Attached files
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
Form 10-K
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the fiscal year ended December 31, 2010
OR
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to .
Commission File Number 0-26132
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 13-3729162 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres Managed Futures LLC
522 Fifth Avenue 14th Floor
New York, New York 10036
522 Fifth Avenue 14th Floor
New York, New York 10036
(Address and Zip Code of principal executive offices)
(212) 296-1999
(Registrants telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None | ||
Securities registered pursuant to Section 12(g) of the Act: Redeemable Units of Limited Partnership Interest | ||
(Title of Class) |
Indicated by check mark if the registrant is a well known seasonal issuer as defined in Rule 405 of
the Securities Act.
Yes o No þ
Indicate by check mark if the registrant is not required to file reports pursuant to section 13 or
section 15(d) of the Act.
Yes o No þ
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period
that the registrant was required to submit and post such files).
Yes o No o
Indicate by check mark 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 þ.
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):
Large accelerated filer o | Accelerated filer o | Non-accelerated filer þ | Smaller reporting company o | |||
(Do not check if a smaller reporting company) |
Indicate by check mark if the registrant is a shell company (as defined in rule 12b-2 of the
Exchange Act).
Yes o No þ
Limited Partnership Redeemable Units with an aggregate value of $28,951,581 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, 2011, 15,559.8633 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
[None]
PART I
Item 1. Business
(a) General Development of Business. Diversified Multi-Advisor Futures Fund L.P. (the
Partnership) is a limited partnership organized under the partnership laws of the State of New
York on August 13, 1993 to engage, directly or indirectly, 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 Partnership through its investment in the Funds, (as defined below) are volatile and
involve a high degree of market risk. The Partnership commenced trading operations on January 12,
1994. The Partnership was authorized to sell 300,000 redeemable units of limited partnership
interest (Redeemable Units) during its initial offering period.
A Registration Statement on Form S-1 relating to the public offering became effective on
October 29, 1993 (File No. 033-68074). Between October 29, 1993 and January 11, 1994, 75,615
Redeemable Units were sold to the public 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 $781,000, to the Partnerships trading account on January 12, 1994 when the Partnership
commenced trading. An additional 150,000 Redeemable Units were registered on a Registration
Statement on Form S-1 effective February 17, 1994 (File No. 033-75056).
The Partnership no longer offers Redeemable Units for sale. Redemptions of Redeemable Units
for the years ended December 31, 2010, 2009 and 2008, are reported in the Statements of Changes in
Partners Capital on page 34 under Item 8. Financial Statements and Supplementary Data.
Ceres 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). Morgan Stanley, indirectly through various subsidiaries, owns
a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Partnership, owns a minority equity interest in 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, 2010, all trading decisions are made for the Partnership by Winton Capital
Management Limited (Winton), Willowbridge Associates, Inc. (Willowbridge), Graham Capital
Management, L.P. (Graham), Eckhardt Trading Company (Eckhardt) and SandRidge Capital L.P.
(SandRidge) (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 Advisors are 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 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 capital contribution and profit, if any, net of distributions.
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) an amount that will entitle the
General Partner to an interest of at least 1% of each material item of Partnership income, gain,
loss, deduction or credit and (ii) the greater of (a) 1% of the partners contributions to the
Partnership or (b) $25,000. The Partnership will be liquidated upon the first of the following to
occur: December 31, 2013; 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 circumstances as defined in
the Limited Partnership Agreement of the Partnership (the Limited Partnership Agreement).
On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton
Master L.P. (Winton Master), a limited partnership organized under the partnership laws of New
York State. The Partnership purchased 15,054.1946 units of Winton Master with cash equal to
$14,251,586, and a contribution of open commodity futures and forward contracts with a fair value
of $802,609. Winton Master was formed in order to permit commodity pools managed now or in the
future by Winton using its Diversified Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the general partner of Winton Master.
Individual and pooled accounts currently managed by Winton, including the Partnership are
2
permitted to be limited partners of Winton Master. The General Partner and Winton believe that
trading through this structure should promote efficiency and economy in the trading process.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF
Willowbridge Argo Master Fund L.P. (Willowbridge Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of
Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures
and forward contracts with a fair value of $1,141,230. Willowbridge Master was formed in order to
permit commodity pools managed now or in the future by Willowbridge using its Argo Trading System,
a proprietary, systematic trading system, to invest together in one trading vehicle. The General
Partner is also the general partner of Willowbridge Master. Individual and pooled accounts
currently managed by Willowbridge, including the Partnership are permitted to be limited partners
of Willowbridge Master. The General Partner and Willowbridge believe that trading through this
structure should promote efficiency and economy in the trading process.
On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham
Capital Master Fund L.P. (Graham Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 14,741.1555 units of Graham Master with
cash equal to $14,741,156. Graham Master was formed in order to permit accounts managed now or in
the future by Graham using its K4D-12.5 Program, a proprietary, systematic trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of Graham
Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are
permitted to be limited partners of Graham Master. The General Partner and Graham believe that
trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt
Master Fund L.P. (Eckhardt Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash
equal to $7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or
in the future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt
Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership,
are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe
that trading through this structure should promote efficiency and economy in the trading process.
On June 1, 2009, the assets allocated to SandRidge for trading were invested in CMF SandRidge
Master Fund L.P. (SandRidge Master), a limited partnership organized under the partnership laws
of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash
equal to $2,818,836. SandRidge Master was formed in order to permit accounts managed now and in the
future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of
SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the
Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and
SandRidge believe that trading through this structure promotes efficiency and economy in the
trading process.
The General Partner is not aware of any material changes to the trading programs discussed
above during the year ended December 31, 2010.
Winton Masters, Willowbridge Masters, Graham Masters, Eckhardt Masters and SandRidge
Masters (the Funds) trading of futures, forwards, swaps and options contracts, if applicable, on
commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The
Funds 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 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 charged at the Partnership level. All exchange, clearing,
user, give-up, floor brokerage and National Futures Association (NFA) fees (collectively the clearing fees) are borne by the
Funds. All other fees including CGMs direct brokerage fees are charged at the Partnership level.
3
For the period January 1, 2010 through December 31, 2010, the approximate average market
sector distribution for the Partnership was as follows:
* Due to rounding
As of December 31, 2010 the Partnership owned approximately 0.8%, 2.2%, 4.3% 34.5%and 0.4% of
Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master,
respectively. As of December 31, 2009, the Partnership owned approximately 1.7%, 2.7%, 5.4%, 31.1%
and 0.4% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge
Master, respectively. It is Wintons, Willowbridges, Grahams, Eckhardts and SandRidges
intention to continue to invest the assets allocated to each by the Partnership in Winton Master,
Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master. The performance of the
Partnership is directly affected by the performance of the Funds. Expenses to investors as a
result of the investment in the Funds are approximately the same and the redemption rights are not affected.
Pursuant to the terms of the management agreement (the Management Agreement) with each
Advisor, the Partnership is obligated to pay each Advisor a monthly management fee equal to 1/6 of 1% (2% per
year) of month-end Net Assets allocated to each Advisor, except for Winton, which will receive a
monthly management fee equal to 1/12 of 1.5% (1.5% per year), of month-end Net Assets allocated to
the Advisor. 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 accrual, the monthly management fees and any redemptions or distributions as of the
end of such month. Each Management Agreement may be terminated upon
notice by either party.
In addition, the Partnership is obligated to pay each Advisor an incentive fee, payable
quarterly, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned
by each Advisor for the Partnership during each calendar quarter. Each Advisor will not be paid incentive fees
until they recover their net loss incurred and earns additional new
trading profits 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 fee equal to 11/24 of 1% (5.5% per
year) of month-end Net Assets in lieu of brokerage fees on a per trade
basis. Month-end Net Assets for the purpose of calculating brokerage fees are Net Assets, as
defined in the Limited Partnership Agreement, prior to the reduction of the current months
brokerage fees, 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
fees to other property registered selling agents and to financial advisors who have sold Redeemable Units. Brokerage fees will be paid for the life
of the Partnership, although the rate at which such fees are paid may be changed. This fee may be
increased or decreased at any time at CGMs discretion upon written notice to the Partnership. All
clearing fees are borne by the Funds and allocated to the Partnership based on its proportionate
share of each Fund. All of the Partnerships assets not held in the Funds account 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. CGM will pay the Partnership interest on its allocable share of 80% of the average
daily equity maintained in cash in each of the Funds brokerage accounts at a 30-day U.S. Treasury
bill rate determined weekly 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. The
Customer Agreement between the Partnership/Funds and CGM gives the Partnership and the Funds the
legal right to net unrealized gains and losses on open futures and exchange-cleared swaps and
forward contracts. The Customer Agreement may be terminated upon notice by either party.
(b) Financial Information about 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, 2010, 2009, 2008, 2007 and 2006 is set forth under Item 6. Selected Financial
Data. The Partnerships Capital as of December 31, 2010 was $29,474,282.
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) 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.
4
(f) Reports to Security Holders. Not applicable.
(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller Reporting Companies. Not applicable.
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 their investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
their 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 fees 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 units is limited and no market exists for the
units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from
the facts that:
1. | The General Partner and the Partnerships/Funds commodity broker are affiliates; |
2. | Each of the Advisors, the Partnerships/Funds commodity broker and their principals and affiliates may trade in commodity interests for their own accounts; and |
3. | 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.
5
The General Partner may allocate the Partnerships assets to undisclosed advisor.
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. Pursuant to the
mandate of the Dodd-Frank Wall Street Reform and Consumer Protection Act, signed into law on July
21, 2010, the Commodity Futures Trading Commission (CFTC) and the Securities and Exchange
Commission (the SEC) may promulgate rules to regulate swaps dealers, require that swaps be traded
on an exchange or swap execution facilities, mandate additional reporting and disclosure
requirements and require that derivatives (such as those traded by the Partnership) be moved into
central clearinghouses. These rules, if promulgated, may negatively 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.
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 MSSB Holdings.
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 or any of its individual principals and no such actions are currently pending,
except as follows.
Credit-Crisis-Related Litigation and Other Matters
Citigroup and CGM continue to
cooperate fully in response to subpoenas and requests for information from the SEC, FINRA, the
Federal Housing Finance Agency, state attorneys general, the Department of Justice and
subdivisions thereof, bank regulators, and other government agencies and authorities,
in connection with various formal and informal inquiries concerning Citigroups
subprime and other mortgage-related conduct and business activities, as well as
other business activities affected by the credit crisis. These business activities
include, but are not limited to, Citigroups sponsorship, packaging, issuance, marketing,
servicing and underwriting of MBS and CDOs and its origination, sale or other transfer,
servicing, and foreclosure of residential mortgages.
Subprime Mortgage-Related Litigation and Other Matters
The SEC, among other regulators, is investigating Citigroups subprime
and other mortgage-related conduct and business activities, as well as other business activities
affected by the credit crisis, including an ongoing inquiry into Citigroups
structuring and sale of CDOs. Citigroup is cooperating fully with the
SECs inquiries.
On July 29, 2010, the SEC announced the settlement
of an investigation into certain of Citigroups 2007 disclosures
concerning its subprime-related business activities. On October 19, 2010, the
United States District Court for the District of Columbia entered a Final Judgment
approving the settlement, pursuant to which Citigroup agreed to pay a $75 million civil
penalty and to maintain certain disclosure policies, practices and procedures for a three-year
period. Additional information relating to this action is publicly available in court filings under
the docket number 10 Civ. 1277 (D.D.C.) (Huvelle, J.).
The Federal Reserve Bank, the OCC and the FDIC, among other federal and state
authorities, are investigating issues related to the conduct of certain mortgage servicing
companies, including Citigroup affiliates, in connection with mortgage foreclosures. Citigroup is
cooperating fully with these inquiries.
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 Stockholder Matters and Issuer Purchases
of Equity Securities.
(a) Market Information. The Partnership has issued no stock. There is no public market
for the Redeemable Units.
(b) Holders. The number of holders of Redeemable Units as of December 31, 2010 was
1,290.
(c) Dividends. The Partnership did not declare a distribution in 2010 or 2009.
The Partnership does not intend to declare distributions in the foreseeable future.
(d) Securities Authorized for Issuance Under Equity Compensation Plans. None.
(e) Performance Graph. Not applicable.
(f) Recent
Sales of Unregistered Securities; Use of Proceeds from Registered Securities. There were no additional subscriptions of
Redeemable Units for the 12 months ended December 31, 2010, 2009 and 2008.
(g) Purchases of Equity Securities by the Issuer and Affiliated Purchasers.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number | |||||||||||
(or Approximate | |||||||||||
(c) Total Number | Dollar Value) of | ||||||||||
of Redeemable Units | Redeemable Units that | ||||||||||
(a) Total Number | (b) Average | Purchased as Part | May Yet Be | ||||||||
of Redeemable | Price Paid per | of Publicly Announced | Purchased Under the | ||||||||
Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | |||||||
October 1, 2010 October 31, 2010 |
60.1084 | $ | 1,792.99 | N/A | N/A | ||||||
November 1, 2010 November 30, 2010 |
123.3370 | $ | 1,742.48 | N/A | N/A | ||||||
December 1, 2010 December 31, 2010 |
125.7792 | $ | 1,849.98 | N/A | N/A | ||||||
309.2246 | $ | 1,796.02 | |||||||||
* | Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although 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. | |
** | 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. |
Item 6. Selected Financial Data.
