Attached files
file | filename |
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EX-31.2 - EX-31.2 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv31w2.htm |
EX-32.1 - EX-32.1 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv32w1.htm |
EX-99.5 - EX-99.5 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv99w5.htm |
EX-99.3 - EX-99.3 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv99w3.htm |
EX-31.1 - EX-31.1 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv31w1.htm |
EX-32.2 - EX-32.2 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv32w2.htm |
EX-99.2 - EX-99.2 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv99w2.htm |
EX-99.4 - EX-99.4 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv99w4.htm |
EX-99.1 - EX-99.1 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv99w1.htm |
EX-10.6.A - EX-10.6.A - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv10w6wa.htm |
EX-10.5.A - EX-10.5.A - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv10w5wa.htm |
EX-10.7.A - EX-10.7.A - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv10w7wa.htm |
EX-10.8.A - EX-10.8.A - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y04626exv10w8wa.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
(X) ANNUAL
REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the
fiscal year ended December 31, 2010
OR ( ) TRANSITION REPORT
PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from
to
Commission File Number 000-30455
GLOBAL DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 13-4015586 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | 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) |
Indicate by check mark if the registrant is a well known seasoned issuer, as defined in Rule 405 of
the Securities Act.
Yes | No | X |
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 | No | X |
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes | X | No |
Indicate
by check mark whether the registrant has submitted electronically and
posted on its corporate Web site, if any, every Interactive Data File
required to be submitted and posted pursuant to Rule 405 of
Regulation S-T (§232.405 of this chapter) during the preceding
12 months (or for such shorter period that the registrant was
required to submit and post such files).
Yes | No |
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is
not contained herein, and will not be contained, to the best of registrants knowledge, in
definitive proxy or information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this form 10-K [X].
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer,
a non-accelerated filer, or a smaller reporting company.
See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer | Accelerated filer | Non-accelerated filer X | Smaller reporting company |
(Do not check if a smaller reporting company) |
Indicate
by check mark if the issuer is a shell company (as defined in
Rule 12b-2 of the Exchange Act).
Yes | No | X |
Limited
Partnership Redeemable Units with an aggregate value of $27,001,191 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, 13,809.1824 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
PART I
Item 1. Business.
(a) General Development of Business. Global Diversified Futures Fund L.P.,
(the Partnership) is a limited
partnership organized under the laws of the State of New York on June 15, 1998 to engage, directly
and indirectly, in the speculative trading of a diversified portfolio of commodity interests,
including futures contracts, options, swaps and forward contracts on
United States exchange and certain foreign exchanges. The sectors
traded include currencies, energy, grains, indices, metals, softs,
lumber, livestock and U.S. and non- U.S. interest rates. The Partnership and
the Funds (defined below) may trade futures and options of any kind. The commodity interests that are traded
by the Partnership directly and through its investments in the Funds are volatile and involve a high degree of market risk.
A Registration Statement on Form S-1 relating to the public offering became effective on
November 25, 1998. Between November 25, 1998 (commencement of offering period) and February 1,
1999, 33,379 redeemable units of Limited Partnership Interest (Redeemable Units) were sold at
$1,000 per Redeemable Unit. Proceeds of the offering were held in an escrow account and were
transferred, along with the General Partners contribution of $337,000, to the Partnerships
trading account on February 2, 1999 when the Partnership commenced trading. The public offering
terminated on April 1, 2000. The Partnership no longer offers Redeemable Units for sale.
Redemptions of Redeemable Units for the years ended December 31,
2010, 2009 and 2008 are reported
in the Statements of Changes in Partners Capital on page 37 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 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 commodity trading decisions are made for the Partnership by Aspect Capital Limited (Aspect), Altis Partners (Jersey)
Limited (Altis), Waypoint Capital Management LLC
(Waypoint), Blackwater Capital Management LLC
(Blackwater) and Sasco Energy Partners LLC
(Sasco) (each an Advisor and
collectively, the Advisors), each of which is a registered commodity trading advisor.
Campbell & Company, Inc. (Campbell) was terminated as an Advisor to the Partnership on
November 30, 2010. Blackwater was added as an Advisor to the
Partnership on November 1, 2010 and Sasco was added as an Advisor to
the Partnership on December 1, 2010.
A description of the trading activities and focus of the Advisors is
included on page 9 under Item 7. Managements Discussion and
Analysis of Financial Condition and Results of Operations. The Advisors are not affiliated with
one another, are not affiliated with the General Partner or CGM and are not responsible for the
organization or operation of the Partnership.
The General Partner has agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (i) 1% of the partners contributions
to the Partnership or (ii) $25,000. The Partnership will be liquidated upon the first of the
following to occur: December 31, 2018; the net asset value per Redeemable Unit falls below $400 as
of the close of any business day; or under certain circumstances as defined in the Limited
Partnership Agreement of the Partnership (the Limited Partnership Agreement).
On January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF
Campbell Master Fund L.P. (Campbell Master), a limited partnership organized under the
partnership laws of the State of New York. The Partnership purchased 17,534.8936 units
of Campbell Master with cash equal to $17,341,826 and a contribution of open commodity futures and
forward contracts with a fair value of $193,067. Campbell Master was formed to permit commodity
pools managed now and in the future by Campbell using Campbells Financial,
Metals and Energy
(FME) Large Portfolio, the Advisors proprietary, systematic trading program, to invest together in one trading
vehicle.
On November 30, 2010, the Partnership fully redeemed its investment
in Campbell Master for cash equal to $3,548,386.
On March 1, 2005, the assets allocated to Aspect for trading were invested in the CMF Aspect
Master Fund L.P. (Aspect Master), a limited partnership organized under the partnership laws of
the State of New
2
York. The Partnership purchased 16,015.3206 units of Aspect Master with cash
equal to $14,955,106 and a contribution of open commodity futures and forward contracts with a fair value
of $1,060,214. Aspect Master was formed to permit commodity pools managed now and in the future by
Aspect using Aspects Diversified Program, the
Advisors proprietary systematic trading program, to
invest together in one trading vehicle. The General Partner is also the general partner of Aspect
Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The
General Partner and Aspect believe that trading through this structure should promote efficiency
and economy in the trading process.
On November 1, 2005, the assets allocated to Altis for trading were invested in the CMF Altis
Partners Master Fund L.P. (Altis Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 13,013.6283 units of Altis
Master with cash equal to $11,227,843 and a contribution of open commodity futures and forward contracts
with a fair value of $1,785,785. Altis Master was formed to permit commodity pools managed now and
in the future by Altis using the Global Futures Portfolio
Program, the Advisors proprietary systematic
trading program, to invest together in one trading vehicle. The General Partner is also the general
partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership,
are permitted to be limited partners of
Altis Master. The General Partner and Altis believe that trading through this structure should
promote efficiency and economy in the trading process.
On March 1, 2010, the assets allocated to Waypoint for
trading were invested in Waypoint Master Fund L.P.
(Waypoint Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 4,959.4220 units of Waypoint Master
with cash equal to $4,959,422. Waypoint Master was formed in order to
permit commodity pools managed now or in the future by Waypoint
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 Waypoint Master.
Individual and pooled accounts currently managed by Waypoint,
including the Partnership, are permitted to be limited partners
of Waypoint Master. The General Partner and Waypoint believe
that trading through this structure should promote efficiency
and economy in the trading process.
On November 1, 2010, the assets allocated to Blackwater for
trading were invested in the Blackwater Master Fund L.P.
(Blackwater Master), a limited partnership organized
under the partnership laws of the State of Delaware. The
Partnership purchased 5,000.0000 units of Blackwater Master
with cash equal to $5,000,000. Blackwater Master was formed in order
to permit commodity pools managed now or in the future by
Blackwater using its Global Program, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Blackwater Master. Individual and pooled accounts currently
managed by Blackwater, including the Partnership, are permitted
to be limited partners of Blackwater Master. The General Partner
and Blackwater believe that trading through this structure
should promote efficiency and economy in the trading process.
On December 1, 2010, the assets allocated to Sasco for
trading were invested in the CMF Sasco Master Fund L.P.
(Sasco Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 3,064.6736 units of Sasco Master with
cash equal to $4,000,000. Sasco Master was formed in order to permit
commodity pools managed now or in the future by Sasco 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 Sasco Master. Individual and pooled
accounts currently managed by Sasco, including the Partnership,
are permitted to be limited partners of Sasco Master. The
General Partner and Sasco believe that trading through this
structure should promote 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 period ended December 31,
2010.
Aspect
Masters, Altis Masters, Waypoint Masters, Blackwater
Masters and Sasco Masters (collectively, the Funds) and the
Partnerships trading of futures, forwards, swaps and options contracts, if applicable, on
commodities is done primarily on United States of America commodity exchanges and foreign commodity
exchanges. The Funds and the Partnership engage in such trading through commodity brokerage
accounts maintained with CGM.
A
limited partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples of the net asset value
per 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.
3
Management and incentive fees are are charged at the Partnership level. All exchange,
clearing, user, give-up, floor brokerage and National Futures
Association (NFA) fees (the clearing fees) are borne by
the Partnership and the Funds. All other fees including CGMs direct brokerage fees are charged at the
Partnership level.
For
the period January 1, 2010 through December 31, 2010, the
approximate market sector allocation for the Partnership was as follows:
At
of December 31, 2010, the Partnership owned approximately 3.9%, 9.2%, 17.2%, 22.7% and 4.7% of
Aspect Master, Altis Master, Waypoint Master, Blackwater Master and Sasco Master, respectively.
At of December 31, 2009, the Partnership had approximately 7.5%, 5.5% and 12.8% of Campbell
Master, Aspect Master and Altis Master, respectively. It is intention of the Partnership to continue
to invest in the Funds. The performance of the Partnership is
directly affected by the performance of the Funds. The performance of the Partnership is directly affected be the performance
of the Funds. Expenses to investors as a result of investment in the Funds are approximately
the same and the redemption rights are not affected.
4
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.
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 equal to 1/6 of 1% (2% per year)
of month-end Net Assets allocated to the Advisor, except for Aspect
and Blackwater, which will receive a monthly
management fee equal to 1/12 of 1.25% (1.25% per year). Month-end Net Assets for the purpose of calculating management fees are Net Assets, as defined in
the Limited Partnership Agreement, prior to the reduction the current
months incentive fee accruals, the monthly management fees and
any redemptions or distributions as of the end of such month. The
Management Agreements may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay each Advisor an incentive fee, payable
annually, equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned
by each Advisor for the Partnership.
The Partnership has entered into a customer agreement (the Customer Agreement)
with CGM, which provides that the Partnership will pay CGM a monthly brokerage fee equal to 9/20 of 1% of
month-end Net Assets allocated to the Advisors (5.4% per year) 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 properly registered selling agents and to
financial advisors who have sold Redeemable Units. The Partnership directly and through its investment in the
Funds will pay for clearing fees. 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. In addition, CGM
will pay the Partnership interest on 80% of the average daily equity maintained in
cash in the Partnerships (or the Partnerships allocable
portion of a Funds) brokerage account during each month. The interest is
earned at a
30-day U.S. Treasury bill rate determined weekly by CGM
based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days from
the date on which such weekly rate is determined.
The Customer Agreement between the Partnership and
CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer
Agreement may be terminated by either party.
(b) Financial Information about 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 $28,436,063.
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) through (x) Not applicable.
(xi) through (xii) Not applicable.
(xiii) The Partnership has no employees.
(d) Financial Information About Geographic Areas. The Partnership does not engage in
the sales of goods or services or own any long-lived assets and therefore this item is not
applicable.
(e) Available Information. The Partnership does not have an Internet address. The
Partnership will provide paper copies of its annual report on Form 10-K, quarterly reports on Form
10-Q, current reports on Form 8-K and any amendments to these reports free of charge upon request.
(f) Reports
to Security Holders. Not applicable.
(g) Enforceability
of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller
Reporting Companies. Not applicable.
5
Item 1A. Risk Factors.
As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of
leverage. A small change in the market price of a commodity interest contract can produce major
losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand relationships, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events, weather and climate conditions, insects and plant disease, purchases and sales by foreign countries
and changing interest rates.
An investor may lose all of its investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
its investment in the Partnership.
The Partnership will pay substantial fees and expenses regardless of profitability.
Regardless of its trading performance, the Partnership will incur fees and expenses, including
brokerage 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 units is limited.
An investors
ability to redeem Redeemable Units is limited and no market
exists for the Redeemable Units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from
the facts that:
1. | The General Partner and the Partnerships/Funds commodity broker are affiliates; | ||
2. | Each of the Advisor(s), 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.
The General Partner may allocate the Partnerships assets to undisclosed advisors.
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.
6
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].
