SENECA GLOBAL FUND, L.P. - FORM 10-Q

Attached files

file	filename
EX-31.02 - SENECA GLOBAL FUND, L.P.	v222216_ex31-02.htm
EX-32.02 - SENECA GLOBAL FUND, L.P.	v222216_ex32-02.htm
EX-31.01 - SENECA GLOBAL FUND, L.P.	v222216_ex31-01.htm
EX-32.01 - SENECA GLOBAL FUND, L.P.	v222216_ex32-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2011

Commission file number: 000-53453

SENECA GLOBAL FUND, L.P.

Organized in Delaware

IRS Employer Identification No.: 75-3236572

Seneca Global Fund, L.P.

c/o Steben & Company, Inc.

2099 Gaither Road, Suite 200

Rockville, Maryland 20850

(240) 631-7600

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 o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a small reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

o	Large accelerated filer		o	Accelerated filer
o	Non-accelerated filer		x	Smaller Reporting Company

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes o No x

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Seneca Global Fund, L.P.

Statements of Financial Condition

March 31, 2011 (Unaudited) and December 31, 2010 (Audited)

	March 31, 2011		December 31, 2010
Assets
Equity in broker trading accounts
Cash	$	16,844,558	$	15,060,123
Net unrealized gain on open futures contracts		947,987		2,154,522
Net unrealized gain on open forward currency contracts		184,072		977,320
Interest receivable		210		1,563
Total equity in broker trading accounts		17,976,827		18,193,528
Cash and cash equivalents		43,359,241		38,989,573
Total assets	$	61,336,068	$	57,183,101

Liabilities and Partners’ Capital (Net Asset Value) Liabilities
Trading Advisor management fee payable	$	344,800	$	311,768
Trading Advisor incentive fee payable		—		582,381
Commissions and other trading fees payable on open contracts		5,398		2,995
General Partner management fee payable		52,786		49,337
Selling Agent fees payable – General Partner		30,646		27,143
Administrative expenses payable – General Partner		45,521		42,727
Offering expenses payable – General Partner		35,990		33,639
Broker dealer custodial fee payable – General Partner		6,202		6,174
Broker dealer servicing fee payable – General Partner		3,114		2,675
Redemptions payable		400,564		35,507
Subscriptions received in advance		2,737,154		2,536,859
Total liabilities		3,662,175		3,631,205
Partners’ Capital (Net Asset Value)
General Partner Units – 4,806.7772 units outstanding at March 31, 2011 and December 31, 2010		612,049		609,812
Series A Units – 189,955.5852 and 165,574.3151 units outstanding at March 31, 2011 and December 31, 2010, respectively		18,234,105		15,995,450
Series B Units – 132,027.3216 and 126,655.8355 units outstanding at March 31, 2011 and December 31, 2010, respectively		13,929,768		13,396,321
Series I Units – 204,622.9344 and 193,350.1543 units outstanding at March 31, 2011 and December 31, 2010, respectively		24,897,971		23,550,313
Total partners’ capital (net asset value)		57,673,893		53,551,896
Total liabilities and partners’ capital (net asset value)	$	61,336,068	$	57,183,101

The accompanying notes are an integral part of these financial statements.

Seneca Global Fund, L.P.

Condensed Schedule of Investments

March 31, 2011

(Unaudited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)

Long U.S. Futures Contracts
	Agricultural	$	86,056			0.15	%
	Currency		18,023			0.03	%
	Energy (1)		576,693			1.00	%
	Interest rate		(147,613	)		(0.26	)%
	Metal		100,073			0.17	%
	Stock index		104,825			0.18	%
	Net unrealized gain on open long U.S. futures contracts		738,057			1.27	%

Short U.S. Futures Contracts
	Agricultural		(8,475	)		(0.01	)%
	Energy		(20,600	)		(0.04	)%
	Metal		(49,067	)		(0.09	)%
	Stock index		6,200			0.01	%
	Net unrealized loss on open short U.S. futures contracts		(71,942	)		(0.13	)%

	Total U.S. Futures Contracts
	Net unrealized gain on open U.S. futures contracts		666,115			1.14	%

Long Foreign Futures Contracts
	Agricultural		(14,762	)		(0.03	)%
	Interest rate		(82,407	)		(0.14	)%
	Stock index		145,404			0.25	%
	Net unrealized gain on open long foreign futures contracts		48,235			0.08	%

Short Foreign Futures Contracts
	Interest rate		233,637			0.41	%
	Net unrealized gain on open short foreign futures contracts		233,637			0.41	%

	Total Foreign Futures Contracts
	Net unrealized gain on open foreign futures contracts		281,872			0.49	%

	Net unrealized gain on open futures contracts	$	947,987			1.63	%

U.S. Forward Currency Contracts
	Long	$	250,173			0.43	%
	Short		(153,482	)		(0.27	)%
	Net unrealized gain on open U.S. forward currency contracts		96,691			0.16	%

Foreign Forward Currency Contracts
	Long		(22,080	)		(0.04	)%
	Short		109,461			0.19	%
	Net unrealized gain on open foreign forward currency contracts		87,381			0.15	%

	Net unrealized gain on open forward currency contracts	$	184,072			0.31	%

(1) No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these financial statements.

Seneca Global Fund, L.P.

