UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
(X) ANNUAL
REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2009
OR ( ) TRANSITION REPORT
PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from
to
Commission File Number 000-30455
GLOBAL DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
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New York
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13-4015586 |
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(State or other jurisdiction of
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(I.R.S. Employer |
incorporation or organization)
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Identification No.) |
c/o
Ceres Managed Futures LLC
55 East 59th Street 10th Floor
New York, New York 10022
(Address and Zip Code of principal executive offices)
(212) 559-2011
(Registrants telephone number, including area code)
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Securities registered pursuant to Section 12(b) of the Act: None
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Securities registered pursuant to Section 12(g) of the Act: Redeemable Units of Limited Partnership Interest |
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(Title of Class) |
Indicate by check mark if the registrant is a well known seasoned issuer, as defined in Rule 405 of
the Securities Act.
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or
Section 15(d) of the Act.
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Indicate
by check mark whether the registrant has submitted electronically and
posted on its corporate Web site, if any, every Interactive Data File
required to be submitted and posted pursuant to Rule 405 of
Regulation S-T (§232.405 of this chapter) during the preceding
12 months (or for such shorter period that the registrant was
required to submit and post such files).
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is
not contained herein, and will not be contained, to the best of registrants knowledge, in
definitive proxy or information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this form 10-K [X].
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer,
a non-accelerated filer, or a smaller reporting company.
See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
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Large accelerated filer |
Accelerated filer |
Non-accelerated filer X |
Smaller reporting company |
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(Do not check if a smaller reporting company) |
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Indicate
by check mark if the issuer is a shell company (as defined in
Rule 12b-2 of the Exchange Act).
Limited
Partnership Redeemable Units with an aggregate value of $27,535,923 were outstanding and
held by non-affiliates as of the last business day of the registrants most recently completed
second calendar month.
As of
February 28, 2010, 15,179.1457 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
PART I
Item 1. Business.
(a) General Development of Business. Global Diversified Futures Fund L.P.,
formerly Citigroup Global Diversified Futures Fund L.P. (the Partnership) is a limited
partnership organized under the laws of the State of New York on June 15, 1998 to engage, directly
and indirectly, in the speculative trading of a diversified portfolio of commodity interests,
including futures contracts, options, swaps and forwards contracts on
United States exchange and certain foreign exchanges. The sectors
traded include currencies, energy, grains, indices, metals, softs,
livestock, lumber and U.S. and non- U.S. interest rates. The Partnership and
the Funds (defined below) may trade futures and options of any kind. The commodity interests that are traded
by the Partnership and the Funds are volatile and involve a high degree of market risk.
A Registration Statement on Form S-1 relating to the public offering became effective on
November 25, 1998. Between November 25, 1998 (commencement of offering period) and February 1,
1999, 33,379 redeemable units of Limited Partnership Interest (Redeemable Units) were sold at
$1,000 per Redeemable Unit. Proceeds of the offering were held in an escrow account and were
transferred, along with the General Partners contribution of $337,000, to the Partnerships
trading account on February 2, 1999 when the Partnership commenced trading. The public offering
terminated on April 1, 2000. The Partnership no longer offers Redeemable Units for sale.
Redemptions of Redeemable Units for the years ended December 31,
2009, 2008 and 2007 are reported
in the Statements of Changes in Partners Capital on page F-14 under Item 8. Financial
Statements and Supplementary Data.
Ceres Managed Futures LLC (formerly Citigroup Managed Futures LLC), a Delaware limited liability company,
acts as the general partner (the General Partner) and commodity pool operator of the Partnership.
The General Partner is wholly owned by Morgan Stanley Smith Barney
Holdings LLC (MSSB Holdings),
a newly registered non-clearing futures commission merchant and a
member of the National Futures Association (NFA).
Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings. Citigroup Global Markets Inc.
(CGM), the commodity broker and a selling agent for the Partnership, owns 49% of MSSB Holdings. Citigroup Inc.
(Citigroup), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of
which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc.,
a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.
As
of December 31, 2009, all commodity trading decisions are made for the Partnership by
Campbell & Company, Inc. (Campbell), Aspect Capital Limited (Aspect), Altis Partners (Jersey)
Limited (Altis) and Waypoint Capital Management LLC (Waypoint) (each an advisor and
collectively, the Advisors), each of which is a registered commodity trading advisor.
A description of the trading activities and focus of the Advisor is
included on page
8
under Item 7. Managements Discussion and
Analysis of Financial Condition and Results of Operations. The Advisors are not affiliated with
one another, are not affiliated with the General Partner or CGM and are not responsible for the
organization or operation of the Partnership.
The General Partner has agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (i) 1% of the partners contributions
to the Partnership or (ii) $25,000. The Partnership will be liquidated upon the first of the
following to occur: December 31, 2018; the Net Asset Value per Redeemable Unit falls below $400 as
of the close of any business day; or under certain circumstances as defined in the Limited
Partnership Agreement of the Partnership (the Limited Partnership Agreement).
On January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF
Campbell Master Fund L.P. (Campbell Master), a limited partnership organized under the
partnership laws of the State of New York. The Partnership purchased 17,534.8936 Units
of Campbell Master with cash of $17,341,826 and a contribution of open commodity futures and
forwards positions with a fair value of $193,067. Campbell Master was formed to permit commmodity
pools managed now and in the future by Campbell using Campbells Financial,
Metal and Energy
(FME) Large Portfolio, the Advisors proprietary, systematic trading program, to invest together in one trading
vehicle. The General Partner is also the general partner of Campbell Master. Individual and pooled
accounts are permitted to be limited partners of Campbell Master. The General Partner and the
Advisor believe that trading through this structure should promote efficiency and economy in the
trading process.
On March 1, 2005, the assets allocated to Aspect for trading were invested in the CMF Aspect
Master Fund L.P. (Aspect Master), a limited partnership organized under the partnership laws of
the State of New
2
York. The Partnership purchased 16,015.3206 Units of Aspect Master with cash of
$14,955,106 and a contribution of open commodity futures and forwards positions with a fair value
of $1,060,214. Aspect Master was formed to permit commodity pools managed now and in the future by
Aspect using Aspects Diversified Portfolio Program, the
Advisors proprietary systematic trading program, to
invest together in one trading vehicle. The General Partner is also the general partner of Aspect
Master. Individual and pooled accounts are permitted to be limited partners of Aspect Master. The
General Partner and Aspect believe that trading through this structure should promote efficiency
and economy in the trading process.
On November 1, 2005, the assets allocated to Altis for trading were invested in the CMF Altis
Partners Master Fund L.P. (Altis Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 13,013.6283 Units of Altis
Master with cash of $11,227,843 and a contribution of open commodity futures and forwards positions
with a fair value of $1,785,785. Altis Master was formed to permit commodity pools managed now and
in the future by Altis using the Global Futures Portfolio
Program, the Advisors proprietary systematic
trading program, to invest together in one trading vehicle. The General Partner is also the general
partner of Altis Master. Individual and pooled accounts are permitted to be limited partners of
Altis Master. The General Partner and Altis believe that trading through this structure should
promote efficiency and economy in the trading process.
The
assets allocated to Waypoint are not invested in a separate limited
partnership established by the General Partner, but are held and
traded by Waypoint directly in a managed account in the
Partnerships name. Waypoint trades the Partnerships
assets pursuant to its Diversified Program, a systematic trading
program.
The General Partner is not aware of any material changes to the
trading programs discussed above during the year ended December 31, 2009.
Campbell Masters, Aspect Masters and Altis Masters (collectively, the Funds) and the
Partnerships trading of futures, forwards, swaps and options contracts, if applicable, on
commodities is done primarily on United States of America commodity exchanges and foreign commodity
exchanges. The Funds and the Partnership engage in such trading through commodity brokerage
accounts maintained with CGM.
A
Limited Partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples of the Net Asset Value per Redeemable Unit of Limited
Partnership Interest as of the end of any day (the Redemption Date) after a request for
redemption has been made to the General Partner at least 3 days
in advance of the Redemption Date. The Units are classified as a
liability when the Limited Partner elects to redeem and informs the
Funds.
Management and incentive fees are are charged at the Partnership level. All exchange,
clearing, user, give-up, floor brokerage and NFA fees (the clearing fees) are borne by
the Partnership and the Funds. All other fees including CGMs direct brokerage commissions are charged at the
Partnership level.
For the period January 1, 2009 through December 31, 2009, the
approximate market sector allocation for the Partnership was as follows:
As
of December 31, 2009, the Partnership owned approximately 7.5%,
5.5% and 12.8% of Campbell
Master, Aspect Master and Altis Master, respectively. As of
December 31, 2008, the Partnership
had approximately 6.7%, 5.5% and 15.7% of Campbell Master, Aspect Master and Altis Master, respectively. The
performance of the Partnership is directly affected by the performance of the Funds. It is
intention of
the Partnership to continue to invest in the Funds. The performance
of the Partnership is directly affected be the performance of the Funds. Expenses to investors as a
result of investment in the Funds are approximately the same and the redemption rights are not
affected.
3
The
General Partner and each Limited Partner share in the profits and
losses of the Partnership in proportion to the amount of partnership
interest owned by each except that no Limited Partner shall be liable
for obligations of the Partnership in excess of their initial capital
contribution and profit, if any, net of distributions.
Pursuant to the terms of the management agreements (the Management Agreements), the
Partnership is obligated to pay each Advisor a monthly management equal to 1/6 of 1% (2% per year)
of month-end Net Assets allocated to the Advisor, except Aspect, which will receive a monthly
management fee equal to 1/12 of 1.25% (1.25% per year), of Net Assets as of the end of each month.
Month-end Net Assets for the purpose of calculating management fees are Net Assets, as defined in
the Limited Partnership Agreement, prior to the reduction the current
months incentive fee accrual, the monthly management fees and
any redemptions or distributions as of the end of such month. The
Management Agreements may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay each Advisor an incentive fee, payable
annually, equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned
by each Advisor for the Partnership.
The Partnership has entered into a customer agreement (the Customer Agreement) with CGM
which provides that the Partnership pays CGM a monthly brokerage commission equal to 9/20 of 1% of
month-end Net Assets allocated to the Advisors (5.4% per year) in lieu of brokerage
commissions on a
per trade basis. Month-end Net Assets for the purpose of calculating brokerage commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior to the reduction of
the current months brokerage commission, incentive fee accruals,
the monthly management fees and other expenses and any redemptions or
distributions as of the end of such month. CGM will pay a portion of its brokerage commissions to
financial advisors who have sold Redeemable Units in the Partnership. The Partnership pay clearing fees directly and through its investment in the
Funds. Brokerage commissions will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed.
CGM pays the Partnership interest on 80% of the average daily equity maintained in
cash in the Partnerships (or the Partnerships allocable
portion of a Funds) account during each month. The interest is
earned at a
30-day U.S. Treasury bill rate determined weekly by CGM
based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days from
the date on which such weekly rate is determined.
CGM will pay such interest to the Partnership out of its own funds whether or not it is
able to earn the interest it has obligated itself to pay.
Alternatively, CGM may
place up to all of the Partnerships (or a Funds) assets in 90-day U.S.
Treasury bills and pay the Partnership 80% of the interest (or the Partnerships
allocable share thereof) earned on Treasury bills purchased. Twenty
percent of the interest earned on Treasury bills purchased may
be retained by CGM and/or credited to the General Partner. The Customer Agreement between the Partnership and
CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer
Agreement may be terminated by either party.
(b) Financial Information about Industry Segments. The Partnerships business consists
of only one segment, speculative trading of commodity interests. The Partnership does not engage in
sales of goods or services. The Partnerships net income (loss) from operations for the years ended
December 31, 2009, 2008, 2007, 2006 and 2005 is set forth under Item 6. Selected Financial
Data. The Partnerships Capital as of
December 31, 2009 was $29,723,936.
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) through (x) Not applicable.
(xi) through (xii) Not applicable.
(xiii) The Partnership has no employees.
(d) Financial Information About Geographic Areas. The Partnership does not engage in
the sales of goods or services or own any long lived assets and therefore this item is not
applicable.
(e) Available Information. The Partnership does not have an Internet address. The
Partnership will provide paper copies of its annual report on Form 10-K, quarterly reports on Form
10-Q, current reports on Form 8-K and any amendments to these reports free of charge upon request.
(f) Reports
to Security Holders. Not applicable.
(g) Enforceability
of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller
Reporting Companies. Not applicable.
4
Item 1A. Risk Factors.
As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of
leverage. A small change in the market price of a commodity interest contract can produce major
losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand relationships, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events, weather and climate conditions, insects and plant disease, purchases and sales by foreign countries
and changing interest rates.
An investor may lose all of its investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
its investment in the Partnership.
The Partnership will pay substantial fees and expenses regardless of profitability.
Regardless of its trading performance, the Partnership will incur fees and expenses, including
brokerage and management fees. Substantial incentive fees may be paid to one or more of the
Advisors even if the Partnership experiences a net loss for the full year.
An investors ability to redeem or transfer units is limited.
An investors
ability to redeem Redeemable Units is limited and no market
exists for the Redeemable Units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from
the facts that:
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The General Partner and commodity broker are affiliates; |
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Each of the Advisor(s), the commodity broker and their principals and affiliates may
trade in commodity interests for their own accounts; and |
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An investors financial advisor will receive ongoing compensation for providing
services to the investors account. |
Investing in units might not provide the desired diversification of an investors overall
portfolio.
The Partnership will not provide any benefit of diversification of an investors overall
portfolio unless it is profitable and produces returns that are independent from stock and bond
market returns.
Past performance is no assurance of future results.
The Advisors trading strategies may not perform as they have performed in the past. The
Advisors have from time to time incurred substantial losses in trading on behalf of clients.
An investors tax liability may exceed cash distributions.
Investors are taxed on their share of the Partnerships income, even though the Partnership
does not intend to make any distributions.
The General Partner at any time may select and allocate the Partnerships assets to
undisclosed advisors. Investors may not be advised of such changes in advance. Investors must rely
on the ability of the General Partner to select advisors and allocate assets among them.
Regulatory changes could restrict the Partnerships operations.
Regulatory changes could adversely affect the Partnership by restricting its markets or activities,
limiting its trading and/or increasing the taxes to which investors are subject. The General
Partner is not aware of any definitive regulatory developments that might adversely affect the
Partnership; however, since June 2008, several bills have been proposed in the U.S. Congress in
response to record energy and agricultural prices and the financial crisis. Some of the pending
legislation, if enacted, could impact the manner in which swap contracts are traded and/or settled
and limit trading by speculators (such as the Partnership) in futures and over-the-counter markets.
One of the proposals would authorize the CFTC and the Commission to regulate swap transactions.
Other potentially adverse regulatory initiatives could develop suddenly and without notice.
Speculative position and trading limits may reduce profitability.
The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or
net short positions which any person may hold or control in particular futures and options on
futures. The trading instructions of an advisor may have to be modified, and positions held by the
Partnership may have to be liquidated in order to avoid exceeding these limits. Such modification
or liquidation could adversely affect the operations and profitability of the Partnership by
increasing transaction costs to liquidate positions and foregoing potential profits.
Item 2. Properties.
The Partnership does not own or lease any properties. The General Partner operates out of
facilities provided by its affiliate, Citigroup.
Item 3. Legal Proceedings.
This section describes the major pending legal proceedings,
other than ordinary routine litigation
incidental to the business, to which CGM is a party or to which any of their
property is subject. There are no material legal proceedings pending against the Partnership or the
General Partner.
CGM is a New York corporation with its principal place of business at 388 Greenwich St., New York,
New York 10013. CGM is registered as a broker-dealer and futures commission merchant (FCM), and
provides futures brokerage and clearing services for institutional and retail participants in the
futures markets. CGM and its affiliates also provide investment banking and other financial
services for clients worldwide.
There have been no material administrative, civil or criminal actions within the past five years
against CGM (formerly known as Salomon Smith Barney) or any of its individual principals and no such actions are currently pending, except as follows.
5
Mutual Funds
Several issues in the mutual fund industry have come under the scrutiny of federal and state
regulators. Citigroup has received subpoenas and other requests for information from various
government regulators regarding market timing, financing, fees, sales practices and other mutual
fund issues in connection with various investigations. Citigroup is cooperating with all such
reviews. Additionally, Citigroup Global Markets has entered into a settlement agreement with the
SEC with respect to revenue sharing and sales of classes of funds.
On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global
Markets completed a settlement with the SEC resolving an investigation by the SEC into matters
relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent
and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay
fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any
wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management
LLC and Citigroup Global Markets in failing to disclose aspects of the transfer agent arrangements
to certain mutual fund investors.
In May 2007, Citigroup Global Markets finalized its settlement agreement with the NYSE and the New
Jersey Bureau of Securities on the matter related to its market-timing practices prior to September
2003.
FINRA Settlement
On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (AWC) in which
Citigroup Global Markets, without admitting or denying the findings, consented to the entry of the
AWC and a fine and censure of $600,000. The AWC includes findings that Citigroup Global Markets
failed to adequately supervise the activities of its equities trading desk in connection with swap
and related hedge trades in U.S. and Italian equities that were designed to provide certain
perceived tax advantages. Citigroup Global Markets was charged with failing to provide for
effective written procedures with respect to the implementation of the trades, failing to monitor
Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.
Auction Rate Securities
On May 31, 2006, the SEC instituted and simultaneously settled proceedings against Citigroup Global
Markets and 14 other broker-dealers regarding practices in the Auction Rate Securities market. The
SEC alleged that the broker-dealers violated Section 17(a)(2) of the Securities Act of 1933. The
broker-dealers, without admitting or denying liability, consented to the entry of an SEC
cease-and-desist order providing for censures, undertakings and penalties. Citigroup Global
Markets paid a penalty of $1.5 million.
On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC, and
other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par
Auction Rate Securities from all Citigroup individual investors, small institutions (as defined by
the terms of the settlement), and charities that purchased Auction Rate Securities from Citigroup
prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State
of New York and a $50 million fine to the other state regulatory agencies.
Subprime-Mortgage Related Actions
Citigroup and certain of its affiliates are subject to formal and informal investigations, as well
as subpoenas and/or requests for information, from various governmental and self-regulatory
agencies relating to subprime mortgagerelated activities. Citigroup and its affiliates are
cooperating fully and are engaged in discussions on these matters.
Credit Crisis Related Matters
Beginning in the fourth quarter of 2007, certain of Citigroups, and Citigroup Global Markets
regulators and other state and federal government agencies commenced formal and informal
investigations and inquiries, and issued subpoenas and requested information, concerning
Citigroups subprime mortgage-related conduct and business activities. Citigroup and certain of
its affiliates, including Citigroup Global Markets, are involved in discussions with certain of its
regulators to resolve certain of these matters.
Certain of these regulatory matters assert claims for substantial or indeterminate damages. Some
of these matters already have been resolved, either through settlements or court proceedings,
including the complete dismissal of certain complaints or the rejection of certain claims following
hearings.
In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a
party to various civil actions, claims and routine regulatory investigations and proceedings that
the general partner believes do not have a material effect on the business of CGM.
Item 4. [Removed and Reserved]
6
PART II
Item 5. Market for Registrants Common Equity, Related Security Holder Matters and Issuer
Purchases of Equity Securities.
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Market Information. The Partnership has issued no stock. There is no
established public market for the Redeemable Units. |
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Holders. The number of holders of Redeemable Units as
of December 31, 2009 was 789. |
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Dividends. The Partnership did not declare a distribution in 2009, 2008 or 2007. The Partnership does not intend to
declare distributions in the foreseeable future. |
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Securities Authorized for Issuance under Equity Compensation Plans. None |
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Performance Graph. Not applicable. |
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Recent Sales of Unregistered Securities. There were no additional sales of Redeemable Units in the
years ended December 31, 2009, 2008 and 2007.
The Redeemable Units were issued in reliance upon applicable exemptions from registration under
Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated
there under. The Redeemable Units were purchased by accredited
investors as described in Regulation D. |
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Purchases of Equity Securities by the Issuer and Affiliated Purchases. |
The following chart sets forth the purchases of Redeemable Units by the Partnership.
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(d) Maximum Number
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(c) Total Number
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(or Approximate Dollar
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of Redeemable Units
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Value) of Redeemable
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(a) Total Number
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(b) Average
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Purchased as Part of
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Units that May Yet Be
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of Redeemable Units
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Price Paid per
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Publicly Announced
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Purchased Under the
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Period
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Purchased*
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Redeemable Unit**
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Plans or Programs
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Plans or Programs
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October 1, 2009
October 31, 2009
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67.2561 |
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$
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1,904.88 |
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N/A
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N/A
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November 1, 2009
November 30, 2009
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70.5049 |
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$
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1,987.89 |
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N/A
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N/A
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December 1, 2009
December 31, 2009
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43.8743 |
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$
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1,893.46 |
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N/A
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N/A
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Total
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181.6353 |
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$
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1,934.34 |
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* |
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Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on
10 days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but
to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected
in the chart above were made in the ordinary course of the Partnerships business in connection with effecting
redemptions for Limited Partners. |
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** |
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Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per
Redeemable Unit as of that day. No fee will be charged for redemptions. |
7
Item 6. Selected Financial Data.
Net realized and unrealized trading gains
(losses), interest income, net income (loss),
increase (decrease) in Net Asset Value per Redeemable Unit and
Net Asset Value per Unit for
the years ended December 31, 2009,
2008, 2007, 2006 and 2005 and total assets at December 31, 2009,
2008, 2007, 2006 and 2005 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 |
|
|
2008 |
|
|
2007 |
|
|
2006 |
|
|
2005 |
|
Net realized and
unrealized trading gains (losses) and investment in Partnerships net of
brokerage commissions (including clearing fees) of $1,841,153, $2,300,441, $2,403,264,
$2,661,982 and, $2,601,185, respectively |
|
$ |
(3,075,903 |
) |
|
$ |
10,609,901 |
|
|
$ |
697,570 |
|
|
$ |
5,785,202 |
|
|
$ |
4,903,268 |
|
Total interest income |
|
|
23,394 |
|
|
|
423,076 |
|
|
|
1,485,334 |
|
|
|
1,687,808 |
|
|
|
1,038,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,052,509 |
) |
|
$ |
11,032,977 |
|
|
$ |
2,182,904 |
|
|
$ |
7,473,010 |
|
|
$ |
5,941,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) |
|
$ |
(3,817,568 |
) |
|
$ |
8,240,318 |
|
|
$ |
916,481 |
|
|
$ |
5,677,831 |
|
|
$ |
4,631,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease)
in Net Asset Value
per Unit |
|
|
(224.03 |
) |
|
$ |
397.58 |
|
|
$ |
46.83 |
|
|
$ |
192.40 |
|
|
$ |
145.99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value
per Unit |
|
$ |
1,893.46 |
|
|
$ |
2,117.49 |
|
|
$ |
1,719.91 |
|
|
$ |
1,673.08 |
|
|
$ |
1,480.68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
|
$ |
30,121,084 |
|
|
$ |
42,842,879 |
|
|
$ |
41,097,354 |
|
|
$ |
46,897,075 |
|
|
$ |
47,562,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Overview
The
Partnership, directly and through its investment in other Funds, aims to achieve substantial capital
appreciation through speculative trading, in U.S. and international markets for currencies,
interest rates, stock indices, agricultural and energy products and precious and base metals. The
Partnership/Funds may employ futures, options on futures, and forward contracts in those markets.
The
General Partner manages all business of the Partnership/Funds. The General Partner has delegated
its responsibility for the investment of the Partnerships
assets to the Advisors. The General Partner employs a team of
approximately 20 professionals whose primary emphasis is on attempting to maintain quality control
among the advisors to the partnerships operated or managed by the General Partner. A full-time
staff of due diligence professionals use state-of-the-art technology and on-site evaluations to
monitor new and existing futures money managers. The accounting and operations staff provide
processing of trading activity and reporting to limited partners and regulatory authorities. In
selecting the Advisors for the Partnership, the General Partner considered past performance,
trading style, volatility of markets traded and fee requirements.
Responsibilities of the General Partner include:
|
|
|
due diligence examinations of the Advisors; |
|
|
|
|
selection, appointment and termination of the Advisors; |
|
|
|
|
negotiation of the Management Agreements; and |
|
|
|
|
monitoring the activity of the Advisors. |
In addition, the General Partner prepares the books and records and provides the
administrative and compliance services that are required by law or regulation from time to time in
connection with the operation of the Partnership. These services include the preparation of required
books and records and reports to Limited Partners, government agencies and regulators; computation
of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner
communications; and preparation of offering documents and sales literature.
The General Partner shall seek the best prices and services available in its commodity futures
brokerage transactions.
The programs traded by each Advisor on behalf of the Partnership are: Campbell Financial,
Metal & Energy (FME) Large Portfolio,
Aspect Diversified Program (Diversified), Altis The
Global Futures Portfolio, and Waypoint Diversified Program
(Diversified). As of December 31, 2009, the Partnerships assets were allocated among
the Advisors in the following approximate percentages: Campbell, 15%,
Aspect 30%, Altis 36%, and Waypoint 18%. In
allocating the assets of the Partnership among Advisors, the General
Partner considered past performance trading style, volatility of
markets traded and fee requirements. The General Partner may modify
or terminate the allocation of assets among the Advsiors and may
allocate assets to additional advisors at any time.
Campbell & Company, Inc.
Campbell trades its FME portfolio for the Partnership. Campbells trading models are
designed to detect and exploit medium-term to long-term price changes, while also applying risk
management and portfolio management principles.
Campbell believes that utilizing multiple trading models provides an important level of
diversification, and is most beneficial when multiple contracts of each market are traded. Every
trading model may not trade every market. It is possible that one trading model may signal a long
position while another trading model signals a short position in the same market. It is Campbells
intention to offset those signals to reduce unnecessary trading, but if the signals are not
simultaneous, both trades will be taken and since it is unlikely that both positions would prove
profitable, in retrospect, one or both trades will appear to have been
8
unnecessary. It is Campbells policy to follow trades signaled by each trading model
independently of the other models.
Aspect Capital Limited.
Aspect trades its Diversified Program on behalf of the Partnership. The Diversified Program is
a systematic global futures trading program. Its goal is the generation of significant long-term
capital growth independent of stock and bond market returns. This program continuously monitors
price movements in a wide range of global financial, currency and commodity markets, searching for
profit opportunities over periods ranging from a few hours to several months.
Aspect has designed the Diversified Program to have broad market diversification (subject to
liquidity constraints). Aspects quantitative resources are sufficient to enable it to design and
implement a broadly diversified portfolio with a significant allocation to numerous different
markets.
Aspects Diversified Program trades over 100 markets in seven major sectors: currencies,
energy, metals, stock indices, bonds, agricultural commodities and interest rates implementing
momentum strategies. Aspect is constantly examining new liquid and uncorrelated markets to
incorporate in the program with the aim of improving its reward/risk ratio and capacity. Aspect has
no market or sector preferences, believing that allowing for liquidity effects, equal profitability
can be achieved in the long-term in all markets. The key factors in determining the asset
allocation are correlation and liquidity. Correlations are analyzed at the sector, sub-sector,
economic block and market levels to design a portfolio which is highly diversified.
Altis Partners (Jersey) Limited.