Net realized and unrealized trading gains (losses), interest income, net income (loss),
increase (decrease) in net asset value per unit and net asset value per unit for the years ended
December 31, 2010, 2009, 2008, 2007 and 2006 and total assets at December 31, 2010, 2009, 2008,
2007 and 2006 were as follows:
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net realized and unrealized trading gains
(losses) and investment in Funds net of
brokerage fees (including clearing fees) of
$1,705,029, $2,255,697, $2,825,055, $2,859,551, and $3,242,379, respectively |
$ | 1,167,908 | $ | (3,780,755 | ) | $ | 8,910,943 | $ | 1,605,992 | $ | 845,375 | |||||||||
Interest income |
25,483 | 28,372 | 509,211 | 1,719,005 | 2,046,966 | |||||||||||||||
$ | 1,193,391 | $ | (3,752,383 | ) | $ | 9,420,154 | $ | 3,324,997 | $ | 2,892,341 | ||||||||||
Net income (loss) |
$ | 381,062 | $ | (4,717,414 | ) | $ | 7,453,939 | $ | 2,060,383 | $ | 1,669,918 | |||||||||
Increase (decrease) in net asset value per unit |
$ | 36.81 | $ | (216.73 | ) | $ | 288.01 | $ | 79.41 | $ | 51.13 | |||||||||
Net asset value per unit |
$ | 1,849.98 | $ | 1,813.17 | $ | 2,029.90 | $ | 1,741.89 | $ | 1,662.48 | ||||||||||
Total assets |
$ | 29,968,114 | $ | 33,760,685 | $ | 49,677,270 | $ | 48,139,797 | $ | 54,342,969 | ||||||||||
7
Item 7. Managements Discussion and Analysis of Financial Condition and Results of
Operations.
Overview
The Partnership, through its investment in the Funds, aims to achieve substantial capital
appreciation through speculative trading, directly and indirectly, in U.S. and international
markets for currencies, interest rates, stock indices, agricultural and energy products and
precious and base metals. The Partnership may employ futures, swaps, 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 40 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 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 seeks the best prices and services available in its commodity futures
brokerage transactions.
The programs traded by each Advisor on behalf of the Partnership are: Winton Diversified
Program, Willowbridge Argo Trading System, Graham- K4D-12.5 Program, Eckhardt- Standard Program
and SandRidge- Energy Program. As of December 31, 2010, the Partnerships assets were allocated
among the Advisors in the following approximate percentages: Winton,
25%, Willowbridge, 16%, Graham, 25%, Eckhardt, 28% and SandRidge, 7%. The General Partner may modify or terminate the
allocation of assets among the Advisors and may allocate assets to additional
advisors at any time.
No assurance is given that an Advisors trading programs will be profitable or that they will
not experience losses.
Winton Capital Management Limited
Winton trades its Diversified Program on behalf of the Partnership. The Diversified Program
trades approximately 100 futures and forward contracts on U.S. and non-U.S. exchanges and markets.
Winton employs a fully systematic computerized, technical, trend-following trading system
developed by its principals. This system tracks the daily price movements from these markets around
the world, and carries out certain computations to determine each day how long or short the
portfolio should be in an attempt to maximize profit within a certain range of risk. If rising
prices in a particular market are anticipated, a long position will be established in that market;
if prices in a particular market are expected to fall, a short position in that market will be
established.
Technical analysis refers to analysis based on data intrinsic to a market, such as price and
volume. In contrast, fundamental analysis relies on factors external to a market, such as supply
and demand. The Diversified Program employs no fundamental factors.
8
A trend-following system is one that attempts to take advantage of the observable tendency of
the markets to trend, and to tend to make exaggerated movements in both upward and downward
directions as a result of such trends. These exaggerated movements are largely explained as a
result of the influence of crowd psychology or the herd instinct among market participants.
A trend-following system does not anticipate a trend. In fact, trend-following systems are
frequently unprofitable for long periods of time in particular markets or market groups, and
occasionally they are unprofitable for periods of more than a year. However, the principals believe
that such an approach will, in the long term, be profitable.
Trade selection is not subject to intervention by Wintons principals and therefore is not
subject to the influences of individual judgment. As a mechanical trading system, the Winton model
embodies all the expert knowledge required to analyze market data and direct trades, thus
eliminating the risk of basing a trading program on one indispensable person. Equally as important
is the fact that mechanical systems can be tested in simulation for long periods of time, and the
models empirical characteristics can be measured.
The systems output is rigorously adhered to in trading the portfolio, and intentionally no
importance is given to any external or fundamental factors. While it may be seen as unwise to
ignore information of obvious value, such as that pertaining to political or economic developments,
Winton believes that the disadvantage of this approach is far outweighed by the advantage of the
discipline that rigorous adherence to such a system instills. Winton believes that significant
profits may be realized by the Winton system by holding on to positions for much longer than
conventional wisdom would dictate. Winton believes that a trader who pays attention to day-to-day
events could be distracted from the chance of fully capitalizing on such trends.
The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts.
Forward markets include major currencies and precious and base metals, the latter two categories
being traded on the London Metal Exchange. Winton seeks new opportunities to add additional markets
to the portfolio, with the goal of increasing the portfolios diversification.
Winton believes that taking positions in a variety of unrelated markets will, over time,
decrease system volatility. By employing a sophisticated and systematic method for placing orders
in a wide array of markets, Winton believes that profits can be realized over time.
Willowbridge Associates, Inc.
Willowbridge trades the Partnerships assets allocated to it in accordance with its Argo
Trading System (Argo), which is described below.
For Argo, risk is managed on a market-by-market level as well as on an overall portfolio
level. On the market level, risk is managed primarily by utilizing proprietary volatility filters.
When these filters detect a certain excessive level of volatility in the markets traded, they will
signal that the systems should no longer be trading in the markets in which the filters have
detected excessive volatility. In this way, the systems do not participate in markets in which
there are extremes in market action. On the portfolio level, risk is managed by utilizing a
proprietary portfolio cutback rule. When cumulative profits have reached a certain level, this rule
determines that positions should be halved across the entire portfolio. In this way, risk is
reduced while allowing the systems to continue to participate in the markets, albeit at a reduced
level. After the portfolio has been traded at half, the portfolio cutback rule will then determine
when to increase positions to again trade at the full level.
Argo commenced trading in 1988. Argo essentially incorporates concepts of pattern recognition,
support/resistance levels and counter-trend liquidations. Argo has a relatively slow time horizon
and attempts to capture longer-term price moves.
Pattern recognition, support/resistance levels and counter-trend liquidations are defined as
follows:
Pattern recognition is the ability to identify patterns that appear to have acted as
precursors of price advances or declines in the past.
A support level is a previous lowa price level under the current market price at which point
buying interest is expected to be sufficiently strong to overcome selling pressure.
A resistance level is a previous higha price level over the current market price at which
point selling pressure is expected to overcome buying pressure and a price advance is expected to
be turned back.
A counter-trend liquidation is the closing out of a position after a significant price move on
the assumption that the market is due for a correction.
9
Graham Capital Management, L.P.
Graham trades the Partnerships assets allocated to it in accordance with its proprietary K4D-12.5 Program.
K4D-12.5 Program combines four individual Graham investment programs into one program. K4D-12.5
Program initially allocates assets equally among other Graham programs. As market conditions or
other circumstances change, Graham may alter the weightings of the individual programs and add (or
delete) other programs to K4D-12.5 Program, as it deems appropriate.
Graham trades actively in both U.S. and foreign markets, primarily in futures contracts,
forward contracts, spot contracts and associated derivative instruments such as options and swaps.
Graham engages in exchange for physical transactions, which involve the exchange of a futures
position for the underlying physical commodity without making an open competitive trade on an
exchange.
Graham at times will trade certain instruments, such as forward foreign currency contracts, as a
substitute for futures or options traded on futures exchanges.
Grahams trading systems rely primarily on technical rather than fundamental information as
the basis for their trading decisions. Grahams system is based on the expectation that over time
they can successfully anticipate market events using quantitative mathematical models to determine
their trading activities, as opposed to attempting properly to forecast price trends using
subjective analysis of supply and demand.
Eckhardt Trading Company
Eckhardt began
managing accounts according to the Standard Program, a proprietary, systematic trading system in
October 1991. For this program, Eckhardt primarily engages in trading financial and commodity
futures contracts on U.S. and non-U.S. exchanges. Currently the market groups or contracts traded
by Eckhardt in the Standard Program 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. Eckhardt may add or delete markets and/or exchanges at its discretion. In
addition, Eckhardt may trade options on futures, forward contracts on commodities and currencies,
cash currencies, and may engage in transactions in physical commodities, including EFPs (in
addition to EFPs in currencies).
Eckhardts trading approach is the product of over 28 years of intensive research on futures
price action, risk management and trading system development. Diverse systems are melded in
accordance with the modern mathematical theory of risk. The systems are technical in origin and
trend following in thrust. They are not based on the analysis of fundamental supply and demand
factors. Eckhardts trading approach is predominantly applied in an algorithmic or mechanical
manner. Occasionally, discretion and judgment may be used; such discretion is nonetheless informed
by investigations into historical price action and is often employed for risk management purposes.
Discretion also may be utilized in connection with the timing of the entry of orders in the markets
traded.
SandRidge Capital, L.P.
SandRidge trades the Partnerships assets in accordance with its Energy Program. SandRidge
primarily attempts to achieve the Partnerships objective through the speculative trading of
energy-related commodity interests, including, but not limited to, natural gas, crude oil, heating
oil and gasoline. With the prior approval of the General Partner, SandRidge may trade in other
commodity interests that are now traded, or may be traded in the future, on exchanges and markets
located in the United States and abroad.
SandRidge is a discretionary trader that employs primarily fundamental analysis. Fundamental
analysis examines factors external to the trading market that affect the supply and demand for a
particular group or type of commodity in order to predict future prices. Effective risk management
is an important aspect of SandRidges trading program. An accounts size, volatility of the market
traded and the nature of other positions taken are all factors used in deciding whether to initiate
a position and in determining the amount of equity committed to that position. While SandRidge
relies heavily on fundamental research to develop its overall point of view, it also employs
technical analysis in its trading to help determine entry and exit points. Technical analysis
includes moving averages, index rolls and Stochastic/relative strength indicators. Technical
analysis is based on the theory that the study of the markets themselves provides a means of
anticipating price movements. SandRidge may employ various strategies for phasing an account in and
out of the markets. Entry points are based on a number of price breakout and retracement
indicators. Position exits are based on multiple strategies including trailing stops, target prices
and technical reversals. If SandRidge believes that the markets traded are unstable, SandRidge may
temporarily reduce positions or exit the markets entirely and therefore hold no open positions for
a period of time. SandRidge estimates that, generally, 10% to 15% of the Partnerships assets
allocated to SandRidge will be committed to margin at any one time. The actual amount committed as
such may be substantially more. Trading decisions will require the exercise of judgment by
SandRidge.
10
SandRidges success depends to a great extent upon the occurrence of market conditions
favorable to its trading strategy. Factors such as lack of major price trends or increased
governmental control of, or participation in, the markets, may reduce SandRidges ability to trade
profitably in the future.
For the period January 1, 2010 through December 31, 2010, the average allocation by commodity
market sector for each of the Funds was as follows:
CMF Willowbridge Argo Master Fund L.P.
Currencies |
17.8 | % | ||
Energy |
18.7 | % | ||
Grains |
8.9 | % | ||
Interest Rates U.S. |
8.1 | % | ||
Interest Rates Non-U.S. |
16.7 | % | ||
Livestock |
0.6 | % | ||
Metals |
18.3 | % | ||
Softs |
10.9 | % |
CMF Winton Master L.P.
Currencies |
21.0 | % | ||
Energy |
4.7 | % | ||
Grains |
5.3 | % | ||
Interest Rates U.S. |
12.6 | % | ||
Interest Rates Non-U.S. |
16.1 | % | ||
Livestock |
0.6 | % | ||
Metals |
13.3 | % | ||
Softs |
2.5 | % | ||
Indices |
23.9 | % |
CMF
Graham Capital Master Fund L.P.
Currencies |
35.9 | % | ||
Energy |
6.4 | % | ||
Grains |
3.1 | % | ||
Interest Rates U.S. |
7.5 | % | ||
Interest Rates Non-U.S. |
13.5 | % | ||
Livestock |
0.4 | % | ||
Metals |
6.8 | % | ||
Softs |
3.5 | % | ||
Indices |
22.9 | % |
CMF Eckhardt Master Fund L.P.
Currencies |
16.3 | % | ||
Energy |
11.6 | % | ||
Grains |
9.9 | % | ||
Interest Rates U.S. |
16.7 | % | ||
Interest Rates Non-U.S. |
15.1 | % | ||
Metals |
9.3 | % | ||
Softs |
4.3 | % | ||
Indices |
16.8 | % |
CMF SandRidge Master Fund L.P.
Energy |
100.0 | % |
(a) Liquidity
The Partnership does not engage in sales of goods or services. Its only assets are its
investments in the Funds and cash. The Funds only assets are their equity in trading accounts,
consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net
unrealized appreciation on forward contracts, commodity options, if applicable, and 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, 2010.