Condensed Schedule of Investments

December 31, 2010

(Audited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Long U.S. Futures Contracts
	Agricultural (1)	$	904,521			1.69	%
	Currency		1,675			0.00	%
	Energy		288,899			0.54	%
	Interest rate		(35,509	)		(0.07	)%
	Metal (1)		997,430			1.86	%
	Stock index		134,266			0.25	%
	Net unrealized gain on open long U.S. futures contracts		2,291,282			4.27	%

Short U.S. Futures Contracts
	Agricultural		(9,000	)		(0.02	)%
	Energy		(85,500	)		(0.16	)%
	Interest rate		(7,391	)		(0.01	)%
	Metal		(65,245	)		(0.12	)%
	Net unrealized loss on open short U.S. futures contracts		(167,136	)		(0.31	)%

	Total U.S. Futures Contracts
	Net unrealized gain on open U.S. futures contracts		2,124,146			3.96	%

Long Foreign Futures Contracts
	Agricultural		20,842			0.04	%
	Interest rate		41,176			0.08	%
	Stock index		3,896			0.01	%
	Net unrealized gain on open long foreign futures contracts		65,914			0.13	%

Short Foreign Futures Contracts
	Interest rate		(50,122	)		(0.09	)%
	Stock index		14,584			0.03	%
	Net unrealized loss on open short foreign futures contracts		(35,538	)		(0.06	)%

	Total Foreign Futures Contracts
	Net unrealized gain on open foreign futures contracts		30,376			0.07	%

	Net unrealized gain on open futures contracts	$	2,154,522			4.03	%

U.S. Forward Currency Contracts
	Long	$	369,809			0.69	%
	Short		(138,598	)		(0.26	)%
	Net unrealized gain on open U.S. forward currency contracts		231,211			0.43	%

Foreign Forward Currency Contracts
	Long		(56,626	)		(0.11	)%
	Short (1)		802,735			1.50	%
	Net unrealized gain on open foreign forward currency contracts		746,109			1.39	%

	Net unrealized gain on open forward currency contracts	$	977,320			1.82	%

The accompanying notes are an integral part of these financial statements.

Seneca Global Fund, L.P.

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

(Unaudited)

	Three Months Ended March 31,
	2011			2010
Trading Gain
Net realized gain (loss)	$	2,700,595		$	(325,970	)
Net change in unrealized gain (loss)		(1,999,783	)		1,940,749
Brokerage commissions		(28,206	)		(18,874	)
Net gain from trading		672,606			1,595,905


Income
Interest income		40,973			7,341
Expenses
Trading Advisor management fee		344,800			203,448
General Partner management fee		156,349			92,052
Selling Agent fees – General Partner		90,209			53,233
Broker dealer custodial fee – General Partner		18,684			14,224
Broker dealer servicing fee – General Partner		9,071			5,464
Offering expenses – General Partner		123,382			74,249
Administrative expenses – General Partner		242,277			196,063
Total expenses		984,772			638,733
Administrative and offering expenses waived		(122,574	)		(127,015	)
Net total expenses		862,198			511,718
Net investment loss		(821,225	)		(504,377	)

Net Income (Loss)	$	(148,619	)	$	1,091,528

	Series A			Series B			Series I			General Partner
Three Months Ended March 31, 2011
Increase (decrease) in net asset value per Unit	$	(0.62	)	$	(0.26	)	$	(0.12	)	$	0.46
Net income (loss) per Unit	$	(0.53	)	$	(0.25	)	$	(0.11	)	$	0.46
(based on weighted average number of units outstanding during the period)
Weighted average number of Units outstanding		180,387.6282			130,245.4509			199,939.9324			4,806.7772

Three Months Ended March 31, 2010
Increase in net asset value per Unit	$	2.36		$	2.91		$	3.50		$	4.10
Net income per Unit	$	2.60		$	3.22		$	3.60		$	4.10
(based on weighted average number of units outstanding during the period)
Weighted average number of Units outstanding		120,663.6756			109,312.6412			113,806.3365			4,011.5691

The accompanying notes are an integral part of these financial statements.

Seneca Global Fund, L.P.

Statements of Cash Flows

For the Three Months Ended March 31, 2011 and 2010

(Unaudited)

	Three Months Ended March 31,
	2011			2010
Cash flows from operating activities
Net income (loss)	$	(148,619	)	$	1,091,528
Adjustments to reconcile net income (loss) to net cash provided by operating activities
Net change in unrealized (gain) loss		1,999,783			(1,940,749	)
Changes in
Interest receivable		1,353			(678	)
Government sponsored enterprise notes		—			2,018,783
Trading Advisor management fee payable		33,032			14,406
Trading Advisor incentive fee payable		(582,381	)		—
Commissions and other trading expenses payable on open contracts		2,403			90
General Partner management fee payable		3,449			3,477
Selling Agent fees payable – General Partner		3,503			2,691
Administrative expenses payable – General Partner		2,794			5,698
Offering expenses payable – General Partner		2,351			2,371
Broker dealer custodial fee payable – General Partner		28			615
Broker dealer servicing fee payable – General Partner		439			224
Net cash provided by operating activities		1,318,135			1,198,456

Cash flows from financing activities
Subscriptions		2,624,106			1,898,672
Subscriptions received in advance		2,737,154			2,308,869
Redemptions		(525,292	)		(1,157,982	)
Net cash provided by financing activities		4,835,968			3,049,559

Net increase in cash and cash equivalents		6,154,103			4,248,015
Cash and cash equivalents, beginning of period		54,049,696			32,081,573
Cash and cash equivalents, end of period	$	60,203,799		$	36,329,588

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	16,844,558		$	8,683,033
Cash and cash equivalents		43,359,241			27,646,555
Total end of period cash and cash equivalents	$	60,203,799		$	36,329,588

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	35,507		$	189,947
Prior period subscriptions received in advance	$	2,536,859		$	1,957,075

Supplemental schedule of non-cash financing activities
Redemptions payable	$	400,564		$	532,381

The accompanying notes are an integral part of these financial statements.