Altis
trades its Global Futures Portfolio Program on behalf of the Partnership. It is a systematic,
automated trading program that builds on the Principals market experience and employs a unique
proprietary Advanced Asset Allocator. The Advanced Asset Allocator was specifically developed to
manage portfolios of derivative instruments in a robust and scalable manner. The portfolio
management technology combines original, traditional and contrasting investment techniques into one
complete and comprehensive trading system. Investments changes are implemented after considering
their effect on the whole portfolio not just the individual markets concerned.
Waypoint Capital Management LLC.
Waypoint trades its Diversified Program on behalf of the Partnership. Its systematic,
automated trading program engages in trading financial and commodity futures contracts on U.S. and
non-U.S. exchanges. Currently the market groups or contracts traded by Waypoint include, but are
not limited to, U.S. and international interest rates, stock indices, currencies and cross-rates,
metals, energy products, grains and soft markets. Waypoint may add or delete markets and/or
exchanges at its discretion.
The primary objective of Waypoints Diversified Program is to identify and exploit medium and
long-term price trends in futures and currency markets. The program is designed to analyze
mathematically, the recent trading characteristics of each market and compare such characteristics
to the historical trading pattern of the particular market. The program utilizes proprietary trend
identification and risk management strategies that are intended to enable it to benefit from
sustained price trends with the goal of protecting the account from high levels of risk and
volatility. Waypoint applies a portfolio management strategy to measure and manage overall
portfolio risk. One objective of portfolio management is to determine periods of relatively high
and low portfolio risk, and when such points are reached Waypoint may reduce or increase position
size accordingly.
No
assurance can be given that the Advisors strategies will be
successful or that they will generate profits for the Partnership.
9
Average Allocation by Commodity Market Sector for the period January 1,
2009 through December 31, 2009.
|
|
|
|
|
CMF Campbell Master Fund L.P. |
|
|
|
|
|
Currencies |
|
|
34.3 |
% |
Energy |
|
|
4.9 |
% |
Grains |
|
|
0.3 |
% |
Interest Rates Non-U.S. |
|
|
19.6 |
% |
Interest Rates U.S. |
|
|
7.5 |
% |
Indices |
|
|
27.5 |
% |
Metals |
|
|
5.5 |
% |
Softs |
|
|
0.4 |
% |
|
|
|
|
|
CMF Altis Partners Master Fund L.P. |
|
|
|
|
|
Currencies |
|
|
16.3 |
% |
Energy |
|
|
13.2 |
% |
Grains |
|
|
6.3 |
% |
Interest Rates Non-U.S. |
|
|
15.4 |
% |
Interest Rates U.S. |
|
|
7.9 |
% |
Indices |
|
|
17.3 |
% |
Livestock |
|
|
1.8 |
% |
Metals |
|
|
15.2 |
% |
Softs |
|
|
6.6 |
% |
|
|
|
|
|
CMF Aspect Master Fund L.P. |
|
|
|
|
|
Currencies |
|
|
20.7 |
% |
Energy |
|
|
8.2 |
% |
Grains |
|
|
3.3 |
% |
Interest Rates Non-U.S. |
|
|
28.8 |
% |
Interest Rates U.S. |
|
|
7.7 |
% |
Indices |
|
|
11.9 |
% |
Livestock |
|
|
1.5 |
% |
Metals |
|
|
10.8 |
% |
Softs |
|
|
7.1 |
% |
|
|
|
|
|
Waypoint Capital Management LLC. |
|
|
|
|
|
Currencies |
|
|
52.9 |
% |
Energy |
|
|
1.4 |
% |
Grains |
|
|
1.8 |
% |
Interest Rates Non-U.S. |
|
|
20.0 |
% |
Interest Rates U.S. |
|
|
6.3 |
% |
Indices |
|
|
13.2 |
% |
Metals |
|
|
3.2 |
% |
Softs |
|
|
1.2 |
% |
(a) Liquidity.
The Partnership does not engage in sales of goods or services. Its assets are
its (i) investments in partnerships, (ii) equity in its trading account,
consisting of cash, net unrealized appreciation on open futures contracts,
net unrealized depreciation on open forward contracts, and (iii) interest receivable. Because of the
low margin deposits normally required in commodity futures trading, relatively small price
movements may result in substantial losses to the Partnership. While substantial losses could lead
to a material decrease in liquidity, no such illiquidity occurred during
the year ended December 31, 2009.
To minimize this risk relating to low margin deposits, the Partnership Funds follows certain
trading policies, including:
|
(i) |
|
The Partnership/Funds invests their assets only in commodity
interests that the Advisors believes are traded in sufficient volume to
permit ease of taking and liquidating positions. Sufficient volume, in this context,
refers to a level of liquidity that the Advisor believes will permit it to enter and exit
trades without noticeably moving the market. |
10
|
(ii) |
|
An Advisor will not initiate additional positions in any commodity if these positions
would result in aggregate positions requiring a margin of more than 66 2/3% of the
Partnerships net assets allocated to that Advisor. |
|
|
(iii) |
|
The Partnership/Funds may occasionally accept delivery of a commodity. Unless such
delivery is disposed of promptly by retendering the warehouse receipt representing the
delivery to the appropriate clearing house, the physical commodity position is fully
hedged. |
|
|
(iv) |
|
The Partnership/Funds do not employ the trading technique commonly known as
pyramiding, in which the speculator uses unrealized profits on existing positions as
margin for the purchases or sale of additional positions in the same or related
commodities. |
|
|
(v) |
|
The Partnership/Funds do not utilize borrowings other than short-term borrowings if the
Partnership/Funds takes delivery of any cash commodities. |
|
|
(vi) |
|
The Advisors may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Partnership/Funds. Spreads and
straddles describe
commodity futures trading strategy involving the simultaneous buying and selling of
futures contracts on the same commodity but involving different
delivery dates or markets. |
|
|
(vii) |
|
The Partnership/Funds will not permit the churning of its commodity trading account.
The term churning refers to the practice of entering and exiting trades with a frequency
unwarranted by legitimate efforts to profit from the trades, driven by the desire to
generate commission income. |
From January 1, 2009 through December 31, 2009, the Partnerships average margin to equity ratio
(i.e., the percentage of assets on deposit required for
margin) was approximately 15.4%. The foregoing margin to equity ratio takes into account cash held in the Partnerships name, as well as
the allocable value of the positions and cash held on behalf of the Partnership in the name of the
Funds.
In
the normal course of business, the Partnership and the Funds are
parties to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments include forwards,
futures, options and swaps, whose values are based upon an underlying asset, index or reference
rate, and generally represent future commitments to exchange
currencies or cash balances, to purchase or sell other financial instruments at specified terms at specified future dates, or, in
the case of derivative commodity instruments to have a reasonable possibility to be settled in cash,
through physical delivery or with another financial instrument. These instruments may be traded on
an exchange or over-the-counter (OTC). Exchange traded instruments are standardized and include
futures and certain forwards and option contracts. OTC contracts are negotiated between contracting
parties and include certain forwards and option contracts. Each of these instruments is
subject to various risks similar to those relating to the underlying financial instruments
including market and credit risk. In general, the risks associated with OTC contracts are greater
than those associated with exchange traded instruments because of the greater risk of default by
the counterparty to an OTC contract.
The risk to the Limited Partners
that have purchased interests in the Partnership is limited to the amount of their capital contributions
to the Partnership and their share of the Partnerships assets and undistributed profits. This limited
liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Funds due to market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded. The
Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Partnerships/Funds risk of loss in the
event of a counterparty default is typically limited to the
amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the
instruments. The Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/Funds assets is
CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent that
through CGM, the Partnerships/Funds counterparty is
an exchange or clearing organization.
11
As
both a buyer and seller of options, the Partnership/Funds pay or receives a premium at the
outset and then bear the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased
options the risk of loss is limited to the premiums paid. Certain written put options permit cash
settlement and do not require the option holder to own the reference asset. The Partnership/Funds do
not consider these contracts to be guarantees as described in ASC
460 Guarantees (formerly, FAS No. 45,
Guarantors Accounting and Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Fund may be subject. These monitoring systems generally allow the General Partner to
statistically analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, online monitoring systems provide account analysis of futures,
forwards and options positions by sector, margin requirements, gain and loss transactions and
collateral positions. (See also Item 8. Financial Statements and Supplementary Data for
further information on financial instrument risk included in the notes to the financial
statements.)
Other
than the risks inherent in commodity futures and other derivatives, the Partnership knows of no trends,
demands, commitments, events or uncertainties which will result in or which are reasonably likely
to result in the Partnerships liquidity increasing or decreasing in any material way. The Limited
Partnership Agreement provides that the Partnership will cease trading operations and liquidate all
open positions upon the first to occur of the following: (i) December 31, 2018; (ii) the vote to
dissolve the Partnership by limited partners owning more than 50% of the Redeemable Units; (iii)
assignment by the General Partner of all of its interest in the Partnership or withdrawal, removal,
bankruptcy or any other event that causes the General Partner to cease to be a general partner
under the New York Revised Limited Partnership Act unless the Partnership is continued as described
in the Limited Partnership Agreement; (iv) Net Asset Value per Redeemable Unit falls to less than
$400 as of the end of any trading day; or (v) the occurrence of any event which shall make it
unlawful for the existence of the Partnership to be continued.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnerships capital consists of the capital contributions of the partners as
increased or decreased by gains or losses on trading and by expenses, interest income, redemptions
of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be
predicted. Market movements in commodities are dependent upon fundamental and technical factors which
the Advisors may or may not be able to identify, such as changing supply and demand relationships,
weather, government, agricultural, commercial and trade programs and policies, national and
international political and economic events and changes in interest rates. Partnership expenses
consist of, among other things, brokerage commissions and advisory fees. The level of
these expenses is dependent upon trading performance and the level of Net
Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon
interest rates over which the Partnership has no control.
No forecast can be made as to the level of redemptions in any given period. A Limited Partner
may cause all or some of its Redeemable Units to be redeemed by the Partnership at the redemption
value per Redeemable Unit thereof as of the last day of any month ending at least three months
after such Redeemable Units have been issued, on ten days notice to the General Partner. There is
no fee charged to Limited Partners in connection with redemptions.
Redemptions generally are funded out of the Partnerships cash holdings.
For the year ended December 31, 2009,
2,615.0660
Redeemable Units were redeemed totaling $5,269,005 and General
Partners contribution representing 208.5720
Unit equivalents totaling $409,375. For the year ended December 31,
2008, 3,423.9232 Redeemable Units were redeemed totaling $6,640,005
and 1,380.7810 General Partner Unit equivalents totaling $2,500,000. For the year ended December
31, 2007, 3,995.2844 Redeemable Units were redeemed totaling $6,473,756.
12
(c) Results of Operations.
For
the year ended December 31, 2009, the Net Asset Value per Redeemable
Unit decreased 10.6%
from $2,117.49 to $1,893.46. For the year ended December 31, 2008, the Net Asset Value per Redeemable Unit increased 23.1%
from $1,719.91 to $2,117.49. For the year ended December 31, 2007, the Net Asset Value per
Redeemable Unit increased 2.8% from $1,673.08 to $1,719.91.
The Partnership experienced a net
trading loss, before brokerage commissions and related fees in 2009
of $1,234,750. Losses were primarily attributable to the
Partnerships/Funds trading in energy, indices, grains,
U.S. and non-U.S. interest rates and softs and were partially
offset by gains in currencies, livestock, metals and lumber.
2009 was a volatile year for the financial markets. The U.S. stock
market entered 2009 reeling from the financial turmoil of 2008. The
results of the sub-prime fallout, bank bailouts, auto industry
bankruptcies, and capitulating economic data overwhelmed not just
stock prices, but fueled extraordinarily high levels of risk
aversion. The markets recovery was driven by stability in the
banking sector and a rapid recovery in global markets. By mid-year
2009, the market had hit bottom in March, banks were seeking to
return TARP bailout money and other leading indicators were recovering. The
Partnership realized losses due to volatile trends. The volatility
was due to sensitivity
to news shocks and contrary economic data.
High levels of volatility created difficult trading conditions in the
energy markets. On one hand, the weakness in the U.S. dollar is
supportive of the higher prices in energy. However, the decline in
demand and excess inventories periodically push prices lower,
resulting in losses for the sector as prices whipsawed. Losses were
realized in trading fixed income instruments. With the economic
backdrop of 2009, yields started to exhibit asymmetric volatility due
to extreme uncertainty prevailing in the longer time horizon.
Encouraged by the continuing efforts of the Obama administration to
stabilize the U.S. economy, the markets finally began to recover a
degree of risk-taking confidence in March, resulting in the reversal
of many of the trends that had driven returns in late 2008. In
agricultural commodities, losses were realized primarily in corn and
wheat. Prices of corn and wheat both unexpectedly rallied in October
as cold, wet weather threatened to delay harvest and concerns over
the acres likely to be seeded for the new crop.
The Partnership experienced a net trading gain, before
brokerage commissions and related fees in 2008 of $12,910,342. Gains were primarily attributable to
the Partnerships/Funds trading in energy, indices, grains, metals, lumber, livestock, U.S. and non-U.S.
interest rates and were partially offset by losses in currencies and
softs.
In 2008,
the liquidity crisis that began in 2007 rapidly spread to all corners of the globe,
significantly pushing down global economic growth and presenting the U.S. economy with the hardest
challenges since the Great Depression. During the year, the worlds credit markets virtually seized
up, commodity prices plunged and most major equity indices declined dramatically, while some of the
largest U.S. financial institutions were under pressure. Faced with unprecedented rapid
deterioration in economic data and outlook, and fearing a snowball adverse effect of the credit
crunch, global central banks reacted with aggressive campaigns of interest rate cuts and
coordinated capital injections. As the markets re-priced the cost of risk, several strong trends
emerged. The Partnership strongly capitalized on the trends and was profitable in almost every
sector.
Profits were primarily realized from trading in equity indices, fixed income and energy.
Global equity indices also contributed to the gains as indices continued to test multi-year lows.
As financial institutions continued to write off the assets and as bankruptcies loomed, investors
lost confidence in the equity markets. Futures markets offered greater flexibility as the SEC
temporarily banned short selling in the equity markets. The Partnership was profitable in interest
rates as the yield on short term notes dropped significantly. Short term U.S. Treasury bills were
in such high demand due to flight-to-quality that the yields had dropped below zero during the
year. While the 10Yr T-bill yielded on an average between 3.5%-4% most of the year, the yield
dropped to 2% in December. Non-U.S. interest rates also showed tremendous volatility as the rates
dropped precipitously due to the actions of the central banks. The Partnership also realized
profits in the energy sector by capturing both the bullish and the bearish trends. In the earlier
part of the year, crude oil pushed towards a historic high of $147 per barrel and in the latter
part, the trend suddenly reversed and a strong negative trend emerged with crude oil dropping to
about $32 per barrel. Natural gas also contributed to profits as prices plunged from $14 to about
$5. Slightly offsetting gains were small losses in foreign exchange.
13
Interest income on 80%
of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion of a
Funds) brokerage account was earned
at the monthly average 30-day U.S. Treasury bill yield. CGM may continue to maintain the
Partnerships assets in cash and/or place all of the
Partnerships or a Funds assets in 90-day Treasury bills
and pay the Partnership 80% on the interest (or the
Partnerships allocable share thereof) earned on the Treasury bills purchased. Twenty percent
of the interest earned on Treasury bills purchased may be retained by CGM and/or credited to the
General Partner. Interest income for the three and twelve months ended December 31, 2009 decreased
by $11,136 and $399,682, respectively, as compared to the corresponding periods in 2008. The
decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and
twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Interest earned by the Partnership will increase the net asset value of the Partnership.
The amount of interest income earned by the Partnership depends on
the average daily in the Partnerships and the Funds
accounts and upon interest rates over which neither the Partnership
nor CGM has control.
Brokerage commissions are calculated as a percentage of the Partnerships adjusted net asset value
on the last day of each month and are affected by trading performance and redemptions. Accordingly,
they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage
commissions and fees for the three and twelve months ended December 31, 2009 decreased by $152,823
and $459,288, respectively, as compared to the corresponding periods in 2008. The decrease in
brokerage commissions for the three and twelve months ended December
31, 2009 was due to lower average net assets as compared to the corresponding periods
in 2008.
Management fees are calculated as a percentage of the Partnerships net asset value as of the end
of each month and are affected by trading performance and redemptions. Management fees for the
three and twelve months ended December 31, 2009 decreased by $50,642 and $130,954, respectively, as
compared to the corresponding periods in 2008. The decrease in management fees for the three and
twelve months ended December 31, 2009 was due to lower average net assets as compared to the
corresponding periods in 2008.
Incentive fees are based on the new trading profits generated by each Advisor as defined in the
management agreement between the Partnership, the General Partner and each Advisor and are payable
annually. Trading performance for the three and twelve months ended December 31, 2009 resulted in
an incentive fee accrual reversal of $111,106 and an accrual of $26,539,
respectively. Trading performance for the three and twelve months ended December 31, 2008 resulted
in an incentive fee accrual of $1,472,591 and $1,958,313, respectively.
The Partnership experienced a net unrealized gain, before brokerage commissions and related fees in 2007 of $3,100,834. Gains were primarily
attributable to the Funds trading in energy, grains, metals, lumber,
U.S. and non-U.S. interest rates and were partially offset by losses in currencies, softs and
indices.
During 2007, the Partnership profited from macro-economic developments that stimulated
volatility and asset price trends of a favorable duration to the underlying advisors trading
strategies. Negative developments in the U.S. mortgage markets and the increasing probability of
recession resonated throughout the capital and commodity markets. A surge in volatility in the
global equity markets in February was driven by a tumble in Chinese stock valuations that curbed
sentiment for global risk assets and sparked a material sell-off in global stock prices. The year
would go on to be highlighted by two additional measurable equity market corrections in the summer
and fall. By mid-summer, dislocations in U.S. asset-backed and mortgage-backed credit markets
emerged as the central focal point of global capital markets. The ensuing re-pricing of credit risk
resulted in a flight-to-quality driven rally in prices of sovereign debt, especially in the U.S.
Treasury markets as the Federal Open Market Committee acted rapidly to stem the negative
implications for growth. As a result of the series of rate cuts and negative economic data, the
U.S. dollar became less attractive and weakened materially against most major
currencies during the latter part of the year. Commodity markets continued to signal
inflation, further clouding the economic landscape, as global demand for most food and raw
materials continued to be robust. Prices moved rather erratically at times.
In agricultural market trading, gains were earned in wheat and the soybean complex as prices
rallied considerably on reductions in supply expectations. Profits were realized in fixed income
trading as turbulence in asset backed credit markets became a catalyst for significant directional
moves in yields and strong bias towards price rallies across Treasury curves. Gains were also
generated by substantially rising oil prices, which reached all-time contract highs due to robust
global demand, ongoing geopolitical concerns and increased speculative participation in the
commodity.
Trading gains were offset slightly by losses related to trading in metals, equity indices, and
soft commodities. Periodic sporadic rallies in the U.S. dollar negatively impacted positions in
certain precious metals, which tend to demonstrate inverse price movements. Prices of industrial
metals also moved erratically during most of the year, mainly due to fluctuating estimates of
Chinese and emerging market economic growth resulting in unfavorable price action for the advisors.
Global equity indices, which had reached multi-year highs during mid-July, experienced sharp
reversals as investor sentiment waned and rendered losses for the sector. Losses were also
experienced in trading soft commodities such as coffee and cocoa. Excess exports from growers in
Africa and Indonesia in the month of August resulted in a surprising fall in process driven by
increased supply.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with the objectives of the Partnership and expectations for the Advisors
programs. The General Partner continues to monitor the Advisors performance on a daily, weekly,
monthly and annual basis to assure these objectives are met.
Commodity markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also increase the possibility
of profit. The profitability of the Partnership depends on the existence of major price trends and
the ability of the Advisors to identify those price trends correctly. Price trends are influenced
by, among other things, changing supply and demand relationships, weather, governmental,
agricultural, commercial and trade programs and policies, national and international political and
economic events and changes in interest rates. To the extent that market trends exist and the
Advisors are able to identify them, the Partnership expects to increase capital through operations.
In
allocating the assets of the Partnership among the Advisors, the
General Partner conducts proprietary research and considers the
background of the advisors principals, as well as the
advisors trading styles, strategies and markets traded,
expected volatility, trading results (to the extent available) and
fee requirements. The General Partner may modify or terminate the
allocation of assets to the Advisors and allocate assets to
additional advisors at any time.
14
(d) Off-balance Sheet Arrangements. None
(e) Contractual Obligations. None
(f) Operational Risk.
The
Partnership/Funds are directly exposed to market risk and
credit risk, which arise in the normal course of its business activities. Slightly less direct, but
of critical importance, are risks pertaining to operational and back office support. This is
particularly the case in a rapidly changing and increasingly global environment with increasing
transaction volumes and an expansion in the number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement Risk the risk of financial and opportunity loss and legal liability
attributable to operational problems, such as inaccurate pricing of transactions, untimely trade
execution, clearance and/or settlement, or the inability to process large volumes of transactions.
The Partnership/Funds are subject to increased risks with respect to its trading activities in emerging
market securities, where clearance, settlement, and custodial risks are often greater than in more
established markets.
Technological Risk the risk of loss attributable to technological limitations or hardware
failure that constrain the Partnerships/Funds ability to gather, process, and communicate
information efficiently and securely, without interruption, to customers, and in the markets where the Partnership/Funds participate.
Legal/Documentation Risk the risk of loss attributable to deficiencies in the documentation
of transactions (such as trade confirmations) and customer relationships (such as master netting
agreements) or errors that result in noncompliance with applicable legal and regulatory
requirements.
Financial Control Risk the risk of loss attributable to limitations in financial systems
and controls. Strong financial systems and controls ensure that assets are safeguarded, that
transactions are executed in accordance with managements authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnerships Redeemable Unit holders, creditors, and regulators, is free of material errors.
(g) Critical Accounting Policies.
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities, income and expenses, and
related disclosures of contingent assets and liabilities in the financial statements and
accompanying notes. In making these estimates and assumptions, management has considered the effects,
if any, of events occurring after the date of the Partnerships Statements of Financial Condition through
the date the financial statements were issued. As a result, actual results could differ from these estimates.
Statement
of Cash Flows. The Partnership is not required to provide a Statement of Cash Flows
as permitted by ASC 230, Statement of Cash Flows (formerly, FAS No. 102 Statement of Cash
Flows-Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities
Acquired for Resale).
Partnerships and the Funds Investments. All commodity interests held by the Partnership and the Funds (including derivative financial instruments and
derivative commodity instruments) are held for trading purposes. The commodity interests are
recorded on trade date and open contracts are recorded at fair value (as described below) at the
measurement date. Investments in commodity interests denominated in foreign currencies are
translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or
losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in
net unrealized gains or losses from the preceding period are reported in the Statements of Income
and Expenses.
Partnerships and the Funds Fair Value Measurements. The Partnership
and the Funds adopted ASC 820, Fair Value Measurements
and Disclosures (formerly, FAS No. 157, Fair Value Measurements) as of January 1, 2008, which
defines fair value as the price that would be received to sell an asset or
paid to transfer a liability in an orderly transaction between
market participants at the measurement date. The Partnership and
the Funds did not apply the deferral allowed by ASC 820, for
nonfinancial assets and nonfinancial liabilities measured at
fair value on a nonrecurring basis.
15
The
Partnership and the Funds consider prices for exchange traded commodity
futures, forwards and options contracts to be based on unadjusted quoted
prices in active markets for identical assets (Level 1).
The values of non exchange traded forwards, swaps and certain
options contracts for which market quotations are not readily
available, are priced by broker-dealers who derive fair values
for those assets from observable inputs (Level 2).
Investments in partnerships (other commodity pools) where there
are no other rights or obligations inherent within the ownership
interest held by the Partnership are priced based on the end of
the day net asset value (Level 2). The value of the
Partnerships investments in partnerships reflects its
proportional interest in the partnerships. As of and for the years ended
December 31, 2009 and 2008, the Partnership and the Funds did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
Futures
Contracts. The Partnership and the Funds trade futures contracts. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is
something where physical delivery can not occur (such as the S&P 500
Index), whereby such contract is settled in cash. Payments (variation
margin) may be made or received by the
Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying
contracts, and are recorded as unrealized gains or losses by the
Partnership and the Funds. When the contract is
closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time it was closed. Because
transactions in futures contracts require participants to make both initial margin deposits of cash
or other assets and variation margin deposits, through the futures
broker, directly with the exchange on which the contracts are
traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains
(losses) on futures contracts are included in the Statements of Income and Expenses.
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the
Partnership and the Funds agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and the Partnerships
net equity therein, representing unrealized gain or loss on the contracts as measured by the
difference between the forward
16
foreign exchange rates at the dates of entry into the contracts and the forward rates at the
reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and
changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in
which the contract is closed or the changes occur, respectively and are included in the Statements of Income and
Expenses.
The
Partnership and the Funds do not isolate that portion of the results of operations arising from the
effect of changes in foreign exchange rates on investments from fluctuations from changes in market
prices of investments held. Such fluctuations are included in net gain (loss) on investments in
the Statements of Income and Expenses.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals
Exchange (LME) represent a firm commitment to buy or sell a specified quantity of aluminum,
copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash
settled based on prompt dates published by the LME. Payments (variation margin) may be made or
received by the Partnership and the Funds each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as unrealized gains or losses by the
Partnership and the Funds. A contract is considered offset when all long positions have been
matched with short positions. When the contract is closed at the prompt date, the Partnership and
the Funds record a realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Because transactions in LME
contracts require participants to make both initial margin deposits of cash or other assets and
variation margin deposits, through the broker, directly with the LME, credit exposure is limited.
Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in
the Statements of Income and Expenses.
Options.
The Partnership and the Funds may purchase and write
(sell) both exchange listed and over the counter options on
commodities or financial instruments. An option is a contract
allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard
commodity or financial instrument at a specified price during a specified time period. The option
premium is the total price paid or received for the option contract.
When the Partnership and the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition
and marked to market daily. When the Partnership and the Funds purchase an option, the premium paid is recorded
as an asset in the Statements of Financial Condition and marked to market daily. Realized gains
(losses) and changes in unrealized gains (losses) on options contracts are included in the
Statements of Income and Expenses.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on their share of the Partnerships income and expenses.
In
2007, the Partnership adopted ASC 740, Income Taxes (formerly, FAS No. 48 Accounting for Uncertainty in
Income Taxes). ASC 740 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial
statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the
Partnerships financial statements to determine whether the tax positions are
more-likely-than-not to be sustained by the applicable tax authority. Tax positions with
respect to tax at the Partnership level not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expense in the current year. The General Partner has
concluded
that no provision for income tax is required in the Partnerships
financial statements.
The following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States 2006.
Subsequent Evvents. In 2009, the
Partnership adopted ASC 855, Subsequent Events (formerly, FAS No. 165, Subsequent Events).
The objectives of ASC 855 is to establish general standards of accounting for and disclosure of events that occur after the balance
sheet date but before financial statements are issued or available to
be issued. See Note 9. Subsequent Event on page F-26 under Item
8. Financial Statements and Supplementary Data.
Recent Accounting Pronouncements.