11
To minimize the risk relating to low margin deposits, the Partnership/Funds follow certain
trading policies, including:
(i) | The Partnership invests its assets in other Funds that invest the assets only in commodity interests that an Advisor 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. | ||
(ii) | An Advisor will not initiate additional positions in any commodity interest 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 clearinghouse, the physical commodity position is fully hedged. | ||
(iv) | The Partnership/Funds will 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 will not utilize borrowings, other than short-term borrowings, if the Partnership/Funds take 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. Spread or straddle describes a 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 their commodity trading accounts. The term churning refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, indicating by the desire to generate commission income. |
From January 1, 2010 through December 31, 2010, the Partnerships average margin to equity
ratio (i.e., the percentage of assets on deposit required for margin) was approximately 9.9%. 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 through its investment in the Funds, is
party 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 swaps and 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 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 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 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 Funds
risk of loss is reduced through the use of legally enforceable master netting agreements with
counterparties that permit the Funds to offset unrealized gains
12
and losses and other assets and liabilities with such counterparties upon the occurrence of
certain events. The Funds have credit risk and concentration risk as the sole counterparty or
broker with respect to the 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 Funds counterparty is
an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive 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 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 Funds do not consider these contracts
to be guarantees.
The General Partner monitors and attempts to control the 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 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. (See also Item 8. Financial Statements and Supplementary Data for further
information on financial instrument risk included in the Notes to Financial Statements.)
Other than the risks inherent in commodity futures and other derivatives trading, 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 General Partner may, in its
discretion, cause the Partnership to cease trading operations and liquidate all open positions
under certain circumstances, including a decrease in net asset value per Redeemable Unit to less
than $400 as of the close of business on any business day.
(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, advisory and administrative 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 require the Partnership to redeem their Redeemable Units at their net asset value per
Redeemable Unit as of the last day of each month on three business 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, 2010,
2,297.1946 Redeemable Units were redeemed totaling $3,970,912 and 102.6471 General Partner unit
equivalents were redeemed totaling $175,000. For the year ended December 31, 2009, 4,902.7992
Redeemable Units were redeemed totaling $9,296,739 and 554.9250 General Partner unit equivalents
were redeemed totaling $1,037,738. For the year ended December 31, 2008, 3,944.5494 Redeemable
Units were redeemed totaling $7,560,553.
(c) Results of Operations.
For the year ended December 31, 2010, the net asset value per unit increased 2.0% from
$1,813.17 to $1,849.98. For the year ended December 31, 2009, the net asset value per unit
decreased 10.7% from $2,029.90 to $1,813.17. For the year ended December 31, 2008, the net asset
value per unit increased 16.5% from $1,741.89 to $2,029.90.
The Partnership experienced a net trading gain, through investments in the Funds, of
$2,872,937 before brokerage fees and related fees in 2010. Gains were primarily attributable to the
trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates, livestock,
metals and softs and were partially offset by losses in energy and
indices. The net trading gain or loss realized from the Funds is
disclosed on page 33 under Item 8 Financial Statements and
Supplementary Data.
13
The
most significant trading gains were experienced within the fixed-income sector from long
positions in European, U.S., and Japanese fixed-income futures. In this sector, prices increased
during the first quarter on concerns that lending restrictions in China, possible reductions in
U.S. stimulus measures, and Greeces fiscal struggles might stifle the global economic rebound.
Prices were then pressured higher during the second quarter amid an unexpected drop in U.S.
consumer confidence, increased regulatory scrutiny of the financial industry, and the growing
European debt crisis. During the third quarter, prices continued to climb higher due to concern
that European governments may struggle to repay their debt and Chinese economic growth may be
slowing. Within the currency markets, gains were achieved primarily during May, September and
December. During May, short positions in the euro versus the U.S. dollar posted gains as the euro
weakened amid concerns over the Greek debt crisis. During September, long positions in the
Australian dollar versus the U.S. dollar resulted in gains as the value of the
Australian dollar rose against the U.S. dollar amid speculation that the Reserve Bank of Australia may raise interest rates in October.
During December, gains were achieved due to long positions in the
Swiss franc, South African rand and Australian dollar
versus the U.S. dollar as the value of these currencies rose against the U.S. dollar after
better-than expected economic data spurred speculation that global growth is gathering momentum,
boosting demand for higher-yielding and commodity-driven currencies. Additional gains were
experienced by crosses against the British pound as the value of the British pound declined
following lower-than-expected mortgage approval figures in the United Kingdom. In the metals
markets, gains were recorded throughout September, October, November, and December as long futures
positions in silver and gold resulted in additional gains for the metals sector as prices rose amid
increased demand for the precious metals due to a drop in the value of the U.S. dollar, with silver
futures rallying to a 30-year high and gold prices reaching a new all-time high.
A portion of the Partnerships gains for the year was offset by losses recorded in the energy
markets from long futures positions in crude oil and its related products as prices declined amid
speculation that Chinas economic activity and energy demand may ease. Throughout May, long futures
positions in crude oil and its related products resulted in additional losses as prices declined on
continued worries that Europes debt troubles might slow down the global economic recovery and
thereby weaken energy demand. Losses were also recorded in short positions in natural gas as prices
unexpectedly rallied due to higher demand for electricity in the summer on higher temperature.
Within the global stock index sector, losses were incurred in January from long positions in
European, U.S., and Pacific Rim equity index futures as prices moved lower amid disappointing U.S.
corporate earnings reports and mounting concerns over sovereign debt defaults from a number of
European countries. During May and June, further losses were incurred from long positions in
European, U.S., and Japanese equity-index futures as prices moved lower on growing concerns that
Greeces sovereign debt crisis might spread throughout Europe.
The Partnership experienced a net trading loss, through investments in the Funds, of
$1,525,058 before brokerage fees and related fees in 2009. Losses were primarily attributable to
the trading of commodity futures in currencies, energy, grains, U.S. and non-U.S. interest rates,
livestock and lumber and were partially offset by gains in indices, metals and softs.
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.
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. 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 pushed prices lower, resulting in losses for the sector as prices
whipsawed. Losses were also taken in trading of currencies, primarily in December as the Japanese
yen reversed sharply on the Japanese governments
dissatisfaction over the high value of the Japanese yen.
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 the harvest and
concerns arose over the acres likely to be seeded for the new crop. Losses were incurred in sugar after
prices hit a 28 year high, which led many countries to reduce their expected sugar imports.
CGM will pay the Partnership interest on its allocable share of 80% of the average daily
equity maintained in cash in each of the Funds brokerage accounts during each month at a 30-day
U.S. Treasury bill rate determined by CGM. Interest income from investment in the Funds for the
three months ended December 31, 2010 increased by $4,915 as compared to the corresponding period in
2009. The increase in interest income is primarily due to higher U.S. Treasury Bill rates during
the three months ended December 31, 2010, as compared to the corresponding period in 2009. Interest
income from investment in the Funds for the twelve months ended December 31, 2010 decreased by
$2,889 as compared to the corresponding period in 2009. The decrease in interest income is
primarily due to lower average daily equity maintained in cash during the twelve months ended
December 31, 2010, as compared to the corresponding period in 2009. 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 equity in the Partnerships and the Funds
accounts and upon interest rates over which neither the Partnership nor CGM has control.
Brokerage fees 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
fees for the three and twelve months ended December 31, 2010 decreased by $74,631 and $550,668,
respectively, as compared to the corresponding periods in 2009. The decrease in brokerage fees is
primarily due to a decrease in average net assets during the three and twelve months ended December
31, 2010 as compared to the corresponding periods in 2009.
Management fees are calculated as a percentage of the Partnerships adjusted 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, 2010 decreased by $24,805 and $187,008,
respectively, as compared to the corresponding periods in 2009. The decrease in management fees is
due to a decrease in average net assets during the three and twelve months ended December 31, 2010
as compared to the corresponding periods in 2009.
Incentive fees are based on the new trading profits generated by each Advisor at the end of
the quarter as defined in the management agreements between the Partnership, the General Partner
and each Advisor. Trading performance for the three and twelve months ended December 31, 2010
resulted in incentive fees of $14,797. There were no incentive fees earned for the three months
ended December 31, 2009. Trading performance for the twelve months ended December 31, 2009 resulted
in incentive fees of $29,522.
The Partnership pays professional fees, which generally include legal and accounting expenses.
Professional fees for the years ended December 31, 2010 and 2009 were $202,763 and $154,586,
respectively.
14
The Partnership pays other expenses, which generally include filing, reporting and data
processing fees. Other expenses for the years ended December 31, 2010 and 2009 were $48,966 and
$48,112, respectively.
The Partnership experienced a net trading gain, through investments in the Funds, of
$11,735,998 before brokerage fees and related fees in 2008. Gains were primarily attributable to
the trading of commodity futures in currencies, energy, grains, indices, U.S. and non-U.S. interest
rates, livestock, lumber, metals 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 all the sectors.
Profits were primarily realized from trading in energy, fixed-income and equity-indices. The
Partnership realized most of the 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 per MMBtu. The Partnership was also 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 10-year U.S. Treasury bill yielded on an average between 3.5%-4% for 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. 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.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with the objectives of the Partnership/Funds 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 trading advisors, the General Partner
considers past performance, trading style, volatility of markets traded and fee requirements. The
General Partner may modify or terminate the allocation of assets among the trading advisors and may
allocate assets to additional advisors at any time. Each
Advisors percentage allocation and trading program is described
in the overview section of this Item 7.
(d) Off-Balance Sheet Arrangements. None.
(e) Contractual Obligations. None.
(f) Operational Risk.
The Partnership, through its investments in the Funds, is 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
15
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.
Partnerships and the Funds Investments. All commodity interests (including derivative
financial instruments and derivative commodity instruments), through its investment in other
partnerships, 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 Funds 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 Funds
Statements of Income and Expenses.
Partnerships and the Funds Fair Value Measurements. Fair value is defined as the price that
would be received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date under current market conditions. 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. Management has concluded that based on available
information in the marketplace, the Funds Level 1 assets and liabilities are
actively traded.
Accounting principles generally accepted in the United States of America (GAAP) also requires 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. Management has
concluded that based on available information in the marketplace, there has not been a significant
decrease in the volume and level of activity in the Partnerships and the Funds Level 2 assets and
liabilities.
The Partnership and the Funds will 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 make disclosures 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 as required under GAAP.
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 funds (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 investment in the Funds reflects its proportional interest in the
Funds. As of and for the years ended December 31, 2010 and 2009, 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 Funds trade futures contracts and exchange-cleared swaps.
Exchange-cleared swaps are swaps that are traded as futures. 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
16
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 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 Funds. When the contract is closed, 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. 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. 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
Funds agree 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 Funds 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 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 Funds are cash settled based on prompt dates
published by the LME. Payments (variation margin) may be made or received by 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 Funds. A contract is considered offset when all long
positions have been matched with a like number of short positions settling on the same prompt date.
When the contract is closed at the prompt date, 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. 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. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses.
Options.
The Funds may purchase and write (sell) both exchange-listed
and OTC
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 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 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.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
Introduction
All of the Partnerships assets are subject to the risk of trading loss through its
investments in the Funds. The Funds are speculative commodity pools. The market sensitive
instruments held by them are acquired for speculative trading purposes, and all or substantially
all of the 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 Funds main line of
business.
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.
17
Market movements result in frequent changes in the fair market value of the Funds open
positions and, consequently, in its earnings and cash balances. The Funds market risk is
influenced by a wide variety of factors, including the level and volatility of interest rates,
exchange rates, equity price levels, the market value of financial instruments and contracts, the
diversification results among the Funds open positions and the liquidity of the markets in which
they trade.
The Funds rapidly acquire 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 Funds past performance is not necessarily indicative of
their future results.
Value at Risk is a measure of the maximum amount which the Funds could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Funds speculative
trading and the recurrence in the markets traded by the 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 Funds experiences 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 Funds losses in any market sector will be limited to Value at Risk or by
the Funds attempts to manage their 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 Funds market sensitive instruments.
Quantifying the Partnerships Trading Value at Risk
The following quantitative disclosures regarding the Partnerships/Funds 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 Funds mark-to-market accounting, any loss in the fair value
of the Funds open positions is directly reflected in the Partnerships earnings (realized and
unrealized).
Exchange maintenance margin requirements have been used by the 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 Funds except SandRidge Master), 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 Funds futures and forward contracts 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 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 Funds in almost all cases fluctuate to a lesser extent than those of the underlying
instruments.
In quantifying the 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 Funds positions are rarely, if ever, 100% positively correlated have not been
reflected.
18
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. The Advisors currently trade the Partnerships assets
indirectly in master fund managed accounts, over which they have been granted limited authority to
make trading decisions. The first two trading Value at Risk tables reflect the market sensitive
instruments held by the Partnership indirectly, through its investment in the Funds. The remaining
trading Value at Risk tables reflect the market sensitive instruments, indirectly held by each
Fund, separately.
The following tables indicate the trading Value at Risk associated with the Partnerships open
positions by market category as of December 31, 2010 and 2009. As of December 31, 2010, the
Partnerships total capitalization was $29,474,282.
December 31, 2010
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 741,096 | 2.52 | % | ||||
Energy |
462,864 | 1.57 | % | |||||
Grains |
216,756 | 0.74 | % | |||||
Indices |
566,667 | 1.92 | % | |||||
Interest Rates U.S. |
36,424 | 0.12 | % | |||||
Interest Rates Non-U.S. |
236,566 | 0.80 | % | |||||
Livestock |
6,330 | 0.02 | % | |||||
Metals |
270,783 | 0.92 | % | |||||
Softs |
82,778 | 0.28 | % | |||||
Total |
$ | 2,620,264 | 8.89 | % | ||||
As of December 31, 2009, the Partnerships total capitalization was $33,239,132.