Seneca Global Fund, L.P.

Statements of Changes in Partners’ Capital (Net Asset Value)

For the Three Months Ended March 31, 2011 and 2010

(Unaudited)

	Series A						Series B						Series I						General Partner
	Units			Amount			Units			Amount			Units			Amount			Units		Amount		Total
Three Months Ended March 31, 2011
Balance at December 31, 2010		165,574.3151		$	15,995,450			126,655.8355		$	13,396,321			193,350.1543		$	23,550,313			4,806.7772	$	609,812	$	53,551,896
Net income (loss)					(95,990	)					(32,085	)					(22,781	)				2,237		(148,619	)
Subscriptions		27,928.9157			2,678,276			6,980.5264			736,625			14,383.8275			1,746,064			--		--		5,160,965
Redemptions		(2,579.3011	)		(249,208	)		(1,609.0403	)		(171,093	)		(3,876.3168	)		(470,048	)		--		--		(890,349	)
Transfers		(968.3445	)		(94,423	)		--			--			765.2694			94,423			--		--		--
Balance at March 31, 2011		189,955.5852		$	18,234,105			132,027.3216		$	13,929,768			204,622.9344		$	24,897,971			4,806.7772	$	612,049	$	57,673,893

Three Months Ended March 31, 2010
Balance at December 31, 2009		110,813.7773		$	9,492,784			104,085.6268		$	9,610,394			112,253.4442		$	11,863,406			4,011.5691	$	434,130	$	31,400,714
Net income					313,625						351,656						409,816					16,431		1,091,528
Subscriptions		15,592.4458			1,319,603			14,751.8180			1,336,413			11,519.9314			1,199,731			--		--		3,855,747
Redemptions		(1,198.7690	)		(105,513	)		(6,520.9156	)		(601,574	)		(7,634.1836	)		(793,329	)		--		--		(1,500,416	)
Balance at March 31, 2010		125,207.4541		$	11,020,499			112,316.5292		$	10,696,889			116,139.1920		$	12,679,624			4,011.5691	$	450,561	$	34,847,573

	Net Asset Value Per Unit
	Series A		Series B		Series I		General Partner
March 31, 2011	$	95.99	$	105.51	$	121.68	$	127.33
December 31, 2010		96.61		105.77		121.80		126.87
March 31, 2010		88.02		95.24		109.18		112.32
December 31, 2009		85.66		92.33		105.68		108.22

Seneca Global Fund, L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization and Summary of Significant Accounting Policies

Description of the Fund

Seneca Global Fund, L.P. (f/k/a Aspect Global Diversified Fund LP) (“Fund”) is a Delaware limited partnership, which was formed in 2007. The Fund operates as a commodity investment pool, and commenced investment operations on September 1, 2008. The Fund issues units of limited partner interests (“Units”) in four series: Series A, Series B, Series C and Series I, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Only Series A, B and I Units are offered by the fund. Series A, B and I Units will be re-designated as Series C Units after the Fee Limit has been reached. The Series C Units are identical to these other Units except that the Series C Units only incur the Trading Advisor management fee, Trading Advisor incentive fee, brokerage expenses, General Partner management fee and administrative expenses.

The Fee Limit is the total amount of selling agent commissions, broker dealer servicing fees paid to the selling agents, payments for wholesalers, payments for sales conferences, and other offering expenses that are items of compensation to Financial Industry Regulatory Authority (“FINRA”) members (but excluding among other items, the production and printing of prospectuses and related collateral material, as well as various legal and regulatory fees) paid by particular Series A, B or I Units when it is equal to 10.00% of the original purchase price paid by holders of those particular Units.

The Fund uses a commodity trading advisor to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund does not currently use options or swaps as part of its trading system, but may employ them in the future.

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1933, as amended, (“1933 Act”) and the U.S. Securities Exchange Act of 1934, as amended, (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1933 Act and the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of FINRA, an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of its futures broker and interbank market makers through which the Fund trades.

Under its Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”), the Fund’s business and affairs are managed and conducted by the Fund’s general partner, Steben & Company, Inc. (“General Partner”), a Maryland corporation. The General Partner is registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is registered with the SEC as an investment advisor and a broker dealer. Additionally, the General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.

Through April 30, 2011, Aspect Capital Limited (“Aspect”) was the sole trading advisor for the Fund. Effective May 1, 2011, the Fund changed its name to Seneca Global Fund, L.P., and began using multiple trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Each trading advisor uses a proprietary, systematic trading system that deploys multiple trading strategies utilizing derivatives that seeks to identify and exploit directional moves in market behavior to a broad and diversified range of global markets including stock indices, currencies, interest rate instruments, energy products, metals and agricultural commodities.

Significant Accounting Policies

Accounting Principles

The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).

Use of Estimates

Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Revenue Recognition

Futures, options on futures contracts and forward currency contracts are recorded on a trade date basis, and gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open futures and forward currency contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in commercial paper, U.S. Treasury securities, U.S. government sponsored enterprise notes and other cash and cash equivalent balances is recorded on an accrual basis.

Fair Value of Financial Instruments

Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

Level 1 –

Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include exchange-traded derivatives and money market funds.

Level 2 –

Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts.

Level 3 –

Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the periods ended March 31, 2011 and December 31, 2010, there were no such transfers between levels.

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

The investment in money market fund, included in cash and cash equivalents in the statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.