7
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 established public market for the Redeemable Units. | ||
(b) | Holders. The number of holders of Redeemable Units as of December 31, 2010 was 712. | ||
(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 in the years ended December 31, 2010, 2009 and 2008. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as described in Regulation D. | ||
(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 |
||||||||||||||||||||
(c) Total Number |
(or Approximate Dollar |
|||||||||||||||||||
of Redeemable Units |
Value) of Redeemable |
|||||||||||||||||||
(a) Total Number |
(b) Average |
Purchased as Part of |
Units that May Yet Be |
|||||||||||||||||
of Redeemable Units |
Price Paid per |
Publicly Announced |
Purchased Under the |
|||||||||||||||||
Period | Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||
October 1, 2010
October 31, 2010 |
70.0000 | $ | 2,001.61 | N/A | N/A | |||||||||||||||
November 1, 2010
November 30, 2010 |
99.2827 | $ | 1,904.79 | N/A | N/A | |||||||||||||||
December 1, 2010
December 31, 2010 |
54.7152 | $ | 2,010.95 | N/A | N/A | |||||||||||||||
223.9979 | $ | 1,960.98 | ||||||||||||||||||
* | Generally, limited partners are permitted to redeem their Redeemable Units as of the last day 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. No fee will be charged for redemptions. |
8
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 $1,596,572, $1,841,153, $2,300,441,
$2,403,264 and $2,661,982, respectively |
$ | 2,428,053 | $ | (3,075,903 | ) | $ | 10,609,901 | $ | 697,570 | $ | 5,785,202 | |||||||||
Total interest income |
24,529 | 23,394 | 423,076 | 1,485,334 | 1,687,808 | |||||||||||||||
$ | 2,452,582 | $ | (3,052,509 | ) | $ | 11,032,977 | $ | 2,182,904 | $ | 7,473,010 | ||||||||||
Net income (loss) |
$ | 1,624,353 | $ | (3,817,568 | ) | $ | 8,240,318 | $ | 916,481 | $ | 5,677,831 | |||||||||
Increase (decrease)
in net asset value
per unit |
$ | 117.49 | (224.03 | ) | $ | 397.58 | $ | 46.83 | $ | 192.40 | ||||||||||
Net asset value
per unit |
$ | 2,010.95 | $ | 1,893.46 | $ | 2,117.49 | $ | 1,719.91 | $ | 1,673.08 | ||||||||||
Total assets |
$ | 28,898,849 | $ | 30,121,084 | $ | 42,842,879 | $ | 41,097,354 | $ | 46,897,075 | ||||||||||
Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Overview
The
Partnership, directly and through its investment in other Funds, aims to achieve substantial capital
appreciation through speculative trading, in U.S. and international markets for currencies,
interest rates, stock indices, agricultural and energy products and precious and base metals. The
Partnership/Funds may employ futures, options on futures, and forward contracts in those markets.
The
General Partner manages all business of the Partnership/Funds. The General Partner has delegated
its responsibility for the investment of the Partnerships
assets to the Advisors. The General Partner employs a team of
approximately 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 the operation of the Partnership. These services include the preparation of required
books and records and reports to Limited Partners, government agencies and regulators; computation
of net asset value; calculation of fees; 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: Aspect
Diversified Program, Altis The Global Futures Portfolio Program, Waypoint Diversified
Program, Blackwater Global Program and Sasco Energy Program. As of December
31, 2010, the Partnerships assets were allocated among the Advisors in the following approximate
percentages Aspect 21%, Altis 21%, Waypoint 25%, Blackwater 20% and Sasco 13%. In allocating the
assets of the Partnership among Advisors, the General Partner considered past performance trading
style, volatility of markets traded and fee requirements. The General Partner may modify or
terminate the allocation of assets among the Advsiors and may allocate assets to additional
advisors at any time.
9
Aspect Capital Limited.
Aspect trades its Diversified Program on behalf of the Partnership. The Diversified Program is
a systematic global futures trading program. Its goal is the generation of significant long-term
capital growth independent of stock and bond market returns. This program continuously monitors
price movements in a wide range of global financial, currency and commodity markets, searching for
profit opportunities over periods ranging from a few hours to several months.
Aspect has designed the Diversified Program to have broad market diversification (subject to
liquidity constraints). Aspects quantitative resources are sufficient to enable it to design and
implement a broadly diversified portfolio with a significant allocation to numerous different
markets.
Aspects Diversified Program trades over 100 markets in seven major sectors: currencies,
energy, metals, stock indices, bonds, agricultural commodities and interest rates implementing
momentum strategies. Aspect is constantly examining new liquid and uncorrelated markets to
incorporate in the program with the aim of improving its reward/risk ratio and capacity. Aspect has
no market or sector preferences, believing that allowing for liquidity effects, equal profitability
can be achieved in the long-term in all markets. The key factors in determining the asset
allocation are correlation and liquidity. Correlations are analyzed at the sector, sub-sector,
economic block and market levels to design a portfolio which is highly diversified.
Altis Partners (Jersey) Limited.
Altis
trades its Global Futures Portfolio Program on behalf of the Partnership. It is a systematic,
automated trading program that builds on the Principals market experience and employs a unique
proprietary Advanced Asset Allocator. The Advanced Asset Allocator was specifically developed to
manage portfolios of derivative instruments in a robust and scalable manner. The portfolio
management technology combines original, traditional and contrasting investment techniques into one
complete and comprehensive trading system. Investments changes are implemented after considering
their effect on the whole portfolio not just the individual markets concerned.
Waypoint Capital Management LLC
Waypoint relies on technical rather than fundamental information as the basis for its trading
decisions in the Diversified Program, a proprietary systematic trading system. The primary objective of the trading program is to identify
and exploit medium and long-term price trends in futures and currency markets. The program is
designed to mathematically analyze recent trading characteristics of each market and compare such
characteristics to the historical trading pattern of the particular market. The program utilizes
proprietary trend identification and risk management strategies that are intended to enable it to
benefit from sustained price trends with the goal of protecting the account from high levels of
risk and volatility. Over the course of a long-term trend, times exist when the potential reward of
a market appears to be outweighed by the risk. In such circumstances, some of Waypoints trading
programs may exit the position prior to the end of the trend. While the result may be that the program
is out of the market during a significant portion of a trend, Waypoint expects that the
accompanying decrease in volatility of performance is adequate reward.
While Waypoint normally
follows a disciplined systematic approach to trading, on occasion it may override the signals
generated by the programs. This may take the form of a decision not to trade a certain futures
contract or reducing the number of contracts traded and is based on such factors as past market
volatility, amount of risk, potential return and margin requirements. Such modifications may not
necessarily be beneficial to the results achieved. Waypoint applies a portfolio management strategy
to measure and manage overall portfolio risk. This strategy includes portfolio structure, capital
allocation, and risk limitation. One objective of portfolio management is to determine periods of
relatively high and low portfolio risk, and when such points are reached Waypoint may reduce or
increase position size accordingly.
Waypoint may trade any and all commodity futures contracts including financial, agricultural,
metals, energy contracts and/or foreign currency contracts. The combination of markets traded may
vary over time and from time to time. Waypoint may also trade spot and forward currency contracts
on a principal basis on behalf of clients.
Blackwater Capital Management LLC
Blackwater utilizes medium and long term, systematic technical models to trade global futures
and foreign exchange markets. The models are designed to establish positions when market behavior
exhibits a high probability of an emerging sustained move. Blackwater seeks to aggressively protect
open equity after profit targets have been reached, limiting sharp reversals and drawdowns. It
incorporates strict money management techniques in order to reduce volatility.
The
Global Program was established to capture intermediate and long term
trends in the global future and FX markets. The Global Program is
based on chart and volatility patterns observed over many years of
trading and following macro markets. Blackwaters trading model is
designed to establish positions in relatively low to moderate
volatility markets that are starting to show signs of an emerging,
sustained price move. Once a trade has been established, the model
generates stop levels and profit objectives. Stop levels are based on
multiple volatility measurements. Proprietary indicators are used to
reduce trading in range bound, trendless markets. When
Blackwaters indicators point to a range bound market, extra
confirmation is needed to enter a trade. Excessive volatility in a
particular market will cause Blackwater to exit that market. Money
management techniques are applied on the individual market level,
sector level, and performing poorly, receive less risk capital. When
open equity levels surpass predetermined thresholds, partial profits
will be taken on the most successful open trades.
10
Sasco Energy Partners LLC
Sasco trades the Partnerships assets in
accordance with its Energy Program, a proprietary, discretionary trading system. The Energy Program currently trades futures, options and
exchange-cleared swaps on U.S. and non-U.S. exchanges and markets.
Sasco is a discretionary trader that employs a
primarily fundamental analysis. Sascos investment decisions are based on an assessment of available facts and data. Sasco has sole
discretion to trade certain markets or refrain from making certain trades. Sascos trading approach is dependent in part on the existence
of certain fundamental indicators. There have been periods in the past where no such market indicators were evident, and such periods may
recur.
Sasco utilizes outright long and short positions,
exchange cleared over-the-counter instruments, time spreads, swaps and other trading strategies. Sasco focuses on investments in long-term
core positions while simultaneously managing short-term positions, based primarily on fundamental analysis and employing risk management
principles. Sasco may also utilize options in an attempt either to reduce or define trading risks. In making trading decisions, Sasco also
employs a technical analysis to help identify market trends.
Effective risk management is an important aspect
of the Energy Program. Expectation and volatility of the markets traded, and the overall nature of the account, are all factors in
determining the amount of equity committed to each trade.
No assurance can be given that the Advisors strategies will be successful or that they will generate profits for the Partnership.
11
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 Aspect Master Fund L.P
Currencies |
24.7 | % | ||
Energy |
8.3 | % | ||
Grains |
3.7 | % | ||
Indices |
11.6 | % | ||
Interest Rates Non-U.S. |
26.1 | % | ||
Interest Rates U.S. |
9.2 | % | ||
Livestock |
0.6 | % | ||
Metals |
9.0 | % | ||
Softs |
6.8 | % |
CMF Altis Partners Master Fund L.P.
Currencies |
18.5 | % | ||
Energy |
13.5 | % | ||
Grains |
5.6 | % | ||
Indices |
20.6 | % | ||
Interest Rates Non-U.S. |
11.0 | % | ||
Interest Rates U.S. |
7.5 | % | ||
Livestock |
1.0 | % | ||
Metals |
15.4 | % | ||
Softs |
6.9 | % |
Waypoint
Master Fund L.P.
Currencies |
62.2 | % | ||
Energy |
1.5 | % | ||
Grains |
1.5 | % | ||
Indices |
9.8 | % | ||
Interest Rates Non-U.S. |
18.6 | % | ||
Interest Rates U.S. |
4.3 | % | ||
Metals |
1.3 | % | ||
Softs |
0.8 | % |
Blackwater Master Fund L.P
Currencies |
27.3 | % | ||
Energy |
13.6 | % | ||
Grains |
1.4 | % | ||
Indices |
32.5 | % | ||
Interest Rates Non-U.S. |
9.7 | % | ||
Interest Rates U.S. |
2.8 | % | ||
Livestock |
3.3 | % | ||
Metals |
9.4 | % |
CMF Sasco Master Fund L.P
Energy |
100 | % |
(a) Liquidity.
The
Partnership does not engage in sales of goods or services. Its only assets are
its investments in Funds and cash. 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.
To
minimize the risk relating to low margin deposits, the Partnership/Funds follow certain
trading policies, including:
(i) | The Partnership/Funds invests their assets only in commodity interests that the Advisors believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisors believe will permit it to enter and exit trades without noticeably moving the market. |
12
(ii) | An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnerships net assets allocated to that Advisor. | ||
(iii) | The Partnership/Funds may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearing house, the physical commodity position is fully hedged. | ||
(iv) | The Partnership/Funds do not employ the trading technique commonly known as pyramiding, in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities. | ||
(v) | The Partnership/Funds do not utilize borrowings other than short-term borrowings if the Partnership/Funds takes delivery of any cash commodities. | ||
(vi) | The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership/Funds. Spread and straddle describes a commodity futures trading strategies involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets. | ||
(vii) | The Partnership/Funds will not permit the churning of its commodity trading account. The term churning refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, indicating 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 17.2%. The foregoing margin to equity ratio takes into account cash held in the Partnerships name, as well as
the allocable value of the positions and cash held on behalf of the Partnership in the name of the
Funds.
In
the normal course of business, the Partnership and the Funds, are
parties to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments include forwards,
futures, options and swaps, whose values are based upon an underlying
asset, index, or reference
rate, and generally represent future commitments to exchange
currencies or cash balances, to purchase or sell other financial instruments at specified terms at specified future dates, or, in
the case of derivative commodity instruments to have a reasonable possibility to be settled in cash,
through physical delivery or with another financial instrument. These instruments may be traded on
an exchange or over-the-counter (OTC). Exchange traded instruments are standardized and include
futures and certain forwards and option contracts. OTC contracts are negotiated between contracting
parties and include swaps certain forwards and option contracts. Specific market movements of commodities or futures
contracts underlying an option cannot
accurately be
predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or
seller of an option has unlimited risk. Each of these instruments is
subject to various risks similar to those relating to the underlying financial instruments
including market and credit risk. In general, the risks associated with OTC contracts are greater
than those associated with exchange-traded instruments because of the greater risk of default by
the counterparty to an OTC contract.