In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06), Improving Disclosures
about Fair Value Measurements, which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value
measurements (i.e. to present such items on a gross basis rather than on a net basis), and which clarifies existing disclosure
requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure
fair value for measurements
that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for
interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and
settlements in the roll forward
of activity in Level 3 fair value measurements (which are effective for fiscal years beginning after December
15, 2010, and for interim periods within those fiscal years). Management is currently assessing the impact
that the adoption of ASU 2010-06 will have on the Partnerships financial statements disclosures.
In February 2010, the FASB issued
Accounting Standards Update No. 2010-09 (ASU 2010-09), Subsequent Events (Topic 855): Amendments to Certain Recognition and
Disclosure Requirements, which among other things amended ASC 855 to remove the requirement for an SEC filer to disclose the date
through which subsequent events have been evaluated. This change alleviates potential conflicts between ASC 855 and the
SECs requirements. All of the amendments in this update are effective upon issuance of this update. Management has included the provisions of these
amendments in the financial statements.
Certain prior period amounts have been
reclassified to conform to current years presentation.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
Introduction
The Partnership/Funds are a speculative commodity pools. The market sensitive
instruments held by them are acquired for speculative trading purposes, and all or substantially all
of the Partnership/Funds assets are subject to the risk of trading loss. Unlike an operating company, the risk
of market sensitive instruments is integral, not incidental, to the
Partnerships main line of business.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount
of their capital contributions to the Partnership and their share of the Partnership assets and
undistributed profits.
17
This limited liability is a consequence of the organization of the Partnership as a limited
partnership under applicable law.
Market
movements result in frequent changes in the fair market value of the
Partnerships/Funds open
positions and, consequently, in its earnings and cash balances. The
Partnerships/Funds market risk are influenced by
a wide variety of factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the value of financial instruments and contracts, the diversification
effects of the Partnerships/Funds open positions and
the liquidity of the markets in which they trades.
The
Partnership/Funds rapidly acquires and liquidate both long and short positions in a wide range of
different markets. Consequently, it is not possible to predict how a particular future market
scenario will affect performance, and the Partnerships/Funds past performance is not necessarily indicative of
their future results.
Value at Risk is a measure of the maximum amount which the Partnership/Funds
could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Partnerships/Funds speculative
trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the indicated Value at
Risk or the Partnerships/Funds experience to date (i.e., risk of ruin). In light of the foregoing as well as
the risks and uncertainties intrinsic to all future projections, the inclusion of the
quantification in this section should not be considered to constitute any assurance or
representation that the Partnerships/Funds losses in any market sector will be limited to Value at Risk or by
the Partnerships/Funds attempt to manage its market risk.
Materiality as used in this section, Quantitative
and Qualitative Disclosures About Market Risk, is based on an assessment of reasonably possible market movements
and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features
of the Partnerships/Funds market sensitive instruments.
Quantifying the Partnerships Trading Value at Risk
The following quantitative disclosures regarding the
Partnerships market risk exposures contain
forward-looking statements within the meaning of the safe harbor from civil liability provided
for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 as amended (the Securities Act) and Section 21E of the
Securities Exchange Act of 1934), as amended (the ''Exchange Act). All quantitative disclosures
in this section are deemed to be forward-looking statements for purposes of the safe harbor except
for statements of historical fact (such as the terms of particular contracts and the number of
market risk sensitive instruments held during or at the end of the reporting period).
The
Partnerships/Funds risk exposure in the various market
sectors traded by the Advisors is quantified below
in terms of Value at Risk. Due to the Partnerships/Funds mark-to-market accounting, any loss in the fair
value of the Partnerships open positions including investments
in other Partnerships, is directly reflected in the Partnerships earnings (realized
and unrealized) and cash balances.
Exchange maintenance margin
requirements have been used by the Partnership/Funds as the measure of their
Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of any
given contract in 95%99% of
any one-day interval. The maintenance margin levels are established by dealers and exchanges using
historical price studies as well as an assessment of current market volatility (including the
implied volatility of the options on a given futures contract) and economic fundamentals to provide
a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance
margin has been used rather than the more generally available initial margin, because initial
margin includes a credit risk component which is not relevant to Value at Risk.
In the case of market sensitive instruments which are not exchange traded (almost exclusively
currencies in the case of the Partnership/Funds), the margin requirements for the equivalent futures positions
have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers margins have been used.
The
fair value of the Partnerships/Funds futures and forward positions does not have any optionality
component. However, certain of the Advisors trade commodity options. Where this instrument is a
futures contract, the futures margin has been used, and where this instrument is a physical
commodity, the futures-equivalent maintenance margin has been used. This calculation is
conservative in that it assumes that the fair value of
18
an option will decline by the same amount
as the fair value of the underlying instrument,
whereas, in fact, the fair values of the options traded by the
Partnership/Funds in almost all cases
fluctuate to a lesser extent than those of the underlying instruments.
In quantifying
the Partnerships/Funds Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed. Consequently, the margin
requirements applicable to the open contracts have simply been added to determine each trading
categorys aggregate Value at Risk. The diversification effects resulting from the fact that the
Partnerships/Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The Partnerships
Trading Value at Risk in Different Market Sectors
Value
at Risk tables represent a probabilistic assessment of the risk of
loss in market risk sensitive instruments. With the exception
of Waypoint, the Partnerships advisors currently trade the
Partnerships assets indirectly in master fund managed accounts
established in the name over which they have been granted limited
authority to make trading decisions. Waypoint directly trades a
managed account in the Partnerships name. The first two trading
Value at Risk tables reflect the market sensitive instruments held by
the Partnership directly and through its investment in the Funds. The
remaining trading Value at Risk tables reflect the market sensitive
instruments held by the Partnership directly (i.e., in the managed account in the
Partnerships name traded by Waypoint) and indirectly each Fund separately.
The following tables indicate the trading value at
Risk associated with the Partnerships open position by market
category as of December 31, 2009 and 2008. As of
December 31, 2009, the Partnerships
total capitalization was $29,723,936.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
357,446 |
|
|
|
1.20 |
% |
Energy |
|
|
94,382 |
|
|
|
0.32 |
% |
Grains |
|
|
52,012 |
|
|
|
0.18 |
% |
Interest Rates U.S. |
|
|
114,616 |
|
|
|
0.39 |
% |
Interest Rates Non-U.S. |
|
|
448,373 |
|
|
|
1.51 |
% |
Livestock |
|
|
19,077 |
|
|
|
0.06 |
% |
Lumber |
|
|
1,408 |
|
|
|
0.01 |
% |
Metals |
|
|
378,190 |
|
|
|
1.27 |
% |
Softs |
|
|
173,426 |
|
|
|
0.58 |
% |
Indices |
|
|
539,261 |
|
|
|
1.81 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
2,178,191 |
|
|
|
7.33 |
% |
|
|
|
|
|
|
|
At December 31, 2008, the
Partnerships total capitalization was $39,219,884
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
741,620 |
|
|
|
1.89 |
% |
Energy |
|
|
324,233 |
|
|
|
0.83 |
% |
Grains |
|
|
127,165 |
|
|
|
0.32 |
% |
Interest Rates U.S. |
|
|
291,632 |
|
|
|
0.74 |
% |
Interest Rates Non-U.S. |
|
|
830,184 |
|
|
|
2.12 |
% |
Livestock |
|
|
36,897 |
|
|
|
0.09 |
% |
Lumber |
|
|
296,953 |
|
|
|
0.76 |
% |
Metals |
|
|
219,421 |
|
|
|
0.56 |
% |
Softs |
|
|
216,141 |
|
|
|
0.55 |
% |
Indices |
|
|
141,016 |
|
|
|
0.36 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
3,225,262 |
|
|
|
8.22 |
% |
|
|
|
|
|
|
|
19
The
following tables indicate the trading Value at Risk associated with the Partnerships
direct investments and indirect investments in the Funds by market
category as of December 31, 2009 and December 31, 2008, the highest, lowest
and average values at any point during the year. All open position trading risk exposures
have been included in calculating the figures set forth below. As of
December 31, 2009, the Partnerships Value at Risk for the portion of its assets that are traded directly
by Waypoint was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average * |
Market Sector |
|
Value at Risk |
|
Capitalization |
|
Value at Risk |
|
Value at Risk |
|
Value at Risk |
Currencies |
|
$ |
34,200 |
|
|
|
0.12 |
% |
|
$ |
1,065,501 |
|
|
$ |
19,430 |
|
|
$ |
430,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
34,200 |
|
|
|
0.12 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Values at Risk |
|
At December 31, 2009, Campbell Masters total Capitalization was $62,525,663. The Partnership
owned approximately 7.5% of Campbell Master.
As of December 31, 2009, the Campbell Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to Campbell for trading)
was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Risk* |
|
Currencies |
|
$ |
494,171 |
|
|
|
0.79 |
% |
|
$ |
4,303,193 |
|
|
$ |
268,184 |
|
|
$ |
2,352,637 |
|
Energy |
|
|
140,600 |
|
|
|
0.23 |
% |
|
|
930,274 |
|
|
|
16,100 |
|
|
|
358,289 |
|
Grains |
|
|
11,250 |
|
|
|
0.02 |
% |
|
|
162,540 |
|
|
|
6,400 |
|
|
|
27,905 |
|
Interest Rates U.S. |
|
|
418,260 |
|
|
|
0.67 |
% |
|
|
1,097,280 |
|
|
|
38,743 |
|
|
|
460,754 |
|
Interest Rates Non-U.S. |
|
|
626,824 |
|
|
|
1.00 |
% |
|
|
2,442,697 |
|
|
|
610,321 |
|
|
|
1,365,590 |
|
Metals |
|
|
408,384 |
|
|
|
0.65 |
% |
|
|
1,109,145 |
|
|
|
29,024 |
|
|
|
391,577 |
|
Softs |
|
|
40,700 |
|
|
|
0.07 |
% |
|
|
145,740 |
|
|
|
2,100 |
|
|
|
27,164 |
|
Indices |
|
|
1,783,059 |
|
|
|
2.85 |
% |
|
|
4,565,846 |
|
|
|
678,383 |
|
|
|
1,979,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
3,923,248 |
|
|
|
6.28 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Values at Risk |
|
At
December 31, 2008, Campbell Masters total Capitalization
was $127,474,962. The Partnership
owned approximately 6.7% of Campbell Master.
As of December 31, 2008, the Campbell Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to Campbell for trading)
was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
3,826,450 |
|
|
|
3.00 |
% |
|
$ |
6,459,319 |
|
|
$ |
1,236,850 |
|
|
$ |
3,885,456 |
|
Energy |
|
|
141,270 |
|
|
|
0.11 |
% |
|
|
1,689,425 |
|
|
|
5,000 |
|
|
|
547,096 |
|
Interest Rates U.S. |
|
|
295,938 |
|
|
|
0.23 |
% |
|
|
1,754,540 |
|
|
|
126,604 |
|
|
|
919,061 |
|
Interest Rates Non-U.S. |
|
|
1,650,897 |
|
|
|
1.30 |
% |
|
|
4,744,697 |
|
|
|
631,807 |
|
|
|
2,018,452 |
|
Metals |
|
|
238,724 |
|
|
|
0.19 |
% |
|
|
1,281,336 |
|
|
|
47,826 |
|
|
|
360,623 |
|
Indices |
|
|
1,414,857 |
|
|
|
1.11 |
% |
|
|
8,820,806 |
|
|
|
845,740 |
|
|
|
4,393,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
7,568,136 |
|
|
|
5.94 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average of month-end Values at Risk |
|
20
At December 31, 2009,
Aspect Masters total Capitalization was
$165,138,058. The Partnership owned approximately 5.5% of Aspect Master.
As of December 31, 2009, the Aspect Masters Value at Risk for its assets (including the portion of the
Partnerships assets allocated to Aspect for trading) was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Risk* |
|
Currencies |
|
$ |
3,005,547 |
|
|
|
1.82 |
% |
|
$ |
9,657,630 |
|
|
$ |
1,450,765 |
|
|
$ |
3,783,484 |
|
Energy |
|
|
948,800 |
|
|
|
0.57 |
% |
|
|
4,972,100 |
|
|
|
440,450 |
|
|
|
1,516,206 |
|
Grains |
|
|
327,245 |
|
|
|
0.20 |
% |
|
|
1,461,017 |
|
|
|
291,283 |
|
|
|
622,287 |
|
Interest Rates U.S. |
|
|
868,320 |
|
|
|
0.54 |
% |
|
|
3,363,654 |
|
|
|
68,325 |
|
|
|
1,350,674 |
|
Interest Rates Non-U.S. |
|
|
5,408,866 |
|
|
|
3.28 |
% |
|
|
10,090,643 |
|
|
|
3,056,662 |
|
|
|
5,677,560 |
|
Livestock |
|
|
155,900 |
|
|
|
0.09 |
% |
|
|
704,364 |
|
|
|
130,800 |
|
|
|
287,937 |
|
Metals |
|
|
2,647,427 |
|
|
|
1.60 |
% |
|
|
4,707,270 |
|
|
|
813,671 |
|
|
|
2,289,309 |
|
Softs |
|
|
1,800,229 |
|
|
|
1.09 |
% |
|
|
2,057,410 |
|
|
|
648,164 |
|
|
|
1,382,129 |
|
Indices |
|
|
4,002,477 |
|
|
|
2.42 |
% |
|
|
4,177,780 |
|
|
|
735,579 |
|
|
|
2,382,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
19,164,811 |
|
|
|
11.61 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
At
December 31, 2008, Aspect Masters total Capitalization was
$239,354,333. The Partnership
owned approximately 5.5% of Aspect Master.
As of December 31, 2008, the Aspect Masters Value at Risk for its assets (including the portion of the
Partnerships assets allocated to Aspect for trading) was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Risk* |
|
Currencies |
|
$ |
3,017,826 |
|
|
|
1.26 |
% |
|
$ |
7,405,062 |
|
|
$ |
1,762,375 |
|
|
$ |
3,652,203 |
|
Energy |
|
|
1,802,535 |
|
|
|
0.75 |
% |
|
|
4,744,750 |
|
|
|
520,250 |
|
|
|
2,336,576 |
|
Grains |
|
|
549,062 |
|
|
|
0.23 |
% |
|
|
1,268,423 |
|
|
|
84,806 |
|
|
|
622,221 |
|
Interest Rates U.S. |
|
|
1,627,200 |
|
|
|
0.68 |
% |
|
|
3,458,200 |
|
|
|
49,886 |
|
|
|
1,299,759 |
|
Interest Rates Non-U.S. |
|
|
6,748,387 |
|
|
|
2.82 |
% |
|
|
8,325,577 |
|
|
|
1,490,653 |
|
|
|
5,019,733 |
|
Livestock |
|
|
156,600 |
|
|
|
0.07 |
% |
|
|
283,500 |
|
|
|
66,700 |
|
|
|
165,771 |
|
Metals |
|
|
1,975,576 |
|
|
|
0.83 |
% |
|
|
4,213,675 |
|
|
|
86,337 |
|
|
|
1,755,108 |
|
Softs |
|
|
775,053 |
|
|
|
0.32 |
% |
|
|
1,461,690 |
|
|
|
353,834 |
|
|
|
833,381 |
|
Indices |
|
|
730,475 |
|
|
|
0.30 |
% |
|
|
7,152,565 |
|
|
|
584,698 |
|
|
|
2,556,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
17,382,714 |
|
|
|
7.26 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
21
At
December 31, 2009, Altis Masters total Capitalization was
$84,307,758. The Partnership
owned approximately 12.8% of Altis Master.
As of December 31, 2009, the Altis Masters Value at Risk for its assets (including the
portion of the Partnerships assets allocated to Altis for trading) was as follows:
December 31,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Risk* |
|
Currencies |
|
$ |
1,211,550 |
|
|
|
1.44 |
% |
|
$ |
2,264,297 |
|
|
$ |
598,360 |
|
|
$ |
1,468,143 |
|
Energy |
|
|
247,290 |
|
|
|
0.29 |
% |
|
|
2,143,145 |
|
|
|
247,290 |
|
|
|
1,110,020 |
|
Grains |
|
|
259,135 |
|
|
|
0.31 |
% |
|
|
1,137,757 |
|
|
|
169,964 |
|
|
|
495,014 |
|
Interest Rates U.S. |
|
|
277,254 |
|
|
|
0.33 |
% |
|
|
1,344,800 |
|
|
|
265,892 |
|
|
|
688,612 |
|
Interest Rates Non-U.S. |
|
|
811,515 |
|
|
|
0.96 |
% |
|
|
2,354,713 |
|
|
|
801,993 |
|
|
|
1,420,442 |
|
Livestock |
|
|
82,050 |
|
|
|
0.10 |
% |
|
|
302,700 |
|
|
|
76,770 |
|
|
|
154,601 |
|
Lumber |
|
|
11,000 |
|
|
|
0.01 |
% |
|
|
50,600 |
|
|
|
3,600 |
|
|
|
20,792 |
|
Metals |
|
|
1,577,754 |
|
|
|
1.87 |
% |
|
|
1,948,265 |
|
|
|
507,229 |
|
|
|
1,335,488 |
|
Softs |
|
|
557,507 |
|
|
|
0.66 |
% |
|
|
815,920 |
|
|
|
310,795 |
|
|
|
531,234 |
|
Indices |
|
|
1,448,404 |
|
|
|
1.72 |
% |
|
|
3,383,400 |
|
|
|
38,250 |
|
|
|
1,540,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
6,483,459 |
|
|
|
7.69 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
At
December 31, 2008, Altis Masters total Capitalization was
$99,282,582. The Partnership
owned approximately 15.7% of Altis Master.
As of December 31, 2008, the Altis Masters Value at Risk for its assets (including the
portion of the Partnerships assets allocated to Altis for trading) was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High |
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
Value at |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
2,033,552 |
|
|
|
2.05 |
% |
|
$ |
2,133,841 |
|
|
$ |
404,375 |
|
|
$ |
1,177,834 |
|
Energy |
|
|
1,373,430 |
|
|
|
1.38 |
% |
|
|
5,244,750 |
|
|
|
255,462 |
|
|
|
1,831,958 |
|
Grains |
|
|
617,624 |
|
|
|
0.62 |
% |
|
|
2,403,902 |
|
|
|
415,944 |
|
|
|
963,936 |
|
Interest Rates U.S. |
|
|
1,161,200 |
|
|
|
1.17 |
% |
|
|
1,183,600 |
|
|
|
66,931 |
|
|
|
631,163 |
|
Interest Rates Non -U.S. |
|
|
2,219,191 |
|
|
|
2.24 |
% |
|
|
2,247,376 |
|
|
|
450,742 |
|
|
|
1,450,548 |
|
Livestock |
|
|
180,150 |
|
|
|
0.18 |
% |
|
|
350,200 |
|
|
|
26,555 |
|
|
|
168,853 |
|
Metals |
|
|
1,891,418 |
|
|
|
1.91 |
% |
|
|
4,028,244 |
|
|
|
734,589 |
|
|
|
2,099,632 |
|
Softs |
|
|
603,632 |
|
|
|
0.61 |
% |
|
|
1,018,874 |
|
|
|
451,658 |
|
|
|
643,159 |
|
Indices |
|
|
1,105,179 |
|
|
|
1.11 |
% |
|
|
4,700,387 |
|
|
|
469,975 |
|
|
|
1,929,248 |
|
Lumber |
|
|
38,500 |
|
|
|
0.04 |
% |
|
|
63,100 |
|
|
|
24,200 |
|
|
|
37,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
11,223,876 |
|
|
|
11.31 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
22
Material Limitations on Value at Risk as an Assessment of Market Risk
The
face value of the market sector instruments held by the Partnership/Funds are typically many times the
applicable maintenance margin requirement (margin requirements generally range between 2% and 15%
of contract face value) as well as many times the capitalization of the Partnership/Funds. The magnitude of the
Partnership/Funds open positions creates a risk of ruin not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time
to time could cause the Partnership/Funds to incur severe losses over a short period of time. The
foregoing Value at Risk table as well as the past performance of the Funds give no indication
of this risk of ruin.
Non-Trading Risk
The
Partnership/Funds have non-trading market risk on their foreign cash balances not needed for margin.
However, these balances (as well as any market risk they represent) are immaterial.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnerships/Funds market risk exposures
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Partnership/Funds manages its primary market risk exposures constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E
of the Exchange Act. The Partnerships/Funds primary market risk exposures as well as the
strategies used and to be used by the General Partner and the Advisors for managing such exposures
are subject to numerous uncertainties, contingencies and risks, any one of which could cause the
actual results of the Partnerships/Funds risk controls to differ materially from the objectives
of such strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other factors
could result in material losses as well as in material changes to the risk exposures and the
management strategies of the Partnership/Funds. There can be no assurance that the
Partnerships/Funds current market exposure and/or risk management strategies will not change
materially or that any such strategies will be effective in either the short or long term.
Investors must be prepared to lose all or substantially all of their investment in the Partnership.
The
following were the primary trading risk exposures of the Partnership
and the Funds as of December 31, 2009 by market sector:
Interest Rates. Interest rate movements directly affect the price of the futures
positions held by the Partnership/Funds and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative interest rate movements
between countries materially impact the
Partnerships/Funds profitability. The Partnerships/Funds primary
interest rate exposure is to interest rate fluctuations in the U.S. and the other G-8 countries.
Currencies. The Partnerships/Funds currency exposure
is to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic conditions. The
Partnerships/Funds major exposures have typically been in the
dollar/yen, dollar/Swiss franc and dollar/pound positions. The General Partner does not anticipate
that the risk profile of the Partnerships/Funds currency sector will change significantly in the future.
The currency trading Value at Risk figure includes foreign margin amounts converted into U.S.
dollars with an incremental adjustment to reflect the exchange rate risk inherent to the
dollar-based Partnership/Funds in expressing Value at Risk in a functional currency other than U.S.
dollars.
Stock Indices. The Partnerships/Funds primary equity exposure is subject to equity price risk in the G-8 countries. The stock index futures
traded by the
Partnership/Fund are limited to futures on broadly based indices. As
of December 31, 2009, the
Partnerships/Funds primary exposures were in the LIFFE (England), Nikkei (Japan), EUREX (German)
and S&P (U.S.) stock indices. The Partnership/Fund is primarily exposed to the risk of adverse
price trends or static markets in the major U.S.,
23
European and Japanese indices. (Static markets would not cause major market changes but would
make it difficult for the Partnership/Fund to avoid being whipsawed into numerous small losses.)
Metals. The Partnerships/Funds primary metal market exposure is subject to fluctuations in the price of gold, copper and aluminum.
Softs. The Partnerships/Funds primary commodities exposure is subject to agricultural price movements which are often directly affected by
severe or
unexpected weather conditions.
Energy. The Partnerships/Funds primary energy market exposure is subject to natural gas and oil price movements, often resulting from
political
developments in the Middle East. Oil prices can be volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.
Grains. The Partnerships/Funds primary commodities exposure is subject to agricultural price movements which are often directly affected by
severe and
unexpected weather conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The
following were the only non-trading risk exposures of the Partnership/Funds as of December 31,
2009.
Foreign
Currency Balances. The Partnerships/Funds primary foreign currency balances through
its investment in the Funds are in Japanese yen, Euro, British pounds and Australian dollars. The
Advisor regularly converts foreign currency balances to dollars in an attempt to control the
Partnerships/Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The
General Partner/Managing Member monitors and controls the Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems and accordingly believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Funds are subject.
The General Partner/Managing Member monitors the Partnerships/Funds performance and the concentration of its open
positions, and consults with the Advisors concerning the
Partnerships/Funds overall risk profile.
If the General Partner felt it necessary to do so, the General Partner/Managing Member could require the Advisors
to close out individual positions as well as enter certain positions traded on behalf of the
Partnership/Funds. However, any such intervention would be a highly unusual event. The General
Partner/Managing Member primarily relies on the Advisors own risk control policies while maintaining a general
supervisory overview of the Partnerships/Funds market risk exposures.
Each Advisor applies its own risk management policies to its trading. The Advisors often
follow diversification guidelines, margin limits and stop loss points to exit a position. The
Advisors research of risk management often suggests ongoing modifications to their trading
programs.
As
part of the General Partners/Managing Member risk management, the General Partner periodically meets with
the Advisors to discuss their risk management and to look for any material changes to the Advisors
portfolio balance and trading techniques. The Advisors are required to notify the General Partner
of any material changes to their programs.
24
GLOBAL DIVERSIFIED FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS
Item 8. Financial Statements and Supplementary Data.
|
|
|
|
|
Page |
|
|
Number |
Oath or Affirmation |
|
F-3 |
|
|
|
Managements Report on Internal Control over Financial Reporting |
|
F-4 |
|
|
|
Reports of Independent Registered Public Accounting Firms |
|
F-5 F-9 |
|
|
|
Financial Statements: |
|
|
|
|
|
Statements of Financial Condition at December 31,
2009 and 2008 |
|
F-10 |
|
|
|
Condensed Schedules of Investments at December 31,
2009 and 2008 |
|
F-11 F-12 |
|
|
|
Statements of Income and Expenses for the years ended
December 31, 2009, 2008
and 2007 |
|
F-13 |
|
|
|
Statements of Changes in Partners
Capital for the years ended December 31,
2009, 2008 and 2007 |
|
F-14 |
|
|
|
Notes to Financial Statements |
|
F-15 F-26 |
|
|
|
Selected Unaudited Quarterly Financial Data |
|
F-27 |
|
|
|
Financial Statements of CMF Campbell Master Fund L.P. |
|
|
|
|
|
Oath or Affirmation |
|
F-28 |
|
|
|
Reports of Independent Registered Public Accounting Firms |
|
F-29 F-31 |
|
|
|
Statements of Financial Condition at December 31,
2009 and 2008 |
|
F-32 |
|
|
|
Condensed Schedules of Investments at
December 31, 2009 and 2008 |
|
F-33 F-34 |
|
|
|
Statements of Income and Expenses for the years
ended December 31, 2009, 2008
and 2007 |
|
F-35 |
|
|
|
Statements of Changes in Partners
Capital for the years ended December 31,
2009, 2008 and 2007 |
|
F-36 |
|
|
|
Notes to Financial Statements |
|
F-37 F-46 |
|
|
|
Selected Unaudited Quarterly Financial Data |
|
F-47 |
|
|
|
Financial Statements of CMF Aspect Master Fund L.P. |
|
|
|
|
|
Oath or Affirmation |
|
F-48 |
|
|
|
Reports of Independent Registered Public Accounting Firms |
|
F-49 F-51 |
|
|
|
Statements of Financial Condition at
December 31, 2009 and 2008 |
|
F-52 |
|
|
|
Condensed Schedules of Investments at
December 31, 2009 and 2008 |
|
F-53 F-54 |
|
|
|
Statements of Income and Expenses at
December 31, 2009, 2008 and 2007 |
|
F-55 |
|
|
|
Statements of Changes in
Partners Capital at December 31, 2009, 2008 and 2007 |
|
F-56 |
|
|
|
Notes to Financial Statements |
|
F-57 F-65 |
|
|
|
Selected Unaudited Quarterly Financial Data |
|
F-66 |
F-1
GLOBAL DIVERSIFIED FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS CONTINUED
|
|
|
|
|
Page |
|
|
Number |
Financial
Statements of CMF Altis Partners Master Fund L.P. |
|
|
|
|
|
Oath or Affirmation |
|
F-67 |
|
|
|
Reports of Independent Registered Public Accounting Firms |
|
F-68 F-70 |
|
|
|
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-71 |
|
|
|
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-72 F-73 |
|
|
|
Statements of Income and Expenses at December 31, 2009, 2008 and 2007 |
|
F-74 |
|
|
|
Statements of Changes in Partners Capital at December 31, 2009, 2008 and 2007 |
|
F-75 |
|
|
|
Notes to Financial Statements |
|
F-76 F-83 |
|
|
|
Selected Unaudited Quarterly Financial Data |
|
F-84 |
F-2
To the Limited
Partners of
Global Diversified Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
|
|
|
|
By:
|
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Global Diversified Futures Fund L.P.
|
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-3
Managements Report on Internal Control over
Financial Reporting
The
management of Global Diversified Futures Fund L.P. (formerly, Citigroup Global Diversified
Futures Fund L.P.), (the Partnership), Ceres Managed Futures LLC (formerly, Citigroup Managed Futures
LLC), is responsible for establishing and maintaining adequate internal control over financial reporting as
defined in Rules 13a - 15(f) and 15d - 15(f) under the Securities Exchange Act of 1934 and for our
assessment of internal control over financial reporting. The Partnerships internal control over financial
reporting is a process designed to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes in accordance with accounting
principles generally accepted in the United States of America. The Partnerships internal control over
financial reporting includes those policies and procedures that:
(i) pertain
to the maintenance of records that, in reasonable detail, accurately and fairly reflect
the transactions and dispositions of the assets of the Partnership;
(ii) provide reasonable assurance that transactions
are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the
United States of America, and that receipts and expenditures of the Partnership are being made only
in accordance with authorizations of management and directors of the Partnership; and
(iii) provide reasonable assurance regarding
prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material
effect on the financial statements.