Cash and Cash Equivalents

Cash and cash equivalents include investments with original maturities of three months or less at the date of acquisition that are not held for sale in the ordinary course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

Brokerage Commissions and Trading Expenses

Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through March 31, 2011. All of the Fund’s income tax returns remain subject to federal, state or local income tax examinations.

Foreign Currency Transactions

The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statement of operations.

Reclassification

Certain amounts in the 2010 financial statements have been reclassified to conform to the 2011 presentation without affecting previously reported partners’ capital (net asset value).

2.	Fair Value Disclosures

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

At March 31, 2011
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	947,987	$	—	$	947,987
Net unrealized gain on open forward currency contracts*		—		184,072		184,072
Cash and cash equivalents:
Money market fund		7,401		—		7,401
Total	$	955,388	$	184,072	$	1,139,460

*See the condensed schedule of investments for further description.

At December 31, 2010
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	2,154,522	$	—	$	2,154,522
Net unrealized gain on open forward currency contracts*		—		977,320		977,320
Cash and cash equivalents:
Money market fund		7,399		—		7,399
Total	$	2,161,921	$	977,320	$	3,139,241

*See the condensed schedule of investments for further description.

There were no Level 3 holdings at March 31, 2011 and December 31, 2010 or during the periods then ended.

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

3.	Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which were designated as hedging instruments. At March 31, 2011, the Fund’s derivative contracts had the following impact on the statements of financial condition:

	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Net unrealized gain on open futures contracts
Agricultural	$	258,990	$	(196,171	)	$	62,819
Currency		27,386		(9,363	)		18,023
Energy		578,513		(22,420	)		556,093
Interest rate		306,385		(302,768	)		3,617
Metal		355,763		(304,757	)		51,006
Stock index		340,532		(84,103	)		256,429
Net unrealized gain on open futures contracts	$	1,867,569	$	(919,582	)	$	947,987

Net unrealized gain on open forward currency contracts	$	767,168	$	(583,096	)	$	184,072

At March 31, 2011, there were 2,219 open futures contracts and 491 open forward currency contracts.

At December 31, 2010, the Fund’s derivative contracts had the following impact on the statements of financial condition:

	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Net unrealized gain on open futures contracts
Agricultural	$	931,812	$	(15,449	)	$	916,363
Currency		1,675		—			1,675
Energy		308,149		(104,750	)		203,399
Interest rate		92,261		(144,107	)		(51,846	)
Metal		999,158		(66,973	)		932,185
Stock index		239,757		(87,011	)		152,746
Net unrealized gain on open futures contracts	$	2,572,812	$	(418,290	)	$	2,154,522

Net unrealized gain on open forward currency contracts	$	1,202,472	$	(225,152	)	$	977,320

At December 31, 2010, there were 1,891 open futures contracts and 494 open forward currency contracts.

For the three months ended March 31, 2011 and 2010, the Fund’s derivative contracts had the following impact on the statements of operations:

	Three Months Ended March 31, 2011						Three Months Ended March 31, 2010
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural	$	892,451		$	(853,544	)	$	(253,022	)	$	(196,203	)
Currency		36,968			16,348			(16,349	)		7,350
Energy		2,124,382			352,694			(154,047	)		155,619
Interest rate		(1,610,280	)		55,463			700,789			1,384,521
Metal		803,123			(881,179	)		(780,926	)		438,413
Stock index		(637,474	)		103,683			(219,933	)		(158	)
Total futures contracts		1,609,170			(1,206,535	)		(723,488	)		1,789,542

Forward currency contracts		1,104,145			(793,248	)		388,542			151,207
Total futures and forward currency contracts	$	2,713,315		$	(1,999,783	)	$	(344,946	)	$	1,940,749

For the three months ended March 31, 2011 and 2010, the number of futures contracts closed was 6,469 and 4,733, respectively, and the number of forward currency contracts closed was 2,474 and 1,172, respectively.

4.	General Partner

In accordance with the Partnership Agreement, the General Partner must maintain its interest in the capital of the Fund at no less than the greater of: (i) 1% of aggregate capital contributions to the Fund by all partners (including the General Partner’s contributions) or (ii) $25,000. At March 31, 2011 and December 31, 2010, the General Partner had an investment of 4,806.7772 units valued at $612,049 and $609,812, respectively. The General Partner shares in the profits and losses of the Fund in proportion to its respective ownership interest.

The General Partner earns the following compensation:

General Partner Management Fee – each Series of Units, other than General Partner Units, incurs a monthly fee equal to 1/12th of 1.10% of the respective series’ month-end net asset value, payable in arrears. Effective May 1, 2011, the monthly fee will equal 1/12th of 1.50% of the respective Series’ month-end net asset value, payable in arrears.

Selling Agent Fees – the General Partner charges Series A Units a monthly fee equal to 1/12th of 2.00% of the outstanding Series A Units’ month-end net asset value, payable in arrears. The General Partner pays to the selling agents an upfront fee of 2.00% of the aggregate subscription amount for the sale of Series A Units. Beginning in the 13th month, the General Partner pays the selling agents a monthly fee in arrears equal to 1/12th of 2.00% of the outstanding Series A Units’ month-end net asset value. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fee are retained by the General Partner.

Broker Dealer Servicing Fee – the General Partner charges Series A Units a monthly fee equal to 1/12th of 0.15% of the outstanding Series A Units’ month-end net asset value. The Series B Units which are not subject to a broker dealer custodial fee incur a monthly fee equal to 1/12th of 0.60% of their month-end net asset value. These fees are payable in arrears to the selling agents by the General Partner. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fee are retained by the General Partner.