December 31, 2009
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 488,073 | 1.47 | % | ||||
Energy |
264,506 | 0.80 | % | |||||
Grains |
117,037 | 0.35 | % | |||||
Indices |
739,496 | 2.22 | % | |||||
Interest Rates U.S. |
317,080 | 0.95 | % | |||||
Interest Rates Non-U.S. |
335,946 | 1.01 | % | |||||
Livestock |
6,083 | 0.02 | % | |||||
Metals |
347,456 | 1.05 | % | |||||
Softs |
197,670 | 0.59 | % | |||||
Total |
$ | 2,813,347 | 8.46 | % | ||||
The following tables indicate the trading Value at Risk associated with the Partnerships
investment in the Funds by market category as of December 31, 2010 and 2009, and the highest,
lowest and average value at any point during the years. All open position trading risk exposures
have been included in calculating the figures set forth below.
As of December 31, 2010, Willowbridge Masters total capitalization was $216,298,633. The
Partnership owned approximately 2.2% of Willowbridge Master. As of December 31, 2010, Willowbridge
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Willowbridge for trading) was as follows:
December 31, 2010
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk | |||||||||||||||
Currencies |
$ | 2,232,591 | 1.03 | % | $ | 7,096,121 | $ | 940,854 | 3,547,819 | |||||||||||
Energy |
2,742,900 | 1.27 | % | 6,539,400 | 460,750 | 2,570,821 | ||||||||||||||
Grains |
2,062,750 | 0.95 | % | 3,762,750 | 207,200 | 1,238,276 | ||||||||||||||
Interest Rates U.S. |
774,255 | 0.36 | % | 3,269,700 | 243,600 | 1,143,161 | ||||||||||||||
Interest Rates Non-U.S. |
1,908,692 | 0.88 | % | 5,489,653 | 289,858 | 2,700,503 | ||||||||||||||
Livestock |
112,000 | 0.05 | % | 171,200 | 44,800 | 92,018 | ||||||||||||||
Metals |
3,791,000 | 1.75 | % | 5,643,396 | 710,500 | 2,729,785 | ||||||||||||||
Softs |
2,024,400 | 0.94 | % | 3,388,150 | 198,000 | 1,542,246 | ||||||||||||||
Total |
$ | 15,648,588 | 7.23 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
19
As of December 31, 2009, Willowbridge Masters total capitalization was $231,105,317. The
Partnership owned approximately 2.7% of Willowbridge Master. As of December 31, 2009,
Willowbridge Masters Value at Risk for its assets (including the portion of the Partnerships
assets allocated to Willowbridge for trading) 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 |
$ | 5,974,364 | 2.58 | % | $ | 14,208,480 | $ | 1,008,000 | $ | 7,206,662 | ||||||||||
Energy |
2,116,000 | 0.92 | % | 13,037,019 | 391,000 | 5,515,268 | ||||||||||||||
Grains |
1,058,000 | 0.46 | % | 5,919,480 | 259,875 | 2,320,519 | ||||||||||||||
Interest Rates U.S. |
1,959,945 | 0.85 | % | 9,939,105 | 280,500 | 2,836,425 | ||||||||||||||
Interest Rates Non-U.S. |
3,403,449 | 1.47 | % | 14,168,324 | 455,649 | 4,852,602 | ||||||||||||||
Metals |
3,968,558 | 1.72 | % | 8,372,754 | 1,909,575 | 3,799,612 | ||||||||||||||
Softs |
2,725,100 | 1.18 | % | 3,202,100 | 237,900 | 1,531,645 | ||||||||||||||
Total |
$ | 21,205,416 | 9.18 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
As of December 31, 2010, Winton Masters total capitalization was $883,719,871. The
Partnership owned approximately 0.8% of Winton Master. As of December 31, 2010, Winton Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to Winton
for trading) was as follows:
December 31, 2010
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 8,969,665 | 1.01 | % | $ | 13,529,797 | $ | 3,127,432 | $ | 9,858,603 | ||||||||||
Energy |
3,277,769 | 0.37 | % | 4,944,082 | 236,988 | 2,213,508 | ||||||||||||||
Grains |
3,992,796 | 0.45 | % | 4,064,389 | 556,164 | 2,285,359 | ||||||||||||||
Indices |
15,987,691 | 1.81 | % | 22,020,780 | 2,382,812 | 12,021,182 | ||||||||||||||
Interest Rates U.S. |
1,387,025 | 0.16 | % | 10,348,050 | 275,672 | 5,195,958 | ||||||||||||||
Interest Rates Non-U.S. |
3,521,207 | 0.40 | % | 13,490,861 | 1,949,046 | 7,347,287 | ||||||||||||||
Livestock |
268,200 | 0.03 | % | 437,350 | 158,080 | 263,226 | ||||||||||||||
Metals |
6,416,979 | 0.73 | % | 8,963,451 | 3,939,668 | 5,989,765 | ||||||||||||||
Softs |
1,393,632 | 0.16 | % | 2,071,953 | 538,916 | 1,029,710 | ||||||||||||||
Total |
$ | 45,214,964 | 5.12 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
As of December 31, 2009, Winton Masters total capitalization was $574,408,313. The
Partnership owned approximately 1.7% of Winton Master. As of December 31, 2009, Winton Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to Winton
for trading) 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 |
$ | 4,596,005 | 0.80 | % | $ | 10,700,900 | $ | 3,479,307 | $ | 6,740,750 | ||||||||||
Energy |
556,296 | 0.10 | % | 2,627,998 | 228,335 | 1,092,646 | ||||||||||||||
Grains |
1,098,663 | 0.19 | % | 1,976,399 | 864,083 | 1,388,868 | ||||||||||||||
Indices |
16,589,011 | 2.89 | % | 16,589,011 | 1,261,608 | 6,511,470 | ||||||||||||||
Interest Rates U.S. |
1,030,011 | 0.18 | % | 6,518,610 | 716,705 | 2,896,261 | ||||||||||||||
Interest Rates Non-U.S. |
4,507,567 | 0.78 | % | 11,661,822 | 2,841,339 | 5,786,393 | ||||||||||||||
Livestock |
169,800 | 0.03 | % | 425,655 | 59,475 | 207,937 | ||||||||||||||
Metals |
5,057,067 | 0.88 | % | 5,057,067 | 849,000 | 2,780,563 | ||||||||||||||
Softs |
955,200 | 0.17 | % | 1,269,508 | 385,375 | 791,384 | ||||||||||||||
Total |
$ | 34,559,620 | 6.02 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
20
As of December 31, 2010, Graham Masters total capitalization was $168,924,671. The
Partnership owned approximately 4.3% of Graham Master. As of December 31, 2010, Graham Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to Graham
for trading) was as follows:
December 31, 2010
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 6,192,975 | 3.67 | % | $ | 11,364,239 | $ | 996,231 | $ | 5,226,199 | ||||||||||
Energy |
1,048,521 | 0.62 | % | 1,989,347 | 236,269 | 1,000,222 | ||||||||||||||
Grains |
448,450 | 0.26 | % | 964,687 | 124,875 | 411,118 | ||||||||||||||
Indices |
5,301,813 | 3.14 | % | 13,726,706 | 1,137,775 | 5,507,221 | ||||||||||||||
Interest Rates U.S. |
161,600 | 0.10 | % | 2,021,410 | 68,806 | 1,014,515 | ||||||||||||||
Interest Rates Non-U.S. |
1,209,918 | 0.72 | % | 4,305,447 | 749,055 | 2,006,426 | ||||||||||||||
Livestock |
40,000 | 0.02 | % | 106,400 | 800 | 50,304 | ||||||||||||||
Metals |
1,012,127 | 0.60 | % | 1,771,142 | 494,357 | 993,963 | ||||||||||||||
Softs |
258,565 | 0.15 | % | 1,144,148 | 85,988 | 385,351 | ||||||||||||||
Total |
$ | 15,673,969 | 9.28 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
As of December 31, 2009, Graham Masters total capitalization was $171,212,260. The
Partnership owned approximately 5.4% of Graham Master. As of December 31, 2009, Graham Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to Graham
for trading) 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 |
$ | 2,410,532 | 1.41 | % | $ | 8,136,447 | $ | 833,881 | $ | 4,612,528 | ||||||||||
Energy |
684,083 | 0.40 | % | 3,017,929 | 273,236 | 1,214,764 | ||||||||||||||
Grains |
549,675 | 0.32 | % | 1,846,996 | 96,550 | 731,407 | ||||||||||||||
Indices |
4,809,915 | 2.81 | % | 12,019,804 | 623,680 | 5,396,991 | ||||||||||||||
Interest Rates U.S. |
142,150 | 0.08 | % | 2,365,808 | 87,777 | 859,990 | ||||||||||||||
Interest Rates Non-U.S. |
1,869,099 | 1.09 | % | 8,320,518 | 471,498 | 2,867,131 | ||||||||||||||
Livestock |
59,200 | 0.04 | % | 160,380 | 1,080 | 58,409 | ||||||||||||||
Metals |
1,222,254 | 0.71 | % | 1,806,942 | 297,478 | 1,002,985 | ||||||||||||||
Softs |
1,131,557 | 0.66 | % | 1,479,945 | 190,202 | 768,323 | ||||||||||||||
Total |
$ | 12,878,465 | 7.52 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
As of December 31, 2010, Eckhardt Masters total capitalization was $23,686,325. The
Partnership owned approximately 34.5% of Eckhardt Master. As of December 31, 2010, Eckhardt
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Eckhardt for trading) was as follows:
December 31, 2010
December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,025,866 | 4.33 | % | $ | 1,147,164 | $ | 9,175 | $ | 427,400 | ||||||||||
Energy |
248,250 | 1.05 | % | 580,400 | 10,875 | 238,534 | ||||||||||||||
Grains |
348,259 | 1.47 | % | 370,823 | 41,862 | 169,215 | ||||||||||||||
Indices |
610,979 | 2.58 | % | 3,147,442 | 19,055 | 430,625 | ||||||||||||||
Interest Rates U.S. |
3,900 | 0.02 | % | 887,750 | 3,900 | 351,889 | ||||||||||||||
Interest Rates Non -U.S. |
331,533 | 1.40 | % | 852,062 | 63,225 | 352,114 | ||||||||||||||
Metals |
268,184 | 1.13 | % | 365,762 | 26,255 | 198,271 | ||||||||||||||
Softs |
46,300 | 0.19 | % | 146,472 | 10,950 | 70,345 | ||||||||||||||
Total |
$ | 2,883,271 | 12.17 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
21
As of December 31, 2009, Eckhardt Masters total capitalization was $17,320,459. The
Partnership owned approximately 31.1% of Eckhardt Master. As of December 31, 2009, Eckhardt
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Eckhardt for trading) 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 |
$ | 380,916 | 2.20 | % | $ | 1,191,210 | $ | 7,200 | $ | 301,705 | ||||||||||
Energy |
270,400 | 1.56 | % | 644,500 | 22,050 | 211,624 | ||||||||||||||
Grains |
128,975 | 0.74 | % | 362,365 | 10,800 | 101,491 | ||||||||||||||
Indices |
635,844 | 3.67 | % | 879,160 | 22,367 | 304,994 | ||||||||||||||
Interest Rates U.S. |
768,410 | 4.44 | % | 768,410 | 14,550 | 196,272 | ||||||||||||||
Interest Rates Non-U.S. |
213,803 | 1.23 | % | 696,839 | 13,213 | 221,520 | ||||||||||||||
Metals |
284,030 | 1.64 | % | 535,674 | 16,196 | 234,566 | ||||||||||||||
Softs |
150,320 | 0.87 | % | 251,705 | 11,784 | 115,206 | ||||||||||||||
Total |
$ | 2,832,698 | 16.35 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
As of December 31, 2010, SandRidge Masters total capitalization was $528,735,257. The
Partnership owned approximately 0.4% of SandRidge Master. As of December 31, 2010, SandRidge
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to SandRidge for trading) was as follows:
December 31, 2010
Year Ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 61,391,255 | 11.61 | % | $ | 85,692,107 | $ | 18,754,664 | $ | 56,852,448 | ||||||||||
Total |
$ | 61,391,255 | 11.61 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
As of December 31, 2009, SandRidge Masters total capitalization was $684,909,493. The
Partnership owned approximately 0.4% of SandRidge Master. As of December 31, 2009, SandRidge
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to SandRidge for trading) 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* | |||||||||||||||
Energy |
$ | 19,220,494 | 2.81 | % | $ | 40,574,022 | $ | 11,157,117 | $ | 24,955,810 | ||||||||||
Total |
$ | 19,220,494 | 2.81 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the 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 Funds. The magnitude of the
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 Funds and therefore the Partnership, to
incur severe losses over a short period of time. The foregoing Value at Risk tables as well as
the past performance of the Funds give no indication of this risk of ruin.
22
Non-Trading Risk
The 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.
Materiality as used in this section, Qualitative and Quantitative 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 Funds market-sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Funds market risk exposures except for
(i) those disclosures that are statements of historical fact and (ii) the descriptions of how the
Funds manage their 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 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 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 Funds. There can be no assurance
that the 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 Funds as of December 31, 2010, by
market sector.
Interest Rates. Interest rate movements directly affect the price of the futures
positions held by the 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 Funds profitability. The Funds primary interest rate exposure is
to interest rate fluctuations in the United States and other G-8 countries. However, the Funds also
takes futures positions on the government debt of smaller nations e.g., Australia.
Currencies. The Funds currency exposure is subject 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 General Partner does not anticipate that the risk
profile of the 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 U.S. dollar-based Funds in
expressing Value at Risk in a functional currency other than U.S. dollars.