Because of its inherent limitations, internal
control over financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk
that controls may become inadequate because of changes in conditions, or that the degree of compliance
with the policies or procedures may deteriorate.
The management of Global Diversified Futures
Fund L.P. has assessed the effectiveness of the
Partnerships internal control over financial reporting as of December 31, 2009. In making this
assessment, management used the criteria set forth in the Internal Control-Integrated Framework issued by the
Committee of Sponsoring Organizations of the Treadway Commission (COSO). Based on our assessment, management
concluded that the Partnership maintained effective internal control over financial
reporting as of December 31, 2009 based on the criteria referred to above.
The Partnerships independent registered public
accounting firm, Deloitte & Touche LLP, has audited
the effectiveness of the Partnerships internal control over
financial reporting as of December 31, 2009, as
stated in their report dated March 19, 2010 which appears herein.
|
|
|
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Global Diversified Futures Fund L.P. |
|
|
F-4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Global Diversified Futures Fund L.P.:
We have audited the accompanying statement of financial condition of Global Diversified Futures
Fund L.P. (the Partnership), including the condensed schedule of investments, as of December 31,
2009, and the related statements of income and expenses, and changes in partners capital for the
year then ended. We also have audited the Partnerships internal control over financial reporting
as of December 31, 2009, based on criteria established in Internal Control Integrated Framework
issued by the Committee of Sponsoring Organizations of the Treadway Commission. The Partnerships
management is responsible for these financial statements, for maintaining effective internal
control over financial reporting, and for its assessment of the effectiveness of internal control
over financial reporting, included in the accompanying Managements Report on Internal Control over
Financial Reporting. Our responsibility is to express an opinion on these financial statements and
an opinion on the Partnerships internal control over financial reporting based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were
audited by other auditors whose reports, dated March 26, 2009 and March 24, 2008, respectively,
expressed unqualified opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement and
whether effective internal control over financial reporting was maintained in all material
respects. Our audit of the financial statements included examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and evaluating the overall financial
statement presentation. Our audit of internal control over financial reporting included obtaining
an understanding of internal control over financial reporting, assessing the risk that a material
weakness exists, and testing and evaluating the design and operating effectiveness of internal
control based on the assessed risk. Our audit also included performing such other procedures as we
considered necessary in the circumstances. We believe that our audit provides a reasonable basis
for our opinion.
A partnerships internal control over financial reporting is a process designed by, or under the
supervision of, the partnerships principal executive and principal financial officers, or persons
performing similar functions, and effected by the partnerships general partner, management, and
other personnel to provide reasonable assurance regarding the reliability of financial reporting
and the preparation of financial statements for external purposes in accordance with generally
accepted accounting principles. A partnerships internal control over financial reporting includes
those policies and procedures that (1) pertain to the maintenance of records that, in reasonable
detail, accurately and fairly reflect the transactions and dispositions of the assets of the
partnership; (2) provide reasonable assurance that transactions are recorded as necessary to permit
preparation of financial statements in accordance with generally accepted accounting principles,
and that receipts and expenditures of the partnership are being made only in accordance with
authorizations of management and general partner of the partnership; and (3) provide reasonable
assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition
of the Partnerships assets that could have a material effect on the financial statements.
F-5
Because of the inherent limitations of internal control over financial reporting, including
the possibility of collusion or improper management override of controls, material misstatements
due to error or fraud may not be prevented or detected on a timely basis. Also, projections of any
evaluation of the effectiveness of the internal control over financial reporting to future periods
are subject to the risk that the controls may become inadequate because of changes in conditions,
or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the financial position of Global Diversified Futures Fund L.P. as of December 31, 2009,
and the results of its operations and its changes in partners capital for the year then ended, in
conformity with accounting principles generally accepted in the United States of America. Also, in
our opinion, the Partnership maintained, in all material respects, effective internal control over
financial reporting as of December 31, 2009, based on the criteria established in Internal Control
Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway
Commission.
/s/
Deloitte & Touche LLP
New York, New York
March 19, 2010
F-6
Report of Independent Registered Public Accounting Firm
To the Partners of
Global Diversified Futures Fund:
In our opinion, the accompanying statement of financial condition, the related statement of income
and expenses, and statement of changes in partners capital present fairly, in all material
respects, the financial position of Global Diversified Futures Fund (formerly known as Citigroup
Global Diversified Futures Fund L.P.) at December 31, 2008 and the results of its operations for
the year then ended in conformity with accounting principles generally accepted in the United
States of America. Also in our opinion, the Partnership maintained, in all material respects,
effective internal control over financial reporting as of December 31, 2008, based on criteria
established in Internal Control Integrated Framework issued by the Committee of Sponsoring
Organizations of the Treadway Commission (COSO). The Partnerships management is responsible for
these financial statements, for maintaining effective internal control over financial reporting and
for its assessment of the effectiveness of internal control over financial reporting, included in
the accompanying Managements Report on Internal Control over Financial Reporting. Our
responsibility is to express opinions on these financial statements and on the Partnerships
internal control over financial reporting based on our integrated audit. We conducted our audit in
accordance with the standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement and whether effective internal
control over financial reporting was maintained in all material respects. Our audit of the
financial statements included examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial statement presentation. Our
audit of internal control over financial reporting included obtaining an understanding of internal
control over financial reporting, assessing the risk that a material weakness exists, and testing
and evaluating the design and operating effectiveness of internal control based on the assessed
risk. Our audit also included performing such other procedures as we considered necessary in the
circumstances. We believe that our audit provides a reasonable basis for our opinion.
A companys internal control over financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally accepted accounting principles. A
companys internal control over financial reporting includes those policies and procedures that (i)
pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the
transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that
transactions are recorded as necessary to permit preparation of financial statements in accordance
with generally accepted accounting principles, and that receipts and expenditures of the company
are being made only in accordance with authorizations of management and directors of the company;
and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use, or disposition of the companys assets that could have a material effect on the
financial statements.
F-7
Because of its inherent limitations, internal control over financial reporting may not prevent or
detect misstatements. Also, projections of any evaluation of effectiveness to future periods are
subject to the risk that controls may become inadequate because of changes in conditions, or that
the degree of compliance with the policies or procedures may deteriorate.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-8
Report of Independent Registered Public Accounting Firm
The Partners
Global Diversified Futures Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of Global Diversified Futures Fund L.P. (formerly, Citigroup Global Diversified Futures Fund L.P.)
for the year ended December 31, 2007. These financial statements are the responsibility of the
Partnerships management. Our responsibility is to express an opinion on these financial
statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of Global Diversified Futures
Fund L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-9
Global
Diversified Futures Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investment in Partnerships, at fair value (Note 5)
|
|
$
|
24,472,696
|
|
|
$
|
37,284,594
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
|
5,549,173
|
|
|
|
5,558,203
|
|
Cash margin (Note 3c)
|
|
|
90,225
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
|
8,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,121,024
|
|
|
|
42,842,797
|
|
Interest receivable
|
|
|
60
|
|
|
|
82
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
30,121,084
|
|
|
$
|
42,842,879
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
44,055
|
|
|
$
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Brokerage commissions (Note 3c)
|
|
|
135,347
|
|
|
|
192,793
|
|
Management fees (Note 3b)
|
|
|
44,183
|
|
|
|
62,786
|
|
Incentive fees (Note 3b)
|
|
|
26,539
|
|
|
|
1,958,313
|
|
Professional fees
|
|
|
46,548
|
|
|
|
25,800
|
|
Other
|
|
|
17,402
|
|
|
|
26,704
|
|
Redemptions payable (Note 6)
|
|
|
83,074
|
|
|
|
1,356,599
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
397,148
|
|
|
|
3,622,995
|
|
|
|
|
|
|
|
|
|
|
Partners Capital: (Notes 1 and 6)
|
|
|
|
|
|
|
|
|
General Partner, 213.0484 and 421.6204 Unit equivalents
outstanding at December 31, 2009 and 2008, respectively
|
|
|
403,399
|
|
|
|
892,777
|
|
Limited Partners, 15,485.2035 and 18,100.2695 Redeemable Units
of Limited Partnership Interest outstanding at December 31,
2009 and 2008, respectively
|
|
|
29,320,537
|
|
|
|
38,327,107
|
|
|
|
|
|
|
|
|
|
|
Total partners capital
|
|
|
29,723,936
|
|
|
|
39,219,884
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
30,121,084
|
|
|
$
|
42,842,879
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-10
Global
Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
19
|
|
|
$
|
8,930
|
|
|
|
0.03
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
8,930
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
838,191
|
|
|
|
12,253
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
12,253
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
2,036,681
|
|
|
|
(56,308
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(56,308
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
|
|
|
|
CMF Campbell Master Fund L.P.
|
|
|
|
|
|
|
4,660,413
|
|
|
|
15.68
|
|
CMF Aspect Master Fund L.P.
|
|
|
|
|
|
|
9,018,321
|
|
|
|
30.34
|
|
CMF Altis Partners Master Fund L.P.
|
|
|
|
|
|
|
10,793,962
|
|
|
|
36.31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships
|
|
|
|
|
|
|
24,472,696
|
|
|
|
82.33
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
24,437,571
|
|
|
|
82.21
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-11
Global
Diversified Futures Fund L.P.
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Partners
|
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
CMF Campbell Master Fund L.P.
|
|
$
|
8,558,897
|
|
|
|
21.82
|
%
|
CMF Aspect Master Fund L.P.
|
|
|
13,187,938
|
|
|
|
33.63
|
|
CMF Altis Partners Master Fund L.P.
|
|
|
15,537,759
|
|
|
|
39.62
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
37,284,594
|
|
|
|
95.07
|
%
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-12
Global
Diversified Futures Fund L.P.
Statements
of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests and
investment in Partnerships:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
606,155
|
|
|
$
|
567,818
|
|
|
$
|
|
|
Net realized gains (losses) on investment in Partnerships
|
|
|
214,199
|
|
|
|
12,301,849
|
|
|
|
3,126,552
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(35,125
|
)
|
|
|
|
|
|
|
|
|
Change in net unrealized gains (losses) on investments in
Partnerships
|
|
|
(2,019,979
|
)
|
|
|
40,675
|
|
|
|
(25,718
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(1,234,750
|
)
|
|
|
12,910,342
|
|
|
|
3,100,834
|
|
Interest income (Note 3c)
|
|
|
3,746
|
|
|
|
1,608
|
|
|
|
|
|
Interest income from investment in Partnerships
|
|
|
19,648
|
|
|
|
421,468
|
|
|
|
1,485,334
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(1,211,356
|
)
|
|
|
13,333,418
|
|
|
|
4,586,168
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage commissions including clearing fees (Note 3c)
|
|
|
1,841,153
|
|
|
|
2,300,441
|
|
|
|
2,403,264
|
|
Management fees (Note 3b)
|
|
|
588,610
|
|
|
|
719,564
|
|
|
|
742,339
|
|
Incentive fees (Note 3b)
|
|
|
26,539
|
|
|
|
1,958,313
|
|
|
|
404,736
|
|
Professional fees
|
|
|
110,468
|
|
|
|
72,690
|
|
|
|
64,904
|
|
Other
|
|
|
39,442
|
|
|
|
42,092
|
|
|
|
54,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2,606,212
|
|
|
|
5,093,100
|
|
|
|
3,669,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(3,817,568
|
)
|
|
$
|
8,240,318
|
|
|
$
|
916,481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent (Notes 1 and 7)
|
|
$
|
(224.03
|
)
|
|
$
|
397.58
|
|
|
$
|
46.83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
16,713.0389
|
|
|
|
21,336.4317
|
|
|
|
25,317.6039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-13
Global
Diversified Futures Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Limited
|
|
|
General
|
|
|
|
|
|
|
Partners
|
|
|
Partner
|
|
|
Total
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
42,696,027
|
|
|
$
|
2,550,140
|
|
|
$
|
45,246,167
|
|
Net income (loss)
|
|
|
797,332
|
|
|
|
119,149
|
|
|
|
916,481
|
|
Sale of 278.1823 Units of General Partner Interest
|
|
|
|
|
|
|
430,679
|
|
|
|
430,679
|
|
Redemption of 3,995.2844 Redeemable Units of Limited Partnership
Interest
|
|
|
(6,473,756
|
)
|
|
|
|
|
|
|
(6,473,756
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
37,019,603
|
|
|
|
3,099,968
|
|
|
|
40,119,571
|
|
Net income (loss)
|
|
|
7,947,509
|
|
|
|
292,809
|
|
|
|
8,240,318
|
|
Redemption of 3,423.9232 Redeemable Units of Limited Partnership
Interest and 1,380.7810 General Partner Unit equivalents
|
|
|
(6,640,005
|
)
|
|
|
(2,500,000
|
)
|
|
|
(9,140,005
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
38,327,107
|
|
|
|
892,777
|
|
|
|
39,219,884
|
|
Net income (loss)
|
|
|
(3,737,565
|
)
|
|
|
(80,003
|
)
|
|
|
(3,817,568
|
)
|
Redemption of 2,615.0660 Redeemable Units of Limited Partnership
Interest and 208.5720 General Partner Unit equivalents
|
|
|
(5,269,005
|
)
|
|
|
(409,375
|
)
|
|
|
(5,678,380
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
29,320,537
|
|
|
$
|
403,399
|
|
|
$
|
29,723,936
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,719.91
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
2,117.49
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,893.46
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-14
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
Global Diversified Futures Fund L.P., formerly Citigroup
Global Diversified Futures Fund L.P. (the
Partnership) is a limited partnership organized
under the laws of the State of New York on June 15,
1998 to engage, directly and indirectly, in the speculative
trading of a diversified portfolio of commodity interests,
including futures contracts, options, swaps and forwards
contracts on United States exchanges and certain foreign
exchanges. The sectors traded include currencies, energy,
grains, indices, metals, softs, lumber, livestock and U.S. and
non-U.S. interest rates. The Partnership and the Funds (as
defined in note 5 Investment in Partnerships) may
trade futures and options of any kind. The commodity interests
that are traded by the Partnership and the Funds are volatile
and involve a high degree of market risk.
Between November 25, 1998 (commencement of the offering
period) and February 1, 1999, 33,379 redeemable units of
Limited Partnership Interest (Redeemable Units) were
sold at $1,000 per Redeemable Unit. The proceeds of the offering
were held in an escrow account and were transferred, along with
the General Partners contribution of $337,000 to the
Partnerships trading account on February 2, 1999,
when the Partnership commenced trading. The public offering of
Redeemable Units terminated on April 1, 2000 and the
Partnership no longer offers Redeemable Units for sale.
Ceres Managed Futures LLC (formerly Citigroup Managed Futures
LLC), a Delaware limited liability company, acts as the general
partner (the General Partner) and commodity pool
operator of the Partnership. The General Partner is wholly owned
by Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings), a newly registered non-clearing futures
commission merchant and a member of the National Futures
Association (NFA). Morgan Stanley, indirectly
through various subsidiaries, owns 51% of MSSB Holdings.
Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Partnership, owns 49% of MSSB
Holdings. Citigroup Inc. (Citigroup), indirectly
through various subsidiaries, wholly owns CGM. Prior to
July 31, 2009, the date as of which MSSB Holdings became
its owner, the General Partner was wholly owned by Citigroup
Financial Products Inc., a wholly owned subsidiary of Citigroup
Global Markets Holdings Inc., the sole owner of which is
Citigroup.
The General Partner and each Limited Partner share in the
profits and losses of the Partnership in proportion to the
amount of partnership interest owned by each except that no
Limited Partner shall be liable for obligations of the
Partnership in excess of their initial capital contribution and
profits, if any, net of distributions.
The Partnership will be liquidated upon the first to occur of
the following: December 31, 2018; the Net Asset Value per
Redeemable Unit decreases to less than $400 per Redeemable Unit
as of the close of any business day; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Partnership (theLimited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the
exclusive authoritative reference for U.S. generally
accepted accounting principles (GAAP) for use in
financial statements except for Securities and Exchange
Commission (SEC) rules and interpretive releases,
which are also authoritative GAAP for SEC registrants. The
Codification supersedes all existing non-SEC accounting and
reporting standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
Use of Estimates. The preparation of financial
statements and accompanying notes in conformity with GAAP
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, income
and expenses, and related disclosures of
|
F-15
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
|
|
|
|
|
contingent assets and liabilities in the financial statements
and accompanying notes. In making these estimates and
assumptions, management has considered the effects, if any, of
events occurring after the date of the Partnerships
Statements of Financial Condition through the date the financial
statements were issued. Actual results, could differ from these
estimates.
|
|
|
|
|
b.
|
Statement of Cash Flows. The Partnership is
not required to provide a Statement of Cash Flows as permitted
by ASC, 230, Statement of Cash Flows (formerly, FAS
No. 102 Statement of Cash Flows-Exemption of Certain
Enterprises and Classification of Cash Flows from Certain
Securities Acquired for Resale).
|
|
|
c.
|
Partnerships and the Funds
Investments. All commodity interests held by the
Partnership and the Funds (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into
U.S. dollars at the exchange rates prevailing at the
measurement date. Gains or losses are realized when contracts
are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and
any change in net unrealized gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Partnerships and the Funds Fair Value
Measurements. The Partnership and the Funds
adopted ASC 820, Fair Value Measurements and Disclosures
(formerly, FAS No. 157, Fair Value
Measurements) as of January 1, 2008, which defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date.
ASC 820 establishes a framework for measuring fair value
and expands disclosures regarding fair value measurements in
accordance with GAAP. The fair value hierarchy gives the highest
priority to unadjusted quoted prices in active markets for
identical assets or liabilities (Level 1) and the
lowest priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within
which the fair value measurement in its entirety falls shall be
determined based on the lowest level input that is significant
to the fair value measurement in its entirety. The Partnership
and the Funds did not apply the deferral allowed by the
amendments to ASC 820 for nonfinancial assets and
nonfinancial liabilities measured at fair value on a
nonrecurring basis.
In 2009, the Partnership and Funds amendments to adopted ASC
820, Fair Value Measurements and Disclosures (formerly,
FAS No. 157-4,
Determining Fair Value When the Volume and Level of
Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly) which
reaffirms that fair value is the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date
under current market conditions. These amendments to ASC 820
also reaffirm the need to use judgment in determining if a
formerly active market has become inactive and in determining
fair values when the market has become inactive. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the volume and
level of activity in the Partnerships Level 2 assets
and liabilities. The adoption of the amendments to ASC 820 had
no effect on the Partnerships Financial Statements.
The Partnership and the Funds consider prices for exchange
traded commodity futures, forwards and options contracts to be
based on unadjusted quoted prices in active markets for
identical assets (Level 1). The values of non exchange
traded forwards, swaps and certain options contracts for which
market quotations are not readily available, are priced by
broker-dealers who derive fair values for those assets from
observable inputs (Level 2). Investments in
F-16
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
partnerships (other commodity pools) where there are no other
rights or obligations inherent within the ownership interest
held by the Partnership are priced based on the end of the day
net asset value (Level 2). The value of the
Partnerships investments in partnerships reflects its
proportional interest in the partnerships. As of and for the
years ended December 31, 2009 and 2008, the Partnership and
the Funds did not hold any derivative instruments that are
priced at fair value using unobservable inputs through the
application of managements assumptions and internal
valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
8,930
|
|
|
$
|
8,930
|
|
|
$
|
|
|
|
$
|
|
|
Investment in Partnerships
|
|
|
24,472,696
|
|
|
|
|
|
|
|
24,472,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
24,481,626
|
|
|
|
8,930
|
|
|
|
24,472,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
44,055
|
|
|
$
|
|
|
|
$
|
44,055
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
44,055
|
|
|
|
|
|
|
|
44,055
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
24,437,571
|
|
|
$
|
8,930
|
|
|
$
|
24,428,641
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
Active Markets
|
|
Significant Other
|
|
Significant
|
|
|
|
|
for Identical
|
|
Observable Inputs
|
|
Unobservable
|
|
|
12/31/2008
|
|
Assets (Level 1)
|
|
(Level 2)
|
|
Inputs (Level 3)
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
$
|
37,284,594
|
|
|
$
|
|
|
|
$
|
37,284,594
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
37,284,594
|
|
|
$
|
|
|
|
$
|
37,284,594
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Partnership/Funds trade
futures contracts. A futures contract is a firm commitment to
buy or sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date, or if the delivery quantity
is something where physical delivery cannot occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Partnership/Funds each business day, depending on the
daily fluctuations in the value of the underlying contracts, and
are recorded as unrealized gains or losses by the
Partnership/Funds. When the contract is closed, the
Partnership/Funds record a realized gain or loss equal to the
difference between the value of the contract at the time it was
opened and the value at the time it was closed. Because
transactions in futures contracts require participants to make
both initial margin deposits of cash or other assets and
variation margin deposits, through the futures broker, directly
with the exchange on which the contracts are traded, credit
exposure is limited. Realized gains (losses) and changes in
unrealized gains (losses) on futures contracts are included in
the Statements of Income and Expenses.
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Partnership and
the Funds agrees to receive or deliver a fixed quantity of
foreign currency for an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Partnerships net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial
|
F-17
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
|
|
|
|
|
Condition. Realized gains (losses) and changes in unrealized
gains (losses) on foreign currency contracts are recognized in
the period in which the contract is closed or the changes occur,
respectively, and are included in the Statements of Income and
Expenses.
|
The Partnership/Funds do not isolate that portion of the results
of operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
f.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Partnership and
the Funds are cash settled based on prompt dates published by
the LME. Payments (variation margin) may be made or
received by the Partnership and the Funds each business day,
depending on the daily fluctuations in the value of the
underlying contracts, and are recorded as unrealized gains or
losses by the Partnership and the Funds. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is closed at the prompt date,
the Partnership and the Funds record a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
Because transactions in LME contracts require participants to
make both initial margin deposits of cash or other assets and
variation margin deposits, through the broker, directly with the
LME, credit exposure is limited. Realized gains (losses) and
changes in unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses.
|
|
|
g.
|
Options. The Partnership and Funds may
purchase and write (sell) both exchange listed and
over-the-counter
options on commodities or financial instruments. An option is a
contract allowing, but not requiring, its holder to buy (call)
or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period.
The option premium is the total price paid or received for the
option contract. When the Partnership and Funds writes an
option, the premium received is recorded as a liability in the
Statements of Financial Condition and marked to market daily.
When the Partnership and Funds purchases an option, the premium
paid is recorded as an asset in the Statements of Financial
Condition and marked to market daily. Realized gains (losses)
and changes in unrealized gains (losses) on options contracts
are included in the Statements of Income and Expenses.
|
|
|
h.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Partnerships income and
expenses.
|
In 2007, the Partnership adopted ASC 740, Income Taxes
(formerly, FAS No. 48, Accounting for Uncertainty in
Income Taxes). ASC 740 provides guidance for how
uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements.
ASC 740 requires the evaluation of tax positions taken or
expected to be taken in the course of preparing the
Partnerships financial statements to determine whether the
tax positions are more-likely-than-not to be
sustained by the applicable tax authority. Tax positions with
respect to tax at the Partnership level not deemed to meet the
more-likely-than-not threshold would be recorded as
a tax benefit or expense in the current year. The General
Partner has concluded that no provision for income tax is
required in the Partnerships financial statements.
The following is the major tax jurisdiction for the Partnership
and the earliest tax year subject to examination: United
States 2006.
|
|
|
|
i.
|
Subsequent Events. In 2009, the Partnership
adopted ASC 855 Subsequent Events (formerly,
FAS No. 165, Subsequent Events). The
objective of ASC 855 is to establish general standards of
accounting for and disclosure of events that occur after the
balance sheet date but before financial statements are issued or
available to be issued. See Note 9.
|
F-18
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
|
|
|
|
j.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Partnerships financial statements disclosures.
|
|
|
|
|
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
|
k.
|
Certain prior period amounts have been reclassified to conform
to the current year presentation.
|
|
|
|
|
l.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 7 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Partnership, including selecting one or more advisors to make
trading decisions for the Partnership. The General Partner has
agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (i)
1% of the partners contributions to the Partnership or
(ii) $25,000.
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreement) with Campbell & Company, Inc.
(Campbell), Aspect Capital Limited
(Aspect), Waypoint Capital Management LLC
(Waypoint) and Altis Partners (Jersey) Limited
(Altis) (each an advisor and collectively, the
Advisors), each of which is a registered commodity
trading advisor. The Advisors are not affiliated with one
another, are not affiliated with the General Partner or CGM and
are not responsible for the organization or operation of the
Partnership. The Partnership will pay each Advisor a monthly
management fee equal to 1/6 of 1% (2% a year) of month-end Net
Assets allocated to the Advisor, except for Aspect, which will
receive a monthly management fee equal to 1/12 of 1.25% (1.25% a
year) of month-end Net Assets allocated to it. Month-end Net
Assets, for the purpose of calculating management fees are Net
Assets, as defined in the Limited Partnership Agreement, prior
to the reduction of the current months incentive fee
accruals, the monthly management fees and any redemptions or
distributions as of the end of such month. The Management
Agreement may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee, payable annually, equal to 20% of the New Trading
Profits, as defined in the Management Agreements, earned by each
Advisor for the Partnership.
F-19
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
In allocating the assets of the Partnership among Advisors, the
General Partner considered past performance, trading style,
volatility of markets traded and fee requirements. The General
Partner may modify or terminate the allocation of assets among
the Advisors and may allocate assets to additional advisors at
any time.