Broker Dealer Custodial Fee – the General Partner charges Series B Units that are held by broker dealers who act as custodian for Series B Units for the benefit of the limited partners, a monthly fee to such broker dealers equal to 1/12th of 0.60% of the outstanding Series B Units’ month-end net asset value. These fees are payable in arrears to the selling agents by the General Partner.

5.	Trading Advisors

The Fund has an agreement with Aspect, pursuant to which the Fund incurs a management fee, payable monthly to Aspect in arrears, equal to 1/12th of 2% of the Fund’s trading level (as defined in the advisory agreement) and an incentive fee, payable quarterly in arrears, equal to 20% of new trading profits (as defined in the advisory agreement). The Fund’s trading level is currently expected to be approximately 1.2 times the normal trading level of Aspect’s Trading Program.

Effective May 1, 2011, when the Fund uses multiple trading advisors, the trading advisor management fees will range from 1% to 1.5% of the Fund’s trading level (as defined in the advisory agreements) and the incentive fees will equal 20% of new trading profits (as defined in the advisory agreements).

6.	Deposits with Brokers

To meet margin requirements, the Fund deposits funds with its brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with its brokers. At March 31, 2011 and December 31, 2010, the Fund had margin requirements of $7,847,091 and $6,567,566.

7.	Administrative and Offering Expenses

The Fund reimburses the General Partner for actual monthly administrative expenses paid to various third-party service providers, including the General Partner, up to 1/12th of 0.95% of the Fund’s month-end net asset value, payable in arrears. Actual administrative expenses may vary; however, such administrative expenses will not exceed 0.95% of the Fund’s month-end net asset value per annum. The administrative expenses include legal, accounting, clerical and other back office related expenses related to the administration of the Fund and all other associated costs incurred by the Fund. For the three months ended March 31, 2011 and 2010, actual administrative expenses were $242,277 and $196,063, respectively. Such amounts are presented as administrative expenses in the statements of operations.

During the three months ended March 31, 2011 and 2010, the General Partner absorbed administrative expenses in excess of the 0.95% limitation of $105,794 and $115,529, respectively. Such amounts are included in administrative and offering expenses waived in the statements of operations.

At March 31, 2011 and December 31, 2010, $45,521 and $42,727, respectively, were payable to the General Partner for administrative expenses incurred on behalf of the Fund and not waived by the General Partner. Such amounts are presented as administrative expenses payable – General Partner in the statements of financial condition.

The Fund reimburses the General Partner for actual ongoing offering expenses, up to 1/12th of 0.75% of the Fund’s month-end net asset value pro rata for each Series of Units except for the General Partner and Series C Units, payable monthly in arrears. Actual ongoing offering expenses in excess of this limitation are absorbed by the General Partner. For the three months ended March 31, 2011 and 2010, actual offering expenses were $123,382 and $74,249, respectively. Such amounts are presented as offering expenses in the statements of operations.

During the three months ended March 31, 2011 and 2010, the General Partner absorbed offering expenses in excess of the 0.75% limitation of $16,780 and $11,486, respectively. Such amounts are included in administrative and offering expenses waived in the statements of operations. At March 31, 2011 and December 31, 2010, $35,990 and $33,639, respectively, were payable to the General Partner for offering expenses incurred on behalf of the Fund and not waived by the General Partner. Such amounts are presented as offering expenses payable – General Partner in the statements of financial condition.

8.	Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000. Units are sold at the net asset value per Series A, B and I Units as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At March 31, 2011 and December 31, 2010, the Fund received advance subscriptions of $2,737,154 and $2,536,859, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to month-end.

The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Series A, B and I Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner and in certain circumstances, restrictions in the partnership agreement.

Series A Units redeemed prior to the first anniversary of the subscription date are subject to a redemption fee equal to the product of (i) 2.00% of the subscription price for such Series A Units on the subscription date, divided by twelve (ii) multiplied by the number of months remaining before the first anniversary of the subscription date. Series B, C and I Units are not subject to the redemption fee. For the three months ended March 31, 2011 and 2010, these redemption fees were negligible.

The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with any applicable government or self-regulatory agency regulations. Limited partners will not be required to pay any redemption fees if such limited partners are subject to a mandatory redemption of their Units within the first year of purchase.

9.	Trading Activities and Related Risks

The Fund engages in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the fund to both market risk, the risk arising from a change in the fair value of a contract and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Purchase and sale of futures contracts requires margin deposits with futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses Newedge USA, LLC as its futures broker and Newedge Group (UK Branch) as its forward currency counterparty.

For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

In addition to market risk, upon entering into commodity interest contracts there is a credit risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.

Effective April 2011, the Fund engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Cash Managers will manage the Fund’s cash and excess margin through investments in short term, fixed income securities, pursuant to investment parameters established by the General Partner. The Fund’s objective in retaining the Cash Managers to provide cash management services is to enhance the return on its assets not required to be held by the Fund’s brokers to support the Fund’s trading. There is no guarantee that the Cash Managers will achieve returns for the Fund, net of fees payable to the Cash Managers, in excess of the returns previously achieved through the General Partner’s efforts and/or available through the Fund’s brokers, or that the Cash Managers will avoid a loss of principal on amounts placed under their management.

The Fund uses UBS as its cash management securities broker for the investment of a portion of the Fund’s excess margin amounts into short-term fixed income instruments including commercial paper, U.S. Treasury securities and U.S. government sponsored enterprise notes with maturities of less than one year. Fluctuations in prevailing interest rates could cause immaterial mark-to-market losses on the Fund’s fixed income instruments, although substantially all of the short-term investments are held to maturity.

