                                        | NASDAQ      100 Shares                                                     |   |          | 120,568,050   |                                                                 |   |   | 4.06 |   |
|   |      |                                                        |  Total      Exchange Traded Funds (proceeds $632,068,471)             |   |          | 621,364,001   |                                                                 |   |   | 20.93 |   |
|   |      |                                                        |                                                                       |   |          |          |                                                                 |   |   |   |   |
|   |      |                                                        | TOTAL      SECURITIES SOLD, NOT YET PURCHASED (proceeds    $2,758,331,881) |   | $             | 2,889,449,970 |                                                                 |   |   | 97.31 |   |

----

Notes to the FinancialStatements

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----

----

----

----

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|                                                                                    |   | Assets |        |   | Liabilities |   |
|-----------------------------------------------------------------------------------------|--------|--------|-------------|--------|-------------|--------|
| Foreign      currency forward contracts - Long (vs. U.S. dollar) (0.84%,      -1.93%)*  |   |   |        |   |        |   |
| Australian      Dollar - settlement through March 2006                                  |   | $      | -           |   |        | $      | 8,516,838 |   |
| Brazilian      Real - settlement through April 2006                                     |   |   | 343,339     |   |        |   | 18,197,388 |   |
| Mexican      Peso - settlement through April 2006                                       |   |   | 15,455,545  |   |        |   | 2,553,234 |   |
| Norwegian      Krone - settlement through March 2006                                    |   |   | -           |   |        |   | 14,070,105 |   |
| Other      currencies                                                                   |   |   | 9,167,575   |   |        |   | 13,924,907 |   |
| Total      foreign currency forward contracts - Long                                    |   | $      | 24,966,459  |   |        | $      | 57,262,472 |   |
|                                                                                    |   |   |        |   |        |   |   |   |
| Foreign      currency forward contracts - Short (vs. U.S. dollar) (2.20%,      -2.25%)* |   |   |        |   |        |   |   |   |
| British      Pound - settlement through March 2006                                      |   |   | 39,000,586  |   |        |   | - |   |
| Japanese      Yen - settlement through May 2006                                         |   |   | -           |   |        |   | 20,395,757 |   |
| New      Zealand Dollar - settlement through March 2006                                 |   |   | 16,604,903  |   |        |   | - |   |
| South      African Rand - settlement through April 2006                                 |   |   | -           |   |        |   | 25,129,148 |   |
| Other      currencies                                                                   |   |   | 9,799,499   |   |        |   | 21,225,983 |   |
| Total      foreign currency forward contracts - Short                                   |   | $      | 65,404,988  |   |        | $      | 66,750,888 |   |
|                                                                                    |   |   |        |   |        |   |   |   |
| U.S      futures contracts (1.05%, -0.42%)*                                             |   | $      | 31,276,370  |   |        | $      | 12,417,632 |   |
|                                                                                    |   |   |        |   |        |   |   |   |
| Non-U.S.      futures contracts (1.94%, -2.16%)*                                        |   | $      | 57,624,026  |   |        | $      | 64,146,477 |   |
|                                                                                    |   |   |        |   |        |   |   |   |
|                                                                                    |   |   |        |   |        |   |   |   |
| Interest      rate swap contracts (7.76%, -9.73%)*                                      |   |   |        |   |        |   |   |   |
| GBP      - termination dates through November 2015                                      |   | $      | 18,041,008  |   |        | $      | 122,987,835 |   |
| CAD      - termination dates through December 2015                                      |   |   | 35,537,053  |   |        |   | 27,672,803 |   |
| CHF      - termination dates through October 2015                                       |   |   | 66,404,962  |   |        |   | 49,517,308 |   |
| SEK      - termination dates through October 2015                                       |   |   | 94,225,500  |   |        |   | 76,919,412 |   |
| Other      interest rate swap contracts                                                 |   |   | 16,203,198  |   |        |   | 11,660,060 |   |
| Total      interest rate contracts                                                      |   | $      | 230,411,721 |   |        | $      | 288,757,418 |   |
|                                                                                    |   |   |        |   |        |   |   |   |
| Total      return equity swap contracts (1.36%, -1.84%)*                                |   | $      | 40,308,987  |   |        | $      | 54,584,156 |   |