The
risk to the limited partners
that have purchased interests in the Partnership is limited to the amount of their capital contributions
to the Partnership and their share of the Partnerships assets and undistributed profits. This limited
liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Funds due to market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded. The
Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Partnerships/Funds risk of loss in the
event of a counterparty default is typically limited to the
amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the
instruments. The Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/Funds assets is
CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent that,
through CGM, the Partnerships/Funds counterparty is
an exchange or clearing organization.
13
As
both a buyer and seller of options, the Funds pay or receives a premium at the
outset and then bear the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the 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 Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to
statistically analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, online monitoring systems provide account analysis of futures,
forwards and options positions by sector, margin requirements, gain and loss transactions and
collateral positions. (See also Item 8. Financial Statements and Supplementary Data for
further information on financial instrument risk included in the notes to the financial
statements.)
Other
than the risks inherent in commodity futures and other derivatives, the Partnership knows of no trends,
demands, commitments, events or uncertainties which will result in or which are reasonably likely
to result in the Partnerships liquidity increasing or decreasing in any material way. The Limited
Partnership Agreement provides that the Partnership shall terminate under certain circumstances
upon the first to occur of the following: (i) December 31, 2018; (ii) the vote to
dissolve the Partnership by limited partners owning more than 50% of the Redeemable Units; (iii)
assignment by the General Partner of all of its interest in the Partnership or withdrawal, removal,
bankruptcy or any other event that causes the General Partner to cease to be a general partner
under the New York Revised Limited Partnership 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 fees and advisory fees. The level of
these expenses is dependent upon trading performance and the level of Net
Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon
interest rates over which the Partnership has no control.
No
forecast can be made as to the level of redemptions in any given
period. A limited partner may
cause all or some of its Redeemable Units to be redeemed by the Partnership at the redemption value
per Redeemable Unit thereof as of the last day of any month
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, 1,502.4921 Redeemable Units
were redeemed totaling $2,812,226 and 55.1250 General Partner unit equivalents totaling $100,000. For the year ended December 31, 2009, 2,615.0660 Redeemable Units
were redeemed totaling $5,269,005 and 208.5720 General Partner unit
equivalents totaling $409,375.
14
(c) Results of Operations.
For
the year ended December 31, 2010, the net asset value per unit increased 6.2% from
$1,893.46 to $2,010.95. For the year ended December 31, 2009,
the net asset value per unit
decreased 10.6% from $2,117.49 to $1,893.46. For the year ended December 31, 2008, the net asset
value per unit increased 23.1% from $1,719.91 to $2,117.49.
The
Partnership experienced a net trading gain, before brokerage fees and related fees in
2010 of $4,024,625. Gains were primarily attributable to the Partnerships/Funds trading in
currencies, grains, metals, U.S. and non-U.S. interest rates and softs and were partially offset by
losses in energy, livestock and indices. The net trading gain or loss for the Partnership/Funds are discussed on page 36 under Item
8. Financial Statements and Supplementary Data.
In 2010, 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
continued to weaken amid concerns over the Greek debt crisis. During September, long positions in
the Australian dollar versus the U.S. dollar posted gains as the value of the Australian dollar rose against
these currencies amid speculation that the Reserve Bank of Australia may raise interest rates in
October. During December, short positions in the British pound versus the Australian dollar,
Japanese yen, and Swiss franc resulted in gains as the value of the British pound declined against
these currencies following lower-than-expected mortgage approval figures in the United Kingdom.
Additional gains were experienced from long positions in the Australian dollar, Brazilian real and
South African rand 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.
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. 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, before brokerage fees and related fees in
2009 of $1,234,750. Losses were primarily attributable to the Partnerships/Funds trading in
energy, indices, grains, U.S. and non-U.S. interest rates and softs and were partially offset by
gains in currencies, livestock, metals and lumber.
2009 was a volatile year for the financial markets. The U.S. stock
market entered 2009 reeling from the financial turmoil of 2008. The
results of the sub-prime fallout, bank bailouts, auto industry
bankruptcies, and capitulating economic data overwhelmed not just
stock prices, but fueled extraordinarily high levels of risk
aversion. The markets recovery was driven by stability in the
banking sector and a rapid recovery in global markets. By mid-year
2009, the market had hit bottom in March, banks were seeking to
return TARP bailout money and other leading indicators were recovering. The
Partnership realized losses due to volatile trends. The volatility
was due to sensitivity
to news shocks and contrary economic data.
High levels of volatility created difficult trading conditions in the
energy markets. On one hand, the weakness in the U.S. dollar is
supportive of the higher prices in energy. However, the decline in
demand and excess inventories periodically push prices lower,
resulting in losses for the sector as prices whipsawed. Losses were
realized in trading fixed income instruments. With the economic
backdrop of 2009, yields started to exhibit asymmetric volatility due
to extreme uncertainty prevailing in the longer time horizon.
Encouraged by the continuing efforts of the Obama administration to
stabilize the U.S. economy, the markets finally began to recover a
degree of risk-taking confidence in March, resulting in the reversal
of many of the trends that had driven returns in late 2008. In
agricultural commodities, losses were realized primarily in corn and
wheat. Prices of corn and wheat both unexpectedly rallied in October
as cold, wet weather threatened to delay harvest and concerns over
the acres likely to be seeded for the new crop.
15
Interest income on 80%
of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion of a
Funds) brokerage account was earned
at the monthly average 30-day U.S. Treasury bill yield. Interest income for the three and twelve months
ended December 31, 2010 increased by $4,991 and $1,135, respectively,
as compared to the corresponding periods in 2009. The increase in interest
income is primarily due to higher U.S. Treasury bill rates during the three and
twelve months ended December 31, 2010 as compared to the corresponding periods 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 maintained 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 and clearing fees for the three and
twelve months ended December 31, 2010 decreased by $21,253 and $244,581, respectively, as compared to
the corresponding periods in 2009. The decrease in brokerage fees for the three and twelve months
ended December 31, 2010 was due to lower average net assets as compared to the corresponding periods in 2009.
Management fees
are calculated as a percentage of the Partnerships net asset value as of the end of each month and
are affected by trading performance and redemptions. Management fees for the three and twelve months
ended December 31, 2010 decreased by $14,745 and $97,421, respectively, as compared to the corresponding
periods in 2009. The decrease in management fees for the three and twelve months ended December 31,
2010 was due to lower average net assets as compared to the corresponding periods in 2009.
Incentive fees
are based on the new trading profits generated by each Advisor as defined in the management
agreements between the Partnership, the General Partner and each Advisor and are payable annually.
Trading performance for the three and twelve months ended December 31, 2010 resulted in an incentive
fee accrual of 119,073. Trading performance for the three and twelve months ended December 31, 2009
resulted in an incentive fee accrual reversal of $111,106 and an
incentive fee accrual of $26,539, respectively.
The Partnership pays professional fees,
which generally include legal and accounting expenses. Professional fees for the years ended December 31, 2010 and 2009 were
$134,875 and $110,468, respectively.
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
$83,092 and $39,442, respectively.
The
Partnership experienced a net trading gain, before brokerage fees and related fees in
2008 of $12,910,342. Gains were primarily attributable to the Partnerships/Funds trading in
energy, indices, grains, metals, lumber, livestock, U.S. and non-U.S. interest rates and were
partially offset by losses in currencies and softs.
In 2008,
the liquidity crisis that began in 2007 rapidly spread to all corners of the globe,
significantly pushing down global economic growth and presenting the U.S. economy with the hardest
challenges since the Great Depression. During the year, the worlds credit markets virtually seized
up, commodity prices plunged and most major equity indices declined dramatically, while some of the
largest U.S. financial institutions were under pressure. Faced with unprecedented rapid
deterioration in economic data and outlook, and fearing a snowball adverse effect of the credit
crunch, global central banks reacted with aggressive campaigns of interest rate cuts and
coordinated capital injections. As the markets re-priced the cost of risk, several strong trends
emerged. The Partnership strongly capitalized on the trends and was profitable in almost every
sector.
Profits were primarily realized from trading in equity indices, fixed income and energy.
Global equity indices also contributed to the gains as indices continued to test multi-year lows.
As financial institutions continued to write off the assets and as bankruptcies loomed, investors
lost confidence in the equity markets. Futures markets offered greater flexibility as the SEC
temporarily banned short selling in the equity markets. The Partnership was profitable in interest
rates as the yield on short term notes dropped significantly. Short term U.S. Treasury bills were
in such high demand due to flight-to-quality that the yields had dropped below zero during the
year. While the 10 year Treasury-bill yielded on an average between 3.5%-4% most of the year, the yield
dropped to 2% in December. Non-U.S. interest rates also showed tremendous volatility as the rates
dropped precipitously due to the actions of the central banks. The Partnership also realized
profits in the energy sector by capturing both the bullish and the bearish trends. In the earlier
part of the year, crude oil pushed towards a historic high of $147 per barrel and in the latter
part, the trend suddenly reversed and a strong negative trend emerged with crude oil dropping to
about $32 per barrel. Natural gas also contributed to profits as prices plunged from $14 to about
$5 per MMBtu. Slightly offsetting gains were small losses in foreign exchange.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with the objectives of the Partnership and expectations for the Advisors
programs. The General Partner continues to monitor the Advisors performance on a daily, weekly,
monthly and annual basis to assure these objectives are met.
Commodity markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also increase the possibility
of profit. The profitability of the Partnership depends on the existence of major price trends and
the ability of the Advisors to identify those price trends correctly. Price trends are influenced
by, among other things, changing supply and demand relationships, weather, governmental,
agricultural, commercial and trade programs and policies, national and international political and
economic events and changes in interest rates. To the extent that market trends exist and the
Advisors are able to identify them, the Partnership expects to increase capital through operations.
In
allocating the assets of the Partnership among the Advisors, the
General Partner considered past performance, trading style,
volatility of markets traded and
fee requirements. The General Partner may modify or terminate the
allocation of assets to the Advisors and allocate assets to
additional advisors at any time. Each Advisors percentage allocation and trading program is described in the overview
section of this Item 7.
16
(d) Off-balance Sheet Arrangements. None
(e) Contractual Obligations. None
(f) Operational Risk.
The
Partnership/Funds are directly exposed to market risk and
credit risk, which arise in the normal course of its business activities. Slightly less direct, but
of critical importance, are risks pertaining to operational and back office support. This is
particularly the case in a rapidly changing and increasingly global environment with increasing
transaction volumes and an expansion in the number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement Risk the risk of financial and opportunity loss and legal liability
attributable to operational problems, such as inaccurate pricing of transactions, untimely trade
execution, clearance and/or settlement, or the inability to process large volumes of transactions.
The Partnership/Funds are subject to increased risks with respect to its trading activities in emerging
market securities, where clearance, settlement, and custodial risks are often greater than in more
established markets.
Technological Risk the risk of loss attributable to technological limitations or hardware
failure that constrain the Partnerships/Funds ability to gather, process, and communicate
information efficiently and securely, without interruption, to customers, and in the markets where the Partnership/Funds participate.
Legal/Documentation Risk the risk of loss attributable to deficiencies in the documentation
of transactions (such as trade confirmations) and customer relationships (such as master netting
agreements) or errors that result in noncompliance with applicable legal and regulatory
requirements.
Financial Control Risk the risk of loss attributable to limitations in financial systems
and controls. Strong financial systems and controls ensure that assets are safeguarded, that
transactions are executed in accordance with managements authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnerships Redeemable Unit holders, creditors, and regulators, is free of material errors.
(g) Critical Accounting Policies.
Partnerships and the Funds
Investments. All commodity interests held by the
Partnership and the Funds (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into
U.S. dollars at the exchange rates prevailing at the
measurement date. Gains or losses are realized when contracts
are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and
any change in net unrealized gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
Partnerships and the Funds Fair Value
Measurements. 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
Partnerships and 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
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 by GAAP.
17
The
Partnership and the Funds consider prices for exchange-traded commodity
futures, forwards and options contracts to be based on unadjusted quoted
prices in active markets for identical assets (Level 1).
The values of non-exchange traded forwards, swaps and certain
options contracts for which market quotations are not readily
available, are priced by broker-dealers that 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 investments in the Funds reflects its
proportional interest in the Funds. As of and for the years ended
December 31, 2010 and 2009, the Partnership and the Funds did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
The gross presentation of the fair value of the Partnerships
derivatives by instrument type is shown in Note 4,
Trading Activities. on the financial statements.