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The limited partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain circumstances, distributions and redemptions received.

10.	Indemnifications

In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications.

11.	Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, at March 31, 2011, the statements of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2011 and 2010, and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 2011, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2011 and 2010. The results of operations for the three months ended March 31, 2011 and 2010 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

12.	Financial Highlights

The following information presents per Unit operating performance results and other supplemental financial ratios for the three months ended March 31, 2011 and 2010. This information has been derived from information presented in the financial statements for limited partner Units and assumes that a Unit is outstanding throughout the entire period:

	Three Months Ended March 31, 2011									Three Months Ended March 31, 2010
	Series A Units			Series B Units			Series I Units			Series A Units			Series B Units			Series I Units
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	96.61		$	105.77		$	121.80		$	85.66		$	92.33		$	105.68
Income (loss) from operations
Gain from trading (1)		1.15			1.22			1.41			3.96			4.28			4.89
Net investment loss (1)		(1.77	)		(1.48	)		(1.53	)		(1.60	)		(1.37	)		(1.39	)
Total income (loss) from operations		(0.62	)		(0.26	)		(0.12	)		2.36			2.91			3.50
Net asset value per Unit at end of period	$	95.99		$	105.51		$	121.68		$	88.02		$	95.24		$	109.18

Total return (5)		(0.64	)%		(0.25	)%		(0.10	)%		2.75	%		3.15	%		3.30	%

Other Financial Ratios
Ratios to average net asset value
Expenses (2) (3) (4)	7.64	%	5.90	%	5.31	%	7.61	%	6.03	%	5.36	%
Net investment loss (2) (3) (4)	(7.34	)%	(5.61	)%	(5.01	)%	(7.52	)%	(5.94	)%	(5.27	)%

Total returns are calculated based on the change in value of a Series A, Series B or Series I Units during the period. An individual limited partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.

(1)	The net investment loss per Unit is calculated by dividing the net investment loss by the average number of Series A, Series B or Series I Units outstanding during the period. Gain from trading is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per Unit information. Such balancing amount may differ from the calculation of gain from trading per Unit due to the timing of trading gains and losses during the period relative to the number of Units outstanding.

(2)	All of the ratios under other financial ratios are computed net of involuntary waivers of administrative and offering expenses. For the three months ended March 31, 2011 and 2010, the ratios are net of 0.75% and 1.41% effect of waived administrative expenses, respectively. For the three months ended March 31, 2011 and 2010, the ratios are net of 0.12% and 0.14% effect of waived offering expenses, respectively.

(3)	The net investment loss includes interest income and excludes realized and unrealized gain (loss) from trading activities as shown on the statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net trading gain (loss) on the statements of operations. The resulting amount is divided by the average net asset value for the period.

(4)	Ratios have been annualized.

(5)	Ratios have not been annualized.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Introduction

Using professional trading advisors, the Fund engages in the speculative trading of futures contracts, forward currency contracts and other financial instruments. The Fund primarily trades futures contracts within six major market sectors: stock indices, currencies, interest rate instruments, energy products, metals and agricultural commodities.

The Trading Advisors

Effective May 1, 2011, the Fund will no longer allocate its assets to a single trading advisor. Rather, the Fund will allocate its assets among its current trading advisor, Aspect, as well as two additional trading advisors, Estlander & Partners Ltd (“EP”) and Blackwater Capital Management, LLC (“Blackwater,” and together with Aspect and EP, the “Trading Advisors”). It is anticipated that the Fund will initially delegate trading discretion over one third of the Fund’s assets to each of the Trading Advisors, however, such allocations may be altered at any time in the sole discretion of the General Partner.

Aspect currently trades the Fund’s assets at approximately 1.2 times the normal trading level utilized by Aspect in its Diversified Program. From and after the May 1, 2011, the General Partner may cause any of the Trading Advisors to trade the Fund’s assets allocated to them at a range of approximately 0.9-1.5 times the trading level normally utilized by each Trading Advisor employing the trading program that will be traded on behalf of the Fund. The General Partner currently anticipates the trading level for each Trading Advisor to be approximately 1.2 times the trading level normally utilized by each Trading Advisor.

However, such trading levels are merely estimates and may be altered in respect of one or more Trading Advisors in the sole discretion of the General Partner. Thus, the Fund could experience either greater or less volatility and greater or less brokerage commission expenses relative to the Fund prior to May 1, 2011 and to clients who invest at the normal trading level of the Aspect Diversified Program depending on the amount of leverage utilized.

Cash Management

The Fund’s objective in retaining the Cash Managers to provide cash management services is to enhance the return on its assets not required to be held by the Fund’s brokers to support the Fund’s trading. There is no guarantee that the Cash Managers will achieve returns for the Fund, net of fees payable to the Cash Managers, in excess of the returns previously achieved through the General Partner’s efforts and/or available through the Fund’s brokers, or that the Cash Managers will avoid a loss of principal on amounts placed under their management.

Liquidity

Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the margin initially committed to such trades. Additionally, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid.

Redemptions may be made by a limited partner as of the last business day of any month at the net asset value on such redemption date of the redeemed Units (or portion thereof) on that date, on five business days’ prior written notice to the General Partner. Partial redemptions must be for at least $1,000, unless such requirement is waived by the General Partner. In addition, the limited partner, if making a partial redemption, must maintain at least $10,000 or his original investment amount, whichever is less, in the Fund unless such requirement is waived by the General Partner.