The Partnership has entered into a customer agreement (the
Customer Agreement) which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
9/20 of 1% (5.4% per year) of month-end Net Assets in lieu of
brokerage commissions on a per trade basis. Month-end Net
Assets, for the purpose of calculating commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior
to the reduction of the current months brokerage
commission, incentive fee accruals, the monthly management fees
and other expenses and any redemptions or distributions as of
the end of such month. CGM will pay a portion of its brokerage
commissions to financial advisors who have sold Redeemable Units
in the Partnership. Brokerage commissions are paid for the life
of the Partnership, although the rate at which such fees are
paid may be changed. All NFA fees, exchange, clearing, user,
give-up and
floor brokerage fees (collectively the clearing
fees) are borne directly by the Partnership and through
its investment in the Funds. All of the Partnerships
assets, not held in the Funds accounts at CGM, are
deposited in the Partnerships account at CGM. The
Partnerships cash is deposited by CGM in segregated bank
accounts to the extent required by Commodity Futures Trading
Commission regulations. At December 31, 2009 and 2008, the
amounts of cash held for margin requirements was $90,225 and $0,
respectively. CGM has agreed to pay the Partnership interest on
80% of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion
of a Funds) account during each month. The interest is
earned at a
30-day
U.S. Treasury bill rate determined by CGM based on the
average noncompetitive yield on 3-month U.S. Treasury bills
maturing in 30 days from the date on which such weekly rate
is determined. Alternatively, CGM may place up to all the
Partnerships (or a Funds) assets in
90-day U.S.
Treasury bills and pay the Partnership 80% of the interest (or
the Partnerships allocable share thereof) earned on
Treasury bills purchased). Twenty percent of the interest earned
on Treasury bills purchased may be retained by CGM
and/or
credited to the General Partner. The Customer Agreement may be
terminated upon notice by either party.
The Partnership was formed for the purpose of trading contracts
in a variety of commodity interests, including derivative
financial instruments and derivative commodity interests. The
results of the Partnerships trading activities are shown
in the Statements of Income and Expenses.
The Customer Agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses
on open futures and forward contracts. The Partnership nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210, Balance Sheet
(formerly, FASB Interpretation No. 39, Offsetting of
Amounts Related to Certain Contracts) have been met.
All of the commodity interests owned by the Partnership are held
for trading purposes. The average number of futures contracts
traded for the year ended December 31, 2009, based on a
quarterly calculation, was 155. The average notional values of
currency forward contracts for the year ended December 31,
2009, based on a quarterly calculation, was $5,725,178.
Brokerage commissions are calculated as a percentage of the
Partnerships adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions.
F-20
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
The Partnership adopted ASC 815, Derivatives and Hedging
(formerly, FAS No. 161, Disclosures about
Derivative Instruments and Hedging Activities) as of
January 1, 2009 which requires qualitative disclosures
about objectives and strategies for using derivatives,
quantitative disclosures about fair value amounts of and gains
and losses on derivative instruments, and disclosures about
credit-risk-related contingent features in derivative
agreements. ASC 815 only expands the disclosure requirements for
derivative instruments and related hedging activities and has no
impact on the Statements of Financial Condition, Statements of
Income and Expenses and Statements of Changes in Partners
Capital. The following table indicates the fair values of
derivative instruments of futures and forward contracts as
separate assets and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
8,930
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
8,930
|
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
8,930
|
*
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
12,253
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
12,253
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(56,308
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(56,308
|
)
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
(44,055
|
)**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized depreciation on open
forward contracts on the Statements of Financial Condition. |
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
Gain (Loss)
|
|
Sector
|
|
from trading
|
|
|
Currencies
|
|
$
|
571,245
|
|
Energy
|
|
|
(16,440
|
)
|
Grains
|
|
|
15,462
|
|
Indices
|
|
|
7,618
|
|
Interest Rates U.S.
|
|
|
(75,710
|
)
|
Interest Rates
Non-U.S.
|
|
|
(6,279
|
)
|
Metals
|
|
|
92,768
|
|
Softs
|
|
|
(17,634
|
)
|
|
|
|
|
|
Total
|
|
$
|
571,030
|
|
|
|
|
|
|
F-21
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
|
|
5.
|
Investment in
Partnerships:
|
On January 1, 2005, the assets allocated to Campbell for
trading were invested in the CMF Campbell Master Fund L.P.
(Campbell Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 17,534.8936 Units of Campbell Master with
cash of $17,341,826 and a contribution of open commodity futures
and forwards positions with a fair value of $193,067. Campbell
Master was formed to permit commodity pools managed now and in
the future by Campbell using Campbells Financial, Metal
and Energy (FME) Large Portfolio, Campbells
proprietary systematic trading system, to invest together in one
trading vehicle. The General Partner is also general partner of
Campbell Master. Individual and pooled accounts currently
managed by Campbell, including the Partnership, are permitted to
be limited partners of Campbell Master. The General Partner and
Campbell believe that trading through this structure should
promote efficiency and economy in the trading process.
On March 1, 2005, the assets allocated to Aspect for
trading were invested in the CMF Aspect Master Fund L.P.
(Aspect Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 16,015.3206 Units of Aspect Master with
cash of $14,955,106 and a contribution of open commodity futures
and forwards positions with a fair value of $1,060,214. Aspect
Master was formed to permit commodity pools managed now and in
the future by Aspect using Aspects Diversified Program, a
proprietary, systematic trading system, to invest together in
one trading vehicle. The General Partner is also the general
partner of Aspect Master. Individual and pooled accounts
currently managed by Aspect, including the Partnership, are
permitted to be limited partners of Aspect Master. The General
Partner and Aspect believe that trading through this structure
should promote efficiency and economy in the trading process.
On November 1, 2005, the assets allocated to Altis for
trading were invested in the CMF Altis Partners Master
Fund L.P. (Altis Master), a limited partnership
organized under the partnership laws of the State of New York.
The Partnership purchased 13,013.6283 Units of Altis Master with
cash of $11,227,843 and a contribution of open commodity futures
and forwards positions with a fair value of $1,785,785. Altis
Master was formed to permit commodity pools managed now and in
the future by Altis using the Global Futures Portfolio Program,
a proprietary, systematic trading system, to invest together in
one trading vehicle. The General Partner is also general partner
of Altis Master. Individual and pooled accounts currently
managed by Altis, including the Partnership, are permitted to be
limited partners of Altis Master. The General Partner and Altis
believe that trading through this structure should promote
efficiency and economy in the trading process.
The assets allocated to Waypoint are not invested in a separate
limited partnership established by the General Partner, but are
held and traded by Waypoint directly in a managed account in the
Partnerships name. Waypoint trades the Partnerships
assets pursuant to its Diversified Program, a systematic trading
program.
The General Partner is not aware of any material changes to the
trading programs discussed above during the year ended
December 31, 2009.
Campbell Masters, Aspect Masters and Altis
Masters (the Funds) and the Partnerships
trading of futures, forwards, swaps and options contracts, if
applicable, on commodities is done primarily on
United States of America commodity exchanges and foreign
commodity exchanges. The Funds and the Partnership engage in
such trading through commodity brokerage accounts maintained by
CGM.
A Limited Partner may withdraw all or part of their capital
contribution and undistributed profits, if any, from the Funds
in multiples of the Net Asset Value per Redeemable Unit of
Limited Partnership Interest as of the end of any day (the
Redemption Date) after a request for redemption
has been made to the General Partner at least 3 days in
advance of the Redemption Date. The Units are classified as
a liability when the Limited Partner elects to redeem and
informs the Funds.
F-22
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
Management and incentive fees are charged at the Partnership
level. All clearing fees are borne by the Partnership and
through its investment in the Funds. All other fees including
CGMs direct brokerage commissions are charged at the
Partnership level.
At December 31, 2009, the Partnership owned approximately
7.5%, 5.5% and 12.8% of Campbell Master, Aspect Master and Altis
Master, respectively. As of December 31, 2008, the
Partnership had approximately 6.7%, 5.5% and 15.7% of Campbell
Master, Aspect Master and Altis Master, respectively. It is the
intention of the Partnership to continue to invest in the Funds.
The performance of the Partnership is directly affected by the
performance of the Funds. Expenses to investors as a result of
investment in the Funds are approximately the same and the
redemption rights are not affected.
Summarized information reflecting the Total Assets, Liabilities
and Capital for the Funds are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
Total
|
|
|
Total
|
|
|
|
Total Assets
|
|
|
Liabilities
|
|
|
Capital
|
|
|
Campbell Master
|
|
$
|
63,393,130
|
|
|
$
|
867,467
|
|
|
$
|
62,525,663
|
|
Aspect Master
|
|
|
166,072,281
|
|
|
|
934,223
|
|
|
|
165,138,058
|
|
Altis Master
|
|
|
84,341,762
|
|
|
|
34,004
|
|
|
|
84,307,758
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
313,807,173
|
|
|
$
|
1,835,694
|
|
|
$
|
311,971,479
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008
|
|
|
|
|
|
|
Total
|
|
|
Total
|
|
|
|
Total Assets
|
|
|
Liabilities
|
|
|
Capital
|
|
|
Campbell Master
|
|
$
|
127,587,225
|
|
|
$
|
112,263
|
|
|
$
|
127,474,962
|
|
Aspect Master
|
|
|
240,236,167
|
|
|
|
881,834
|
|
|
|
239,354,333
|
|
Altis Master
|
|
|
99,300,545
|
|
|
|
17,963
|
|
|
|
99,282,582
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
467,123,937
|
|
|
$
|
1,012,060
|
|
|
$
|
466,111,877
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the net gain (loss) from
trading, total income (loss) and net income (loss) for the Funds
are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Twelve Months Ended December 31, 2009
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Campbell Master
|
|
$
|
(2,923,817
|
)
|
|
$
|
(2,860,109
|
)
|
|
$
|
(2,974,707
|
)
|
Aspect Master
|
|
|
(18,818,065
|
)
|
|
|
(18,684,829
|
)
|
|
|
(18,997,603
|
)
|
Altis Master
|
|
|
(4,037,646
|
)
|
|
|
(3,970,425
|
)
|
|
|
(4,128,406
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(25,779,528
|
)
|
|
$
|
(25,515,363
|
)
|
|
$
|
(26,100,716
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Twelve Months Ended December 31, 2008
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Campbell Master
|
|
$
|
6,817,650
|
|
|
$
|
8,716,578
|
|
|
$
|
8,555,470
|
|
Aspect Master
|
|
|
68,781,504
|
|
|
|
71,028,704
|
|
|
|
70,690,200
|
|
Altis Master
|
|
|
46,523,557
|
|
|
|
47,469,925
|
|
|
|
47,259,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
122,122,711
|
|
|
$
|
127,215,207
|
|
|
$
|
126,504,685
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-23
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
Summarized information reflecting the Partnerships
investment in, and the operations of, the Funds are shown in the
following table.
For the year
ended December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
|
|
|
Income
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Fair Value
|
|
|
(loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
Campbell Master
|
|
|
15.68
|
%
|
|
$
|
4,660,413
|
|
|
$
|
(205,995
|
)
|
|
$
|
5,123
|
|
|
$
|
3,419
|
|
|
$
|
(214,537
|
)
|
|
FME Portfolio
|
|
Monthly
|
Aspect Master
|
|
|
30.34
|
%
|
|
|
9,018,321
|
|
|
|
(980,703
|
)
|
|
|
14,466
|
|
|
|
2,497
|
|
|
|
(997,666
|
)
|
|
Commodity Portfolio
|
|
Monthly
|
Altis Master
|
|
|
36.31
|
%
|
|
|
10,793,962
|
|
|
|
(599,434
|
)
|
|
|
13,409
|
|
|
|
7,942
|
|
|
|
(620,785
|
)
|
|
Commodity Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
24,472,696
|
|
|
$
|
(1,786,132
|
)
|
|
$
|
32,998
|
|
|
$
|
13,858
|
|
|
$
|
(1,832,988
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year
ended December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
|
|
|
Income
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Fair Value
|
|
|
(loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
Campbell Master
|
|
|
21.82
|
%
|
|
$
|
8,558,897
|
|
|
$
|
422,161
|
|
|
$
|
6,463
|
|
|
$
|
2,787
|
|
|
$
|
412,911
|
|
|
FME Portfolio
|
|
Monthly
|
Aspect Master
|
|
|
33.63
|
%
|
|
|
13,187,938
|
|
|
|
4,176,031
|
|
|
|
20,067
|
|
|
|
2,293
|
|
|
|
4,153,671
|
|
|
Commodity Portfolio
|
|
Monthly
|
Altis Master
|
|
|
39.62
|
%
|
|
|
15,537,759
|
|
|
|
8,165,800
|
|
|
|
34,297
|
|
|
|
7,218
|
|
|
|
8,124,285
|
|
|
Commodity Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
37,284,594
|
|
|
$
|
12,763,992
|
|
|
$
|
60,827
|
|
|
$
|
12,298
|
|
|
$
|
12,690,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. Distributions of profits, if
any, will be made at the sole discretion of the General Partner
and at such times as the General Partner may decide. A Limited
Partner may require the Partnership to redeem their Redeemable
Units at their Net Asset Value per Redeemable Unit as of the
last day of any month on 10 days notice to the General
Partner provided that no redemption may result in the Limited
Partner holding fewer than 3 units after redemption is
effected. There is no fee charged to Limited Partners in
connection with redemptions.
F-24
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(179.89
|
)
|
|
$
|
512.64
|
|
|
$
|
39.30
|
|
Interest income
|
|
|
1.38
|
|
|
|
19.30
|
|
|
|
58.34
|
|
Expenses**
|
|
|
(45.52
|
)
|
|
|
(134.36
|
)
|
|
|
(50.81
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(224.03
|
)
|
|
|
397.58
|
|
|
|
46.83
|
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
2,117.49
|
|
|
|
1,719.91
|
|
|
|
1,673.08
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
1,893.46
|
|
|
$
|
2,117.49
|
|
|
$
|
1,719.91
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Includes brokerage commissions.
|
|
|
|
|
|
|
|
|
|
|
|
|
** Excludes brokerage commissions.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) before incentive fees***
|
|
|
(7.8
|
)%
|
|
|
(7.0
|
)%
|
|
|
(4.2
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
7.8
|
%
|
|
|
8.1
|
%
|
|
|
7.7
|
%
|
Incentive fees
|
|
|
0.1
|
%
|
|
|
5.1
|
%
|
|
|
1.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
7.9
|
%
|
|
|
13.2
|
%
|
|
|
8.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return before incentive fees
|
|
|
(10.5
|
)%
|
|
|
29.3
|
%
|
|
|
3.8
|
%
|
Incentive fees
|
|
|
(0.1
|
)%
|
|
|
(6.2
|
)%
|
|
|
(1.0
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return after incentive fees
|
|
|
(10.6
|
)%
|
|
|
23.1
|
%
|
|
|
2.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partners class using
the Limited Partners share of income, expenses and average
net assets.
|
|
8.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Partnership and the
Funds are parties to financial instruments with off-balance
sheet risk, including derivative financial instruments and
derivative commodity instruments. These financial instruments
may include forwards, futures, options and swaps, whose values
are based upon an underlying asset, index, or reference rate,
and generally represent future commitments to exchange
currencies or cash balances, to purchase or sell other financial
instruments at specific terms at specified future dates, or, in
the case of derivative commodity instruments, to have a
reasonable possibility to be settled in cash, through physical
delivery or with another financial instrument. These instruments
may be traded on an exchange or over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include certain forwards and option contracts. Each of these
instruments is subject to various risks similar to those related
to the underlying financial instruments including market and
credit risk. In general, the risks associated with OTC contracts
are greater than those associated with exchange traded
instruments because of the greater risk of default by the
counterparty to an OTC contract.
The risk to the Limited Partners that have purchased interests
in the Partnership is limited to the amount of their capital
contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This
limited liability is a consequence of the organization of the
Partnership as a limited partnership under applicable law.
F-25
Global
Diversified Futures Fund L.P.
Notes to Financial Statement
December 31, 2009
Market risk is the potential for changes in the value of the
financial instruments traded by the Partnership/Funds due to
market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices.
Market risk is directly impacted by the volatility and liquidity
in the markets in which the related underlying assets are
traded. The Partnership/Funds are exposed to a market risk equal
to the value of futures and forward contracts purchased and
unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Partnerships/Funds risk of loss in the
event of a counterparty default is typically limited to the
amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the
instruments. The Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/Funds assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Partnerships/Funds counterparty is an exchange or
clearing organization.
As both a buyer and seller of options, the Partnership/Funds pay
or receive a premium at the outset and then bear the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Partnership/Funds to
potentially unlimited liability; for purchased options the risk
of loss is limited to the premiums paid. Certain written put
options permit cash settlement and do not require the option
holder to own the reference asset. The Partnership/Funds do not
consider these contracts to be guarantees as described in ASC
460 Guarantees (formerly, FAS No. 45,
Guarantors Accounting and Disclosure Requirements
for Guarantees).
The General Partner monitors and attempts to control the
Partnerships/Funds risk exposure on a daily basis
through financial, credit and risk management monitoring
systems, and accordingly, believes that it has effective
procedures for evaluating and limiting the credit and market
risks to which the Partnership/Funds may be subject. These
monitoring systems generally allow the General Partner to
statistically analyze actual trading results with risk adjusted
performance indicators and correlation statistics. In addition,
on-line monitoring systems provide account analysis of futures,
forwards and options positions by sector, margin requirements,
gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the Partnership
and Funds business, these instruments may not be held to
maturity.
Effective March 1, 2010, the assets allocated to Waypoint
for trading directly were invested in Waypoint Master
Fund L.P.
F-26
Selected unaudited quarterly financial data for the Partnership for the years ended December
31, 2009 and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(1,418,192 |
) |
|
$ |
1,301,783 |
|
|
$ |
(1,235,378 |
) |
|
$ |
(1,700,722 |
) |
Net income (loss) |
|
$ |
(1,491,428 |
) |
|
$ |
1,064,994 |
|
|
$ |
(1,498,528 |
) |
|
$ |
(1,892,606 |
) |
Increase (decrease)
in Net Asset Value
per Unit |
|
$ |
(94.38 |
) |
|
$ |
66.09 |
|
|
$ |
(89.57 |
) |
|
$ |
(106.17 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
|
period from |
|
period from |
|
period from |
|
period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
7,378,560 |
|
|
$ |
(5,367,111 |
) |
|
$ |
5,720,765 |
|
|
$ |
3,300,763 |
|
Net income (loss) |
|
$ |
5,687,836 |
|
|
$ |
(4,524,768 |
) |
|
$ |
4,502,359 |
|
|
$ |
2,574,891 |
|
Increase (decrease)
in Net Asset Value
per Unit |
|
$ |
286.96 |
|
|
$ |
(215.83 |
) |
|
$ |
215.97 |
|
|
$ |
110.48 |
|
F-27
To the Limited
Partners of
CMF Campbell Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Campbell Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-28
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Campbell Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Campbell Master Fund L.P.
(the Partnership), including the condensed schedule of investments, as of December 31, 2009, and
the related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Campbell Master Fund L.P. as of December 31, 2009, and the results of its
operations and its changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-29
Report of Independent Auditors
To the Partners of
CMF Campbell Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in
partners capital present fairly, in all material respects, the financial position of CMF Campbell
Master Fund L.P. at December 31, 2008, and the results of its operations for the year then
ended in conformity with accounting principles generally accepted in the United States of America.
These financial statements are the responsibility of the Companys management. Our responsibility
is to express an opinion on these financial statements based on our audit. We conducted our audit
of these statements in accordance with auditing standards generally accepted in the United States
of America. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-30
Report of Independent Registered Public Accounting Firm
The Partners
CMF Campbell Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Campbell Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnerships management. Our responsibility is to express an
opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Campbell Master Fund
L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted accounting
principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-31
CMF Campbell
Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
57,797,715
|
|
|
$
|
119,063,081
|
|
Cash margin (Note 3c)
|
|
|
5,501,376
|
|
|
|
7,947,067
|
|
Net unrealized appreciation on open futures contracts
|
|
|
|
|
|
|
159,230
|
|
Net unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
397,543
|
|
Options owned, at fair value (cost $96,122 and $36,166 at
December 31, 2009 and 2008, respectively)
|
|
|
94,039
|
|
|
|
20,304
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
63,393,130
|
|
|
$
|
127,587,225
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
366,940
|
|
|
$
|
|
|
Net unrealized depreciation on open forward contracts
|
|
|
431,591
|
|
|
|
|
|
Options written, at fair value (premium $34,361 and $108,994 at
December 31, 2009 and 2008, respectively)
|
|
|
35,406
|
|
|
|
82,624
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
33,530
|
|
|
|
29,639
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
867,467
|
|
|
|
112,263
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 56,557.8676 and 112,523.4490
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
62,525,663
|
|
|
|
127,474,962
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
63,393,130
|
|
|
$
|
127,587,225
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-32
CMF Campbell
Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
36
|
|
|
$
|
21,183
|
|
|
|
0.03
|
%
|
Grains
|
|
|
3
|
|
|
|
2,325
|
|
|
|
0.00
|
*
|
Interest Rates
Non-U.S.
|
|
|
446
|
|
|
|
(283,167
|
)
|
|
|
(0.45
|
)
|
Interest Rates U.S.
|
|
|
507
|
|
|
|
(493,888
|
)
|
|
|
(0.79
|
)
|
Indices
|
|
|
455
|
|
|
|
441,278
|
|
|
|
0.71
|
|
Metals
|
|
|
18
|
|
|
|
(83,265
|
)
|
|
|
(0.13
|
)
|
Softs
|
|
|
22
|
|
|
|
(4,234
|
)
|
|
|
(0.00
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
(399,768
|
)
|
|
|
(0.63
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
1
|
|
|
|
2,730
|
|
|
|
0.00
|
*
|
Grains
|
|
|
9
|
|
|
|
2,750
|
|
|
|
0.00
|
*
|
Interest Rates
Non-U.S.
|
|
|
136
|
|
|
|
26,911
|
|
|
|
0.04
|
|
Interest Rates U.S.
|
|
|
2
|
|
|
|
437
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
32,828
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
$135,784,768
|
|
|
|
2,033,847
|
|
|
|
3.25
|
|
Metals
|
|
|
37
|
|
|
|
285,660
|
|
|
|
0.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on forward contracts
|
|
|
|
|
|
|
2,319,507
|
|
|
|
3.71
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
$154,270,721
|
|
|
|
(2,642,315
|
)
|
|
|
(4.23
|
)
|
Metals
|
|
|
17
|
|
|
|
(108,783
|
)
|
|
|
(0.17
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on forward contracts
|
|
|
|
|
|
|
(2,751,098
|
)
|
|
|
(4.40
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
$2,499,064,517
|
|
|
|
49,773
|
|
|
|
0.08
|
|
Puts
|
|
|
$430,245,216
|
|
|
|
44,266
|
|
|
|
0.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
94,039
|
|
|
|
0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
$13,333,773
|
|
|
|
(26,438
|
)
|
|
|
(0.04
|
)
|
Puts
|
|
|
$43,764,467,517
|
|
|
|
(8,968
|
)
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(35,406
|
)
|
|
|
(0.05
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(739,898
|
)
|
|
|
(1.18
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-33
CMF Campbell
Master Fund L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rates Non-U.S
|
|
|
1,065
|
|
|
$
|
600,131
|
|
|
|
0.47
|
%
|
Interest Rates U.S
|
|
|
129
|
|
|
|
(204,258
|
)
|
|
|
(0.16
|
)
|
Indices
|
|
|
41
|
|
|
|
44,667
|
|
|
|
0.04
|
|
Metals
|
|
|
1
|
|
|
|
3,250
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
443,790
|
|
|
|
0.35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
20
|
|
|
|
(42,257
|
)
|
|
|
(0.03
|
)
|
Interest Rates Non-U.S
|
|
|
174
|
|
|
|
(92,304
|
)
|
|
|
(0.07
|
)
|
Interest Rates U.S
|
|
|
17
|
|
|
|
(987
|
)
|
|
|
(0.00
|
)*
|
Indices
|
|
|
193
|
|
|
|
(149,012
|
)
|
|
|
(0.12
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(284,560
|
)
|
|
|
(0.22
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
$99,409,075
|
|
|
|
3,229,485
|
|
|
|
2.53
|
|
Metals
|
|
|
2
|
|
|
|
5,333
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,234,818
|
|
|
|
2.53
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
$88,487,957
|
|
|
|
(2,741,087
|
)
|
|
|
(2.15
|
)
|
Metals
|
|
|
31
|
|
|
|
(96,188
|
)
|
|
|
(0.08
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,837,275
|
)
|
|
|
(2.23
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
$18,199,906,162
|
|
|
|
(2,055
|
)
|
|
|
(0.00
|
)*
|
Puts
|
|
|
$3,116,570
|
|
|
|
22,359
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
20,304
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
$13,554,290
|
|
|
|
(5,765
|
)
|
|
|
(0.00
|
)*
|
Puts
|
|
|
$62,971,974,893
|
|
|
|
(76,859
|
)
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(82,624
|
)
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
494,453
|
|
|
|
0.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-34
CMF Campbell
Master Fund L.P.
Statements of Income and Expenses
for the years ended December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(1,554,877
|
)
|
|
$
|
5,096,789
|
|
|
$
|
(7,020,650
|
)
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(1,368,940
|
)
|
|
|
1,720,861
|
|
|
|
(19,893,661
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(2,923,817
|
)
|
|
|
6,817,650
|
|
|
|
(26,914,311
|
)
|
Interest income
|
|
|
63,708
|
|
|
|
1,898,928
|
|
|
|
9,721,573
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(2,860,109
|
)
|
|
|
8,716,578
|
|
|
|
(17,192,738
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
68,487
|
|
|
|
114,965
|
|
|
|
436,254
|
|
Professional fees
|
|
|
46,111
|
|
|
|
46,143
|
|
|
|
38,051
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
114,598
|
|
|
|
161,108
|
|
|
|
474,305
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(2,974,707
|
)
|
|
$
|
8,555,470
|
|
|
$
|
(17,667,043
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(26.58
|
)
|
|
$
|
48.81
|
|
|
$
|
(82.98
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
83,268.2801
|
|
|
|
158,476.3485
|
|
|
|
240,248.7234
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-35
CMF Campbell
Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
327,090,390
|
|
Net income (loss)
|
|
|
(17,667,043
|
)
|
Sale of 6,744.0375 Redeemable Units of Limited Partnership
Interest
|
|
|
7,969,328
|
|
Redemption of 77,141.7434 Redeemable Units of Limited
Partnership Interest
|
|
|
(90,974,902
|
)
|
Distribution of interest income to feeder funds
|
|
|
(9,721,573
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
216,696,200
|
|
Net income (loss)
|
|
|
8,555,470
|
|
Sale of 7,110.7187 Redeemable Units of Limited Partnership
Interest
|
|
|
7,921,000
|
|
Redemption of 92,351.1825 Redeemable Units of Limited
Partnership Interest
|
|
|
(103,798,780
|
)
|
Distribution of interest income to feeder funds
|
|
|
(1,898,928
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
127,474,962
|
|
Net income (loss)
|
|
|
(2,974,707
|
)
|
Sale of 2,270.6919 Redeemable Units of Limited Partnership
Interest
|
|
|
2,531,000
|
|
Redemption of 58,236.2733 Redeemable Units of Limited
Partnership Interest
|
|
|
(64,441,884
|
)
|
Distribution of interest income to feeder funds
|
|
|
(63,708
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
62,525,663
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,095.73
|
|
|
|
|
|
|
2008:
|
|
$
|
1,132.87
|
|
|
|
|
|
|
2009:
|
|
$
|
1,105.52
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-36
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Campbell Master Fund L.P. (the Master) is a
limited partnership that was organized under the partnership
laws of the State of New York to engage in the speculative
trading of a diversified portfolio of commodity interests
including futures contracts, options, swaps and forward
contracts. The commodity interests that are traded by the Master
are volatile and involve a high degree of market risk. The
sectors traded include currencies, energy, grains, indices,
metals, softs, U.S. and non-U.S. interest rates. The Master is
authorized to sell an unlimited number of redeemable units of
Limited Partnership Interest (Redeemable Units).