Stock Indices. The Funds primary equity exposure is subject to equity price risk in
the G-8 countries. The stock index futures traded by the Funds are limited to futures on broadly
based indices. The Funds are primarily exposed to the risk of adverse price trends or static
markets in the major U.S., European and Japanese indices. (Static markets would not cause major
market changes but would make it difficult for the Funds to avoid being whipsawed into numerous
small losses.)
Metals. The Funds primary metal market exposure is subject to fluctuations in the
price of gold, silver, copper and aluminum.
Softs. The Funds primary commodities exposure is subject to agricultural price
movements which are often directly affected by severe or unexpected weather conditions.
Energy. The Funds primary energy market exposure is subject to 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 Funds commodities exposure is subject to agricultural price movements
which are often directly affected by severe unexpected weather conditions.
23
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Funds as of December 31, 2010.
Foreign Currency Balances. The Funds primary foreign currency balances are in
Japanese yen, Euro, British pounds and Swiss francs. The Advisor regularly converts foreign
currency balances to U.S. dollars in an attempt to control the Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure. |
The
General Partner monitors and attempts to control the 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 Funds may be subject.
The
General Partner monitors the Funds performance and the concentration of their open
positions and consults with the Advisors concerning the Funds overall risk profile. If the General
Partner felt it necessary to do so, the General Partner could require the Advisors to close out
positions as well as enter positions on behalf of the Funds. However, any
such intervention would be a highly unusual event. The General Partner primarily relies on the
Advisors own risk control policies while maintaining a general supervisory overview of the Funds
market risk exposures.
Each
Advisor applies its own risk management policies to their 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 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
Item 8. Financial Statements and Supplementary Data.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
The following financial statements and related items of the Partnership are filed under this
Item 8: Oath or Affirmation, Managements Report on Internal Control over Financial Reporting,
Reports of Independent Registered Public Accounting Firms, for the years ended December 31, 2010,
2009, and 2008; Statements of Financial Condition at December 31, 2010 and 2009; Schedules of
Investments at December 31, 2010 and 2009; Statements of Income and Expenses for the years ended
December 31, 2010, 2009, and 2008; Statements of Changes in Partners Capital for the years ended
December 2010, 2009, and 2008; and Notes to Financial Statements. Additional financial information
has been filed as Exhibits to this Form 10-K.
25
To the Limited
Partners of
Diversified Multi-Advisor Futures Fund L.P.
Diversified Multi-Advisor Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
By: | Walter Davis |
President and Director
Ceres Managed Futures LLC
General Partner,
Diversified Multi-Advisor Futures Fund L.P.
Ceres Managed Futures LLC
522 Fifth Avenue
14th Floor
New York, N.Y. 10036
212-296-1999
26
Managements
Report on Internal Control Over
Financial Reporting
Financial Reporting
The management of Diversified Multi-Advisor Futures Fund L.P.
(the Partnership), Ceres 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 Diversified Multi-Advisor Futures
Fund L.P. has assessed the effectiveness of the
Partnerships internal control over financial reporting as
of December 31, 2010. 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, 2010 based on the criteria
referred to above.
Walter Davis President and Director Ceres Managed Futures LLC General Partner, Diversified Multi-Advisor Futures Fund L.P. |
Jennifer Magro Chief Financial Officer and Director Ceres Managed Futures LLC General Partner, Diversified Multi-Advisor Futures Fund L.P. |
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Diversified Multi-Advisor Futures Fund L.P.:
Diversified Multi-Advisor Futures Fund L.P.:
We have audited the accompanying statements of financial condition of Diversified Multi-Advisor Futures Fund L.P. (the Partnership),
including the schedules of investments, as of December 31, 2010 and 2009, and the related statements of income and expenses, and changes in partners capital for the years 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 audits.
The financial statements of the Partnership for the year ended December 31, 2008 were audited by other auditors whose report, dated March 26, 2009, expressed an unqualified opinion on those
statements.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those
standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to
have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for
designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the 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 audits provide a reasonable basis
for our opinion.
In our opinion, such 2010 and 2009 financial statements present fairly, in all material respects, the financial position of Diversified
Multi-Advisor Futures Fund L.P. as of December 31, 2010 and 2009, and the results of its operations and its changes in partners capital for the years then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 23, 2011
New York, New York
March 23, 2011
28
Report of Independent Registered Public Accounting Firm
To the Partners of
Diversified Multi-Advisor Futures Fund L.P.:
Diversified Multi-Advisor Futures Fund L.P.:
In our opinion, the accompanying statement of income and expenses, and statement of changes in partners capital
present fairly, in all material respects, the financial position of Diversified Multi-Advisor Futures Fund L.P. (formerly known as Smith Barney 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.
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
New York, New York
March 26, 2009
29
Diversified
Multi-Advisor Futures Fund L.P.
Statements of Financial Condition
December 31, 2010 and 2009
Statements of Financial Condition
December 31, 2010 and 2009
2010 | 2009 | |||||||
Assets:
|
||||||||
Investment in Funds, at fair value (Note 5)
|
$ | 29,832,054 | $ | 33,653,350 | ||||
Cash (Note 3c)
|
136,060 | 107,335 | ||||||
Total assets
|
$ | 29,968,114 | $ | 33,760,685 | ||||
Liabilities and Partners Capital:
|
||||||||
Liabilities:
|
||||||||
Accrued expenses:
|
||||||||
Brokerage fees (Note 3c)
|
$ | 137,353 | $ | 154,737 | ||||
Management fees (Note 3b)
|
46,551 | 51,788 | ||||||
Incentive fees (Note 3b)
|
14,797 | | ||||||
Professional fees
|
53,313 | 42,250 | ||||||
Other
|
9,129 | 6,731 | ||||||
Redemptions payable (Note 6)
|
232,689 | 266,047 | ||||||
Total liabilities
|
493,832 | 521,553 | ||||||
Partners Capital (Notes 1 and 6):
|
||||||||
General Partner, 177.7568 and 280.4039 unit equivalents
outstanding at December 31, 2010 and 2009, respectively
|
328,847 | 508,420 | ||||||
Limited Partners, 15,754.4975 and 18,051.6921 Redeemable Units
outstanding at December 31, 2010 and 2009, respectively
|
29,145,435 | 32,730,712 | ||||||
Total partners capital
|
29,474,282 | 33,239,132 | ||||||
Total liabilities and partners capital
|
$ | 29,968,114 | $ | 33,760,685 | ||||
Net asset value per unit
|
$ | 1,849.98 | $ | 1,813.17 | ||||
See accompanying notes to financial statements.
30
Diversified
Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2010
Schedule of Investments
December 31, 2010
% of Partners |
||||||||
Fair Value | Capital | |||||||
Investment In Funds
|
||||||||
CMF Winton Master L.P.
|
$ | 7,374,266 | 25.02 | % | ||||
CMF Willowbridge Argo Master Fund L.P.
|
4,848,305 | 16.45 | ||||||
CMF Graham Capital Master Fund L.P.
|
7,284,623 | 24.71 | ||||||
CMF Eckhardt Master L.P.
|
8,178,642 | 27.75 | ||||||
CMF SandRidge Master Fund L.P.
|
2,146,218 | 7.28 | ||||||
Total investment in Funds, at fair value
|
$ | 29,832,054 | 101.21 | % | ||||
See accompanying notes to financial statements.
31
Diversified
Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2009
Schedule of Investments
December 31, 2009
% of Partners |
||||||||
Fair Value | Capital | |||||||
Investment In Funds
|
||||||||
CMF Winton Master L.P.
|
$ | 9,975,920 | 30.01 | % | ||||
CMF Willowbridge Argo Master Fund L.P.
|
6,218,731 | 18.71 | ||||||
CMF Graham Capital Master Fund L.P.
|
9,193,804 | 27.66 | ||||||
CMF Eckhardt Master L.P.
|
5,395,613 | 16.23 | ||||||
CMF SandRidge Master Fund L.P.
|
2,869,282 | 8.63 | ||||||
Total investment in Funds, at fair value
|
$ | 33,653,350 | 101.24 | % | ||||
See accompanying notes to financial statements.
32
Diversified
Multi-Advisor Futures Fund L.P.
Statements of Income and Expenses
for the years ended December 31, 2010, 2009 and 2008
Statements of Income and Expenses
for the years ended December 31, 2010, 2009 and 2008
2010 | 2009 | 2008 | ||||||||||
Income:
|
||||||||||||
Net gains (losses) on trading of commodity interests and
investment in Funds:
|
||||||||||||
Net realized gains (losses) on investment in Funds
|
$ | 1,694,578 | $ | (1,267,372 | ) | $ | 11,791,691 | |||||
Change in net unrealized gains (losses) on investment in Funds
|
1,178,359 | (257,686 | ) | (55,693 | ) | |||||||
Gain (loss) from trading, net
|
2,872,937 | (1,525,058 | ) | 11,735,998 | ||||||||
Interest income from investment in Funds
|
25,483 | 28,372 | 509,211 | |||||||||
Total income (loss)
|
2,898,420 | (1,496,686 | ) | 12,245,209 | ||||||||
Expenses:
|
||||||||||||
Brokerage fees including clearing fees (Note 3c)
|
1,705,029 | 2,255,697 | 2,825,055 | |||||||||
Management fees (Note 3b)
|
545,803 | 732,811 | 916,036 | |||||||||
Incentive fees (Note 3b)
|
14,797 | 29,522 | 931,991 | |||||||||
Professional fees
|
202,763 | 154,586 | 76,380 | |||||||||
Other
|
48,966 | 48,112 | 41,808 | |||||||||
Total expenses
|
2,517,358 | 3,220,728 | 4,791,270 | |||||||||
Net income (loss)
|
$ | 381,062 | $ | (4,717,414 | ) | $ | 7,453,939 | |||||
Net income (loss) per unit (Note 7)
|
$ | 36.81 | $ | (216.73 | ) | $ | 288.01 | |||||
Weighted average units outstanding
|
16,933.9575 | 20,732.8820 | 25,826.7688 | |||||||||
See accompanying notes to financial statements.
33
Diversified
Multi-Advisor Futures Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2010, 2009 and 2008
Statements of Changes in Partners Capital
for the years ended December 31, 2010, 2009 and 2008
Limited |
General |
|||||||||||
Partners | Partner | Total | ||||||||||
Partners Capital at December 31, 2007
|
46,855,062 | 542,575 | 47,397,637 | |||||||||
Net income (loss)
|
7,300,880 | 153,059 | 7,453,939 | |||||||||
Subscriptions of 523.8427 General Partner unit equivalents
|
| 1,000,000 | 1,000,000 | |||||||||
Redemptions of 3,944.5494 Redeemable Units
|
(7,560,553 | ) | | (7,560,553 | ) | |||||||
Partners Capital at December 31, 2008
|
46,595,389 | 1,695,634 | 48,291,023 | |||||||||
Net income (loss)
|
(4,567,938 | ) | (149,476 | ) | (4,717,414 | ) | ||||||
Redemptions of 4,902.7992 Redeemable Units and
554.9250 General Partner unit equivalents
|
(9,296,739 | ) | (1,037,738 | ) | (10,334,477 | ) | ||||||
Partners Capital at December 31, 2009
|
32,730,712 | 508,420 | 33,239,132 | |||||||||
Net income (loss)
|
385,635 | (4,573 | )* | 381,062 | ||||||||
Redemptions of 2,297.1946 Redeemable Units and 102.6471
General Partner unit equivalents
|
(3,970,912 | ) | (175,000 | ) | (4,145,912 | ) | ||||||
Partners Capital at December 31, 2010
|
$ | 29,145,435 | $ | 328,847 | $ | 29,474,282 | ||||||
Net asset value per unit:
|
2008:
|
$ | 2,029.90 | ||
2009:
|
$ | 1,813.17 | ||
2010:
|
$ | 1,849.98 | ||
* | The net loss associated with the General Partners allocation at December 31, 2010 is due to the timing of the redemptions of the General Partner unit equivalents. |
See accompanying notes to financial statements.
34
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
1. | Partnership Organization: |
Diversified Multi-Advisor Futures Fund L.P. (the
Partnership) is a limited partnership organized
under the partnership laws of the State of New York on
August 13, 1993 to engage, directly or indirectly, 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 Partnership through its
investment in the Funds (as defined in Note 5 Investment
in Funds) are volatile and involve a high degree of market
risk. The Partnership commenced trading operations on
January 12, 1994. The Partnership was authorized to sell
300,000 redeemable units of limited partnership interest
(Redeemable Units) during its initial offering
period. The Partnership no longer offers Redeemable Units for
sale.
Ceres 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). Morgan Stanley, indirectly
through various subsidiaries, owns a majority equity interest in
MSSB Holdings. Citigroup Global Markets Inc. (CGM),
the commodity broker and a selling agent for the Partnership,
owns a minority equity interest in 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, 2010, all trading decision for the Partnership
are made by the Advisors (defined below).
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 its initial capital contribution and
profits, if any, net of distributions.
The Partnership will be liquidated upon the first of the
following to occur: December 31, 2013; 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 (the Limited Partnership Agreement).
2. | Accounting Policies: |
a. | Use of Estimates. The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (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. As a result, actual results could differ from these estimates. | |
b. | Statement of Cash Flows. The Partnership is not required to provide a Statement of Cash Flows. | |
c. | Partnerships and the Funds Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), through its investment in other funds, 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 Funds 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 Funds Statements of Income and Expenses. |
35
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Partnerships and the Funds Fair Value
Measurements. Fair value is defined as the price
that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date under current market conditions. 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. Management has concluded that based
on available information in the marketplace, the Funds
Level 1 assets and liabilities are actively traded.