Futures
Contracts. The Partnership and the Funds trade futures contracts. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is
something where physical delivery can not occur (such as the S&P 500
Index), whereby such contract is settled in cash. Payments (variation
margin) may be made or received by the
Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying
contracts, and are recorded as unrealized gains or losses by the
Partnership and the Funds. When the contract is
closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time
it was closed. 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 contracts where the
Partnership and 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 Partnerships
and the Funds net equity therein, representing unrealized gain or loss on the contracts as measured by the
difference between the forward
18
foreign exchange rates at the dates of entry into the contracts and the forward rates at the
reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and
changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in
which the contract is closed or the changes occur, respectively and are included in the Statements of Income and
Expenses.
The
Partnership and the Funds do not isolate the portion of the results of operations arising from the
effect of changes in foreign exchange rates on investments from fluctuations from changes in market
prices of investments held. Such fluctuations are included in net gain (loss) on investments in
the Statements of Income and Expenses.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals
Exchange (LME) represent a firm commitment to buy or sell a specified quantity of aluminum,
copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash
settled based on prompt dates published by the LME. Payments (variation margin) may be made or
received by the Partnership and the Funds each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as unrealized gains or losses by the
Partnership and the Funds. A contract is considered offset when all long positions have been
matched with a like number of short positions settling on the same
prompt date. When the contract is closed at the prompt date, the Partnership and
the Funds record a realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. 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 writes an option, the premium received is recorded as a liability in the Statements of Financial Condition
and marked to market daily. When the Funds purchases an option, the premium paid is recorded
as an asset in the Statements of Financial Condition and marked to market daily. Realized gains
(losses) and changes in unrealized gains (losses) on options contracts are included in the
Statements of Income and Expenses.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
Introduction
The Partnership/Funds are a speculative commodity pools. The market sensitive
instruments held by them are acquired for speculative trading purposes, and all or substantially all
of the Partnership/Funds assets are subject to the risk of trading loss. Unlike an operating company, the risk
of market sensitive instruments is integral, not incidental, to the
Partnerships main line of business.
The
risk to the limited partners that have purchased interest in the
Partnership is limited to the amount
of their capital contributions to the Partnership and their share of the Partnership assets and
undistributed profits.
19
This limited liability is a consequence of the organization of the Partnership as a limited
partnership under applicable law.
Market
movements result in frequent changes in the fair market value of the
Partnerships/Funds open
positions and, consequently, in its earnings and cash balances. The
Partnerships/Funds market risk is influenced by
a wide variety of factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the value of financial instruments and contracts, the diversification
effects of the Partnerships/Funds open positions and
the liquidity of the markets in which they trade.
The
Partnership/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 Partnerships/Funds past performance is not necessarily indicative of
their future results.
Value at Risk is a measure of the maximum amount which the Partnership/Funds
could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Partnerships/Funds speculative
trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the indicated Value at
Risk or the Partnerships/Funds experience to date (i.e., risk of ruin). In light of the foregoing, as well as
the risks and uncertainties intrinsic to all future projections, the inclusion of the
quantification in this section should not be considered to constitute any assurance or
representation that the Partnerships/Funds losses in any market sector will be limited to Value at Risk or by
the Partnerships/Funds attempt to manage 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 Partnerships/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 Partnerships/Funds mark-to-market accounting, any loss in the fair
value of the Partnerships open positions is directly reflected in the Partnerships earnings (realized
and unrealized) and cash balances. Exchange maintenance margin
requirements have been used by the Partnership/Funds as the measure of their
Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of any
given contract in 95%99% of
any one-day interval. The maintenance margin levels are established by dealers and exchanges using
historical price studies as well as an assessment of current market volatility (including the
implied volatility of the options on a given futures contract) and economic fundamentals to provide
a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance
margin has been used rather than the more generally available initial margin, because initial
margin includes a credit risk component which is not relevant to Value at Risk.
In the case of market
sensitive instruments which are not exchange-traded (almost exclusively
currencies in the case of the Partnership/Funds), the margin requirements for the equivalent futures positions
have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers margins have been used.
The
fair value of the Partnerships/Funds futures and forward contracts does not have any optionality
component. However, certain of the Advisors trade commodity
options. The Value at Risk associated with options is reflected in the
following tables as the margin requirement attributable to the
instrument underlying each option. 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
20
an option will decline by the same amount
as the fair value of the underlying instrument,
whereas, in fact, the fair values of the options traded by the
Partnership/Funds in almost all cases
fluctuate to a lesser extent than those of the underlying instruments.
In quantifying
the Partnerships/Funds Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed. Consequently, the margin
requirements applicable to the open contracts have simply been added to determine each trading
categorys aggregate Value at Risk. The diversification effects resulting from the fact that the
Partnerships/Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The Partnerships
Trading Value at Risk in Different Market Sectors
Value
at Risk tables represent a probabilistic assessment of the risk of
loss in market risk sensitive instruments. The Advisors currently trade the
Partnerships assets indirectly in master fund managed accounts
established in the name over which they have been granted limited
authority to make trading decisions. The first two trading
Value at Risk tables reflect the market sensitive instruments held by
the Partnership directly and through its investment in the Funds. The
remaining trading Value at Risk tables reflect the market sensitive
instruments held by the Partnership 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 $28,436,063.
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 1,073,671 | 3.78 | % | ||||
Energy |
687,716 | 2.42 | % | |||||
Grains |
92,399 | 0.32 | % | |||||
Indices |
548,609 | 1.93 | % | |||||
Interest Rates U.S. |
34,492 | 0.12 | % | |||||
Interest Rates Non-U.S. |
213,543 | 0.75 | % | |||||
Livestock |
39,333 | 0.14 | % | |||||
Lumber |
478 | 0.00 | % | |||||
Metals |
237,979 | 0.84 | % | |||||
Softs |
102,064 | 0.36 | % | |||||
Total |
$ | 3,030,284 | 10.66 | % | ||||
At
December 31, 2009, the
Partnerships total capitalization was $29,723,936
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 357,446 | 1.20 | % | ||||
Energy |
94,382 | 0.32 | % | |||||
Grains |
52,012 | 0.18 | % | |||||
Interest Rates U.S. |
114,616 | 0.39 | % | |||||
Interest Rates Non-U.S. |
448,373 | 1.51 | % | |||||
Livestock |
19,077 | 0.06 | % | |||||
Lumber |
1,408 | 0.01 | % | |||||
Metals |
378,190 | 1.27 | % | |||||
Softs |
173,426 | 0.58 | % | |||||
Indices |
539,261 | 1.81 | % | |||||
Total |
$ | 2,178,191 | 7.33 | % | ||||
21
The
following tables indicate the trading Value at Risk associated with
the Partnerships direct investment and indirect investments 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 of the Partnership have been included in calculating the
figures set forth below.
As of December 31, 2010, Aspect Masters total capitalization was $157,864,059. The
Partnership owned approximately 3.9% of Aspect
Master. As of December 31, 2010, Aspect Masters Value at Risk for its assets (including the portion of the Partnerships assets
allocated to Aspect for trading) was as follows:
December 31, 2010
% of Total | High | Low | Average * | ||||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk | ||||||||||||||||
Currencies |
$ | 6,641,142 | 4.21 | % | $ | 6,908,626 | $ | 1,960,264 | $ | 4,676,665 | |||||||||||
Energy |
1,421,450 | 0.90 | % | 1,932,150 | 351,414 | 1,223,668 | |||||||||||||||
Grains |
663,172 | 0.42 | % | 853,702 | 150,472 | 496,932 | |||||||||||||||
Indices |
2,735,405 | 1.73 | % | 15,325,500 | 832,920 | 2,830,563 | |||||||||||||||
Interest Rates U.S. |
128,755 | 0.08 | % | 2,333,350 | 128,755 | 1,185,599 | |||||||||||||||
Interest Rates Non-U.S. |
1,433,026 | 0.91 | % | 6,063,200 | 1,068,897 | 4,111,787 | |||||||||||||||
Livestock |
109,519 | 0.07 | % | 240,000 | 14,717 | 93,906 | |||||||||||||||
Metals |
1,798,174 | 1.14 | % | 2,724,717 | 539,569 | 1,434,801 | |||||||||||||||
Softs |
853,509 | 0.54 | % | 1,719,693 | 494,690 | 987,242 | |||||||||||||||
Total |
$ | 15,784,152 | 10.00 | % | |||||||||||||||||
* | Annual average of month-end Value at Risk |
As of December 31, 2009, Aspect Masters total capitalization was $165,138,058. The
Partnership owned approximately 5.5% of Aspect Master. As of December 31, 2009, Aspect Masters Value at Risk for its assets (including the portion of the Partnerships assets
allocated to Aspect for trading) was as follows:
December
31, 2009
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 3,005,547 | 1.82 | % | $ | 9,657,630 | $ | 1,450,765 | $ | 3,783,484 | ||||||||||
Energy |
948,800 | 0.57 | % | 4,972,100 | 440,450 | 1,516,206 | ||||||||||||||
Grains |
327,245 | 0.20 | % | 1,461,017 | 291,283 | 622,287 | ||||||||||||||
Indices |
4,002,477 | 2.42 | % | 4,177,780 | 735,579 | 2,382,946 | ||||||||||||||
Interest Rates U.S. |
868,320 | 0.54 | % | 3,363,654 | 68,325 | 1,350,674 | ||||||||||||||
Interest Rates Non-U.S. |
5,408,866 | 3.28 | % | 10,090,643 | 3,056,662 | 5,677,560 | ||||||||||||||
Livestock |
155,900 | 0.09 | % | 704,364 | 130,800 | 287,937 | ||||||||||||||
Metals |
2,647,427 | 1.60 | % | 4,707,270 | 813,671 | 2,289,309 | ||||||||||||||
Softs |
1,800,229 | 1.09 | % | 2,057,410 | 648,164 | 1,382,129 | ||||||||||||||
Total |
$ | 19,164,811 | 11.61 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
22
As of December 31, 2010, Altis Masters total
capitalization was $63,685,511. The Partnership owned approximately
9.2% of Altis Master. As of December 31, 2010, the Altis
Masters Value
at Risk for its assets (including the portion of the
Partnerships assets allocated to Altis
Master 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 |
$ | 3,113,522 | 4.89 | % | $ | 3,481,070 | $ | 143,363 | $ | 2,231,735 | |||||||||||
Energy |
1,077,195 | 1.69 | % | 2,479,469 | 236,868 | 1,086,124 | |||||||||||||||
Grains |
483,876 | 0.76 | % | 915,463 | 136,257 | 435,755 | |||||||||||||||
Indices |
1,251,469 | 1.97 | % | 7,740,340 | 220,942 | 2,503,689 | |||||||||||||||
Interest Rates U.S. |
191,408 | 0.30 | % | 1,193,750 | 110,116 | 570,835 | |||||||||||||||
Interest Rates Non-U.S. |
733,663 | 1.15 | % | 1,849,973 | 183,212 | 1,000,258 | |||||||||||||||
Livestock |
107,232 | 0.17 | % | 170,400 | 22,320 | 82,718 | |||||||||||||||
Lumber |
5,200 | 0.01 | % | 27,500 | 1,100 | 9,287 | |||||||||||||||
Metals |
1,079,175 | 1.69 | % | 2,589,641 | 241,177 | 1,152,447 | |||||||||||||||
Softs |
747,574 | 1.17 | % | 937,879 | 199,670 | 499,434 | |||||||||||||||
Total |
$ | 8,790,314 | 13.80 | % | |||||||||||||||||
* | Annual average of month-end Value at Risk |
At
December 31, 2009, Altis Masters total Capitalization was
$84,307,758. The Partnership
owned approximately 12.8% of Altis Master.