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|                                                                                                                   |   | Assets   |        |   | Liabilities       |   |
|------------------------------------------------------------------------------------------------------------------------|--------|----------|-------------|--------|-------------------|--------|
| Volatility      Swap contracts (4.38%, -3.95%)*                                                                        |   |     |        |   |              |   |
| Eurostoxx      50 dispersion - termination dates through January 2020                                                  |   | $        | 66,861,685  |   |              | $      | 7,435,087 |   |
| Dow      Jones Industrial - termination dates through January 2020                                                     |   |     | 7,462,202   |   |              |   | - |   |
| Nikkei      225 dispersion - termination dates through January 2013                                                    |   |     | 12,830,968  |   |              |   | 3,556,357 |   |
| S&P      500 dispersion - termination dates through January 2020                                                   |   |     | 20,641,482  |   |              |   | 21,192,690 |   |
| Other      volatility swap contracts                                                                                   |   |     | 22,257,245  |   |              |   | 85,017,655 |   |
| Total      volatility swap contracts                                                                                   |   | $        | 130,053,582 |   |              | $      | 117,201,789 |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
| Credit      Default Swaps (0.26%, -0.46%)*                                                                             |   | $        | 7,843,187   |   |              | $      | 13,763,925 |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
| Swaptions      (4.45%, -1.32%)*                                                                                        |   | $        | 132,246,219 |   |              | $      | 39,324,989 |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
| The      following schedule summarizes the written option contracts open at      December 31, 2005 which are reflected |   |
| as      a libaility on the Statement of Financial Condition.                                                           |   |     |        |   |              |   |   |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
|                                                                                                                   |   | Premiums |        |   | Market      Value |   |
|                                                                                                                   |   |     |        |   |              |   |   |   |
| U.S.      written options (-0.29%)*                                                                                    |   | $        | 13,037,500  |   |              | $      | 8,744,434 |   |
| Non-U.S.      written options (-0.66%)*                                                                                |   |     | 20,311,379  |   |              |   | 19,554,480 |   |
| Total      written options (-0.95%)*                                                                                   |   | $        | 33,348,879  |   |              | $      | 28,298,914 |   |

----

|                                                                                                      |   | Total      LP |        |   |  A2  |   |        |  A   |   |
|-----------------------------------------------------------------------------------------------------------|--------|---------------|-------------|--------|-----------|--------|-------------|-----------|--------|
|                                                                                                      |   | Interests     |        |   | Interests |   |        | Interests |   |
| Total      return      (1)                                                                                |   |          |        |   |      |   |        |      |   |   |   |
| Total      return prior to Incentive Allocation                                                           |   |          | (51.08)     | %      |      |   | 50.39  | %         |   |   | 51.14  | % |
| Incentive      Allocation                                                                                 |   |          | (5.91)      | %      |      |   | (6.45)      | %         |   |   | (5.83) | % |
| Total      return after Incentive Allocation                                                              |   |          | 45.17  | %      |      |   | 43.94  | %         |   |   | 45.31        | % |
|                                                                                                      |   |          |        |   |      |   |        |      |   |   |   |   |
| Expense      ratios      (2)                                                                              |   |          |        |   |      |   |        |      |   |   |   |   |
| Operating      expenses to Limited Partners' average capital (excluding dividend expense      and certain |   |          | (1.57)      | %      |      |   | (2.05)      | %         |   |   | (1.52) | % |
|  other      investment related expenses and Incentive Allocation)                                    |   |          |        |   |      |   |        |      |   |   |   |   |
| Dividend      expense and certain other investment related expenses to      Limited                       |   |          | (1.81)      | %      |      |   | (1.83       | )%        |   |   | (1.81) | % |
| Partners'      average capital                                                                            |   |          |        |   |      |   |        |      |   |   |   |   |
| Total      operating expenses to Limited Partners' average capital (excluding      Incentive Allocation)  |   |          | (3.38)      | %      |      |   | (3.88)      | %         |   |   | (3.33) | % |
| Incentive      Allocation to Limited Partners' average capital                                            |   |          | (8.25)      | %      |      |   | (7.98       | )%        |   |   | (8.28) | % |
| Total      expenses and Incentive Allocation to Limited Partners' average      capital                    |   |          | (11.63      | )%     |      |   | (11.86)     | %         |   |   | (11.61) | % |
|                                                                                                      |   |          |        |   |      |   |        |      |   |   |   |   |
| Net      investment income to Limited Partners' average capital (2,3)                                     |   |          | (7.38)      | %      |      |   | (7.70       | )%        |   |   | (7.34) | % |