At March 31, 2011, there are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

Capital Resources

The Fund intends to raise additional capital only through the sale of Units and does not intend to raise capital through borrowing. Due to the nature of the Fund’s business, the Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investment in futures contracts and other financial instruments in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future capital inflows and outflows related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.

Results of Operations

The returns for Series A, B, and I Units for the three months ended March 31, 2011 and 2010 were:

Series of Units	2011			2010
Series A		(0.64	)%		2.75	%
Series B		(0.25	)%		3.15	%
Series I		(0.10	)%		3.30	%

Past performance is not necessarily indicative of future results. Further analysis of the trading gains and losses is provided below.

2011

January

For the month, the Fund’s Series A, B and I Units were down 1.83%, 1.70% and 1.65%, respectively. There were two main themes that drove the markets during the month: civil unrest in North Africa and increased concerns about inflation. The Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent its economy from overheating. Meanwhile, in Europe, ECB President Jean-Claude Trichet signaled a potential for interest rate increases in the Eurozone after inflation data exceeded forecasts. The Fund incurred losses from the short positions in Australian instruments as the severe flooding saw prices rally on safe haven demand. In commodities, the main losses came from silver and gold which were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger economic news during the month. By contrast, the energies sector was the month’s best performer. Concerns about the Egyptian crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the Fund’s long positions across the oils complex. In agriculturals, the Fund’s long positions continued to generate positive performance as prices in grains and softs moved upwards, further fueling the inflation debate.

February

For the month, the Fund’s Series A, B and I Units were up 2.81%, 2.95% and 3.00%, respectively. Following robust economic and earnings data, global stock markets rose at the start of the month with the S&P 500 pushing above the 1,300 level and doubling the low achieved in March 2009. However, tension in North Africa and the Middle East increased towards the end of the month, causing the oil price to soar. The Fund made gains from its long positions in oil and its products, making energies the top sector for the month. In response to the geopolitical concerns, stock markets sold off and the Fund gave back some of its earlier profits from stock indices. Metals prices generally increased during the month. Some industrial metals rose due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver hitting a 30-year high. Gains were partly offset by losses from the fixed income sectors. Bonds rallied amid the flight to safety, to the detriment of the Fund’s short positions in the sector. Commodity-linked currencies found support as the political turmoil boosted raw materials prices. Profits were also seen from the Fund’s net short exposure to the US dollar as it lost ground against several currencies including Sterling, which was supported by speculation that the Bank of England may raise interest rates earlier than the U.S. Federal Reserve.

March

For the month, the Fund’s Series A, B and I Units were down 1.56%, 1.43% and 1.38%, respectively. The month began positively with long positions in the energy sector making gains as the Libyan turmoil continued. However, sentiment turned bearish following European sovereign downgrades and weak Chinese trade and inflation data. On the 11th, the worst earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the Fund’s long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe on worries about the implications for global growth. In response to these events, positions in the portfolio were systematically reduced. Agricultural markets also sold off to the detriment of the Fund’s long positions. Signs that the political turmoil in Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs. Strong US economic data released later in the month enabled the Fund to recoup some of its earlier losses from stock indices and commodities. Expectations of an interest rate increase by the European Central Bank resulted in the Euro strengthening against the US dollar, to the benefit of the Fund. These expectations also resulted in gains from the Fund’s short position in Euribor, which were partly offset by losses from long exposure to Eurodollar after the U.S. Federal Reserve announced that they would begin unwinding some stimulus measures.

2010

January

The Fund’s Series A, B and I Units were down 3.61%, 3.49% and 3.44%, respectively, for the month of January 2010. After positive performance in the first two weeks of the year, a reversal in investor risk appetite resulted in a loss for the calendar month. The change in sentiment was driven, in part, by disappointing earnings announcements and fears over potential monetary tightening in China as the People’s Bank of China increased banks’ reserve requirements and introduced measures aimed at curbing lending. As a result, the Fund’s long positions in stock indices and the net short exposure to the U.S. dollar saw losses. Long positions in fixed income markets benefited from the move toward risk aversion, some UK data and comments by both the Bank of England and the ECB. In addition, the strengthening U.S. dollar and poorer growth outlook also resulted in many commodities markets selling off. This was particularly detrimental to the Fund’s long positioning in the oil complex and industrial metals. Oil prices faced additional downward pressure due to an increase in inventories and milder weather in the Unites States. In agriculturals, gains on the long exposure to sugar markets, whose price rallied due to supply concerns, more than offset losses on long positions in the soy complex and cotton.

February

The Fund’s Series A, B and I Units ended the month of February up 2.44%, 2.57% and 2.63%, respectively. The month of February was, to a large degree, dominated by news relating to the debt crisis within the Euro area. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant over the calendar month. As a result, the Fund saw profits from long positions in both short-term interest rate futures contracts and some bond markets. Positive performance was also seen in other sectors with long positions in energy contracts benefiting from the further upward move in prices during the middle of the month and the weakness of the EU euro and British pound providing opportunity for profits in the currencies sector. Smaller positive contributions were seen from small long exposures in both stock indices and metals; the price action in each of these sectors were similar as a sell-off at the beginning of the month was followed by a recovery during the remainder of the month as risk aversion fears dominated. The largest negative performance was seen in agricultural commodities. The longer-term bull market in sugar reversed sharply from multi-year highs as output in both Brazil and India rose.