As of December 31, 2009, the Altis Masters Value at Risk for its assets (including the
portion of the Partnerships assets allocated to Altis for trading) was as follows:
December 31,
2009
Average | ||||||||||||||||||||
% of Total | High | Low | Value at | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Risk* | |||||||||||||||
Currencies |
$ | 1,211,550 | 1.44 | % | $ | 2,264,297 | $ | 598,360 | $ | 1,468,143 | ||||||||||
Energy |
247,290 | 0.29 | % | 2,143,145 | 247,290 | 1,110,020 | ||||||||||||||
Grains |
259,135 | 0.31 | % | 1,137,757 | 169,964 | 495,014 | ||||||||||||||
Interest Rates U.S. |
277,254 | 0.33 | % | 1,344,800 | 265,892 | 688,612 | ||||||||||||||
Interest Rates Non-U.S. |
811,515 | 0.96 | % | 2,354,713 | 801,993 | 1,420,442 | ||||||||||||||
Livestock |
82,050 | 0.10 | % | 302,700 | 76,770 | 154,601 | ||||||||||||||
Lumber |
11,000 | 0.01 | % | 50,600 | 3,600 | 20,792 | ||||||||||||||
Metals |
1,577,754 | 1.87 | % | 1,948,265 | 507,229 | 1,335,488 | ||||||||||||||
Softs |
557,507 | 0.66 | % | 815,920 | 310,795 | 531,234 | ||||||||||||||
Indices |
1,448,404 | 1.72 | % | 3,383,400 | 38,250 | 1,540,807 | ||||||||||||||
Total |
$ | 6,483,459 | 7.69 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk |
23
As of December 31, 2010, Waypoint Masters total capitalization was $41,247,646. The
Partnership owned approximately 17.2% of Waypoint Master. As of
December 31, 2010, Waypoint
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Waypoint 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 |
$ | 1,878,430 | 4.55 | % | $ | 8,215,545 | $ | 633,809 | $ | 4,331,888 | ||||||||||
Indices |
901,236 | 2.18 | % | 1,613,660 | 100,993 | 658,690 | ||||||||||||||
Metals |
80,750 | 0.20 | % | 216,436 | 31,500 | 55,173 | ||||||||||||||
Total |
$ | 2,860,416 | 6.93 | % | ||||||||||||||||
* | For the period March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk |
For the year ended December 31, 2009, Waypoints Value at Risk for the portion of its assets that were
traded directly in a manage account in the Partnerships name was as follows:
December 31, 2009
% of Total | High | Low | Average * | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk | |||||||||||||||
Currencies |
$ | 34,200 | 0.12 | % | $ | 1,065,501 | $ | 19,430 | $ | 430,469 | ||||||||||
Total |
$ | 34,200 | 0.12 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk | |
At December 31, 2009, Campbell Masters total Capitalization was $62,525,663. The Partnership
owned approximately 7.5% of Campbell Master.
As of December 31, 2009, the Campbell Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to Campbell for trading)
was as follows:
December 31, 2009
Average | ||||||||||||||||||||
% of Total | High | Low | Value at | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Risk* | |||||||||||||||
Currencies |
$ | 494,171 | 0.79 | % | $ | 4,303,193 | $ | 268,184 | $ | 2,352,637 | ||||||||||
Energy |
140,600 | 0.23 | % | 930,274 | 16,100 | 358,289 | ||||||||||||||
Grains |
11,250 | 0.02 | % | 162,540 | 6,400 | 27,905 | ||||||||||||||
Interest Rates U.S. |
418,260 | 0.67 | % | 1,097,280 | 38,743 | 460,754 | ||||||||||||||
Interest Rates Non-U.S. |
626,824 | 1.00 | % | 2,442,697 | 610,321 | 1,365,590 | ||||||||||||||
Metals |
408,384 | 0.65 | % | 1,109,145 | 29,024 | 391,577 | ||||||||||||||
Softs |
40,700 | 0.07 | % | 145,740 | 2,100 | 27,164 | ||||||||||||||
Indices |
1,783,059 | 2.85 | % | 4,565,846 | 678,383 | 1,979,007 | ||||||||||||||
Total |
$ | 3,923,248 | 6.28 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk | |
24
As of December 31, 2010, Blackwater Masters total capitalization was $25,938,011.
The Partnership owned approximately 22.7% of Blackwater Master. As
of December 31, 2010, the Blackwater Masters
Value at Risk for its assets (including the portion of the
Partnerships assets allocated to Blackwater 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 |
$ | 903,667 | 3.48 | % | $ | 903,667 | $ | 577,300 | $ | 765,383 | ||||||||||
Energy |
357,370 | 1.38 | % | 508,250 | 184,174 | 350,610 | ||||||||||||||
Grains |
97,000 | 0.37 | % | 97,000 | 30,000 | 97,000 | ||||||||||||||
Indices |
756,741 | 2.92 | % | 1,256,105 | 756,741 | 941,241 | ||||||||||||||
Interest Rates U.S. |
52,250 | 0.20 | % | 171,550 | 14,700 | 33,475 | ||||||||||||||
Interest Rates Non-U.S. |
397,172 | 1.53 | % | 445,693 | 86,447 | 358,644 | ||||||||||||||
Livestock |
111,000 | 0.43 | % | 111,000 | 40,000 | 97,000 | ||||||||||||||
Metals |
240,867 | 0.93 | % | 346,947 | 240,866 | 283,148 | ||||||||||||||
Total |
$ | 2,916,067 | 11.24 | % | ||||||||||||||||
* | For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk |
As
of December 31, 2010, Sasco Masters total capitalization
was $81,683,630. The Partnership owned approximately 4.7% of Sasco
Master. As of December 31, 2010, Sasco Masters Value at Risk for its assets (including the portion of the Partnerships assets
allocated to Sasco 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* | |||||||||||||||
Energy |
$ | 9,618,175 | 11.77 | % | $ | 16,002,038 | $ | 2,149,045 | $ | 10,344,808 | ||||||||||
Totals |
$ | 9,618,175 | 11.77 | % | ||||||||||||||||
* | For the period December 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk |
25
Material Limitations on Value at Risk as an Assessment of Market Risk
The
face value of the market sector instruments held by the Partnership/Funds are typically many times the
applicable maintenance margin requirement (margin requirements generally range between 2% and 15%
of contract face value) as well as many times the capitalization of the Partnership/Funds. The magnitude of the
Partnership/Funds open positions creates a risk of ruin not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time
to time could cause the Partnership/Funds to incur severe losses over a short period of time. The
foregoing Value at Risk table as well as the past performance of the Funds give no indication
of this risk of ruin.
Non-Trading Risk
The
Partnership/Funds have non-trading market risk on their foreign cash balances not needed for margin.
However, these balances (as well as any market risk they represent) are immaterial.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnerships/Funds market risk exposures
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Partnership/Funds manages its primary market risk exposures constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E
of the Exchange Act. The Partnerships/Funds primary market risk exposures as well as the
strategies used and to be used by the General Partner and the Advisors for managing such exposures
are subject to numerous uncertainties, contingencies and risks, any one of which could cause the
actual results of the Partnerships/Funds risk controls to differ materially from the objectives
of such strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other factors
could result in material losses as well as in material changes to the risk exposures and the
management strategies of the Partnership/Funds. There can be no assurance that the
Partnerships/Funds current market exposure and/or risk management strategies will not change
materially or that any such strategies will be effective in either the short or long term.
Investors must be prepared to lose all or substantially all of their investment in the Partnership.
The
following were the primary trading risk exposures of the Partnership/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 Partnership/Funds and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative interest rate movements
between countries materially impact the
Partnerships/Funds profitability. The Partnerships/Funds primary
interest rate exposure is to interest rate fluctuations in the U.S. and the other G-8 countries.
Currencies. The Partnerships/Funds currency exposure
is to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general
economic conditions. The General Partner does not anticipate
that the risk profile of the Partnerships/Funds currency sector will change significantly in the future.
The currency trading Value at Risk figure includes foreign margin amounts converted into U.S.
dollars with an incremental adjustment to reflect the exchange rate
risk inherent to the U.S.
dollar-based Partnership/Funds in expressing Value at Risk in a functional currency other than U.S.
dollars.
Stock Indices. The Partnerships/Funds primary equity exposure is subject to equity price risk in the G-8 countries. The stock index futures
traded by the
Partnership/Fund are limited to futures on broadly based indices. As
of December 31, 2010, the
Partnerships/Funds primary exposures were in the LIFFE (England), Nikkei (Japan), EUREX (Germany)
and S&P (U.S.) stock indices. The Partnership/Funds are primarily exposed to the risk of adverse
price trends or static markets in the major U.S.,
26
European and Japanese indices. (Static markets would not cause major market changes but would
make it difficult for the Partnership/Funds to avoid being whipsawed into numerous small losses.)
Metals. The Partnerships/Funds primary metal market exposure is subject to fluctuations in the price of gold, copper and aluminum.
Softs. The Partnerships/Funds primary commodities exposure is subject to agricultural price movements which are often directly affected by
severe or
unexpected weather conditions.
Energy. The Partnerships/Funds primary energy market exposure is subject to natural gas and oil price movements, often resulting from
political
developments in the Middle East. Oil prices can be volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.
Grains. The Partnerships/Funds primary commodities exposure is subject to agricultural price movements which are often directly affected by
severe and
unexpected weather conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The
following were the only non-trading risk exposures of the Partnership/Funds as of December 31,
2010.
Foreign
Currency Balances. The Partnerships/Funds primary foreign currency balances are in Japanese yen, Euro, British pounds and Australian dollars. The
Advisors regularly convert foreign currency balances to U.S dollars in an attempt to control the
Partnerships/Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The
General Partner monitors and attempts to control the Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Funds may be subject.
The
General Partner monitors the Partnerships/Funds performance and the concentration of open
positions, and consults with the Advisors concerning the
Partnerships/Funds overall risk profile.
If the General Partner felt it necessary to do so, the General Partner could require the Advisors
to close out positions as well as enter positions traded on behalf of the
Partnership/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 Partnerships/Funds market risk exposures.
The
Advisors apply their 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.
27
Item 8.
Financial Statements and Supplementary Data.
GLOBAL DIVERSIFIED 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; Condensed 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.
28
To the Limited
Partners of
Global Diversified Futures Fund L.P.
Global Diversified Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
By: |
Walter Davis President and Director Ceres Managed Futures LLC General Partner, Global Diversified Futures Fund L.P. |
Ceres Managed Futures LLC
522 Fifth Avenue
14th Floor
New York, NY 10036
212-296-1999
522 Fifth Avenue
14th Floor
New York, NY 10036
212-296-1999
29
Managements
Report on Internal Control over
Financial Reporting
Financial Reporting
The management of Global Diversified 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 Global Diversified 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,
Global Diversified Futures Fund L.P.
President and Director
Ceres Managed Futures LLC
General Partner,
Global Diversified Futures Fund L.P.
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Global Diversified Futures Fund L.P.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Global Diversified Futures Fund L.P.
30
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Global Diversified Futures Fund L.P.:
Global Diversified Futures Fund L.P.:
We have audited the accompanying statements of financial condition of Global Diversified Futures
Fund L.P. (the Partnership), including the schedule of investments, as of December 31, 2010, and
including the condensed schedule of investments, as of December 31, 2009, and the related
statements of income and expenses, and changes in partners capital for the 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 Global Diversified 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
31
Report of Independent Registered Public Accounting Firm
To the Partners of
Global Diversified Futures Fund:
Global Diversified Futures Fund:
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 Global
Diversified Futures Fund (formerly known as Citigroup Global Diversified Futures Fund L.P.) at
December 31, 2008 and the results of its operations for the year then ended in conformity with
accounting principles generally accepted in the United States of America. Also in our opinion, the
Partnership maintained, in all material respects, effective internal control over financial
reporting as of December 31, 2008, based on criteria established in Internal Control Integrated
Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).
The Partnerships management is responsible for these financial statements, for maintaining
effective internal control over financial reporting and for its assessment of the effectiveness of
internal control over financial reporting, included in the accompanying Managements Report on
Internal Control over Financial Reporting. Our responsibility is to express opinions on these
financial statements and on the Partnerships internal control over financial reporting based on
our integrated audit. We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement and whether effective internal control over financial reporting was maintained in all
material respects. Our audit of the financial statements included examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and evaluating the overall
financial statement presentation. Our audit of internal control over financial reporting included
obtaining an understanding of internal control over financial reporting, assessing the risk that a
material weakness exists, and testing and evaluating the design and operating effectiveness of
internal control based on the assessed risk. Our audit also included performing such other
procedures as we considered necessary in the circumstances. We believe that our audit provides a
reasonable basis for our opinion.
A companys internal control over financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally accepted accounting principles. A
companys internal control over financial reporting includes those policies and procedures that (i)
pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the
transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that
transactions are recorded as necessary to permit preparation of financial statements in accordance
with generally accepted accounting principles, and that receipts and expenditures of the company
are being made only in accordance with authorizations of management and directors of the company;
and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use, or disposition of the companys assets that could have a material effect on the
financial statements.