GAAP also requires 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. Management has
concluded that based on available information in the
marketplace, there has not been a significant decrease in the
volume and level of activity in the Partnerships and the
Funds Level 2 assets and liabilities.
The Partnership and the Funds will 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 make
disclosures 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 as required under GAAP.
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 funds (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 investment in the Funds reflects its
proportional interest in the Funds. As of and for the years
ended December 31, 2010 and 2009, 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 |
Significant Other |
Significant |
||||||||||||||
For Identical |
Observable Inputs |
Unobservable |
||||||||||||||
12/31/2010 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Investment in Funds
|
$ | 29,832,054 | $ | | $ | 29,832,054 | $ | | ||||||||
Total fair value
|
$ | 29,832,054 | $ | | $ | 29,832,054 | $ | | ||||||||
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
|
||||||||||||||||
Investment in Funds
|
$ | 33,653,350 | $ | | $ | 33,653,350 | $ | | ||||||||
Total fair value
|
$ | 33,653,350 | $ | | $ | 33,653,350 | $ | | ||||||||
Futures Contracts. The Funds trade futures
contracts and exchange-cleared swaps. Exchange-cleared swaps are
swaps that are traded as futures. 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
36
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 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 Funds.
When the contract is closed, 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. 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. 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 Funds agree 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 Funds 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 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 Funds are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by 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 Funds. A contract is
considered offset when all long positions have been matched with
a like number of short positions settling on the same prompt
date. When the contract is closed at the prompt date, 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. 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. Realized gains (losses) and
changes in unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses.
Options. The Funds may purchase and write
(sell) both exchange-listed and
over-the-counter
(OTC) 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 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 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.
d. | Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnerships income and expenses. |
37
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
GAAP provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial
statements and 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 concluded that no provision for income tax is required
in the Partnerships financial statements
The Partnership files U.S. federal and various state and
local tax returns. No income tax returns are currently under
examination. Generally, the 2007 through 2010 tax years remain
subject to examination by U.S. federal and most state tax
authorities. Management does not believe that there are any
uncertain tax positions that require recognition of a tax
liability.
e. | Subsequent Events. Management of the Partnership evaluates events that occur after the balance sheet date but before financial statements are filed. Management has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements. |
g. | Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 7, Financial Highlights. |
3. | Agreements: |
a. | Limited Partnership Agreement: |
The Limited Partnership Agreement provides that the General
Partner shall manage the business of the Partnership and may
make all 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) an amount that will entitle the General
Partner to an interest of at least 1% of each material item of
Partnership income, gain, loss, deduction or credit and
(ii) the greater of (a) 1% of the partners
contributions to the Partnership or (b) $25,000.
b. | Management Agreements: |
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreement) with Winton Capital Management Limited
(Winton), Willowbridge Associates, Inc.
(Willowbridge), Graham Capital Management, L.P.
(Graham), Eckhardt Trading Company
(Eckhardt) and SandRidge Capital L.P.
(SandRidge) (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% per
year) of month-end Net Assets allocated to each Advisor, except
for Winton, which will receive a monthly management fee equal to
1/12 of 1.5% (1.5% per year) of month-end Net Assets allocated
to the Advisor. 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. Each Management Agreement may be terminated
upon notice by either party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee, payable quarterly, equal to 20% of the New
Trading Profits, as defined in each Management Agreement, earned
by each Advisor for the Partnership during each calendar quarter.
In allocating the assets of the Partnership among the trading
advisors, the General Partner considers past performance,
trading style, volatility of markets traded and fee
requirements. The
38
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
General Partner may modify or terminate the allocation of assets
among the trading advisors and may allocate the assets to
additional advisors at any time.
c. | Customer Agreement: |
The Partnership has entered into a customer agreement (the
Customer Agreement) with CGM which provides that the
Partnership will pay CGM a monthly brokerage fee equal to 11/24
of 1% (5.5% per year) of month-end Net Assets in lieu of
brokerage fees on a per trade basis. Month-end Net Assets, for
the purpose of calculating brokerage fees are Net Assets, as
defined in the Limited Partnership Agreement, prior to the
reduction of the current months brokerage fees, 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 fees to financial
advisors who have sold Redeemable Units. Brokerage fees will be
paid for the life of the Partnership, although the rate at which
such fees are paid may be changed. This fee may be increased or
decreased at any time at CGMs discretion upon written
notice to the Partnership. All National Futures Association fees
as well as exchange, clearing, user,
give-up and
floor brokerage fees (collectively, the clearing
fees) are borne by the Funds and allocated to the
Partnership based on its proportionate share of each Fund. 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. CGM has agreed to pay
the Partnership interest on its allocable share of 80% of the
average daily equity maintained in cash in each of the
Funds brokerage accounts at a
30-day
U.S. Treasury bill rate determined weekly 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. The Customer Agreement
may be terminated upon notice by either party.
4. | Trading Activities: |
The Partnership was formed for the purpose of trading contracts
in a variety of commodity interests, including derivative
financial instruments and derivative commodity instruments. The
Partnerships investments are in other funds which trade
these instruments. The results of the Partnerships trading
activities are resulting from its investments in other funds as
shown in the Statements of Income and Expenses.
The Customer Agreement between the Partnership/Funds and CGM
gives the Partnership and the Funds the legal right to net
unrealized gains and losses on open futures and exchange-cleared
swaps and forward contracts. The Partnership and the Funds net,
for financial reporting purposes, the unrealized gains and
losses on open futures and exchange-cleared swaps and forward
contracts on the Funds Statements of Financial Condition.
Brokerage fees 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.
5. | Investment in Funds: |
On November 1, 2004, the assets allocated to Winton for
trading were invested in CMF Winton Master L.P. (Winton
Master), a limited partnership organized under the
partnership laws of New York State. The Partnership purchased
15,054.1946 units of Winton Master with cash equal to
$14,251,586, and a contribution of open commodity futures and
forward contracts with a fair value of $802,609. Winton Master
was formed in order to permit commodity pools managed now or in
the future by Winton using its Diversified Program, a
proprietary, systematic trading system, to invest together in
one trading vehicle. The General Partner is also the general
partner of Winton Master. Individual and pooled accounts
currently managed by Winton, including the Partnership are
permitted to be limited partners of Winton Master. The
39
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
General Partner and Winton believe that trading through this
structure should promote efficiency and economy in the trading
process.
On July 1, 2005, the assets allocated to Willowbridge for
trading were invested in CMF Willowbridge Argo Master
Fund L.P. (Willowbridge Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 12,259.3490 units of
Willowbridge Master with cash equal to $11,118,119, and a
contribution of open commodity futures and forward contracts
with a fair value of $1,141,230. Willowbridge Master was formed
in order to permit commodity pools managed now or in the future
by Willowbridge using its Argo Trading System, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Willowbridge Master. Individual and pooled accounts currently
managed by Willowbridge, including the Partnership are permitted
to be limited partners of Willowbridge Master. The General
Partner and Willowbridge believe that trading through this
structure should promote efficiency and economy in the trading
process.
On April 1, 2006, the assets allocated to Graham for
trading were invested in CMF Graham Capital Master
Fund L.P. (Graham Master), a limited
partnership organized under the partnership laws of the State of
New York. The partnership purchased 14,741.1555 units of Graham
Master with cash equal to $14,741,156. Graham Master was formed
in order to permit accounts managed now or in the future by
Graham using its K4D-12.5 Program, a proprietary, systematic
trading system, to invest together in one trading vehicle. The
General Partner is also the general partner of Graham Master.
Individual and pooled accounts currently managed by Graham,
including the Partnership, are permitted to be limited partners
of Graham Master. The General Partner and Graham believe that
trading through this structure promotes efficiency and economy
in the trading process.
On April 1, 2008, the assets allocated to Eckhardt for
trading were invested in CMF Eckhardt Master Fund L.P.
(Eckhardt Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 7,000.0000 units of Eckhardt Master with
cash equal to $7,000,000. Eckhardt Master was formed in order to
permit commodity pools managed now or in the future by Eckhardt
using its Standard Program, a proprietary, systematic trading
system, to invest together in one trading vehicle. The General
Partner is also the general partner of Eckhardt Master.
Individual and pooled accounts currently managed by Eckhardt,
including the Partnership, are permitted to be limited partners
of Eckhardt Master. The General Partner and Eckhardt believe
that trading through this structure should promote efficiency
and economy in the trading process.
On June 1, 2009, the assets allocated to SandRidge for
trading were invested in CMF SandRidge Master Fund L.P.
(SandRidge Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 1,370.9885 units of SandRidge Master with
cash equal to $2,818,836. SandRidge Master was formed in order
to permit accounts managed now or in the future by SandRidge
using its Energy Program, a proprietary, discretionary trading
system, to invest together in one trading vehicle. The General
Partner is also the general partner of SandRidge Master.
Individual and pooled accounts currently managed by SandRidge,
including the Partnership, are permitted to be limited partners
of SandRidge Master. The General Partner and SandRidge believe
that trading through this structure promotes efficiency and
economy in the trading process.
The General Partner is not aware of any material changes to the
trading programs discussed above during the year ended
December 31, 2010.
Winton Masters, Willowbridge Masters, Graham
Masters, Eckhardt Masters and SandRidge
Masters (the Funds) trading of futures,
forwards, swaps and options contracts, if applicable, on
commodities is done primarily on U.S. commodity exchanges and
foreign commodity exchanges. The Funds 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 as of
the end of any day (the
40
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 charged at the Partnership
level. All clearing fees are borne by the Funds. All other fees
including CGMs direct brokerage fees are charged at the
Partnership level.
As of December 31, 2010 the Partnership owned approximately
0.8%, 2.2%, 4.3%, 34.5% and 0.4% of Winton Master, Willowbridge
Master, Graham Master, Eckhardt Master and SandRidge Master,
respectively. As of December 31, 2009 the Partnership owned
approximately 1.7%, 2.7%, 5.4%, 31.1% and 0.4% of Winton Master,
Willowbridge Master, Graham Master, Eckhardt Master and
SandRidge Master respectively. It is Wintons,
Willowbridges, Grahams, Eckhardts and
SandRidges intention to continue to invest the assets
allocated to each by the Partnership in Winton Master,
Willowbridge Master, Graham Master, Eckhardt Master and
SandRidge Master. 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, 2010 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Winton Master
|
$ | 883,842,483 | $ | 122,612 | $ | 883,719,871 | ||||||
Willowbridge Master
|
216,360,362 | 61,729 | 216,298,633 | |||||||||
Graham Master
|
168,973,503 | 48,832 | 168,924,671 | |||||||||
Eckhardt Master
|
23,748,773 | 62,448 | 23,686,325 | |||||||||
Sandridge Master
|
581,631,311 | 52,896,054 | 528,735,257 | |||||||||
Total
|
$ | 1,874,556,432 | $ | 53,191,675 | $ | 1,821,364,757 | ||||||
December 31, 2009 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Winton Master
|
$ | 574,479,690 | $ | 71,377 | $ | 574,408,313 | ||||||
Willowbridge Master
|
231,147,799 | 42,482 | 231,105,317 | |||||||||
Graham Master
|
171,238,199 | 25,939 | 171,212,260 | |||||||||
Eckhardt Master
|
17,383,619 | 63,160 | 17,320,459 | |||||||||
SandRidge Master
|
715,621,327 | 30,711,834 | 684,909,493 | |||||||||
Total
|
$ | 1,709,870,634 | $ | 30,914,792 | $ | 1,678,955,842 | ||||||
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 Year Ended December 31, 2010 | ||||||||||||
Gain(Loss) from |
Total Income |
Net Income |
||||||||||
Trading, Net | (Loss) | (Loss) | ||||||||||
Winton Master
|
$ | 122,196,753 | $ | 122,968,789 | $ | 122,204,611 | ||||||
Willowbridge Master
|
(8,681,294 | ) | (8,453,112 | ) | (8,840,226 | ) | ||||||
Graham Master
|
12,799,867 | 12,950,502 | 12,355,345 | |||||||||
Eckhardt Master
|
5,378,965 | 5,394,025 | 5,208,688 | |||||||||
SandRidge Master
|
(132,752,741 | ) | (132,183,397 | ) | (133,838,532 | ) | ||||||
Total
|
$ | (1,058,450 | ) | $ | 676,807 | $ | (2,910,114 | ) | ||||
41
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
For the Year Ended December 31, 2009 | ||||||||||||
Gain (Loss) from |
Total Income |
Net Income |
||||||||||
Trading, Net | (Loss) | (Loss) | ||||||||||
Winton Master
|
$ | (25,033,464 | ) | $ | (24,623,815 | ) | $ | (25,021,263 | ) | |||
Willowbridge Master
|
(42,016,964 | ) | (41,821,187 | ) | (42,198,191 | ) | ||||||
Graham Master
|
12,468,065 | 12,593,321 | 11,932,221 | |||||||||
Eckhardt Master
|
(617,648 | ) | (604,361 | ) | (743,158 | ) | ||||||
SandRidge Master
|
99,192,706 | 99,581,610 | 98,747,670 | |||||||||
Total
|
$ | 43,992,695 | $ | 45,125,568 | $ | 42,717,279 | ||||||
Summarized information reflecting the Partnerships
investment in, and the operations of, the Funds are shown in the
following tables.