March

The Fund’s Series A, B and I Units were up 4.06%, 4.19% and 4.24%, respectively, for the month of March 2010. Data pointing to economic recovery drove the prices of risky assets higher, despite some continued concerns about European sovereign debt mid-month. Consequently, global stock markets rallied, producing good profits for the Fund, and bond markets sold off. Japanese Government Bonds were the Fund’s worst performer. In currencies, emerging market and commodity currencies strengthened against the U.S. dollar to the benefit of the Fund’s positioning, while European interest rate markets were buoyed by concerns over Greece and poor economic data out of the UK Commodities markets generally followed the direction of stock markets and finished the month higher. In energies, this resulted in positive performance on long positions in the oil complex, but the Fund also profited on the short side from the decline in the natural gas price following milder weather in the U.S. and a build-up in inventories. In agricultural commodities, positive performance on short positions in corn and wheat was offset by losses in sugar and coffee. The sugar losses were incurred early in the month when prices fell to 11-week lows as the supply outlook improved. Good profits were seen in industrial metals, especially nickel which reached 22-month highs.

Off-Balance Sheet Risk

The term off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts, and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the Trading Advisor was unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner attempts to decrease market risk through maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most non-U.S. exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty risk. The General Partner uses only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund uses U.S. Treasury securities, government sponsored enterprise notes and commercial paper with maturities of less than one year. Commercial paper is an unsecured, short-term debt instrument issued by a corporation with maturities rarely longer than 270 days. Commercial paper is not usually backed by any form of collateral, therefore only commercial paper issued by firms with high-quality debt ratings will be used.

Significant Accounting Estimates

A summary of the Fund’s significant accounting policies are included in Note 1 to the Financial Statements.

The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, and fixed-income investments. The majority of the Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based quoted market prices for identical shares. U.S. Treasury securities, which are stated at amortized cost plus accrued interest, approximate fair value based on quoted market prices for identical assets in an active market. Notes of U.S. government sponsored enterprises and commercial paper, which are stated at cost plus accrued interest, approximate fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Not required.

Item 4: Controls and Procedures

The General Partner of the Fund, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2011 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

There has been no change in internal control over financial reporting that occurred during the three months ended March 31, 2011 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Part II: Other Information

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

Not required.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

There were no sales of unregistered securities of the Fund during the three months ended March 31, 2011. Under the Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended March 31, 2011 were as follows:

	Jan		Feb		Mar		Total
A Units
Units redeemed		299.5599		1,292.0035		987.7377		2,579.3011
Average net asset value per Unit	$	94.84	$	97.51	$	95.99	$	96.62

B Units
Units redeemed		—		868.2291		740.8112		1,609.0403
Average net asset value per Unit		—	$	107.04	$	105.51	$	106.34

I Units
Units redeemed		1,401.6392		604.2405		1,870.4371		3,876.3168
Average net asset value per Unit	$	119.79	$	123.39	$	121.68	$	121.26

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. [Removed and Reserved]

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith or incorporated by reference.

Exhibit No.		Description of Exhibit
1.1(c)		Form of Selling Agreement
4.1(d)		Limited Partnership Agreement
4.2(e)		Amended and Restated Limited Partnership Agreement
4.3(f)		Form of Third Amended and Restated Limited Partnership Agreement of the Registrant (included in the Prospectus as Exhibit D)
10.1(c)		Form of Amended and Restated Advisory Agreement between the Fund and the Trading Advisor
10.1.1(d)		Form of Second Amended and Restated Advisory Agreement between the Fund and the Trading Advisor
10.2(a)		Form of Commodity Brokerage Agreement between the Fund and Newedge
10.3(b)		Form of Corporate Cash Management Account Agreement between the Fund and UBS
10.4(f)		Form of Subscription Agreement (included in the Prospectus as Exhibit B)
10.5(f)		Third Amended and Restated Trading Advisory Agreement with Aspect Capital Ltd.
10.6(f)		Trading Advisory Agreement with Estlander & Partners Ltd.
10.7(f)		Trading Advisory Agreement with Blackwater Capital Management, L.L.C.
31.01		Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02		Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01		Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02		Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002

(a)

Previously filed as an exhibit to Pre-Effective Amendment No. 2 to the Registration Statement on Form S-1 (SEC File No.: 333- 148049) on April 8, 2008 and incorporated herein by reference.

(b)

Previously filed as an exhibit to Pre-Effective Amendment No. 1 to the Registration Statement on Form S-1 (SEC File No.: 333-148049) on February 14, 2008 and incorporated herein by reference.

(c)

Previously filed as an exhibit to Pre-Effective Amendment No. 3 to the Registration Statement on Form S-1 (SEC File No.: 333-148049) on May 23, 2008 and incorporated herein by reference.

(d)

Previously filed as an exhibit to Pre-Effective Amendment No. 4 to the Registration Statement on Form S-1 (SEC File No.: 333-148049) on August 7, 2008 and incorporated herein by reference.

(e)

Previously filed as an exhibit to the Form 10-K filed on March 31, 2009 and incorporated herein by reference.

(f)

Previously filed as an exhibit to Post-Effective Amendment No. 3 to the Registration Statement on form S-1 (SEC File No.: 333-148049) on April 19, 2011and incorporated herein by reference.

SIGNATURES

Pursuant to the requirements of the U.S. Securities Exchange Act of 1934, the registrant has caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Date: May 13, 2011	SENECA GLOBAL FUND, L.P.

	By:	Steben & Company, Inc.
		General Partner

	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner
		(Principal Executive Officer)

	By:	/s/ Carl A. Serger
	Name:	Carl A. Serger
	Title:	Chief Financial Officer and Director of the General Partner
		(Principal Financial and Accounting Officer)

Attached files

SENECA GLOBAL FUND, L.P. Reports

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