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
March 26, 2009
32
Global
Diversified 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)
|
$ | 28,849,787 | $ | 24,472,696 | ||||
Equity in trading account:
|
||||||||
Cash (Note 3c)
|
49,062 | 5,549,173 | ||||||
Cash margin (Note 3c)
|
| 90,225 | ||||||
Net unrealized appreciation on open futures contracts
|
| 8,930 | ||||||
28,898,849 | 30,121,024 | |||||||
Interest receivable
|
| 60 | ||||||
Total assets
|
$ | 28,898,849 | $ | 30,121,084 | ||||
Liabilities and Partners Capital:
|
||||||||
Liabilities:
|
||||||||
Net unrealized depreciation on open forward contracts
|
$ | | $ | 44,055 | ||||
Accrued expenses:
|
||||||||
Brokerage fees (Note 3c)
|
130,045 | 135,347 | ||||||
Management fees (Note 3b)
|
40,378 | 44,183 | ||||||
Incentive fees (Note 3b)
|
119,072 | 26,539 | ||||||
Professional fees
|
41,076 | 46,548 | ||||||
Other
|
22,185 | 17,402 | ||||||
Redemptions payable (Note 6)
|
110,030 | 83,074 | ||||||
Total liabilities
|
462,786 | 397,148 | ||||||
Partners Capital: (Notes 1 and 6)
|
||||||||
General Partner, 157.9234 and 213.0484 Unit equivalents
outstanding at December 31, 2010 and 2009, respectively
|
317,576 | 403,399 | ||||||
Limited Partners, 13,982.7114 and 15,485.2035 Redeemable Units
outstanding at December 31, 2010 and 2009, respectively
|
28,118,487 | 29,320,537 | ||||||
Total partners capital
|
28,436,063 | 29,723,936 | ||||||
Total liabilities and partners capital
|
$ | 28,898,849 | $ | 30,121,084 | ||||
Net asset per unit
|
$ | 2,010.95 | $ | 1,893.46 | ||||
See accompanying notes to financial statements.
33
Global
Diversified 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 Aspect Master Fund L.P.
|
$ | 6,105,359 | 21.47 | % | ||||
CMF Altis Partners Master Fund L.P.
|
5,893,177 | 20.72 | ||||||
Waypoint Master Fund L.P.
|
7,080,876 | 24.90 | ||||||
Blackwater Master Fund L.P.
|
5,892,624 | 20.72 | ||||||
CMF Sasco Master Fund L.P.
|
3,877,751 | 13.64 | ||||||
Total investment in Funds, at fair value
|
$ | 28,849,787 | 101.45 | % | ||||
See accompanying notes to financial statements.
34
Global
Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2009
Condensed Schedule of Investments
December 31, 2009
Notional($)/ |
||||||||||||
Number of |
% of Partners |
|||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased
|
||||||||||||
Currencies
|
19 | $ | 8,930 | 0.03 | % | |||||||
Total futures contracts purchased
|
8,930 | 0.03 | ||||||||||
Unrealized Appreciation on Open Forward Contracts
|
||||||||||||
Currencies
|
$ | 838,191 | 12,253 | 0.04 | ||||||||
Total unrealized appreciation on open forward contracts
|
12,253 | 0.04 | ||||||||||
Unrealized Depreciation on Open Forward Contracts
|
||||||||||||
Currencies
|
$ | 2,036,681 | (56,308 | ) | (0.19 | ) | ||||||
Total unrealized depreciation on open forward contracts
|
(56,308 | ) | (0.19 | ) | ||||||||
Investment in Funds
|
||||||||||||
CMF Campbell Master Fund L.P.
|
4,660,413 | 15.68 | ||||||||||
CMF Aspect Master Fund L.P.
|
9,018,321 | 30.34 | ||||||||||
CMF Altis Partners Master Fund L.P.
|
10,793,962 | 36.31 | ||||||||||
Total investment in Funds
|
24,472,696 | 82.33 | ||||||||||
Total fair value
|
$ | 24,437,571 | 82.21 | % | ||||||||
See accompanying notes to financial statements.
35
Global
Diversified 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 closed contracts
|
$ | (485,070 | ) | $ | 606,155 | $ | 567,818 | |||||
Net realized gains (losses) on investment in Funds
|
3,511,257 | 214,199 | 12,301,849 | |||||||||
Change in net unrealized gains (losses) on open contracts
|
35,125 | (35,125 | ) | | ||||||||
Change in net unrealized gains (losses) on investments in Funds
|
963,313 | (2,019,979 | ) | 40,675 | ||||||||
Gain (loss) from trading, net
|
4,024,625 | (1,234,750 | ) | 12,910,342 | ||||||||
Interest income (Note 3c)
|
240 | 3,746 | 1,608 | |||||||||
Interest income from investment in Funds
|
24,289 | 19,648 | 421,468 | |||||||||
Total income (loss)
|
4,049,154 | (1,211,356 | ) | 13,333,418 | ||||||||
Expenses:
|
||||||||||||
Brokerage fees including clearing fees (Note 3c)
|
1,596,572 | 1,841,153 | 2,300,441 | |||||||||
Management fees (Note 3b)
|
491,189 | 588,610 | 719,564 | |||||||||
Incentive fees (Note 3b)
|
119,073 | 26,539 | 1,958,313 | |||||||||
Professional fees
|
134,875 | 110,468 | 72,690 | |||||||||
Other
|
83,092 | 39,442 | 42,092 | |||||||||
Total expenses
|
2,424,801 | 2,606,212 | 5,093,100 | |||||||||
Net income (loss)
|
$ | 1,624,353 | $ | (3,817,568 | ) | $ | 8,240,318 | |||||
Net income (loss) per unit (Note 7)
|
$ | 117.49 | $ | (224.03 | ) | $ | 397.58 | |||||
Weighted average units outstanding
|
14,894.3611 | 16,713.0389 | 21,336.4317 | |||||||||
See accompanying notes to financial statements.
36
Global
Diversified 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
|
$ | 37,019,603 | $ | 3,099,968 | $ | 40,119,571 | ||||||
Net income (loss)
|
7,947,509 | 292,809 | 8,240,318 | |||||||||
Redemptions of 3,423.9232 Redeemable Units and 1,380.7810
General Partner unit equivalents
|
(6,640,005 | ) | (2,500,000 | ) | (9,140,005 | ) | ||||||
Partners Capital at December 31, 2008
|
38,327,107 | 892,777 | 39,219,884 | |||||||||
Net income (loss)
|
(3,737,565 | ) | (80,003 | ) | (3,817,568 | ) | ||||||
Redemptions of 2,615.0660 Redeemable Units and 208.5720 General
Partner unit equivalents
|
(5,269,005 | ) | (409,375 | ) | (5,678,380 | ) | ||||||
Partners Capital at December 31, 2009
|
29,320,537 | 403,399 | 29,723,936 | |||||||||
Net income (loss)
|
1,610,176 | 14,177 | 1,624,353 | |||||||||
Redemptions of 1,502.4921 Redeemable Units and 55.1250 General
Partner unit equivalents
|
(2,812,226 | ) | (100,000 | ) | (2,912,226 | ) | ||||||
Partners Capital at December 31, 2010
|
$ | 28,118,487 | $ | 317,576 | $ | 28,436,063 | ||||||
Net asset value per unit:
|
2008:
|
$ | 2,117.49 | ||
2009:
|
$ | 1,893.46 | ||
2010:
|
$ | 2,010.95 | ||
See accompanying notes to financial statements.
37
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
1. | Partnership Organization: |
Global Diversified Futures Fund L.P. (the
Partnership) is a limited partnership organized
under the laws of the State of New York on June 15,
1998 to engage, directly and indirectly, in the speculative
trading of a diversified portfolio of commodity interests,
including futures contracts, options, swaps and forward
contracts on United States exchanges and certain foreign
exchanges. The sectors traded include currencies, energy,
grains, indices, metals, softs, lumber, livestock and U.S. and
non-U.S. interest rates. The Partnership and the Funds (as
defined in note 5 Investment in Funds) may trade
futures and options of any kind. The commodity interests that
are traded by the Partnership and the Funds are volatile and
involve a high degree of market risk.
Between November 25, 1998 (commencement of the offering
period) and February 1, 1999, 33,379 redeemable units of
limited partnership interest (Redeemable Units) were
sold at $1,000 per Redeemable Unit. The proceeds of the offering
were held in an escrow account and were transferred, along with
the General Partners (defined below) contribution of
$337,000 to the Partnerships trading account on
February 2, 1999, when the Partnership commenced trading.
The public offering of Redeemable Units terminated on
April 1, 2000 and the Partnership no longer offers
Redeemable Units for sale.
Ceres Managed Futures LLC, 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 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 for the
Partnership are made by the Advisors (as defined in
Note 3(b)).
The General Partner and each limited partner of the Partnership
each, a (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 profits, if any, net of
distributions.
The Partnership will be liquidated upon the first to occur of
the following: December 31, 2018; the net asset value per
Redeemable Unit decreases to less than $400 per Redeemable Unit
as of the close of any business day; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Partnership (theLimited Partnership Agreement).
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 held by the Partnership and the Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments |
38
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses. |
Partnerships and the Funds Fair Value
Measurements. 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
Partnerships and the Funds Level 1 assets and
liabilities are actively traded.
GAAP 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
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 by GAAP.
The Partnership and the Funds consider prices for
exchange-traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active
markets for identical assets (Level 1). The values of
non-exchange-traded forwards, swaps and certain options
contracts for which market quotations are not readily available,
are priced by broker-dealers that 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
investments in the Funds reflects its proportional interest in
the Funds. As of and for the years ended December 31, 2010
and 2009, the Partnership and the Funds did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models
(Level 3). The gross presentation of the fair value of the
Partnerships derivatives by instrument type is shown in
Note 4, Trading Activities.
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
|
$ | 28,849,787 | $ | | $ | 28,849,787 | $ | | ||||||||
Total fair value
|
$ | 28,849,787 | $ | | $ | 28,849,787 | $ | | ||||||||
39
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable |
||||||||||||||
12/31/2009 | (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Futures
|
$ | 8,930 | $ | 8,930 | $ | | $ | | ||||||||
Investment in Funds
|
24,472,696 | | 24,472,696 | | ||||||||||||
Total assets
|
24,481,626 | 8,930 | 24,472,696 | | ||||||||||||
Liabilities
|
||||||||||||||||
Forwards
|
$ | 44,055 | $ | | $ | 44,055 | $ | | ||||||||
Total liabilities
|
44,055 | | 44,055 | | ||||||||||||
Total fair value
|
$ | 24,437,571 | $ | 8,930 | $ | 24,428,641 | $ | | ||||||||
d. | Futures Contracts. The Partnership and 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 delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (variation margin) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 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. | |
e. | Forward Foreign Currency Contracts. Foreign currency contracts are contracts where the Partnership and 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 Partnerships 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 Partnership and the Funds do not isolate the portion of the
results of operations arising from the effect of changes in
foreign exchange rates on investments from fluctuations from
changes in market prices of investments held. Such fluctuations
are included in net gain (loss) on investments in the Statements
of Income and Expenses.
f. | London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (variation margin) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions |
40
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 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. |
g. | 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 writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses. | |
h. | Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnerships income and expenses. |
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 has 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.
i. | 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 filings and determined that there were no subsequent events requiring adjustments of or disclosure in the financial statements. | |
f. | 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 General Partner administers the business and affairs of the
Partnership, including selecting one or more advisors to make
trading decisions for the Partnership. The General Partner has
agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (i)
1% of the partners contributions to the Partnership or
(ii) $25,000.
41
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
b. | Management Agreement: |
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreements) with Aspect Capital Limited
(Aspect), Waypoint Capital Management LLC
(Waypoint), Altis Partners (Jersey) Limited
(Altis) Sasco Energy Partners LLC
(Sasco), and Blackwater Capital Management LLC
(Blackwater) (each an advisor and collectively, the
Advisors), each of which is a registered commodity
trading advisor. Blackwater was added as an Advisor to the
Partnership on November 1, 2010. Campbell & Company,
Inc. was terminated as of November 30, 2010 and Sasco was
added as an Advisor to the Partnership on December 1, 2010.
The Advisors are not affiliated with one another, are not
affiliated with the General Partner or CGM and are not
responsible for the organization or operation of the
Partnership. The Partnership will pay each Advisor a monthly
management fee equal to 1/6 of 1% (2% a year) of month-end Net
Assets allocated to the Advisor, except for Aspect and
Blackwater, which will receive a monthly management fee equal to
1/12 of 1.25% (1.25% a year) of month-end Net Assets allocated
to it. Month-end Net Assets, for the purpose of calculating
management fees are Net Assets, as defined in the Limited
Partnership Agreement, prior to the reduction of the current
months incentive fee accruals, the monthly management fees
and any redemptions or distributions as of the end of such
month. The Management Agreement may be terminated upon notice by
either party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee, payable annually, equal to 20% of the New Trading
Profits, as defined in the Management Agreements, earned by each
Advisor for the Partnership.
In allocating the assets of the Partnership among Advisors, the
General Partner considered past performance, trading style,
volatility of markets traded and fee requirements. The General
Partner may modify or terminate the allocation of assets among
the Advisors and may allocate assets to additional advisors at
any time.