Ceres Managed Futures LLC (formerly Citigroup Managed Futures
LLC), a Delaware limited liability company, acts as the general
partner (the General Partner) and commodity pool
operator of the Master. The General Partner is wholly owned by
Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings), a newly registered non-clearing futures
commission merchant and a member of the National Futures
Association (NFA). Morgan Stanley, indirectly
through various subsidiaries, owns 51% of MSSB Holdings.
Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Master, owns 49% of MSSB
Holdings. Citigroup Inc. (Citigroup), indirectly
through various subsidiaries, wholly owns CGM. Prior to
July 31, 2009, the date as of which MSSB Holdings became
its owner, the General Partner was wholly owned by Citigroup
Financial Products Inc., a wholly owned subsidiary of Citigroup
Global Markets Holdings Inc., the sole owner of which is
Citigroup.
On January 1, 2005, (commencement of trading operations),
Potomac Futures Fund L.P., formerly Smith Barney Potomac Futures
Fund L.P. (Potomac), Diversified Multi-Advisor
Futures Fund L.P., formerly Smith Barney Diversified Futures
Fund L.P., (Diversified), Diversified
Multi-Advisor Futures Fund L.P. II, formerly Smith Barney
Diversified Futures Fund L.P. II, (Diversified
II), Smith Barney Global Markets Futures Fund L.P.
(Global Markets), Global Diversified Futures Fund
L.P., formerly Citigroup Global Diversified Futures
Fund L.P., (Global Diversified) and Diversified
2000 Futures Fund L.P., formerly Citigroup Diversified 2000
Futures Fund L.P., (Diversified 2000) each
allocated a portion of their capital to the Master. Potomac
purchased 173,788.6446 Redeemable Units with cash equal to
$172,205,653 and a contribution of open commodity futures and
forwards positions with a fair value of $1,582,992, Diversified
purchased 19,621.1422 Redeemable Units with cash equal to
$19,428,630 and a contribution of open commodity futures and
forwards positions with a fair value of $192,512,
Diversified II purchased 18,800.3931 Redeemable Units with
cash equal to $18,587,905 and a contribution of open commodity
futures and forwards positions with a fair value of $212,488,
Global Markets purchased 2,858.0358 Redeemable Units with cash
equal to $2,759,784 and a contribution of open commodity futures
and forwards positions with a fair value of $98,252, Global
Diversified purchased 17,534.8936 Redeemable Units with cash
equal to $17,341,826 and a contribution of open commodity
futures and forwards positions with a fair value of $193,067 and
Diversified 2000 purchased 51,356.1905 Redeemable Units with
cash equal to $50,768,573 and a contribution of open commodity
futures and forwards positions with a fair value of $587,618. On
December 31, 2007, Global Markets redeemed its entire
investment of 0.9% in the Master, this amounted to
1,712.0595 Redeemable Units totaling $1,880,624. On
May 31, 2009, Diversified redeemed its entire investment of
3.5% in the Master, this amounted to 2,972.0800 Redeemable
Units totaling $3,229,089. On May 31, 2009,
Diversified II redeemed its entire investment of 5.1% in
the Master, this amounted to 4,363.4027 Redeemable Units
totaling $4,740,726. The Master was formed to permit commodity
pools managed now and in the future by Campbell and Company Inc.
(the Advisor), using the Financial, Metal &
Energy Large Portfolio Program, the Advisors proprietary,
systematic trading program, to invest together in one trading
vehicle.
The Master operates under a structure where its investors
consist of Potomac, Global Diversified and Diversified 2000
owned approximately 83.5%, 7.5% and 9.0% investments in the
Master at December 31, 2009, respectively. Potomac,
Diversified, Diversified II, Global Diversified and Diversified
2000 (each a Feeder, collectively the
Funds) had approximately 71.5%, 5.6%, 5.9%, 6.7%,
and 10.3% investments in the Master at December 31, 2008,
respectively.
F-37
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2024; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. Generally Accepted
Accounting Principles (GAAP) for use in financial
statements except for Securities and Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
Use of Estimates. The preparation of financial
statements and accompanying notes in conformity with GAAP
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, income
and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, Statement of Cash Flows (formerly, FAS No. 102
Statement of Cash Flows-Exemption of Certain Enterprises
and Classification of Cash Flows from Certain Securities
Acquired for Resale).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into
U.S. dollars at the exchange rates prevailing at the
measurement date. Gains or losses are realized when contracts
are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and
any change in net unrealized gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, Fair Value Measurements and Disclosures
(formerly, FAS No. 157, Fair Value
Measurements) as of January 1, 2008 which defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date. ASC 820
establishes a framework for measuring fair value and expands
disclosures regarding fair value measurements in accordance with
GAAP. The fair value hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets
or liabilities (Level 1) and the lowest priority to
fair values derived from unobservable inputs (Level 3). The
level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on
the lowest level input that is significant to the fair value
measurement in its entirety. The Master did not apply the
deferral allowed by ASC 820 for nonfinancial assets and
nonfinancial liabilities measured at fair value on a
nonrecurring basis.
F-38
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (formerly,
FAS No. 157-4,
Determining Fair Value When the Volume and Level of
Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly) which
reaffirms that fair value is the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date
under current market conditions. These amendments to ASC 820
also reaffirm the need to use judgment in determining if a
formerly active market has become inactive and in determining
fair values when the market has become inactive. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the volume and
level of activity in the Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters Financial Statements.
The Master considers prices for exchange traded commodity
futures, forwards and options contracts to be based on
unadjusted quoted prices in active markets for identical assets
(Level 1). The values of non-exchange traded forwards,
swaps and certain options contracts for which market quotations
are not readily available are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2). As of and for the years ended December 31,
2009 and 2008, the Master did not hold any derivative
instruments that are priced at fair value using unobservable
inputs through the application of managements assumptions
and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
176,877
|
|
|
$
|
176,877
|
|
|
$
|
|
|
|
$
|
|
|
Options owned
|
|
|
94,039
|
|
|
|
|
|
|
|
94,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
270,916
|
|
|
|
176,877
|
|
|
|
94,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
366,940
|
|
|
$
|
366,940
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
608,468
|
|
|
|
|
|
|
|
608,468
|
|
|
|
|
|
Options written
|
|
|
35,406
|
|
|
|
|
|
|
|
35,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,010,814
|
|
|
|
366,940
|
|
|
|
643,874
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(739,898
|
)
|
|
$
|
(190,063
|
)
|
|
$
|
(549,835
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-39
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
159,230
|
|
|
$
|
159,230
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
488,398
|
|
|
|
|
|
|
|
488,398
|
|
|
|
|
|
Options owned
|
|
|
20,304
|
|
|
|
|
|
|
|
20,304
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
667,932
|
|
|
|
159,230
|
|
|
|
508,702
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
90,855
|
|
|
$
|
90,855
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
82,624
|
|
|
|
|
|
|
|
82,624
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
173,479
|
|
|
|
90,855
|
|
|
|
82,624
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
494,453
|
|
|
$
|
68,375
|
|
|
$
|
426,078
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery cannot occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. When the
contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
Because transactions in futures contracts require participants
to make both initial margin deposits of cash or other assets and
variation margin deposits, through the futures broker, directly
with the exchange on which the contracts are traded, credit
exposure is limited. Realized gains (losses) and changes in
unrealized gains (losses) on futures contracts are included in
the Statements of Income and Expenses.
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
|
|
|
|
|
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
|
f.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are
cash settled based on prompt dates published by the LME.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying
|
F-40
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
contracts, and are recorded as unrealized gains or losses by the
Master. A contract is considered offset when all long positions
have been matched with short positions. When the contract is
closed at the prompt date, the Master records a realized gain or
loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was
closed. Because transactions in LME contracts require
participants to make both initial margin deposits of cash or
other assets and variation margin deposits, through the broker,
directly with the LME, credit exposure is limited. Realized
gains (losses) and changes in unrealized gains (losses) on metal
contracts are included in the Statements of Income and Expenses.
|
|
|
|
|
g.
|
Options. The Master may purchase and write
(sell) both exchange listed and over-the-counter, options on
commodities or financial instruments. An option is a contract
allowing, but not requiring, its holder to buy (call) or sell
(put) a specific or standard commodity or financial instrument
at a specified price during a specified time period. The option
premium is the total price paid or received for the option
contract. When the Master writes an option, the premium received
is recorded as a liability in the Statements of Financial
Condition and marked to market daily. When the Master purchases
an option, the premium paid is recorded as an asset in the
Statements of Financial Condition and marked to market daily.
Realized gains (losses) and changes in unrealized gains (losses)
on options contracts are included in the Statements of Income
and Expenses.
|
|
|
h.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
i.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
|
|
|
|
|
In 2007, the Master adopted ASC 740, Income Taxes (formerly, FAS
No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master level not deemed to meet the
more-likely-than-not threshold would be recorded as
a tax benefit or expense in the current year. The General
Partner has concluded that no provision for income tax is
required in the Masters financial statements.
|
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
j.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 is to
establish general standards of accounting for and disclosure of
events that occur after the balance sheet date but before
financial statements are issued or available to be issued.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
k.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim
|
F-41
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
and annual periods beginning after December 15, 2009,
except for the disclosures about purchases, sales, issuances,
and settlements in the roll forward of activity in Level 3
fair value measurements (which are effective for fiscal years
beginning after December 15, 2010, and for interim periods
within those fiscal years). Management is currently assessing
the impact that the adoption of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
l.
|
Certain prior period amounts have been reclassified to conform
to current year presentation.
|
|
|
|
|
m.
|
Net Income (Loss) per Redeemable Unit. Net income (loss)
per Redeemable Unit is calculated in accordance with investment
company guidance. See footnote 6 for Financial Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements was $5,501,376 and $7,947,067,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
F-42
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forwards contracts. The Master nets, for
financial reporting purposes, the unrealized gain and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210, Balance Sheet
(formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain Contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 2,054. The average
notional values of currency forward and options contracts for
the year ended December 31, 2009 based on a quarterly
calculation, was $69,725,956,141.
The Master adopted ASC 815 Derivatives and Hedging (formerly,
FAS No. 161, Disclosures about Derivative
Instruments and Hedging Activities) as of January 1,
2009 which requires qualitative disclosures about objectives and
strategies for using derivatives, quantitative disclosures about
fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related
contingent features in derivative agreements. ASC 815 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
The following table indicates the fair values of derivative
instruments of futures, forward and option contracts as separate
assets and liabilities.
|
|
|
|
|
Assets
|
|
December 31, 2009
|
|
|
Futures Contracts
|
|
|
|
|
Energy
|
|
$
|
28,837
|
|
Grains
|
|
|
5,075
|
|
Interest Rates
Non-U.S.
|
|
|
76,641
|
|
Interest Rates U.S.
|
|
|
437
|
|
Indices
|
|
|
480,732
|
|
Metals
|
|
|
410
|
|
Softs
|
|
|
19,185
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
611,317
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Energy
|
|
$
|
(4,924
|
)
|
Interest Rates
Non-U.S.
|
|
|
(332,897
|
)
|
Interest Rates U.S.
|
|
|
(493,888
|
)
|
Indices
|
|
|
(39,454
|
)
|
Metals
|
|
|
(83,675
|
)
|
Softs
|
|
|
(23,419
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(978,257
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(366,940
|
)*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures contracts on the Statements of Financial Condition. |
F-43
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
2,033,847
|
|
Metals
|
|
|
285,660
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
2,319,507
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(2,642,315
|
)
|
Metals
|
|
|
(108,783
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(2,751,098
|
)
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
(431,591
|
)**
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Options Owned
|
|
|
|
|
Currencies
|
|
$
|
94,039
|
|
|
|
|
|
|
Total options owned
|
|
$
|
94,039
|
***
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Options Written
|
|
|
|
|
Currencies
|
|
$
|
(35,406
|
)
|
|
|
|
|
|
Total options written
|
|
$
|
(35,406
|
)****
|
|
|
|
|
|
|
|
|
** |
|
This amount is in Net unrealized depreciation on open
forward contracts on the Statements of Financial Condition. |
|
*** |
|
This amount is in Options owned, at fair value on
the Statements of Financial Condition. |
|
**** |
|
This amount is in Options written, at fair value on
the Statements of Financial Condition. |
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (loss) from trading
|
|
|
Currencies
|
|
$
|
1,997,244
|
|
Energy
|
|
|
(974,078
|
)
|
Grains
|
|
|
(20,375
|
)
|
Indices
|
|
|
(1,252,475
|
)
|
Interest Rates U.S.
|
|
|
(266,706
|
)
|
Interest Rates
Non-U.S.
|
|
|
(2,892,506
|
)
|
Metals
|
|
|
687,827
|
|
Softs
|
|
|
(202,748
|
)
|
|
|
|
|
|
Total
|
|
$
|
(2,923,817
|
)*****
|
|
|
|
|
|
|
|
|
***** |
|
This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses. |
F-44
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end of any day (the Redemption Date) after
a request for redemption has been made to the General Partner at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(26.73
|
)
|
|
$
|
37.47
|
|
|
$
|
(123.87
|
)
|
Interest income
|
|
|
0.77
|
|
|
|
11.67
|
|
|
|
41.04
|
|
Expenses**
|
|
|
(0.62
|
)
|
|
|
(0.33
|
)
|
|
|
(0.15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(26.58
|
)
|
|
|
48.81
|
|
|
|
(82.98
|
)
|
Distribution of interest income to feeder funds
|
|
|
(0.77
|
)
|
|
|
(11.67
|
)
|
|
|
(41.04
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,132.87
|
|
|
|
1,095.73
|
|
|
|
1,219.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,105.52
|
|
|
$
|
1,132.87
|
|
|
$
|
1,095.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
1.0
|
%
|
|
|
3.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.1
|
%
|
|
|
0.1
|
%
|
|
|
0.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(2.4
|
)%
|
|
|
4.5
|
%
|
|
|
(6.8
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures and options, whose values are based upon an underlying
asset, index, or reference rate, and generally represent future
commitments to exchange currencies or cash balances, or to
purchase or sell other financial instruments at specific terms
at specified future dates, or, in the case of derivative
commodity instruments, to have a reasonable possibility to be
settled in cash, through physical delivery or with another
financial instrument. These instruments may be traded on an
exchange or over-the-counter (OTC). Exchange traded
instruments are standardized and include futures and certain
forwards and option contracts. OTC contracts are negotiated
between contracting parties and include certain forwards and
option contracts. Each of these instruments is subject to
various risks similar to those related to the underlying
financial instruments including market and credit risk. In
general, the
F-45
CMF Campbell
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
risks associated with OTC contracts are greater than those
associated with exchange traded instruments because of the
greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the
financial instruments traded by the Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to a market risk equal to the value of futures and
forward contracts purchased and unlimited liability on such
contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Masters risk of loss in the event of
counterparty default is typically limited to the amounts
recognized in the Statements of Financial Condition and not
represented by the contract or notional amounts of the
instruments. The Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
As both a buyer and seller of options, the Master pays or
receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Master to potentially
unlimited liability; for purchased options the risk of loss is
limited to the premiums paid. Certain written put options permit
cash settlement and do not require the option holder to own the
reference asset. The Master does not consider these contracts to
be guarantees as described in ASC 460, Guarantees (formerly,
FAS No. 45, Guarantors Accounting and
Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the
Masters risk exposure on a daily basis through financial,
credit and risk management monitoring systems, and accordingly,
believes that it has effective procedures for evaluating and
limiting the credit and market risks to which the Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions by sector, margin
requirements, gain and loss transactions and collateral
positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the Masters
business, these instruments may not be held to maturity.
F-46
Selected unaudited quarterly financial data for Campbell Master for the years ended December
31, 2009 and 2008 is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(329,261 |
) |
|
$ |
3,086,205 |
|
|
$ |
(6,084,826 |
) |
|
$ |
399,286 |
|
Net income (loss) |
|
$ |
(346,562 |
) |
|
$ |
3,078,368 |
|
|
$ |
(6,094,561 |
) |
|
$ |
388,048 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(7.04 |
) |
|
$ |
47.10 |
|
|
$ |
(69.28 |
) |
|
$ |
2.64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(587,579 |
) |
|
$ |
(4,348,292 |
) |
|
$ |
10,671,583 |
|
|
$ |
2,865,901 |
|
Net income (loss) |
|
$ |
(607,961 |
) |
|
$ |
(4,356,671 |
) |
|
$ |
10,663,067 |
|
|
$ |
2,857,035 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(4.11 |
) |
|
$ |
(32.44 |
) |
|
$ |
70.15 |
|
|
$ |
15.21 |
|
F-47
To the Limited
Partners of
CMF Aspect Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Aspect Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-48
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Aspect Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Aspect Master Fund L.P.
(the Partnership), including the condensed schedule of investments, as of December 31, 2009, and
the related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Aspect Master Fund L.P. as of December 31, 2009, and the results of its operations
and its changes in partners capital for the year then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-49
Report of Independent Auditors
To the Partners of
CMF Aspect Partners Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in
partners capital present fairly, in all material respects, the financial position of CMF Aspect
Partners Master Fund L.P. at December 31, 2008, and the results of its operations for the
year then ended in conformity with accounting principles generally accepted in the United States of
America. These financial statements are the responsibility of the Companys management. Our
responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit of these statements in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-50
Report of Independent Registered Public Accounting Firm
The Partners
CMF Aspect Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Aspect Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnerships management. Our responsibility is to express an
opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Aspect Master Fund L.P.
for the year ended December 31, 2007, in conformity with U.S. generally accepted accounting
principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-51
CMF Aspect Master
Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
142,959,369
|
|
|
$
|
213,611,724
|
|
Cash margin (Note 3c)
|
|
|
22,969,045
|
|
|
|
18,981,887
|
|
Net unrealized appreciation on open futures contracts
|
|
|
|
|
|
|
7,642,556
|
|
Net unrealized appreciation on open forward contracts
|
|
|
143,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
166,072,281
|
|
|
$
|
240,236,167
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
907,618
|
|
|
$
|
|
|
Net unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
866,177
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
26,605
|
|
|
|
15,657
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
934,223
|
|
|
|
881,834
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 96,151.3601 and 125,803.5845
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
165,138,058
|
|
|
|
239,354,333
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
166,072,281
|
|
|
$
|
240,236,167
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-52
CMF Aspect Master
Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
% of Partners
|
|
|
|
Number of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
5
|
|
|
$
|
(36,750
|
)
|
|
|
(0.02
|
)%
|
Energy
|
|
|
233
|
|
|
|
465,769
|
|
|
|
0.28
|
|
Grains
|
|
|
174
|
|
|
|
190,195
|
|
|
|
0.12
|
|
Indices
|
|
|
1,391
|
|
|
|
1,242,828
|
|
|
|
0.75
|
|
Interest Rates U.S.
|
|
|
1,214
|
|
|
|
(1,328,931
|
)
|
|
|
(0.81
|
)
|
Interest Rates
Non-U.S.
|
|
|
4,941
|
|
|
|
(1,403,280
|
)
|
|
|
(0.85
|
)
|
Metals
|
|
|
231
|
|
|
|
(1,423,928
|
)
|
|
|
(0.86
|
)
|
Softs
|
|
|
757
|
|
|
|
1,285,890
|
|
|
|
0.78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
(1,008,207
|
)
|
|
|
(0.61
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
28
|
|
|
|
89,080
|
|
|
|
0.05
|
|
Grains
|
|
|
153
|
|
|
|
22,242
|
|
|
|
0.01
|
|
Indices
|
|
|
1
|
|
|
|
162
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
36
|
|
|
|
8,594
|
|
|
|
0.01
|
|
Interest Rates
Non-U.S.
|
|
|
217
|
|
|
|
43,819
|
|
|
|
0.03
|
|
Livestock
|
|
|
179
|
|
|
|
(137,508
|
)
|
|
|
(0.08
|
)
|
Softs
|
|
|
205
|
|
|
|
74,200
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
100,589
|
|
|
|
0.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
74,114,061
|
|
|
|
990,192
|
|
|
|
0.60
|
|
Metals
|
|
|
281
|
|
|
|
769,799
|
|
|
|
0.47
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
1,759,991
|
|
|
|
1.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
95,889,125
|
|
|
|
(1,487,481
|
)
|
|
|
(0.90
|
)
|
Metals
|
|
|
70
|
|
|
|
(128,643
|
)
|
|
|
(0.08
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,616,124
|
)
|
|
|
(0.98
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(763,751
|
)
|
|
|
(0.46
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-53
CMF Aspect Master
Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
% of Partners
|
|
|
|
Number of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
30
|
|
|
$
|
60,984
|
|
|
|
0.02
|
%
|
Indices
|
|
|
2
|
|
|
|
2,573
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
1,224
|
|
|
|
2,077,625
|
|
|
|
0.87
|
|
Interest Rates
Non-U.S.
|
|
|
4,998
|
|
|
|
5,498,661
|
|
|
|
2.30
|
|
Metals
|
|
|
7
|
|
|
|
16,820
|
|
|
|
0.01
|
|
Softs
|
|
|
104
|
|
|
|
206,200
|
|
|
|
0.08
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
7,862,863
|
|
|
|
3.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
290
|
|
|
|
505,202
|
|
|
|
0.21
|
|
Grains
|
|
|
338
|
|
|
|
(604,114
|
)
|
|
|
(0.25
|
)
|
Indices
|
|
|
125
|
|
|
|
(146,058
|
)
|
|
|
(0.06
|
)
|
Livestock
|
|
|
137
|
|
|
|
61,865
|
|
|
|
0.03
|
|
Metals
|
|
|
50
|
|
|
|
31,653
|
|
|
|
0.01
|
|
Softs
|
|
|
411
|
|
|
|
(68,855
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(220,307
|
)
|
|
|
(0.09
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
51,489,955
|
|
|
|
1,384,014
|
|
|
|
0.58
|
|
Metals
|
|
|
26
|
|
|
|
48,387
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
1,432,401
|
|
|
|
0.60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
41,384,671
|
|
|
|
(1,743,244
|
)
|
|
|
(0.73
|
)
|
Metals
|
|
|
308
|
|
|
|
(555,334
|
)
|
|
|
(0.23
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,298,578
|
)
|
|
|
(0.96
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
6,776,379
|
|
|
|
2.83
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-54
CMF Aspect Master
Fund L.P.
Statements
of Income and Expenses
for the years ended December 31, 2009, 2008, and
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(11,277,935
|
)
|
|
$
|
69,752,159
|
|
|
$
|
20,714,242
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(7,540,130
|
)
|
|
|
(970,655
|
)
|
|
|
(2,250,581
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(18,818,065
|
)
|
|
|
68,781,504
|
|
|
|
18,463,661
|
|
Interest income
|
|
|
133,236
|
|
|
|
2,247,200
|
|
|
|
7,517,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(18,684,829
|
)
|
|
|
71,028,704
|
|
|
|
25,980,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
266,630
|
|
|
|
302,515
|
|
|
|
431,717
|
|
Professional fees
|
|
|
46,144
|
|
|
|
35,989
|
|
|
|
26,148
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
312,774
|
|
|
|
338,504
|
|
|
|
457,865
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(18,997,603
|
)
|
|
$
|
70,690,200
|
|
|
$
|
25,523,069
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(183.86
|
)
|
|
$
|
524.62
|
|
|
$
|
160.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
106,915.0569
|
|
|
|
138,185.2293
|
|
|
|
163,388.9365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-55
CMF Aspect Master
Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008, and
2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners capital at December 31, 2006
|
|
$
|
211,758,913
|
|
Net income (loss)
|
|
|
25,523,069
|
|
Sale of 12,102.0599 Redeemable Units of Limited Partnership
Interest
|
|
|
15,485,588
|
|
Redemption of 32,110.2714 Redeemable Units of Limited
Partnership Interest
|
|
|
(42,555,077
|
)
|
Distribution of interest income to feeder funds
|
|
|
(7,517,273
|
)
|
|
|
|
|
|
Partners capital at December 31, 2007
|
|
|
202,695,220
|
|
Net income (loss)
|
|
|
70,690,200
|
|
Sale of 14,969.5777 Redeemable Units of Limited Partnership
Interest
|
|
|
24,526,285
|
|
Redemption of 34,545.0307 Redeemable Units of Limited
Partnership Interest
|
|
|
(56,310,172
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,247,200
|
)
|
|
|
|
|
|
Partners capital at December 31, 2008
|
|
|
239,354,333
|
|
Net income (loss)
|
|
|
(18,997,603
|
)
|
Sale of 17,809.0598 Redeemable Units of Limited Partnership
Interest
|
|
|
32,568,105
|
|
Redemption of 47,461.2842 Redeemable Units of Limited
Partnership Interest
|
|
|
(87,653,541
|
)
|
Distribution of interest income to feeder funds
|
|
|
(133,236
|
)
|
|
|
|
|
|
Partners capital at December 31, 2009
|
|
$
|
165,138,058
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,394.25
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,902.60
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,717.48
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-56
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Aspect Master Fund L.P. (the Master) is a
limited partnership which was organized under the partnership
laws of the State of New York to engage in the speculative
trading of a diversified portfolio of commodity interests
including futures contracts, options, swaps and forward
contracts. The sectors traded include currencies, energy,
grains, indices, U.S. and non-U.S. interest rates, livestock,
metals, and softs. The commodity interests that are traded by
the Master are volatile and involve a high degree of market
risk. The Master is authorized to sell an unlimited number of
redeemable units of Limited Partnership Interest
(Redeemable Units).
Ceres Managed Futures LLC (formerly Citigroup Managed Futures
LLC), a Delaware limited liability company, acts as the general
partner (the General Partner) and commodity pool
operator of the Master. The General Partner is wholly owned by
Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings), a newly registered non-clearing futures
commission merchant and a member of the National Futures
Association(NFA). Morgan Stanley, indirectly through
various subsidiaries, owns 51% of MSSB Holdings. Citigroup
Global Markets Inc. (CGM), the commodity broker and
a selling agent for the Master, owns 49% of MSSB Holdings.
Citigroup Inc. (Citigroup), indirectly through
various subsidiaries, wholly owns CGM. Prior to July 31,
2009, the date as of which MSSB Holdings became its owner, the
General Partner was wholly owned by Citigroup Financial Products
Inc., a wholly owned subsidiary of Citigroup Global Markets
Holdings Inc., the sole owner of which is Citigroup.
On March 1, 2005 (commencement of trading operations),
Diversified 2000 Futures Fund L.P. (formerly, Citigroup
Diversified 2000 Futures Fund L.P.) (Diversified
2000), Global Diversified Futures Fund L.P.