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Affirmation of the Commodity PoolOperator

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Additional Information

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| ·   | Alternative      Investments are not subject to the same regulatory requirements or      governmental oversight as mutual funds. The sponsor or manager of any      Alternative Investment may not be registered with any governmental      agency. |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments often engage in leverage and other investment practices that      are extremely speculative and involve a high degree of risk. Such      practices may increase the volatility of performance and the risk of      investment loss, including the loss of the entire amount that is      invested. |
|--------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments may purchase instruments that are traded on exchanges located      outside the United States that are "principal markets" and are subject to      the risk that the counterparty will not perform with respect to contracts.      Furthermore, since there is generally less government supervision and      regulation of foreign exchanges, Alternative Investments are also subject      to the risk of the failure of the exchanges and there may be a higher risk      of financial irregularities and/or lack of appropriate risk monitoring and      controls. |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Past      performance is not a guide to future performance and the value of      Alternative Investments and the income derived from them can go down as      well as up. Future returns are not guaranteed and a loss of principal may      occur. |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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| ·   | Alternative      Investments may impose significant fees, including incentive fees that are      based upon a percentage of the realized and unrealized gains, and such      fees may offset all or a significant portion of such Alternative      Investment's trading profits. |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments are offered in reliance upon an exemption from registration      under the Securities Act of 1933, as amended, for offers and sales of      securities that do not involve a public offering, No public or other      market is available or will develop. Similarly, interests in an      Alternative Investment are highly illiquid and generally are not      transferable without the consent of the sponsor, and applicable securities      and tax laws will limit transfers. |
|--------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments may themselves invest in instruments that may be highly      illiquid and extremely difficult to value. This also may limit your      ability to redeem or transfer your investment or delay receipt of      redemption proceeds. |
|--------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments are not required to provide their investors with periodic      pricing or valuation information. |
|--------------------|-------------------------------------------------------------------------------------------------------------------------------|

| ·   | There      may be conflicts of interest between the Alternative Investment and other      service providers, including the investment manager and sponsor of the      Alternative Investment. |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Investors      in Alternative Investments may have limited rights with respect to their      investment interest, including limited voting rights and participation in      the management of the AlternativeInvestment. |
|--------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Alternative      Investments may involve complex tax and legal structures. Investment in      any particular Alternative Investment, Or Alternative Investments      generally, is only suitable for sophisticated investors for whom such an      investment does not constitute a complete investment program and who fully      understand and are willing to assume the risks involved in such      Alternative Investment. You are urged to consult with your own tax,      accounting and legal advisers regarding any investment in any Alternative      Investment. |
|--------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| ·   | Investors      are also urged to take appropriate advice regarding any applicable legal      requirements and any applicable taxation and exchange control regulations      in the country of their citizenship, residence or domicile which may be      relevant to the subscription, purchase, holding, exchange, redemption or      disposal of any AlternativeInvestment. |
|--------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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