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 9/20
of 1% (5.4% 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 fees are Net Assets, as defined in
the Limited Partnership Agreement, prior to the reduction of the
current months brokerage fee, 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 fee to financial advisors who have sold
Redeemable Units. Brokerage fees are 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, exchange, clearing, user,
give-up and
floor brokerage fees (collectively the clearing
fees) are borne directly by the Partnership and through
its investment in the Funds. All of the Partnerships
assets, not held in the Funds accounts at CGM, are
deposited in the Partnerships account at CGM. The
Partnerships cash is deposited by CGM in segregated bank
accounts to the extent required by Commodity Futures Trading
Commission regulations. At December 31, 2010 and 2009, the
amount of cash held for margin requirements was $0 and $90,225,
respectively. CGM has agreed to pay the Partnership interest on
80% of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion
of a Funds) brokerage account during each month. The
interest is earned at a
30-day
U.S. Treasury bill rate determined by CGM based on the
average non-competitive yield on 3-month U.S. Treasury bills
maturing in 30 days from the date on which such weekly rate
is determined. The Customer Agreement may be terminated upon
notice by either party.
42
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 interests. The
Partnerships
pro-rata
share of the results of the trading activities are shown in the
Statements of Income and Expenses.
The Customer Agreements between the Partnership/Funds and CGM
give the Partnership/Funds the legal right to net unrealized
gains and losses on open futures and forward contracts. The
Partnership/Funds net, for financial reporting purposes, the
unrealized gains and losses on open futures and forward
contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership are held
for trading purposes. The average number of futures contracts
traded for the years ended December 31, 2010 and 2009,
based on a monthly calculation, were 44 and 235, respectively.
The average notional values of currency forward contracts for
the years ended December 31, 2010 and 2009, based on a
monthly calculation, were $3,809,102 and $9,643,129,
respectively. In prior year, the average contracts and average
notional values were based on a quarterly and not a monthly
calculation. The amounts for the year ended December 31,
2009 have been revised accordingly.
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.
The following table indicates the fair values of derivative
instruments of futures and forward contracts as separate assets
and liabilities.
December 31, 2009 | ||||
Assets
|
||||
Futures Contracts
|
||||
Currencies
|
$ | 8,930 | ||
Total unrealized appreciation on open futures contracts
|
$ | 8,930 | ||
Net unrealized appreciation on open futures contracts
|
$ | 8,930 | * | |
Assets
|
||||
Forward Contracts
|
||||
Currencies
|
$ | 12,253 | ||
Total unrealized appreciation on open forward contracts
|
$ | 12,253 | ||
Liabilities
|
||||
Forward Contracts
|
||||
Currencies
|
$ | (56,308 | ) | |
Total unrealized depreciation on open forward contracts
|
$ | (56,308 | ) | |
Net unrealized depreciation on open forward contracts
|
$ | (44,055 | )** | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. | |
** | This amount is in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition. |
43
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
The following tables indicate the trading gains and losses, by
market sector, on derivative instruments for the years ended
December 31, 2010 and 2009.
December 31, 2010 |
December 31, 2009 |
|||||||
Gain (Loss) |
Gain (Loss) |
|||||||
Sector
|
from trading | from trading | ||||||
Currencies
|
$ | (273,403 | ) | $ | 571,245 | |||
Energy
|
1,530 | (16,440 | ) | |||||
Grains
|
(26,600 | ) | 15,462 | |||||
Indices
|
(97,392 | ) | 7,618 | |||||
Interest Rates U.S.
|
(93,556 | ) | (75,710 | ) | ||||
Interest Rates
Non-U.S.
|
37,570 | (6,279 | ) | |||||
Metals
|
(9,250 | ) | 92,768 | |||||
Softs
|
11,156 | (17,634 | ) | |||||
Total
|
$ | (449,945 | )*** | $ | 571,030 | *** | ||
*** | This amount is in Gain (loss) from trading, net on the Statements of Income and Expenses. |
5. | Investment in Funds: |
On January 1, 2005, the assets allocated to Campbell for
trading were invested in the CMF Campbell Master Fund L.P.
(Campbell Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 17,534.8936 units of Campbell Master with
cash equal to $17,341,826 and a contribution of open commodity
futures and forward contracts with a fair value of $193,067.
Campbell Master was formed to permit commodity pools managed now
and in the future by Campbell using Campbells Financial,
Metal and Energy (FME) Large Portfolio,
Campbells proprietary systematic trading system, to invest
together in one trading vehicle. On November 30, 2010, the
Partnership fully redeemed its investment in Campbell Master for
a cash equal to $3,548,386.
On March 1, 2005, the assets allocated to Aspect for
trading were invested in the CMF Aspect Master Fund L.P.
(Aspect Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 16,015.3206 units of Aspect Master with
cash equal to $14,955,106 and a contribution of open commodity
futures and forward contracts with a fair value of $1,060,214.
Aspect Master was formed to permit commodity pools managed now
and in the future by Aspect using Aspects Diversified
Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the
general partner of Aspect Master. Individual and pooled accounts
currently managed by Aspect, including the Partnership, are
permitted to be limited partners of Aspect Master. The General
Partner and Aspect believe that trading through this structure
should promote efficiency and economy in the trading process.
On November 1, 2005, the assets allocated to Altis for
trading were invested in the CMF Altis Partners Master
Fund L.P. (Altis Master), a limited partnership
organized under the partnership laws of the State of New York.
The Partnership purchased 13,013.6283 units of Altis Master with
cash equal to $11,227,843 and a contribution of open commodity
futures and forward contracts with a fair value of $1,785,785.
Altis Master was formed to permit commodity pools managed now
and in the future by Altis using the Global Futures Portfolio
Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also
general partner of Altis Master. Individual and pooled accounts
currently managed by Altis, including the Partnership, are
permitted to be limited partners of Altis Master. The General
Partner and Altis believe that trading through this structure
should promote efficiency and economy in the trading process.
44
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
On March 1, 2010, the assets allocated to Waypoint for
trading were invested in Waypoint Master Fund L.P.
(Waypoint Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 4,959.4220 units of Waypoint Master
with cash equal to $4,959,422. Waypoint Master was formed in
order to permit commodity pools managed now or in the future by
Waypoint 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
Waypoint Master. Individual and pooled accounts currently
managed by Waypoint, including the Partnership, are permitted to
be limited partners of Waypoint Master. The General Partner and
Waypoint believe that trading through this structure should
promote efficiency and economy in the trading process.
On November 1, 2010, the assets allocated to Blackwater for
trading were invested in the Blackwater Master Fund L.P.
(Blackwater Master), a limited partnership organized
under the partnership laws of the State of Delaware. The
Partnership purchased 5,000.0000 units of Blackwater Master
with cash equal to $5,000,000. Blackwater Master was formed in
order to permit commodity pools managed now or in the future by
Blackwater using its Global Program, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Blackwater Master. Individual and pooled accounts currently
managed by Blackwater, including the Partnership, are permitted
to be limited partners of Blackwater Master. The General Partner
and Blackwater believe that trading through this structure
should promote efficiency and economy in the trading process.
On December 1, 2010, the assets allocated to Sasco for
trading were invested in the CMF Sasco Master Fund L.P.
(Sasco Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 3,064.6736 units of Sasco Master with
cash equal to $4,000,000. Sasco Master was formed in order to
permit commodity pools managed now or in the future by Sasco
using its Energy Program, a proprietary, systematic trading
system, to invest together in one trading vehicle. The General
Partner is also the general partner of Sasco Master. Individual
and pooled accounts currently managed by Sasco, including the
Partnership, are permitted to be limited partners of Sasco
Master. The General Partner and Sasco believe that trading
through this structure should promote 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 period ended
December 31, 2010.
Aspect Masters, Altis Masters, Waypoint
Masters, Blackwater Masters and Sasco Masters
(the Funds) and the Partnerships trading of
futures, forwards, swaps and options contracts, if applicable,
on commodities is done primarily on United States of
America commodity exchanges and foreign commodity exchanges. The
Funds engage in such trading through commodity brokerage
accounts maintained by CGM.
A limited partner may withdraw all or part of their capital
contribution and undistributed profits, if any, from the Funds
in multiples of the net asset value per 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 clearing fees are borne by the Partnership and
through its investment in the Funds. All other fees including
CGMs direct brokerage fees are charged at the Partnership
level.
At December 31, 2010, the Partnership owned approximately
3.9%, 9.2%, 17.2%, 22.7% and 4.7% of Aspect Master, Altis
Master, Waypoint Master, Blackwater Master and Sasco Master,
respectively. At December 31, 2009, the Partnership had
approximately 7.5%, 5.5% and 12.8% of Campbell Master, Aspect
Master and Altis Master, respectively. It is the intention of
the Partnership to continue to invest in the Funds. The
performance of the Partnership is directly affected by the
performance of the Funds. Expenses
45
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
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 |
Total |
|||||||||||
Total Assets | Liabilities | Capital | ||||||||||
Aspect Master
|
$ | 157,910,582 | $ | 46,523 | $ | 157,864,059 | ||||||
Altis Master
|
64,276,767 | 591,256 | 63,685,511 | |||||||||
Waypoint Master
|
41,306,976 | 59,330 | 41,247,646 | |||||||||
Blackwater Master
|
25,966,821 | 28,810 | 25,938,011 | |||||||||
Sasco Master
|
81,882,294 | 198,664 | 81,683,630 | |||||||||
Total
|
$ | 371,343,440 | $ | 924,583 | $ | 370,418,857 | ||||||
December 31, 2009 | ||||||||||||
Total |
Total |
|||||||||||
Total Assets | Liabilities | Capital | ||||||||||
Campbell Master
|
$ | 63,393,130 | $ | 867,467 | $ | 62,525,663 | ||||||
Aspect Master
|
166,072,281 | 934,223 | 165,138,058 | |||||||||
Altis Master
|
84,341,762 | 34,004 | 84,307,758 | |||||||||
Total
|
$ | 313,807,173 | $ | 1,835,694 | $ | 311,971,479 | ||||||
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 Period Ended December 31, 2010 | ||||||||||||
Gain (Loss) from |
Total Income |
Net Income |
||||||||||
Trading, net | (Loss) | (Loss) | ||||||||||
Aspect Master
|
$ | 28,958,682 | $ | 29,102,474 | $ | 28,808,927 | ||||||
Altis Master
|
8,818,344 | 8,891,888 | 8,600,743 | |||||||||
Waypoint Master
|
7,879,774 | 7,918,225 | 7,746,492 | |||||||||
Blackwater Master
|
1,965,203 | 1,969,257 | 1,928,404 | |||||||||
Sasco Master
|
5,217,225 | 5,267,342 | 4,347,440 | |||||||||
Total
|
$ | 52,839,228 | $ | 53,149,186 | $ | 51,432,006 | ||||||
For the Year Ended December 31, 2009 | ||||||||||||
Gain (Loss) from |
Total Income |
Net Income |
||||||||||
Trading, net | (Loss) | (Loss) | ||||||||||
Campbell Master
|
$ | (2,923,817 | ) | $ | (2,860,109 | ) | $ | (2,974,707 | ) | |||
Aspect Master
|
(18,818,065 | ) | (18,684,829 | ) | (18,997,603 | ) | ||||||
Altis Master
|
(4,037,646 | ) | (3,970,425 | ) | (4,128,406 | ) | ||||||
Total
|
$ | (25,779,528 | ) | $ | (25,515,363 | ) | $ | (26,100,716 | ) | |||
46
Global
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Summarized information reflecting the Partnerships
investment in, and the operations of, the Funds are shown in the
following tables.
For the period
ended December 31, 2010
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Income |
Expenses |
Income |
Investment |
Redemptions |
|||||||||||||||||||||||
Funds
|
Net Assets | Fair Value | (loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||
Campbell Master
|
$ | | $ | | $ | 357,801 | $ | 7,738 | $ | 6,226 | $ | 343,837 | Commodity Portfolio | Monthly | ||||||||||||||
Aspect Master
|
21.47 | % | 6,105,359 | 1,553,565 | 10,284 | 5,398 | 1,537,883 | Commodity Portfolio | Monthly | |||||||||||||||||||
Altis Master
|
20.72 | % | 5,893,177 | 1,094,387 | 22,602 | 14,050 | 1,057,735 | Commodity Portfolio | Monthly | |||||||||||||||||||
Waypoint Master
|
24.90 | % | 7,080,876 | 1,179,394 | 15,052 | 9,664 | 1,154,678 | Commodity Portfolio | Monthly | |||||||||||||||||||
Blackwater Master
|
20.72 | % | 5,892,624 | 429,787 | 2,797 | 6,801 | 420,189 | Commodity Portfolio | Monthly | |||||||||||||||||||
Sasco Master
|
13.64 | % | 3,877,751 | (116,075 | ) | 5,687 | (13 | ) | (121,749 | ) | Energy Portfolio | Monthly | ||||||||||||||||
Total
|
$ | 28,849,787 | $ | 4,498,859 | $ | 64,160 | $ | 42,126 | $ | 4,392,573 | ||||||||||||||||||
For the year
ended December 31, 2009
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Income |
Expenses |
Income |
Investment |
Redemptions |
|||||||||||||||||||||||
Funds
|
Net Assets | Fair Value | (loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||
Campbell Master
|
15.68 | % | $ | 4,660,413 | $ | (205,995 | ) | $ | 5,123 | $ | 3,419 | $ | (214,537 | ) | Commodity Portfolio | Monthly | ||||||||||||
Aspect Master
|
30.34 | % | 9,018,321 | (980,703 | ) | 14,466 | 2,497 | (997,666 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Altis Master
|
36.31 | % | 10,793,962 | (599,434 | ) | 13,409 | 7,942 | (620,785 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Total
|
$ | 24,472,696 | $ | (1,786,132 | ) | $ | 32,998 | $ | 13,858 | $ | (1,832,988 | ) | ||||||||||||||||
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 redemption
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.