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Investment
|
Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||
For the year ended
December 31, 2010 |
||||||||||||||||||||||||||||
Winton Master
|
25.02 | % | $ | 7,374,266 | 1,360,923 | 7,699 | 1,373 | 1,351,851 | Commodity Portfolio | Monthly | ||||||||||||||||||
Willowbridge Master
|
16.45 | % | 4,848,305 | (214,661 | ) | 6,243 | 2,226 | (223,130 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Graham Master
|
24.71 | % | 7,284,623 | 506,370 | 23,077 | 4,861 | 478,432 | Commodity Portfolio | Monthly | |||||||||||||||||||
Eckhardt Master
|
27.75 | % | 8,178,642 | 1,731,811 | 32,160 | 25,181 | 1,674,470 | Commodity Portfolio | Monthly | |||||||||||||||||||
SandRidge Master
|
7.28 | % | 2,146,218 | (486,023 | ) | 4,802 | 1,439 | (492,264 | ) | Energy Portfolio | Monthly | |||||||||||||||||
Total
|
$ | 29,832,054 | $ | 2,898,420 | $ | 73,981 | $ | 35,080 | $ | 2,789,359 | ||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Investment
|
Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||
For the year ended December 31, 2009
|
||||||||||||||||||||||||||||
Winton Master
|
30.01 | % | $ | 9,975,920 | $ | (587,493 | ) | $ | 7,362 | $ | 1,129 | $ | (595,984 | ) | Commodity Portfolio | Monthly | ||||||||||||
Campbell Master
|
| | (276,892 | ) | 1,271 | 1,050 | (279,213 | ) | Commodity Portfolio | Monthly | ||||||||||||||||||
Willowbridge Master
|
18.71 | % | 6,218,731 | (1,338,164 | ) | 9,670 | 1,836 | (1,349,670 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Graham Master
|
27.66 | % | 9,193,804 | 691,938 | 35,865 | 2,658 | 653,415 | Commodity Portfolio | Monthly | |||||||||||||||||||
Eckhardt Master
|
16.23 | % | 5,395,613 | (189,439 | ) | 15,489 | 28,022 | (232,950 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
SandRidge Master
|
8.63 | % | 2,869,282 | 203,364 | 1,554 | 485 | 201,325 | Energy Portfolio | Monthly | |||||||||||||||||||
Total
|
$ | 33,653,350 | $ | (1,496,686 | ) | $ | 71,211 | $ | 35,180 | $ | (1,603,077 | ) | ||||||||||||||||
6. | Distributions and Redemptions: |
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 each month on
three business days notice to the General Partner. There
is no fee charged to limited partners in connection with
redemptions.
42
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
7. | Financial Highlights: |
Changes in the net asset value per unit for the years ended
December 31, 2010, 2009 and 2008 were as follows:
2010 | 2009 | 2008 | ||||||||||
Net realized and unrealized gains (losses)*
|
$ | 83.36 | $ | (171.43 | ) | $ | 344.25 | |||||
Interest income
|
1.53 | 1.35 | 19.36 | |||||||||
Expenses**
|
(48.08 | ) | (46.65 | ) | (75.60 | ) | ||||||
Increase (decrease) for the year
|
36.81 | (216.73 | ) | 288.01 | ||||||||
Net asset value per unit, beginning of year
|
1,813.17 | 2,029.90 | 1,741.89 | |||||||||
Net asset value per unit, end of year
|
$ | 1,849.98 | $ | 1,813.17 | $ | 2,029.90 | ||||||
* | Includes brokerage fees. | |
** | Excludes brokerage fees. |
2010 | 2009 | 2008 | ||||||||||
Ratios to average net assets:
|
||||||||||||
Net investment income (loss) before incentive fees***
|
(8.4 | )% | (8.1 | )% | (6.8 | )% | ||||||
Operating expenses
|
8.5 | % | 8.2 | % | 7.9 | % | ||||||
Incentive fees
|
0.1 | % | 0.1 | % | 1.9 | % | ||||||
Total expenses
|
8.6 | % | 8.3 | % | 9.8 | % | ||||||
Total return:
|
||||||||||||
Total return before incentive fees
|
2.1 | % | (10.6 | )% | 18.8 | % | ||||||
Incentive fees
|
(0.1 | )% | (0.1 | )% | (2.3 | )% | ||||||
Total return after incentive fees
|
2.0 | % | (10.7 | )% | 16.5 | % | ||||||
*** | Interest income less total expenses. |
The above ratios may vary for individual limited partners 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.
8. | Financial Instrument Risks: |
In the normal course of business, the Partnership, through its
investment in the Funds, 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 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
43
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 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 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 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 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 Funds do not consider these contracts to be
guarantees.
The General Partner monitors and attempts to control the
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 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, online 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 Funds
business, these instruments may not be held to maturity.
44
Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2010 and 2009 are
summarized below:
For the period from | For the period from | For the period from | For the period from | |||||||||||||
October 1, 2010 to | July 1, 2010 to | April 1, 2010 to | January 1, 2010 to | |||||||||||||
December 31, 2010 | September 30, 2010 | June 30, 2010 | March 31, 2010 | |||||||||||||
Net realized and unrealized trading gains (losses) net of brokerage fees and clearing fees including interest income |
$ | 2,033,769 | $ | 416,545 | $ | (1,612 | ) | $ | (1,255,311 | ) | ||||||
Net income (loss) |
$ | 1,846,477 | $ | 202,905 | $ | (226,681 | ) | $ | (1,441,639 | ) | ||||||
Increase (decrease) in net asset value per unit |
$ | 114.72 | $ | 12.83 | $ | (13.54 | ) | $ | (77.20 | ) |
For the period from | For the period | For the period from | For the period from | |||||||||||||
October 1, 2009 to | from 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 fees and
clearing fees including interest income |
$ | (1,083,616 | ) | $ | 261,141 | $ | (865,012 | ) | $ | (2,064,896 | ) | |||||
Net income (loss) |
$ | (1,299,220 | ) | $ | 35,873 | $ | (1,140,223 | ) | $ | (2,313,844 | ) | |||||
Increase (decrease) in net asset value per unit |
$ | (69.68 | ) | $ | 3.66 | $ | (50.72 | ) | $ | (99.99 | ) |
45
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
.
PricewaterhouseCoopers LLP (PwC) was previously the principal accountant for the Partnership
through July 22, 2009. 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, there were no disagreements with PwC, 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 audit report of PwC on the financial statements of the Partnership as of and
for the year ended December 31, 2008, 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. Controls and Procedures.
The Partnerships 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
Securities Exchange Act of 1934 (the Exchange Act) is recorded, processed, summarized and reported
within the time periods expected in the Securities and Exchange Commissions (the SEC) rules and
forms. Disclosure controls and procedures include controls and procedures designed to ensure that
information required to be disclosed by the Partnership in the reports it files is accumulated and
communicated to management, including the Chief Executive Officer (CEO) and Chief Financial
Officer (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, 2010 and, based on that evaluation, the General Partners 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).
There were no changes in the Partnerships internal control over financial reporting during
the fiscal quarter ended December 31, 2010 that materially affected, or are reasonably likely to
materially affect, the Partnerships internal control over financial reporting.
Item 9B. Other Information. None.
46
PART III
Item 10. Directors, Executive Officers and Corporate Governance.
The
Partnership has no officers, directors or employees and its affairs are managed by its General
Partner. Investment decisions are made by the Advisors.
The officers and directors of the General Partner are Walter Davis (President and Chairman of
the Board of Directors), Jennifer Magro (Chief Financial Officer and Director), Michael McGrath
(Director), Douglas J. Ketterer (Director), Ian Bernstein (Director), Harry Handler (Director),
Patrick T. Egan (Director) and Alper Daglioglu (Director). Each director of the General Partner holds office until the
earlier of his or her death, resignation or removal. Vacancies on the board of directors may be
filled by either (i) the majority vote of the remaining directors or (ii) Morgan Stanley Smith
Barney Holdings LLC, as the sole member of the General Partner. The officers of the General
Partner are designated by the General Partners board of directors. Each officer will hold office
until his or her successor is designated and qualified or until his or her death, resignation or
removal.
Walter Davis, age 46, is President and Chairman of the Board of Directors of the General
Partner (since June 2010). Mr. Davis was registered as an associated person of the General Partner
and listed as a principal in June 2010. Mr. Davis is responsible for the oversight of the General
Partners funds and accounts. Prior to the combination of Demeter Management LLC (Demeter) and the General Partner
effective December 1, 2010, Mr. Davis served as Chairman of the Board of Directors and President of
Demeter, a registered commodity pool operator. Mr. Davis was a principal and associated person of
Demeter from May 2006 to December 2010 and July 2006 to December 2010, respectively. Mr. Davis was
an associated person of Morgan Stanley DW Inc., a financial services firm, from August 2006 to
April 2007, when, because of the merger of Morgan Stanley DW Inc. into Morgan Stanley & Co. Incorporated (MS & Co.), a global financial
services firm, he became an associated person of MS & Co. (due to the transfer of his original
registration as an associated person of Morgan Stanley DW Inc.). Prior to becoming an associated
person in August 2006, Mr. Davis was responsible for overseeing the sales and marketing of MS &
Co.s managed futures funds to high net worth and institutional investors on a global basis. Mr.
Davis withdrew as an associated person of MS & Co. in June 2009. Mr. Davis has been an associated
person of Morgan Stanley Smith Barney LLC since June 2009. Morgan Stanley Smith Barney LLC is
registered as a broker-dealer with FINRA, an investment adviser with the SEC and a futures
commission merchant with the CFTC. Mr. Davis is a Managing Director of Morgan Stanley Smith Barney
LLC and the Director of Morgan Stanley Smith Barney LLCs Managed Futures Department. Prior to
joining Morgan Stanley in September 1999, Mr. Davis worked for Chase Manhattan Banks Alternative
Investment Group from January 1992 until September 1999, where his principal duties included
marketing managed futures funds to high net worth investors, as well as developing and structuring
managed futures funds. Throughout his career, Mr. Davis has been involved with the development,
management and marketing of a diverse array of commodity pools, hedge funds and other alternative
investment vehicles. Mr. Davis received an MBA in Finance and International Business from the
Columbia University Graduate School of Business in 1992 and a BA in Economics from the University
of the South in 1987.
Jennifer Magro, age 39, is Chief Financial Officer and Director of the General Partner (since
October 2006 and May 2005, respectively). Ms. Magro was listed as a principal in June 2005. Ms.
Magro served as Vice President and Secretary of the General Partner from August 2001 to December
2010 and June 2010 to December 2010, respectively. She was also a Managing Director of Citi
Alternative Investments (CAI), a division of Citigroup that administered its hedge fund and fund
of funds business, and was 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 the General Partner in January
1996, Ms. Magro was employed by Prudential Securities Inc., a securities brokerage services
company, (from July 1994) as a staff accountant whose duties included the calculation of net asset
values for commodity pools and real estate investment products. Ms. Magro received a BS in
Accounting from the State University of New York, Oswego in 1993.
Michael McGrath, age 41, has been a Director of the General Partner since June 2010. Mr.
McGrath was listed as a principal in June 2010. Mr. McGrath was a principal and Director of
Demeter from May 2006 until Demeters combination with the General Partner in December 2010. Mr.
McGrath is a Managing Director of Morgan Stanley Smith Barney LLC and currently serves as the Head
of Alternative Investments for the Global Wealth Management Group of Morgan Stanley Smith Barney
LLC. He also serves on
47
the Management Committee of the Global Wealth Management Group. Prior to his current role,
Mr. McGrath served as the Director of Product Management for the Consulting Services Group in
Morgan Stanley as well as the Chief Operating Officer for Private Wealth Management North America
and Private Wealth Management Latin America (the Americas) and the Director of Product Development
for Morgan Stanleys Global Wealth Management Group. Mr. McGrath served as a Managing Director of
Morgan Stanley from May 2004 until May 2009, when Mr. McGrath became a Managing Director of Morgan
Stanley Smith Barney LLC. Mr. McGrath joined Morgan Stanley from Nuveen Investments, a publicly
traded investment management company headquartered in Chicago, Illinois, where he worked from July
2001 to May 2004. At Nuveen Investments, Mr. McGrath served as a Managing Director and oversaw the
development of alternative investment products catering to high net worth investors. Mr. McGrath
received his BA degree from Saint Peters College in 1990, and currently serves on the schools
Board of Regents. He received his MBA in Finance from New York University in 1996.
Douglas J. Ketterer, age 45, has been a Director of the General Partner since December 2010.
Mr. Ketterer was listed as a principal in December 2010. Mr. Ketterer was a principal of Demeter
from October 2003 until Demeters combination with the General Partner in December 2010. Mr.
Ketterer is a Managing Director and Head of the U.S. Private Wealth Management Group within Morgan
Stanley Smith Barney LLC. Mr. Ketterer joined MS & Co. in March 1990 and has served in many roles
in the corporate finance/investment banking, asset management, and wealth management divisions of
the firm; most recently as Chief Operating Officer, Wealth Management Group and Head of the
Products Group with responsibility for a number of departments (including, among others, the
Alternative Investments Group, Consulting Services Group, Annuities & Insurance Department and
Retirement & Equity Solutions Group) which offered products and services through MS & Co.s Global
Wealth Management Group. Mr. Ketterer received his MBA from New York Universitys Leonard N. Stern
School of Business and his BS in Finance from the University at Albanys School of Business.
Ian Bernstein, age 48, is a Director of the General Partner. Mr. Bernstein has been a
Director, and listed as a principal of the General Partner since December 2010. Mr. Bernstein held
various positions, including Managing Director, within the Capital Markets group at Morgan Stanley
DW Inc. from October 1984 to April 2007, when Morgan Stanley DW Inc. was merged into, its
institutional affiliate, MS & Co. and became the Global Wealth Management Division of MS & Co. Mr.