(formerly, Citigroup Global Diversified Futures Fund L.P.)
(Global Diversified) and Tactical Diversified
Futures Fund L.P. (formerly, Citigroup Diversified Futures
Fund L.P.) (Tactical Diversified) each
allocated a portion of its capital to the Master. Diversified
2000 purchased 43,434.9465 Redeemable Units with cash equal to
$40,490,895, and a contribution of open commodity futures and
forward positions with a fair value of $2,944,052. Global
Diversified purchased 16,015.3206 Redeemable Units with cash
equal to $14,955,106 and a contribution of open commodity
futures and forwards positions with a fair value of $1,060,214.
Tactical Diversified purchased 131,340.8450 Redeemable Units
with cash equal to $122,786,448 and a contribution of open
commodity futures and forward positions with a fair value of
$8,554,397. On July 1, 2005 Institutional Futures Portfolio
L.P. (formerly, CMF Institutional Futures Portfolio L.P.)
(Institutional Portfolio) purchased 6,469.5213
Redeemable Units with cash equal to $7,000,000. On June 1,
2006, Legion Aspect (Legion) purchased 2,450.2307
Redeemable Units with cash equal to 3,000,000. On March 1,
2007, Global Futures Fund Ltd. (formerly, Citigroup Global
Futures Fund Ltd.) (Global Futures) purchased
2,015.3949 Redeemable Units with cash equal to $2,500,000. On
December 31, 2007, Legion redeemed its entire investment in
the Master. This amounted to 2,990.3524 Redeemable Units
with a fair value of $4,179,464, which includes interest income
of $10,155. The Master was formed to permit commodity pools
managed now or in the future by Aspect Capital Limited (the
Advisor) using the Diversified Program, the
Advisors proprietary, systematic trading program, to
invest together in one vehicle.
The Master operates under a structure where its investors
consist of Institutional Portfolio, Diversified 2000, Global
Diversified, Tactical Diversified and Global Futures (each a
Feeder, collectively the Funds) with
approximately 8.7%, 12.0%, 5.5%, 60.3%, and 13.5% investments in
the Master at December 31, 2009, respectively.
Institutional Portfolio, Diversified 2000, Global Diversified,
Tactical Diversified and Global Futures had approximately 6.8%,
12.6%, 5.5%, 67.8%, and 7.3% investments in the Master at
December 31, 2008, respectively.
F-57
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2024; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. Generally Accepted
Accounting Principles (GAAP) for use in financial
statements except for Securities and Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
Use of Estimates. The preparation of financial
statements and accompanying notes in conformity with GAAP
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, income
and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, Statement of Cash Flows (formerly,
FAS No. 102, Statement of Cash Flows Exemption
of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into
U.S. dollars at the exchange rates prevailing at the
measurement date. Gains or losses are realized when contracts
are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and
any change in net unrealized gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, Fair Value Measurements and Disclosures
(formerly, FAS No. 157, Fair Value
Measurements) as of January 1, 2008 which defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date. ASC 820
establishes a framework for measuring fair value and expands
disclosures regarding fair value measurements in accordance with
GAAP. The fair value hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets
or liabilities (Level 1) and the lowest priority to
fair values derived from unobservable inputs (Level 3). The
level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on
the lowest level input that is significant to the fair value
measurement in its entirety. The Master did not apply the
deferral allowed by ASC 820 for nonfinancial assets and
nonfinancial liabilities measured at fair value on a
nonrecurring basis.
F-58
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (formerly,
FAS No. 157-4,
Determining Fair Value When the Volume and Level of
Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly) which
reaffirms that fair value is the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date
under current market conditions. These amendments to ASC 820
also reaffirm the need to use judgment in determining if a
formerly active market has become inactive and in determining
fair values when the market has become inactive. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the volume and
level of activity in the Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters Financial Statements.
The Master considers prices for exchange traded commodity
futures, forwards and options contracts to be based on
unadjusted quoted prices in active markets for identical assets
(Level 1). The values of
non-exchange
traded forwards, swaps and certain options contracts for which
market quotations are not readily available are priced by
broker-dealers who derive fair values for those assets from
observable inputs (Level 2). As of and for the years ended
December 31, 2009 and 2008, the Master did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
641,156
|
|
|
$
|
641,156
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
641,156
|
|
|
|
641,156
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
907,618
|
|
|
$
|
907,618
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
497,289
|
|
|
|
|
|
|
|
497,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,404,907
|
|
|
|
907,618
|
|
|
|
497,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(763,751
|
)
|
|
$
|
(266,462
|
)
|
|
$
|
(497,289
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2008
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
7,642,556
|
|
|
$
|
7,642,556
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
7,642,556
|
|
|
|
7,642,556
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
866,177
|
|
|
$
|
506,947
|
|
|
$
|
359,230
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
866,177
|
|
|
|
506,947
|
|
|
|
359,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
6,776,379
|
|
|
$
|
7,135,609
|
|
|
$
|
(359,230
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a
|
F-59
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
deliverable grade commodity, at a specified price on a specified
future date, unless the contract is closed before the delivery
date or if the delivery quantity is something where physical
delivery can not occur (such as the S&P 500 Index), whereby
such contract is settled in cash. Payments (variation
margin) may be made or received by the Master each
business day, depending on the daily fluctuations in the value
of the underlying instruments, and are recorded as unrealized
gains or losses by the Master. When the contract is closed, the
Master records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and
the value at the time it was closed. Because transactions in
futures contracts require participants to make both initial
margin deposits of cash or other assets and variation margin
deposits, through the futures broker directly with the exchange
on which the contracts are traded, credit exposure is limited.
Realized gains (losses) and changes in unrealized gains (losses)
on futures contracts are included in the Statements of Income
and Expenses.
|
|
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
|
|
|
|
|
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
f.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Master each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Master. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is closed at the prompt date,
the Master records a realized gain or loss equal to the
difference between the value of the contract at the time it was
opened and the value at the time it was closed. Because
transactions in LME contracts require participants to make both
initial margin deposits of cash or other assets and variation
margin deposits, through the broker, directly with the LME,
credit exposure is limited. Realized gains (losses) and changes
in unrealized gains (losses) on metal contracts are included in
the Statements of Income and Expenses.
|
|
|
|
|
g.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
h.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC
740-10,
Income Taxes (formerly, FAS No. 48, Accounting
for Uncertainty in Income Taxes). ASC
740-10
provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial
statements. ASC
740-10
requires the evaluation of tax positions taken or expected to be
taken in the course of preparing the Masters financial
statements to determine whether the tax positions are more-
F-60
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
likely-than-not to be sustained by the applicable tax
authority. Tax positions with respect to tax at the Master level
not deemed to meet the more-likely-than-not
threshold would be recorded as a tax benefit or expense in the
current year. The General Partner concluded that no provision
for income tax is required in the Masters financial
statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
i.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 is to
establish general standards of accounting for and disclosure of
events that occur after the balance sheet date but before
financial statements are issued or available to be issued.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
j.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09 (ASU 2010-09), Subsequent Events
(Topic 855): Amendments to Certain Recognition and Disclosure
Requirements, which among other things amended ASC 855 to
remove the requirement for an SEC filer to disclose the date
through which subsequent events have been evaluated. This change
alleviates potential conflicts between ASC 855 and the
SECs requirements. All of the amendments in this update
are effective upon issuance of this update. Management has
included the provisions of these amendments the financial
statements.
|
|
|
|
k.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
|
|
l.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the
F-61
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
Management Agreement are borne by the Funds. The Management
Agreement may be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees, including
CGMs direct brokerage commission, shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements was $22,969,045 and $18,981,887,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forward contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210, Balance Sheet
(formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain Contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 9,972. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$179,140,879.
The Master adopted ASC 815, Derivatives and Hedging (formerly,
FAS No. 161, Disclosures about Derivative
Instruments and Hedging Activities) as of January 1,
2009 which requires qualitative disclosures about objectives and
strategies for using derivatives, quantitative disclosures about
fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related
contingent features in derivative agreements. ASC 815 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
The following table indicates the fair values of derivative
instruments of futures and forward contracts as separate assets
and liabilities.
F-62
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
Assets
|
|
|
December 31, 2009
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Energy
|
|
$
|
574,121
|
|
Grains
|
|
|
238,475
|
|
Indices
|
|
|
1,310,009
|
|
Interest Rates U.S.
|
|
|
27,841
|
|
Interest Rates
Non-U.S.
|
|
|
820,367
|
|
Livestock
|
|
|
1,170
|
|
Metals
|
|
|
156,363
|
|
Softs
|
|
|
1,560,990
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
4,689,336
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(36,750
|
)
|
Energy
|
|
|
(19,273
|
)
|
Grains
|
|
|
(26,038
|
)
|
Indices
|
|
|
(67,019
|
)
|
Interest Rates U.S.
|
|
|
(1,348,178
|
)
|
Interest Rates
Non-U.S.
|
|
|
(2,179,828
|
)
|
Livestock
|
|
|
(138,678
|
)
|
Metals
|
|
|
(1,580,290
|
)
|
Softs
|
|
|
(200,900
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(5,596,954
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(907,618
|
)*
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
990,192
|
|
Metals
|
|
|
769,799
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
1,759,991
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(1,487,481
|
)
|
Metals
|
|
|
(128,643
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(1,616,124
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
143,867
|
**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized appreciation on open
forward contracts on the Statements of Financial Condition. |
F-63
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (loss) from Trading
|
|
|
Currencies
|
|
$
|
(6,825,819
|
)
|
Energy
|
|
|
(8,384,587
|
)
|
Grains
|
|
|
(1,053,672
|
)
|
Indices
|
|
|
2,125,096
|
|
Interest Rates U.S.
|
|
|
(2,393,695
|
)
|
Interest Rates
Non-U.S.
|
|
|
(3,837,479
|
)
|
Livestock
|
|
|
972,097
|
|
Softs
|
|
|
526,733
|
|
Metals
|
|
|
53,261
|
|
|
|
|
|
|
Total
|
|
$
|
(18,818,065
|
)***
|
|
|
|
|
|
|
|
|
*** |
|
This amount is in Gain(loss) from trading, net on
the Statements of Income and Expenses. |
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end of any day (the Redemption Date) after a
request for redemption has been made to the General Partner at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(184.65
|
)
|
|
$
|
508.62
|
|
|
$
|
114.03
|
|
Interest income
|
|
|
1.26
|
|
|
|
16.27
|
|
|
|
46.55
|
|
Expenses**
|
|
|
(0.47
|
)
|
|
|
(0.27
|
)
|
|
|
(0.16
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(183.86
|
)
|
|
|
524.62
|
|
|
|
160.42
|
|
Distribution of interest income to feeder funds
|
|
|
(1.26
|
)
|
|
|
(16.27
|
)
|
|
|
(46.55
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,902.60
|
|
|
|
1,394.25
|
|
|
|
1,280.38
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,717.48
|
|
|
$
|
1,902.60
|
|
|
$
|
1,394.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
F-64
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.2
|
%
|
|
|
0.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(9.7
|
)%
|
|
|
37.6
|
%
|
|
|
12.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures, options and swaps whose values are based upon an
underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash
balances, to purchase or sell other financial instruments at
specific terms at specified future dates, or, in the case of
derivative commodity instruments, to have a reasonable
possibility to be settled in cash, through physical delivery or
with another financial instrument. These instruments may be
traded on an exchange or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include certain forwards and option contracts. Each of these
instruments is subject to various risks similar to those related
to the underlying financial instruments including market and
credit risk. In general, the risks associated with OTC contracts
are greater than those associated with exchange traded
instruments because of the greater risk of default by the
counterparty to an OTC contract.
Market risk is the potential for changes in the value of the
financial instruments traded by the Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to a market risk equal to the value of futures and
forward contracts purchased and unlimited liability on such
contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Masters risk of loss in the event of
counterparty default is typically limited to the amounts
recognized in the Statements of Financial Condition and not
represented by the contract or notional amounts of the
instruments. The Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
Masters risk exposure on a daily basis through financial,
credit and risk management monitoring systems, and accordingly,
believes that it has effective procedures for evaluating and
limiting the credit and market risks to which the Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions by sector, margin
requirements, gain and loss transactions and collateral
positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the Masters
business, these instruments may not be held to maturity.
F-65
Selected unaudited quarterly financial data for Aspect Master for the years ended December 31,
2009 and 2008 is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
|
period from |
|
period from |
|
period from |
|
period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(2,100,606 |
) |
|
$ |
9,396,484 |
|
|
$ |
(23,478,167 |
) |
|
$ |
(2,769,170 |
) |
Net income (loss) |
|
$ |
(2,119,165 |
) |
|
$ |
9,387,591 |
|
|
$ |
(23,487,080 |
) |
|
$ |
(2,778,949 |
) |
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(24.09 |
) |
|
$ |
98.92 |
|
|
$ |
(230.09 |
) |
|
$ |
(28.60 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
|
period from |
|
period from |
|
period from |
|
period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
46,521,870 |
|
|
$ |
(19,743,784 |
) |
|
$ |
14,513,377 |
|
|
$ |
29,434,726 |
|
Net income (loss) |
|
$ |
46,511,766 |
|
|
$ |
(19,753,889 |
) |
|
$ |
14,503,460 |
|
|
$ |
29,428,863 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
363.39 |
|
|
$ |
(148.72 |
) |
|
$ |
106.51 |
|
|
$ |
203.44 |
|
F-66
To the Limited
Partners of
CMF Altis Partners Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Altis Partners Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-67
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Altis Partners Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Altis Partners Master Fund
L.P. (the Partnership), including the condensed schedule of investments, as of December 31, 2009, and the
related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Altis Partners Master Fund L.P. as of December 31, 2009, and the results of its
operations and its changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-68
Report of Independent Auditors
To the Partners of
CMF Altis Partners Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in
partners capital present fairly, in all material respects, the financial position of CMF Altis
Partners Master Fund L.P. at December 31, 2008, and the results of its operations for the
year then ended in conformity with accounting principles generally accepted in the United States of
America. These financial statements are the responsibility of the Companys management. Our
responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit of these statements in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-69
Report of Independent Registered Public Accounting Firm
The Partners
CMF Altis Partners Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Altis Partners Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships management. Our responsibility is to
express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Altis Partners Master
Fund L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-70
CMF Altis
Partners Master Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
72,536,409
|
|
|
$
|
69,644,254
|
|
Cash margin (Note 3c)
|
|
|
6,880,657
|
|
|
|
14,456,853
|
|
Net unrealized appreciation on open futures contracts
|
|
|
3,658,632
|
|
|
|
13,064,649
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,266,064
|
|
|
|
2,134,789
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
84,341,762
|
|
|
$
|
99,300,545
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
34,004
|
|
|
$
|
17,963
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
34,004
|
|
|
|
17,963
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 26,342.3882 and 29,515.9972
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
84,307,758
|
|
|
|
99,282,582
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
84,341,762
|
|
|
$
|
99,300,545
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-71
CMF Altis
Partners Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
151
|
|
|
$
|
(86,245
|
)
|
|
|
(0.10
|
)%
|
Energy
|
|
|
137
|
|
|
|
(133,827
|
)
|
|
|
(0.16
|
)
|
Grains
|
|
|
145
|
|
|
|
70,145
|
|
|
|
0.08
|
|
Indices
|
|
|
261
|
|
|
|
644,786
|
|
|
|
0.77
|
|
Interest Rates U.S.
|
|
|
462
|
|
|
|
619,047
|
|
|
|
0.73
|
|
Interest Rates
Non-U.S.
|
|
|
744
|
|
|
|
1,423,043
|
|
|
|
1.69
|
|
Livestock
|
|
|
4
|
|
|
|
3,280
|
|
|
|
0.00
|
*
|
Metals
|
|
|
182
|
|
|
|
474,556
|
|
|
|
0.56
|
|
Softs
|
|
|
311
|
|
|
|
763,907
|
|
|
|
0.91
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
3,778,692
|
|
|
|
4.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
256
|
|
|
|
161,999
|
|
|
|
0.19
|
|
Energy
|
|
|
116
|
|
|
|
(383,104
|
)
|
|
|
(0.45
|
)
|
Grains
|
|
|
126
|
|
|
|
77,989
|
|
|
|
0.09
|
|
Interest Rates U.S.
|
|
|
70
|
|
|
|
61,922
|
|
|
|
0.07
|
|
Interest Rates
Non-U.S.
|
|
|
52
|
|
|
|
22,694
|
|
|
|
0.03
|
|
Livestock
|
|
|
90
|
|
|
|
(96,250
|
)
|
|
|
(0.11
|
)
|
Metals
|
|
|
6
|
|
|
|
1,750
|
|
|
|
0.00
|
*
|
Softs
|
|
|
48
|
|
|
|
32,940
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(120,060
|
)
|
|
|
(0.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
400
|
|
|
|
3,166,023
|
|
|
|
3.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,166,023
|
|
|
|
3.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
367
|
|
|
|
(1,899,959
|
)
|
|
|
(2.25
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,899,959
|
)
|
|
|
(2.25
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
4,924,696
|
|
|
|
5.84
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
See accompanying notes to financial statements.
F-72
CMF Altis
Partners Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
221
|
|
|
$
|
359,977
|
|
|
|
0.36
|
%
|
Grains
|
|
|
3
|
|
|
|
638
|
|
|
|
0.00
|
*
|
Indices
|
|
|
137
|
|
|
|
196,752
|
|
|
|
0.20
|
|
Interest Rates U.S.
|
|
|
872
|
|
|
|
2,743,895
|
|
|
|
2.76
|
|
Interest Rates
Non-U.S.
|
|
|
1,565
|
|
|
|
4,508,352
|
|
|
|
4.54
|
|
Livestock
|
|
|
15
|
|
|
|
(1,500
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
44
|
|
|
|
198,430
|
|
|
|
0.20
|
|
Softs
|
|
|
119
|
|
|
|
364,297
|
|
|
|
0.37
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
8,370,841
|
|
|
|
8.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
124
|
|
|
|
596,380
|
|
|
|
0.60
|
|
Energy
|
|
|
470
|
|
|
|
1,119,463
|
|
|
|
1.13
|
|
Grains
|
|
|
693
|
|
|
|
712,530
|
|
|
|
0.72
|
|
Indices
|
|
|
45
|
|
|
|
(21,735
|
)
|
|
|
(0.02
|
)
|
Interest Rates
Non-U.S.
|
|
|
60
|
|
|
|
44,808
|
|
|
|
0.04
|
|
Livestock
|
|
|
174
|
|
|
|
644,715
|
|
|
|
0.65
|
|
Lumber
|
|
|
35
|
|
|
|
229,460
|
|
|
|
0.23
|
|
Metals
|
|
|
227
|
|
|
|
652,283
|
|
|
|
0.66
|
|
Softs
|
|
|
265
|
|
|
|
715,904
|
|
|
|
0.72
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
4,693,808
|
|
|
|
4.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
225
|
|
|
|
3,764,562
|
|
|
|
3.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,764,562
|
|
|
|
3.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
192
|
|
|
|
(1,629,773
|
)
|
|
|
(1.64
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,629,773
|
)
|
|
|
(1.64
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
15,199,438
|
|
|
|
15.31
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
See accompanying notes to financial statements.
F-73
CMF Altis
Partners Master Fund L.P.
Statements
of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
6,237,096
|
|
|
$
|
43,242,776
|
|
|
$
|
8,388,931
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(10,274,742
|
)
|
|
|
3,280,781
|
|
|
|
5,902,514
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(4,037,646
|
)
|
|
|
46,523,557
|
|
|
|
14,291,445
|
|
Interest income
|
|
|
67,221
|
|
|
|
946,368
|
|
|
|
2,316,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(3,970,425
|
)
|
|
|
47,469,925
|
|
|
|
16,608,361
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
97,912
|
|
|
|
174,092
|
|
|
|
174,310
|
|
Professional fees
|
|
|
60,069
|
|
|
|
36,818
|
|
|
|
38,430
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
157,981
|
|
|
|
210,910
|
|
|
|
212,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(4,128,406
|
)
|
|
$
|
47,259,015
|
|
|
$
|
16,395,621
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(160.69
|
)
|
|
$
|
1,419.53
|
|
|
$
|
434.50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
27,447.9300
|
|
|
|
35,038.6637
|
|
|
|
34,674.0707
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-74
CMF Altis
Partners Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners capital at December 31, 2006
|
|
$
|
45,727,192
|
|
Net income (loss)
|
|
|
16,395,621
|
|
Sale of 15,332.4004 Redeemable Units of Limited Partnership
Interest
|
|
|
24,794,065
|
|
Redemption of 7,165.6466 Redeemable Units of Limited Partnership
Interest
|
|
|
(12,341,087
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,316,916
|
)
|
|
|
|
|
|
Partners capital at December 31, 2007
|
|
|
72,258,875
|
|
Net income (loss)
|
|
|
47,259,015
|
|
Sale of 7,905.1589 Redeemable Units of Limited Partnership
Interest
|
|
|
19,703,367
|
|
Redemption of 15,042.4224 Redeemable Units of Limited
Partnership Interest
|
|
|
(38,992,307
|
)
|
Distribution of interest income to feeder funds
|
|
|
(946,368
|
)
|
|
|
|
|
|
Partners capital at December 31, 2008
|
|
|
99,282,582
|
|
Net income (loss)
|
|
|
(4,128,406
|
)
|
Sale of 7,949.9256 Redeemable Units of Limited Partnership
Interest
|
|
|
25,607,383
|
|
Redemption of 11,123.5346 Redeemable Units of Limited
Partnership Interest
|
|
|
(36,386,580
|
)
|
Distribution of interest income to feeder funds
|
|
|
(67,221
|
)
|
|
|
|
|
|
Partners capital at December 31, 2009
|
|
$
|
84,307,758
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,971.42
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
3,363.69
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
3,200.46
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-75
CMF Altis
Partners Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Altis Partners Master Fund L.P. (the
Master) is a limited partnership which was organized
under the partnership laws of the State of New York to engage in
the speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies,
energy, grains, indices, U.S. and non-U.S. interest rates,
livestock, lumber, metals and softs. The commodity interests
that are traded by the Master are volatile and involve a high
degree of market risk. The Master is authorized to sell an
unlimited number of redeemable units of Limited Partnership
Interest (Redeemable Units).
Ceres Managed Futures LLC (formerly Citigroup Managed Futures
LLC), a Delaware limited liability company, acts as the general
partner (the General Partner) and commodity pool
operator of the Master. The General Partner is wholly owned by
Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings), a newly registered non-clearing futures
commission merchant and a member of the National Futures
Association (NFA). Morgan Stanley, indirectly
through various subsidiaries, owns 51% of MSSB Holdings.
Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Master, owns 49% of MSSB
Holdings. Citigroup Inc. (Citigroup), indirectly
through various subsidiaries, wholly owns CGM. Prior to
July 31, 2009, the date as of which MSSB Holdings became
its owner, the General Partner was wholly owned by Citigroup
Financial Products Inc., a wholly owned subsidiary of Citigroup
Global Markets Holdings Inc., the sole owner of which is
Citigroup.
On November 1, 2005 (commencement of trading operations),
Global Diversified Futures Fund L.P. (formerly, Citigroup
Global Diversified Futures Fund L.P.) (Global
Diversified) and Emerging CTA Portfolio L.P. (formerly,
Citigroup Emerging CTA Portfolio L.P.) (Emerging
CTA) allocated a portion of their capital to the Master.
Global Diversified purchased 13,013.6283 Redeemable Units with
cash equal to $11,227,843 and a contribution of open commodity
futures and forward positions with a fair value of $1,785,785.
Emerging CTA purchased 4,898.1251 Redeemable Units with cash
equal to $4,196,275 and a contribution of open commodity futures
and forward positions with a fair value of $701,851. On
February 1, 2006, Institutional Futures Portfolio L.P.
(formerly, CMF Institutional Futures Portfolio L.P.)
(Institutional Portfolio) allocated a portion of its
capital to the Master and purchased 3,989.7912 Redeemable Units
with cash equal to $5,000,000. On March 1, 2007, Global
Futures Fund Ltd. (formerly, Citigroup Global Futures
Fund Ltd.) (Global Futures) allocated a portion
of its capital to the Master and purchased 1,600.3547 Redeemable
Units with a fair value of $2,500,000. The Master was formed to
permit commodity pools managed now or in the future by Altis
Partners (Jersey) Limited (the Advisor) using the
Global Futures Portfolio Program, the Advisors proprietary
systematic trading program, to invest together in one vehicle.
The Master operates under a structure where its investors
consist of Global Diversified, Emerging CTA, Institutional
Portfolio and Global Futures (each a Feeder,
collectively the Funds) with approximately 12.8%,
33.6%, 25.3% and 28.3% investments in the Master at
December 31, 2009, respectively. Global Diversified,
Emerging CTA, Institutional Portfolio and Global Futures had
approximately 15.7%, 35.7%, 24.7% and 23.9% investments in the
Master at December 31, 2008, respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. Generally Accepted
Accounting Principles (GAAP) for use in financial
statements except for Securities and Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
F-76
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
Use of Estimates. The preparation of financial
statements an accompanying notes in conformity with GAAP
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, income
and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, Statement of Cash Flows (formerly,
FAS No. 102, Statement of Cash Flows Exemption
of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into
U.S. dollars at the exchange rates prevailing at the
measurement date. Gains or losses are realized when contracts
are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gain or loss and any
change in net unrealized gain or loss from the preceding period
are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, Fair Value Measurements and Disclosures
(formerly, FAS No. 157, Fair Value
Measurements) as of January 1, 2008 which defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date. ASC 820
establishes a framework for measuring fair value and expands
disclosures regarding fair value measurements in accordance with
GAAP. The fair value hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets
or liabilities (Level 1) and the lowest priority to
fair values derived from unobservable inputs (Level 3). The
level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on
the lowest level input that is significant to the fair value
measurement in its entirety. The Master did not apply the
deferral allowed by ASC 820, for nonfinancial assets and
nonfinancial liabilities measured at fair value on a
nonrecurring basis.
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (formerly,
FAS No. 157-4,
Determining Fair Value When the Volume and Level of
Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly) which
reaffirms that fair value is the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date
under current market conditions. These amendments to ASC 820
also reaffirm the need to use judgment in determining if a
formerly active market has become inactive and in determining
fair values when the market has become inactive. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the
F-77
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
volume and level of activity in the Masters Level 2
assets and liabilities. The adoption of the amendments to ASC
820 had no effect on the Masters Financial Statements.