47
Global
Diversified 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)*
|
$ | 171.90 | $ | (179.89 | ) | $ | 512.64 | |||||
Interest income
|
1.66 | 1.38 | 19.30 | |||||||||
Expenses**
|
(56.07 | ) | (45.52 | ) | (134.36 | ) | ||||||
Increase (decrease) for the year
|
117.49 | (224.03 | ) | 397.58 | ||||||||
Net asset value per unit, beginning of year
|
1,893.46 | 2,117.49 | 1,719.91 | |||||||||
Net asset value per unit, end of year
|
$ | 2,010.95 | $ | 1,893.46 | $ | 2,117.49 | ||||||
* Includes brokerage fees.
|
||||||||||||
** Excludes brokerage fees.
|
Ratios to Average Net Assets:
|
||||||||||||
Net investment income (loss) before incentive fees***
|
(8.2 | )% | (7.8 | )% | (7.0 | )% | ||||||
Operating expenses
|
8.2 | % | 7.8 | % | 8.1 | % | ||||||
Incentive fees
|
0.4 | % | 0.1 | % | 5.1 | % | ||||||
Total expenses
|
8.6 | % | 7.9 | % | 13.2 | % | ||||||
Total return:
|
||||||||||||
Total return before incentive fees
|
6.7 | % | (10.5 | )% | 29.3 | % | ||||||
Incentive fees
|
(0.5 | )% | (0.1 | )% | (6.2 | )% | ||||||
Total return after incentive fees
|
6.2 | % | (10.6 | )% | 23.1 | % | ||||||
*** | Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partners 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 and the Funds,
are parties to financial instruments with off-balance sheet
risk, including derivative financial instruments and derivative
commodity instruments. These financial instruments may include
forwards, futures, options and swaps, whose values are based
upon an underlying asset, index, or reference rate, and
generally represent future commitments to exchange currencies or
cash balances, to purchase or sell other financial instruments
at specific terms at specified future dates, or, in the case of
derivative commodity instruments, to have a reasonable
possibility to be settled in cash, through physical delivery or
with another financial instrument. These instruments may be
traded on an exchange or 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.
Specific market movements of commodities or futures contracts
underlying an option cannot accurately be predicted. The
purchaser of an option may lose the entire premium paid for the
option. The writer, or seller, of an option has unlimited risk.
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
48
Global
Diversified 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 Partnership/Funds due to
market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices.
Market risk is directly impacted by the volatility and liquidity
in the markets in which the related underlying assets are
traded. The Partnership/Funds are exposed to a market risk equal
to the value of futures and forward contracts purchased and
unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Partnerships/Funds risk of loss in the
event of a counterparty default is typically limited to the
amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the
instruments. The Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/Funds assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that, through CGM, the
Partnerships/Funds counterparty is an exchange or
clearing organization.
As both a buyer and seller of options, the 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
Partnerships/Funds risk exposure on a daily basis
through financial, credit and risk management monitoring
systems, and accordingly, believes that it has effective
procedures for evaluating and limiting the credit and market
risks to which the Partnership/Funds may be subject. These
monitoring systems generally allow the General Partner to
statistically analyze actual trading results with risk-adjusted
performance indicators and correlation statistics. In addition,
on-line monitoring systems provide account analysis of futures,
forwards and options positions by sector, margin requirements,
gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the Partnership
and Funds business, these instruments may not be held to
maturity.
49
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 |
$ | 1,500,531 | $ | 1,604,479 | $ | (420,904 | ) | $ | (231,524 | ) | ||||||
Net income (loss) |
$ | 1,191,446 | $ | 1,448,888 | $ | (623,414 | ) | $ | (392,567 | ) | ||||||
Increase (decrease)
in net asset value
per unit |
$ | 83.73 | $ | 99.25 | $ | (41.77 | ) | $ | (23.72 | ) |
For the period from | For the period from | For the period from | For the period from | |||||||||||||
October 1, 2009 to | July 1, 2009 to | April 1, 2009 to | January 1, 2009 to | |||||||||||||
December 31, 2009 | September 30, 2009 | June 30, 2009 | March 31, 2009 | |||||||||||||
Net realized and
unrealized trading
gains (losses) net
of brokerage
fees and
clearing fees
including interest
income |
$ | (1,418,192 | ) | $ | 1,301,783 | $ | (1,235,378 | ) | $ | (1,700,722 | ) | |||||
Net income (loss) |
$ | (1,491,428 | ) | $ | 1,064,994 | $ | (1,498,528 | ) | $ | (1,892,606 | ) | |||||
Increase (decrease)
in net asset value
per unit |
$ | (94.38 | ) | $ | 66.09 | $ | (89.57 | ) | $ | (106.17 | ) |
50
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 its 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 years 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 SECs 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 (the CEO) and Chief Financial
Officer (the CFO) of the General Partner, to allow for timely
decisions regarding required disclosure and appropriate SEC
filings.
Management is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of December 31, 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.
51
PART III
Item 10. Directors, Executive
Officers and Corporate Governance.
The Partnership
has no officers, directors or employees and its affairs are managed by the General
Partner. Investment decisions are made by the Advisors.
The officers and directors of the General Partner are 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 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.
52
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 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 Parterships board of directors, and has
not established and audit committee because it has no board of directors.
53
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
$1,596,572 were earned by CGM for the year ended December 31, 2010. Management fees and incentive fees
of $491,189 and $119,073, 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 outstanding Redeemable Units. | ||
(b) | Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnerships affairs are managed by the General Partner. |
The
following table indicates securities owned by management as of
December 31, 2010:
(1) Title of Class |
(2) Name of Beneficial Owner |
(3) Amount and Nature of Beneficial Ownership |
(4) Percent of Class |
|||||||||
General
Partner units equivalents |
General Partner | 157.9234 | 1.1 | % |
(c) | Changes in control. None. |
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. Not applicable
(c)
Promoters and certain control persons. CGM and the General Partner would be considered promoters for purposes of item 404(c) of
Regulation S-K. The nature and the amounts of compensation each promoter will receive from the
Partnership are set forth under Item 1. Business, Item 8. Financial Statements and
Supplementary Data and Item 11. Executive Compensation.
Item 14. Principal Accountant Fees and Services.
(1)
Audit Fees. The aggregate fees billed for each of the last two fiscal years
for professional services rendered by Deloitte for the year ended December 31, 2010 and for the period from July 23, 2009 through December 31, 2009,
PwC for 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 |
$ | 93,600 | $ | N/A | ||||
2009 | $ | 54,300 | (1) | $ | 6,052 | (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 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.
54
PART IV
Item 15. Exhibits, Financial Statement Schedules.
(a)(1)
|
Financial Statements: | |
Statements of Financial Condition at December 31, 2010 and 2009. | ||
Condensed 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 the Financial Statements | ||
(2) Exhibits: |
||
3.1 Certificate of Limited Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York, dated June 12, 1998 (filed as Exhibit 3.2 to the
Registration Statement on Form S-1 filed on August 20, 1998 and incorporated herein by reference).
(a) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 30, 1998 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on August 20, 1998 and incorporated herein by reference). | ||
(b) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(c) | Certificate of Change to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, effective January 31, 2000 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(d) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.1(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(e) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(e) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(f) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Form 8-K filed on September 2, 2008 and incorporated herein by reference). | ||
(g) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(g) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(h) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference). | ||
(i) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated June 30, 2010 (filed as Exhibit 3.1(i) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference). |
3.2 Limited Partnership Agreement, dated June 15, 1998 (filed as Exhibit A to the Registration
Statement on Form S-1 filed on August 20, 1998 and incorporated herein by reference).
10.1 Customer Agreement between the Partnership and Salomon Smith Barney Inc., dated October 21,
1998 (filed as Exhibit 10.1 to the Pre-Effective Amendment No. 1 to the Registration Statement on
Form S-1 filed on October 22, 1998 and incorporated herein by reference).
10.2 Escrow Agreement among the Partnership, Smith Barney Inc., and European American Bank, dated
October 21, 1998 (filed as Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the Registration
Statement on Form S-1 filed on October 22, 1998 and incorporated herein by reference).
10.3 Selling Agreement among the Partnership, Smith Barney Futures Management Inc., and Smith
Barney Inc., dated October 21, 1998 (filed as Exhibit 1.1 to the Pre-Effective Amendment No. 1 to
the Registration Statement on Form S-1 filed on October 22, 1998 and incorporated herein by
reference).
55
10.4 Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global
Markets Inc. and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the
Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
10.5 Form of Management Agreement among the Partnership, the General Partner and Campbell &
Company, Inc. (filed as Exhibit 10.4 to the Registration Statement on Form S-1 filed on August 20,
1998 and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Campbell & Company, Inc. for 2010, dated June 1, 2010 (filed herein). |
10.6 Management Agreement among the Partnership, the General Partner and Aspect Capital
Management Limited, dated April 17, 2001 (filed as Exhibit 10.12 to the Form 10-K filed on March
28, 2002 and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Aspect Capital Management Limited for 2010, dated June 1, 2010 (filed herein). |
10.7 Management Agreement among the Partnership, the General Partner and Altis Partners (Jersey)
Limited, dated October 1, 2005 (filed as Exhibit 33.1 to the Form 10-Q/A filed on November 16, 2005
and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Altis Partners (Jersey) Limited for 2010, dated June 1, 2010 (filed herein). |
10.8 Management Agreement among the Partnership, the General Partner and Waypoint Capital
Management LLC, dated September 29, 2008 (filed as Exhibit 10.23 to the Form 10-K filed on March
31, 2009 and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Waypoint Capital Management LLC for 2010, dated June 1, 2010 (filed herein). |
10.9 Management Agreement among the Partnership. The General Partner and Blackwater Capital Management LLC, dated October 29, 2010 (filed as Exhibit 10.9 to the Form 8-K filed on November 4, 2010 and incorporated herein be reference). | ||
10.10 Management Agreement among the Partnership. The General Partner and Sasco Energy Partners LLC, dated November 30, 2010 (filed as Exhibit 10.1 to the Form 8-K filed on December 1, 2010 and incorporated herein by reference). | ||
16.1 Letter from KPMG LLP (filed as Exhibit 16.1 to the Form 8-K filed on July 1, 2008 and incorporated herein by reference). | ||
16.2 Letter from PricewaterhouseCoopers LLP (filed as Exhibit 16.1 to the Form 8-K filed on July 23, 2009 and incorporated herein by reference). | ||
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) Certifications (Certifications of President and Director). | ||
31.2 Rule 13a-14(a)/15d-14(a) Certifications (Certifications of Chief Financial Officer and Director). | ||
32.1 Section 1350 Certifications (Certifications of President and Director). | ||
32.2 Section 1350 Certifications (Certifications of Chief Financial Officer and Director). | ||
99.1 Financial Statements of CMF Aspect Master Fund L.P. | ||
99.2 Financial Statements of CMF Altis Partners Master Fund L.P. | ||
99.3 Financial Statements of Waypoint Master Fund L.P. | ||
99.4 Financial Statements of Blackwater Master Fund L.P. | ||
99.5 Financial Statements of CMF Sasco Master Fund L.P. |
56
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.
GLOBAL DIVERSIFED 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/ Michael McGrath | |||
Walter
Davis President and Director |
Michael McGrath Director |
|||
Ceres
Managed Futures LLC
|
Ceres Managed Futures LLC | |||
Date: March 31, 2011 |
Date: March 31, 2011 | |||
/s/ Jennifer Magro
|
/s/ Douglas J. Ketterer | |||
Jennifer Magro Chief Financial Officer and Director (Principal Accounting Officer) |
Douglas J. Ketterer Director Ceres Managed Futures LLC |
|||
Ceres
Managed Futures LLC
|
Date: March 31, 2011 | |||
Date: March 31, 2011 |
||||
/s/
Patrick T. Egan |
/s/ Alper Daglioglu | |||
Patrick T. Egan Director Ceres Managed Futures LLC |
Alper Daglioglu Director Ceres Managed Futures LLC |
|||
Date: March 31, 2011 |
Date: March 31, 2011 | |||
/s/ Ian Bernstein |
/s/ Harry Handler | |||
Ian Bernstein Director Ceres Managed Futures LLC |
Harry Handler Director 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.
57