Bernstein first served as a Managing Director with MS & Co. in March 2004, prior to its merger with
Morgan Stanley DW Inc. Since June 1, 2009, Mr. Bernstein has served as a Managing Director of
Capital Markets at Morgan Stanley Smith Barney LLC, a new broker-dealer formed as a result of a
joint venture between Citigroup and Morgan Stanley. The respective retail business of MS & Co. and
Citigroup (formerly known as Smith Barney) was contributed to Morgan Stanley Smith Barney LLC. Mr.
Bernstein has continued as Managing Director of both Morgan Stanley Smith Barney LLC, the retail
broker-dealer, and MS & Co., the institutional broker-dealer, up to the present. Mr. Bernstein
received his MBA from New York Universitys Leonard N. Stern School of Business in 1988, and his BA
from the University of Buckingham in 1980.
Harry Handler, age 51, has been a Director of the General Partner since December 2010. Mr.
Handler became registered as an associated person of the General Partner and listed as a principal
in December 2010. Mr. Handler was a principal and associated person of Demeter from May 2005 until
Demeters combination with the General Partner in December 2010, and from April 2006 until December
2010, respectively. He has been an associate member of the NFA since August 1985. Mr. Handler was
an associated person of Morgan Stanley DW Inc., a financial services firm, from February 1984 to
April 2007, when, because of the merger of Morgan Stanley DW Inc. into MS & Co., he became an
associated person of MS & Co. due to the transfer of his original registration as an associated
person of Morgan Stanley DW Inc. Mr. Handler withdrew as an associated person of MS & Co. in June
2009. Mr. Handler has been an associated person of Morgan Stanley Smith Barney LLC since June
2009. Mr. Handler serves as an Executive Director at Morgan Stanley Smith Barney LLC in the Global
Wealth Management Group. Mr. Handler works in the Capital Markets Division and is responsible for
Electronic Equity and Securities Lending. Additionally, Mr. Handler serves as Chairman of the
Global Wealth Management Groups Best Execution Committee. In his prior position, Mr. Handler was
a Systems Director in Information Technology, in charge of Equity and Fixed Income Trading Systems
along with the Special Products, such as Unit Trusts, Managed Futures, and Annuities. Prior to his
transfer to the Information Technology Area, Mr. Handler managed the Foreign Currency and Precious
Metals Trading Desk of Dean Witter, a financial services firm and predecessor company to Morgan
Stanley, from July 1982 until January 1984. He also held various positions in the Futures Division
where he helped to build the Precious Metals Trading Operation at Dean Witter. Before joining Dean
Witter, Mr. Handler worked at Mocatta Metals, a precious metals trading firm and futures broker
that was sold to Standard Charted Bank in the 1980s, as an Assistant to the Chairman from March
1980 until June 1982. His roles at Mocatta Metals included positions on the Futures Order Entry
Desk and the Commodities Exchange Trading Floor. Additional work included building a computerized
Futures Trading System and writing a history of the company. Mr. Handler
48
graduated on the Deans List from the University of Wisconsin-Madison with a BA degree and a
double major in History and Political Science.
Patrick T. Egan, age 41, has been a Director of the General Partner since December 2010. Mr.
Egan became registered as an associated person of the General Partner and listed as a principal in
December 2010. Mr. Egan has been an associate member of the NFA since December 1997. He has been
an associated person of Morgan Stanley Smith Barney LLC since November 2010. Mr. Egan was an
associated person of Morgan Stanley DW Inc., a financial services firm, from February 1998 to April
2007, when, because of the merger of Morgan Stanley DW Inc. into MS & Co., he became an associated
person of MS & Co. due to the transfer of his original registration as an associated person of
Morgan Stanley DW Inc. Mr. Egan withdrew as an associated person of MS & Co. in November 2010.
Mr. Egan is an Executive Director at Morgan Stanley Smith Barney LLC and currently serves as the
Co- Chief Investment Officer for Morgan Stanley Smith Barney LLCs Managed Futures Department.
Prior to his current role, Mr. Egan served as the Head of Due Diligence & Manager Research for
Morgan Stanleys Managed Futures Department from October 2003 until the formation of Morgan Stanley
Smith Barney LLC in June 2009. From March 1993 through September 2003, Mr. Egan was an analyst and
manager within the Managed Futures Department for Morgan Stanley DW Inc., and its predecessor firm,
Dean Witter Reynolds, Inc., a financial services firm, with his primary responsibilities being
dedicated to the product development, due diligence, investment analysis and risk management of the
firms commodity pools. Mr. Egan began his career in August 1991, joining Dean Witter
Intercapital, the asset management arm of Dean Witter Reynolds, Inc., until March 1993 when he
joined the firms Managed Futures Department. Mr. Egan received a Bachelor of Business
Administration with a concentration in Finance from the University of Notre Dame in May 1991. Mr.
Egan is a former Director to the Managed Funds Associations Board of Directors, a position he was
elected to by industry peers for two consecutive two-year terms, from November 2004 to October 2006
and November 2006 to October 2008.
Alper Daglioglu, age 33, has been a Director, and listed as a principal of the General Partner
since December 2010. Mr. Daglioglu is an Executive Director at Morgan Stanley Smith Barney LLC and
the Co-Chief Investment Officer for Morgan Stanley Smith Barney LLCs Managed Futures Department.
Mr. Daglioglu also serves on the Alternative Investments Product Review Committee of Morgan Stanley
Smith Barney LLCs Alternative Investments Group. Prior to his current role, Mr. Daglioglu was a
Senior Analyst at the Product Origination Group within Morgan Stanley Managed Futures Department
from December 2003 until the formation of Morgan Stanley Smith Barney LLC in June 2009. In
addition to his responsibilities within Managed Futures Department, Mr. Daglioglu was also the lead
investment analyst for Global Macro and Managed Futures strategies within Morgan Stanley Graystone
Research Group from February 2007 to June 2009. Mr. Daglioglu served as a consultant at the
Product Origination Group within Morgan Stanley Managed Futures Department from June 2003 to
November 2003. Mr. Daglioglu received a BS degree in Industrial Engineering from Galatasaray
University in June 2000 and a MBA degree in Finance from the University of Massachusetts-Amhersts
Isenberg School of Management in May 2003. Mr. Daglioglu was awarded a full merit scholarship and
research assistantship at the Center for International Securities and Derivatives Markets during
his graduate studies. In this capacity, he worked with various major financial institutions in
performance monitoring, asset allocation and statistical analysis projects and specialized on
alternative approaches to risk assessment for hedge funds and managed futures. Mr. Daglioglu wrote
and published numerous research papers on alternative investments. Mr. Daglioglu is a Chartered
Alternative Investment Analyst charterholder.
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.
49
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 fees for such services, as described under Item 1. Business. Brokerage fees and
clearing fees of $1,705,029 were earned by CGM for the year ended December 31, 2010. Management
fees and incentive fees of $545,803 and $14,797, respectively, were earned by the Advisors for the
year ended December 31, 2010.
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, 2011, the
Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units
outstanding.
(b) Security ownership of management. Under the terms of the Limited Partnership
Agreement, the Partnerships affairs are managed by the General
Partner.
The following table indicates securities owned by management as of December 31, 2010:
(3) Amount and | ||||||||||||
Nature of | ||||||||||||
(2) Name of | Beneficial | (4) Percent of | ||||||||||
(1) Title of Class | Beneficial Owner | Ownership | Class | |||||||||
General Partner Unit equivalents |
General Partner | 177.7568 | 1.1 | % |
(c) Changes in control. None.
50
Item 13. Certain Relationships and Related Transactions, and Director Independence.
(a) | Transactions with related persons. None. |
(b) | Review, approval or ratification of transactions with related persons. N/A. |
(c) | Promoters and certain control persons. CGM and the General Partner would be considered promoters for purposes of item 404 (d) 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 11. Executive Compensation, and Item 8. Financial Statements and Supplementary Data. |
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 year ended December 31,
2010 and the period from July 23, 2009 through December 31, 2009, PwC in the period from January 1, 2009 through July 22, 2009 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 | PwC | |||||||
2010 |
$ | 59,600 | N/A | |||||
2009 |
$ | 62,200 | (1) | $ | 6,100 | (2) |
(1) | For the period July 23, 2009 to December 31, 2009 | |
(2) | For the period January 1, 2009 to July 22, 2009 |
(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 by 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:
2010 |
$ | 21,000 | ||
2009 |
$ | 20,000 |
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
51
PART IV
Item 15. Exhibits, Financial Statement Schedules.
(a) (1)
|
Financial Statements: | |
Statements of Financial Condition at December 31, 2010 and 2009. | ||
Schedules of Investments at December 31,2010 and 2009. | ||
Statements of Income and Expenses for the years ended December 31, 2010, 2009 and 2008. | ||
Statements of Changes in Partners Capital for the years ended December 31, 2010, 2009 and 2008. | ||
Notes to Financial Statements. | ||
(2)
|
Exhibits: | |
3.1
|
Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on February 9, 1994). | |
3.2(a)
|
Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York on October 13, 1993 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on February 9, 1994). | |
(b)
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009). | |
(c)
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009). | |
(d)
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(d) to the Form 10-Q filed on November 16, 2009). | |
(e)
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009). | |
(f)
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as an exhibit to the Form 8-K filed on September 30, 2009). | |
(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 April 12, 2010 (filed as Exhibit 3.2(g) to the Form 8-K/A filed on April 14, 2010). | |
(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 June 30, 2010 (filed as Exhibit 3.1 to the Form 8-K filed on July 2, 2010). | |
10.1
|
Customer Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on February 9, 1994). | |
10.2
|
Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on February 9, 1994). | |
10.3(a)
|
Management Agreement among the Partnership, the General Partner and Willowbridge Associates, Inc. (filed as an exhibit to the Form 10-K filed on March 29, 2000). | |
(b)
|
Letter extending Management Agreement with Willowbridge Associates, Inc. for 2010 (filed herein). | |
10.4(a)
|
Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (filed as an exhibit to the Form 10-K filed on March 27, 2002). | |
(b)
|
Letter extending Management Agreement with Winton Capital Management Limited for 2010 (filed herein). |
52
10.5(a)
|
Management Agreement among the Partnership, the General Partner and Graham Capital Management L.P. (filed as an exhibit to the Form 10-K filed on March 27, 2002). | |
(b)
|
Letter extending Management Agreement with Graham Capital Management L.P. for 2010 (filed herein). | |
10.6(a)
|
Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company (filed as an exhibit to the Form 10-Q filed on August 14, 2008). | |
(b)
|
Letter extending Management Agreement with Eckhardt Trading Company for 2010 (filed herein). | |
10.7(a)
|
Management Agreement among the Partnership, the General Partner and SandRidge Capital LP (filed as Exhibit 10.1 to the Form 8-K filed on June 2, 2009). | |
(b)
|
Letter extending Management Agreement with SandRidge Capital LP for 2010 (filed herein). | |
10.8
|
Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009). | |
16.1
|
Letter dated July 23, 2009 from PricewaterhouseCoopers LLP regarding Change in Certifying Accountant (filed as Exhibit 16.1 to the Form 8-K filed on July 24, 2009). | |
16.2
|
Letter dated June 26, 2008 from KPMG LLP regarding Change in Certifying Accountant (filed as Exhibit 16.1 to the Form 8-K filed on July 1, 2008). | |
99.1 |
Financial Statements of CMF Willowbridge Argo Master Fund L.P. | |
99.2 |
Financial Statements of CMF Winton Master Fund L.P. | |
99.3 |
Financial Statements of CMF Graham Capital Master Fund L.P. | |
99.4 |
Financial Statements of CMF Eckhardt Master Fund L.P. | |
99.5 |
Financial Statements of CMF SandRidge Master Fund L.P. |
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by
reference.
31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).
31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer, and Director).
32.1 Section 1350 Certification (Certification of President and Director).
32.2 Section 1350 Certification (Certification of Chief Financial Officer, and Director).
53
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.
Diversified Multi-Advisor Futures Fund L.P.
By: | Ceres Managed Futures LLC | |||
(General Partner) | ||||
By: | /s/ Walter Davis | |||
Walter Davis, President & Director |
||||
Date: March 31, 2011 | ||||
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.
/s/ Walter Davis
|
/s/ Ian Bernstein | /s/ Patrick T. Egan | ||
Walter Davis
|
Ian Bernstein | Patrick T. Egan | ||
President and Director
|
Director | Director | ||
Ceres Managed Futures LLC |
Ceres Managed Futures LLC | Ceres Managed Futures LLC | ||
Date: March 31, 2011
|
Date: March 31, 2011 | Date: March 31, 2011 | ||
/s/ Jennifer Magro
|
/s/ Michael McGrath | /s/ Alper Daglioglu | ||
Jennifer Magro
|
Michael McGrath | Alper Daglioglu | ||
Chief Financial Officer and Director
|
Director | Director | ||
(Principal Accounting Officer)
Ceres Managed Futures LLC Date: March 31, 2011 |
Ceres Managed Futures LLC Date: March 31, 2011 |
Ceres Managed Futures LLC Date: March 31, 2011 |
||
/s/ Douglas J. Ketterer
|
/s/ Harry Handler | |||
Douglas J. Ketterer
|
Harry Handler | |||
Director
|
Director | |||
Ceres Managed Futures LLC
|
Ceres Managed Futures LLC | |||
Date: March 31, 2011
|
Date: March 31, 2011 |
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.
54