The Master considers prices for exchange traded commodity
futures, forwards and options contracts to be based on
unadjusted quoted prices in active markets for identical assets
(Level 1). The values of non-exchange traded forwards,
swaps and certain options contracts for which market quotations
are not readily available are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2). As of and for the years ended December 31,
2009 and December 31, 2008, the Master did not hold any
derivative instruments for which market quotations are not
readily available and which are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2) or that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
3,658,632
|
|
|
$
|
3,658,632
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,266,064
|
|
|
|
1,266,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
4,924,696
|
|
|
$
|
4,924,696
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
13,064,649
|
|
|
$
|
13,064,649
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
2,134,789
|
|
|
|
2,134,789
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
15,199,438
|
|
|
$
|
15,199,438
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery can not occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. When the
contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
Because transactions in futures contracts require participants
to make both initial margin deposits of cash or other assets and
variation margin deposits, through the futures broker, directly
with the exchange on which the contracts are traded, credit
exposure is limited. Realized gains (losses) and changes in
unrealized gains (losses) on futures contracts are included in
the Statements of Income and Expenses.
|
|
|
e.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Master each business day, depending on the daily fluctuations in
the value of the underlying
|
F-78
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
contracts, and are recorded as unrealized gains or losses by the
Master. A contract is considered offset when all long positions
have been matched with short positions. When the contract is
closed at the prompt date, the Master records a realized gain or
loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was
closed. Because transactions in LME contracts require
participants to make both initial margin deposits of cash or
other assets and variation margin deposits, through the broker,
directly with the LME, credit exposure is limited. Realized
gains (losses) and changes in unrealized gains (losses) on metal
contracts are included in the Statements of Income and Expenses.
|
|
|
|
|
f.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
|
|
g.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC 740, Income Taxes (formerly,
FAS No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master level not deemed to meet the
more-likely-than-not threshold would be recorded as
a tax benefit or expense in the current year. The General
Partner concluded that no provision for income tax is required
in the Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
h.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 is to
establish general standards of accounting for and disclosure of
events that occur after the balance sheet date but before
financial statements are issued or available to be issued.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
|
|
i.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements, which
, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
F-79
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
j.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
|
|
k.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master, including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements was $6,880,657 and $14,456,853,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forward contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210 Balance Sheet
(formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain Contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 4,416.
The Master adopted ASC 815, Derivatives and Hedging (formerly,
FAS No. 161, Disclosures about Derivative
Instruments and Hedging Activities) as of January 1,
2009 which requires qualitative disclosures about objectives and
strategies for using derivatives, quantitative disclosures about
fair value
F-80
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
amounts of and gains and losses on derivative instruments, and
disclosures about credit-risk-related contingent features in
derivative agreements. ASC 815 only expands the disclosure
requirements for derivative instruments and related hedging
activities and has no impact on the Statements of Financial
Condition, Statements of Income and Expenses and Statements of
Changes in Partners Capital. The following table indicates
the fair values of derivative instruments of futures and forward
contracts as separate assets and liabilities.
|
|
|
|
|
|
|
December 31,
|
|
|
|
2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
513,272
|
|
Energy
|
|
|
34,206
|
|
Grains
|
|
|
201,302
|
|
Indices
|
|
|
646,144
|
|
Interest Rates U.S.
|
|
|
806,247
|
|
Interest Rates
Non-U.S.
|
|
|
1,623,556
|
|
Livestock
|
|
|
20,960
|
|
Metals
|
|
|
489,601
|
|
Softs
|
|
|
861,460
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
5,196,748
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(437,517
|
)
|
Energy
|
|
|
(551,137
|
)
|
Grains
|
|
|
(53,169
|
)
|
Indices
|
|
|
(1,358
|
)
|
Interest Rates U.S.
|
|
|
(125,278
|
)
|
Interest Rates
Non-U.S.
|
|
|
(177,819
|
)
|
Livestock
|
|
|
(113,930
|
)
|
Metals
|
|
|
(13,295
|
)
|
Softs
|
|
|
(64,613
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(1,538,116
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
3,658,632
|
*
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
3,166,023
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
3,166,023
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
(1,899,959
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(1,899,959
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
1,266,064
|
**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized appreciation on open
forward contracts on the Statements of Financial Condition. |
F-81
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the twelve months
ended December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (Loss) from trading
|
|
|
Currencies
|
|
$
|
90,312
|
|
Energy
|
|
|
(3,628,727
|
)
|
Grains
|
|
|
(2,301,628
|
)
|
Indices
|
|
|
(942,057
|
)
|
Interest Rates U.S.
|
|
|
(750,482
|
)
|
Interest Rates
Non-U.S.
|
|
|
313,186
|
|
Livestock
|
|
|
340,475
|
|
Lumber
|
|
|
(229,460
|
)
|
Metals
|
|
|
2,922,408
|
|
Softs
|
|
|
148,327
|
|
|
|
|
|
|
Total
|
|
|
(4,037,646
|
)***
|
|
|
|
|
|
|
|
|
*** |
|
This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses. |
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end of any day (the Redemption Date) after
a request for redemption has been made to the General Partner at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(160.98
|
)
|
|
$
|
1,393.37
|
|
|
$
|
367.31
|
|
Interest income
|
|
|
2.54
|
|
|
|
27.26
|
|
|
|
68.30
|
|
Expenses**
|
|
|
(2.25
|
)
|
|
|
(1.10
|
)
|
|
|
(1.11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(160.69
|
)
|
|
|
1,419.53
|
|
|
|
434.50
|
|
Distribution of interest income to feeder funds
|
|
|
(2.54
|
)
|
|
|
(27.26
|
)
|
|
|
(68.30
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
3,363.69
|
|
|
|
1,971.42
|
|
|
|
1,605.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
3,200.46
|
|
|
$
|
3,363.69
|
|
|
$
|
1,971.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
F-82
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.3
|
%
|
|
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(4.8
|
)%
|
|
|
72.0
|
%
|
|
|
27.1
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures and options, whose values are based upon an underlying
asset, index, or reference rate, and generally represent future
commitments to exchange currencies or cash balances, or to
purchase or sell other financial instruments at specific terms
at specified future dates, or, in the case of derivative
commodity instruments, to have a reasonable possibility to be
settled in cash, through physical delivery or with another
financial instrument. These instruments may be traded on an
exchange or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include certain forwards and option contracts. Each of these
instruments is subject to various risks similar to those related
to the underlying financial instruments including market and
credit risk. In general, the risks associated with OTC contracts
are greater than those associated with exchange traded
instruments because of the greater risk of default by the
counterparty to an OTC contract.
Market risk is the potential for changes in the value of the
financial instruments traded by the Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to a market risk equal to the value of futures and
forward contracts purchased and unlimited liability on such
contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Masters risk of loss in the event of
counterparty default is typically limited to the amounts
recognized in the Statements of Financial Condition and not
represented by the contract or notional amounts of the
instruments. The Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
Masters risk exposure on a daily basis through financial,
credit and risk management monitoring systems, and accordingly,
believes that it has effective procedures for evaluating and
limiting the credit and market risks to which the Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions by sector, margin
requirements, gain and loss transactions and collateral
positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the Masters
business, these instruments may not be held to maturity.
F-83
Selected unaudited
quarterly financial data for Altis Master for the years ended December
31, 2009 and 2008 is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
|
period from |
|
period from |
|
period from |
|
period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(3,126,708 |
) |
|
$ |
4,107,431 |
|
|
$ |
(196,386 |
) |
|
$ |
(4,852,674 |
) |
Net income (loss) |
|
$ |
(3,150,340 |
) |
|
$ |
4,094,363 |
|
|
$ |
(209,227 |
) |
|
$ |
(4,863,202 |
) |
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(120.89 |
) |
|
$ |
153.67 |
|
|
$ |
(7.77 |
) |
|
$ |
(185.70 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the |
|
For the |
|
For the |
|
For the |
|
|
period from |
|
period from |
|
period from |
|
period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
30,914,449 |
|
|
$ |
(15,270,584 |
) |
|
$ |
23,717,513 |
|
|
$ |
7,934,455 |
|
Net income (loss) |
|
$ |
30,905,495 |
|
|
$ |
(15,279,538 |
) |
|
$ |
23,708,108 |
|
|
$ |
7,924,950 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
982.42 |
|
|
$ |
(466.12 |
) |
|
$ |
684.52 |
|
|
$ |
218.71 |
|
F-84
Item 9. Changes in and
Disagreements With Accountants on Accounting and Financial
Disclosure.
KPMG LLP (KPMG) was previously the principal accountant for the Partnership through
June 26, 2008. On June 27, 2008, KPMG was dismissed as principal accountant and
PricewaterhouseCoopers LLP (PwC) was engaged as the independent registered public accounting
firm. From June 27, 2008 through July 22, 2009, PwC was the principal accountant for the
Partnership. On July 22, 2009, PWC was dismissed as principal accountant and on July 23, 2009
Deloitte & Touche LLP (Deloitte) was engaged as the independent registered public accounting
firm. The decision to change accountants was approved by the General Partner of the Partnership.
In connection with the audit of the fiscal year ended December 31, 2008, and through July 22,
2009, and the audit of the fiscal year ended December 31, 2007, and through June 26, 2008, there
were no disagreements with PwC or KPMG, respectively, on any matter of accounting principles or
practices, financial statement disclosure, or auditing scope or procedures, which disagreements if
not resolved to their satisfaction would have caused them to make reference thereto in their report
on the financial statements for the corresponding year.
The respective audit report of PwC and KPMG on the financial statements of the Partnership as
of and for the years ended December 31, 2008 and 2007, respectively, did not contain any adverse
opinion or disclaimer of opinion, nor was it qualified or modified as to uncertainty, audit scope,
or accounting principle.
Item 9A(T). Controls and Procedures.
The Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership
on the reports that it files or submits under the Exchange Act is accumulated and communicated to management,
including the Chief Executive Officer (the CEO) and
Chief Financial Officer (the CFO) of the General
Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
Management is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of December 31, 2009 and, based on that evaluation, the CEO and CFO have concluded that at
that date the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in
accordance with GAAP. These controls include policies and procedures that:
|
|
|
pertain to the maintenance of records that in reasonable detail accurately and fairly
reflect the transactions and dispositions of the assets of the Partnership; |
|
|
|
|
provide reasonable assurance that (i) transactions are recorded as necessary to
permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures
are made only pursuant to authorizations of the General Partner; and |
|
|
|
|
provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use or disposition of the Partnerships assets that could have a material
effect on the financial statements. |
The
report included in Item 8. Financial Statements and Supplementary
Data. includes managements report on internal control over financial reporting (Managements Report) and an attestation report of the Partnerships registered public accounting firm regarding internal control
over financial reporting.
Managements Report was not required to be audited by the
Partnerships registered public accounting firm pursuant to temporary rules of the SEC that permit the Partnership to provide only managements report in this annual report. Management elected to have its
internal control over financial reporting audited.
There were no changes in the Partnerships internal control over financial reporting during
the fiscal quarter ended December 31, 2009 that materially affected, or are reasonably likely to
materially affect, the Partnerships internal control over financial reporting.
Item 9B. Other Information.
None
25
PART III
Item 10. Directors, Executive
Officers and Corporate Governance.
The Partnership
has no officers or directors and its affairs are managed by the General
Partner. Investment decisions are made by the Advisors.
The officers and directors of the General Partner are Jerry Pascucci (President, Chief
Investment Officer and Director), Jennifer Magro (Chief Financial Officer, Vice President and
Director), Daryl Dewbrey (Secretary and Director), Shelley Deavitt Ullman (Senior Vice President
and Director) and Raymond Nolte (Director). Each director holds office until his or her successor
is elected, or until his or her earlier death, resignation or removal. Vacancies on the board of
directors may be filled by appointment by the sole member of the General Partner, Morgan Stanley
Smith Barney Holdings LLC which wholly owns the General Partner, or by unanimous vote of the
remaining directors, depending on the circumstances of the vacancy. The officers of the General
Partner are designated by the General Partners board of directors. Each officer holds office
until his or her death, resignation or removal.
Mr. Pascucci, age 40, is President, Chief Investment Officer and Director of the General
Partner (since March 2007, May 2005 and June 2005, respectively). Mr. Pascuccis principal status
was approved by the National Futures Association (NFA) in June 2005. He is also registered as an
associated person of the General Partner (since June 2009) and of Morgan Stanley Smith Barney LLC
(Morgan Stanley Smith Barney) (since August 2009). From March 2007 to July 2009, Mr. Pascucci
was a Managing Director of Citigroup Alternative Investments LLC (CAI), a division of Citigroup
Inc. (Citigroup) that administers its hedge fund and fund of funds businesses, and until July
2009, its commodity pool business. He was also Chief Investment Officer of CAIs Hedge Fund
Management Group from March 2007 to July 2009. He was registered as an associated person of
Citigroup Global Markets Inc. (Citigroup Global Markets) from February 2006 to July 2009. Mr.
Pascucci has been responsible for trading advisor selection, due diligence and portfolio
construction for managed futures funds and accounts since May 1999. Between May 1996 and May 1999,
Mr. Pascucci served as a Senior Credit Risk Officer for Citigroup Global Markets, focused primarily
on market and counterparty risks associated with Citigroup Global Markets commodity pool and hedge
fund clients. Prior to joining Citigroup Global Markets in May 1996, Mr. Pascucci was employed
(from October 1992) by ABN AMRO North America at its European American Bank subsidiary as a
corporate banking officer where he facilitated the establishment of credit lines and other loan
facilities for corporate clients.
Ms. Magro, age 38, is Chief Financial Officer, Director and Vice President of the General
Partner (since October 2006, May 2005 and August 2001, respectively). Ms. Magros principal status
was approved by the NFA in June 2005. She was also a Managing Director of CAI and Chief Operating
Officer of CAIs Hedge Fund Management Group from October 2006 to July 2009. Ms. Magro is
responsible for the financial, administrative and operational functions of the General Partner.
She is also responsible for the accounting and financial and regulatory reporting of the General
Partners managed futures funds. From March 1999 to July 2009, Ms. Magro was responsible for the
accounting and financial and regulatory reporting of Citigroups managed futures funds. She had
similar responsibilities with CAIs Hedge Fund Management Group (from October 2006 to July 2009).
Prior to joining Citigroup Global Markets in January 1996, Ms. Magro was employed by Prudential
Securities Inc. (from July 1994) as a staff accountant whose duties included the calculation of net
asset values for commodity pools and real estate investment products.
Mr. Dewbrey, age 39, is Secretary and Director of the General Partner (since July 2009 and
March 2007, respectively). He registered as an associated person of the General Partner in January
2004 and became a principal of the General Partner in March 2007. He is also registered as an
associated person of Morgan Stanley Smith Barney (since August 2009). He was registered as an
associated person of Citigroup Global Markets from March 1998 to July 2009. Mr. Dewbrey has worked
with the General Partner in varying capacities since April 2001, and, since May 2005, Mr. Dewbrey
has been head of managed futures product development. Mr. Dewbrey was a director of CAI
responsible for marketing and client services for CAIs Hedge Fund Management Group from February
2007 to July 2009. From October 1997 to September 2000, Mr. Dewbrey was head of Citigroup Global
Markets managed futures trading desk. In September 2000, Mr. Dewbrey was selected for the Salomon
Smith Barney Sales and Trading Training Program. Mr. Dewbrey began his career in the futures
markets with Rosenthal Collins Group, a futures brokerage firm, where he worked from May 1990 to
October 1997 in varying capacities on the trading floors of the Chicago Board of Trade, COMEX and
the New York Mercantile Exchange. Mr. Dewbrey is a member of the Managed Funds Association and the
Futures Industry Association.
Ms. Ullman, age 51, is a Managing Director of Citigroup Global Markets Futures Division and a
Senior Vice President and Director of the General Partner (since May 1997 and April 1994,
respectively). Ms. Ullmans principal status was approved by the NFA in June 1994. She was
registered as an associated person of the General Partner from January 2004 to July 2009. Ms.
Ullman is registered as an associated person of Citigroup Global Markets (since July 1993). She is
also the branch manager of the Citigroup Global Markets branch that supports the General Partner
(since January 2002). Previously, Ms. Ullman was a Vice President of Lehman Brothers (October 1985
to July 1993), with responsibility for execution, administration, operations and performance
analysis for managed futures funds and accounts. She was registered as an associated person of
Lehman Brothers Inc. (from February 1983 to July 1993) and was principal of Lehman Brothers Capital
Management Corp. (from April 1989 to July 1993).
Mr. Nolte, age 48, is the Chief Executive Officer and the Chairman of the Investment Committee
of CAIs Hedge Fund Management Group. He registered as an associated person and became a principal
of the General Partner in March 2007. He was appointed a Director of the General Partner in March
2007. He is also registered as an associated person of Citigroup Global Markets (since October
2005). He registered as an associated person and became a principal of CAI in March 2007. Prior
to joining CAI in September 2005, Mr. Nolte worked at Deutsche Bank and its affiliate Deutsche
Asset Management (from June 1999 to September 2005). He was registered as an associated person and
was a principal of DB Capital Advisors Inc. (from July 2000 to May 2005) and DB Investment Managers
Inc. (from May 2002 to June 2005). Prior to that, Mr. Nolte worked for Bankers Trust (from May
1983 until the firm was acquired by Deutsche Bank in June 1999). During his employment at Deutsche
Asset Management, Mr. Nolte served as the Global Head and Chief Investment Officer of the DB
Absolute Return Strategies (DB ARS) Fund of Funds business, the Chairman of the DB ARS Fund of
Funds Investment Committee, the Vice Chairman of DB ARS and Head of the Single Manager Hedge Fund
business. While employed at Deutsche Bank and Deutsche Asset Management, Mr. Noltes duties
included overseeing the firms fund of funds and hedge fund businesses. Mr. Nolte was the founder
and head of the Investment Committee for the Topiary Fund, Deutsche Banks first fund of hedge
funds. The DB ARS Fund of Hedge Funds platform grew to $7 billion in assets under management during Mr. Noltes tenure. That business was comprised of
several multi-manager, multi-strategy funds as well as single strategy funds and separate accounts.
The Partnership
has not adopted a code of ethics that applies to officers because it has no
officers. In addition, the Partnership has not adopted any procedures by which investors may recommend
nominees to the Partnerships board of directors,
and has not established an audit committee because it has no board of directors.
26
Item 11.
Executive Compensation.
The
Partnership has no directors or officers. Its affairs are managed by the General Partner.
CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives
brokerage commissions for such services, as described under Item 1. Business. Brokerage
commissions and clearing fees of $1,841,153 were earned by CGM for the year ended December 31,
2009. Management fees and incentive fees of $588,610 and $26,539, respectively, were earned by
the Advisors for the year ended December 31, 2009.
Item 12.
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder
Matters.
|
(a) |
|
Security ownership of certain beneficial owners. As of
February 28, 2010, the
Partnership knows of no person who beneficially owns more than 5% of the outstanding
Redeemable Units. |
|
|
(b) |
|
Security ownership of management. Under the terms of the Limited Partnership
Agreement, the Partnerships affairs are managed by the General Partner. The General
Partner owns Units of general partnership interest equivalent to
213.0484 (1.4%)
Redeemable Unit equivalents as of December 31, 2009. |
|
|
|
|
Principles of the General Partner who own Redeemable
Units. None |
|
|
(c) |
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Changes in control. None. |
Item 13. Certain Relationships and Related Transactions, and Director Independence.
CGM and the General Partner would be considered promoters for purposes of item 404(c) of
Regulation S-K. The nature and the amounts of compensation each promoter will receive from the
Partnership are set forth under Item 1. Business, Item 8. Financial Statements and
Supplementary Data and Item 11. Executive Compensation.
Item 14. Principal Accountant Fees and Services.
(1)
Audit Fees. The aggregate fees billed for each of the last two fiscal years
for professional services rendered by Deloitte in the period from July 23, 2009 through December 31, 2009,
PwC in the
period from June 27, 2008 through July 22, 2009 and KPMG in the period from January 1, 2008 through June
26, 2008 for the audit of the Partnerships annual
financial statements, review of financial statements included in the Partnerships Forms
10-Q and 10-K and other services normally provided in connection with regulatory filings or
engagements were:
|
|
|
|
|
Deloitte |
|
$ |
54,300 |
|
PwC |
|
$ |
49,600 |
|
KPMG |
|
$ |
4,200 |
|
(2)
Audit-Related Fees. None
(3)
Tax Fees. In the last two fiscal years, Deloitte did not provide any professional services for tax Compliance, tax advice or tax planning.
The aggregate fees billed for each of the last two fiscal years for professional
services rendered PwC for tax compliance and tax
advice given in the preparation of the Partnerships Schedule K1s, the preparation of the
Partnerships Form 1065 and preparation of all State Tax Returns were:
|
|
|
|
|
2009 |
|
$ |
20,000 |
|
2008 |
|
$ |
16,700 |
|
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
27
PART IV
Item 15. Exhibits and Financial Statement Schedules.
|
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(a)(1)
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Financial Statements: |
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Statements of Financial Condition
at December 31, 2009 and 2008. |
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Condensed Schedules of Investments at
December 31, 2009 and 2008. |
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Statements of Income and Expenses for the years ended
December 31, 2009, 2008 and 2007. |
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Statements of Changes in Partners Capital for the years ended
December 31, 2009, 2008 and 2007. |
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Notes to the Financial Statements |
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(2) Exhibits: |
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3.1 Certificate of Limited Partnership of the Partnership as filed in the
Office of the Secretary of State of
the State of New York, dated June 12, 1998 (filed as
Exhibit 3.2 to the
Registration Statement on Form
S-1 filed on August 20, 1998 and incorporated herein by reference). |
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|
|
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|
(a) Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the
Secretary of State of the State of New York, dated June 30, 1998 (filed as
Exhibit 3.2 to the
Registration Statement on Form S-1 filed on August 20, 1998 and
incorporated herein by reference). |
|
|
|
|
|
(b) Certificate of Amendment to the Certificate of Limited Partnership as filed
in the Office of the
Secretary of State of the State of New York, dated October 1, 1999 (filed
as Exhibit 3.1(b) to the Form
10-Q filed on November 16, 2009 and incorporated herein by reference). |
|
|
|
|
|
(c) Certificate of Change to the Certificate of Limited Partnership as filed
in the Office of the Secretary of
State of the State of New York, effective January 31, 2000 (filed as
Exhibit 3.1(c) to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference). |
|
|
|
|
|
(d) Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the
Secretary of State of the State of New York, dated May 21, 2003 (filed as
Exhibit 3.1(d) to the Form
10-Q filed on November 16, 2009 and incorporated herein by reference). |
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(e) Certificate of Amendment to the Certificate of Limited Partnership as filed
in the Office of the
Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(e) to the
Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
28
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(f) Certificate of Amendment to the Certificate of Limited
Partnership as filed in the Offices of the Secretary of
State of the State of New York, dated August 27, 2008 (filed
as Exhibit 99.1 to the Form 8-K filed on September 2, 2008
and incorporated herein by reference). |
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(g) Certificate of Amendment to the Certificate of Limited
Partnership as filed in the Office of the Secretary of State
of the State of New York, dated September 19, 2008 (filed as
Exhibit 3.1(e) to the Form 10-Q filed on November 16, 2009
and incorporated herein by reference). |
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(h) Certificate of Amendment to the Certificate of Limited
Partnership as filed in the Office of the Secretary of State
of the State of New York, dated September 28, 2009 (filed as
Exhibit 99.1 to the Current Report on Form 8-K filed on
September 30, 2009 and incorporated herein by reference). |
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3.2 Limited Partnership Agreement, dated June 15, 1998 (filed as
Exhibit A to the Registration Statement on Form S-1 filed on
August 20, 1998 and incorporated herein by reference). |
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10.1 Customer Agreement between the Partnership and Salomon Smith
Barney Inc., dated October 21, 1998 (filed as Exhibit 10.1
to the Pre-Effective Amendment No. 1 to the Registration
Statement on Form S-1 filed on October 22, 1998 and
incorporated herein by reference). |
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10.2 Escrow Agreement among the Partnership, Smith Barney Inc.
and European American Bank, dated October 21, 1998 (filed as
Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the
Registration Statement on Form S-1 filed on October 22, 1998
and incorporated herein by reference). |
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10.3 Selling Agreement among the Partnership, Smith Barney Futures
Management Inc. and Smith Barney Inc., dated October 21, 1998
(filed as Exhibit 1.1 to the Pre-Effective Amendment No. 1
to the Registration Statement on Form S-1 filed on October
22, 1998 and incorporated herein by reference). |
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10.4 Joinder Agreement among the Partnership, Citigroup Managed
Futures LLC, Citigroup Global Markets Inc. and Morgan
Stanley Smith Barney LLC, dated June 1, 2009 (filed as
Exhibit 10 to the Form 10-Q filed on August 14, 2009 and
incorporated herein by reference). |
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10.5 Form of Management Agreement among the Partnership, the
General Partner and Campbell & Company, Inc. (filed as
Exhibit 10.4 to the Registration Statement on
Form S-1 on August 20, 1998 and incorporated herein by
reference). |
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(a) Letter extending Management Agreement between the General
Partner and Campbell & Company, Inc. for 2009, dated June
9, 2009 (filed herein). |
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10.6 Form of Management Agreement among the Partnership the
General Partner and Aspect Capital Management Limited, dated
April 17, 2001 (filed as Exhibit 10.12 to the Form 10-K filed
on March 28, 2002 and incorporated herein by reference). |
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(a) Letter extending Management Agreement between the General
Partner and Aspect Capital Limited for 2009, dated June
9, 2009 (filed herein). |
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10.7 Form of Management Agreement among the Partnership, the
General Partner and Altis Partners (Jersey) Limited, dated
October 1, 2005 (filed as Exhibit 33.1 to the Form 10-Q/A
filed on November 16, 2005 and incorporated herein by
reference). |
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(a) Letter extending Management Agreement between the General
Partner and Altis Partners (Jersey) Limited for 2009, dated
June 9, 2009 (filed herein). |
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10.8 Form of Management Agreement among the Partnership, the
General Partner and Waypoint Capital Management LLC, dated
September 29, 2008 (filed as Exhibit l0.22 to the Form 10-K
filed on March 31, 2009 and incorporated herein by
reference). |
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(a) Letter extending Management Agreement between the General
Partner and Waypoint Capital Management LLC for 2009, dated
June 9, 2008 (filed herein). |
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16.1 Letter from KPMG LLP (filed as Exhibit 16.1 to the Form 8-K
filed on July 1, 2008 and incorporated herein by reference). |
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16.2 Letter from PricewaterhouseCoopers LLP (filed
as Exhibit 16.1 to the Form 8-K filed on July
23, 2009 and incorporated herein by reference). |
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The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by
reference. |
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31.1 Rule 13a-14(a)/15d-14(a) Certifications (Certifications of President and Director). |
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31.2 Rule 13a-14(a)/15d-14(a) Certifications (Certifications of Chief Financial Officer
and Director). |
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32.1 Section 1350 Certifications (Certifications of President and Director). |
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32.2 Section 1350
Certifications (Certifications of Chief Financial Officer and Director). |
29
SIGNATURES
Pursuant to the
requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto
duly authorized, on the
31st day
of March 2010.
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GLOBAL DIVERSIFED FUTURES FUND L.P.
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By: |
Ceres Managed Futures LLC
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(General Partner)
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By: |
/s/ Jerry Pascucci
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Jerry Pascucci, President & Director |
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Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Registrant and in the capacities and on the
date indicated.
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/s/ Jerry Pascucci
Jerry Pascucci
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/s/ Shelley Deavitt Ullman
Shelley Deavitt Ullman
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President
and Director
Ceres Managed Futures LLC
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Director Ceres Managed Futures LLC |
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/s/ Jennifer Magro
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/s/ Daryl Dewbrey |
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Jennifer Magro
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Daryl Dewbrey |
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Chief
Financial Officer and Director
(Principal Accounting Officer) Ceres Managed Futures LLC
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Director Ceres Managed Futures LLC |
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/s/ Raymond Nolte |
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Raymond Nolte |
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Director Ceres Managed Futures LLC |
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Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the
Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.
30