SAGE FUND LP - FORM 10-Q

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EX-31.02 - SAGE FUND LP	v222212_ex31-02.htm
EX-32.01 - SAGE FUND LP	v222212_ex32-01.htm
EX-31.01 - SAGE FUND LP	v222212_ex31-01.htm
EX-32.02 - SAGE FUND LP	v222212_ex32-02.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: 000-53639

SAGE FUND LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1937296

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 [ ]

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 [ ]

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 definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

[ ] Large accelerated filer	[ ] Accelerated filer
[ ] 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 [ ] No [ X ]

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Sage Fund Limited Partnership

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	$	14,069,734	$	21,054,325
Net unrealized gain on open futures contracts		146,516		4,619,366
Interest receivable		-		5,265
Total equity in broker trading accounts		14,216,250		25,678,956
Cash and cash equivalents		55,094,654		52,810,375
General Partner 1% allocation receivable		122,395		-
Total assets	$	69,433,299	$	78,489,331

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fee payable	$	55,925	$	64,642
Trading Advisor incentive fee payable		-		1,684
Commissions and other trading fees payable on open contracts		11,220		16,047
General Partner management fee payable		61,564		70,774
General Partner 1% allocation payable		-		56,532
Selling Agent fees payable - General Partner		167,902		193,019
Administrative expenses payable - General Partner		37,251		44,012
Redemptions payable		765,009		424,209
Subscriptions received in advance		2,072,303		1,141,953
Total liabilities		3,171,174		2,012,872
Partners’ Capital (Net Asset Value)
Class A Interests – 28,686.9486 units and 27,991.7912 units outstanding
at March 31, 2011 and December 31, 2010, respectively		66,262,125		76,476,459
Total liabilities and partners' capital (net asset value)	$	69,433,299	$	78,489,331

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

Sage Fund Limited Partnership

Condensed Schedule of Investments

March 31, 2011

(Unaudited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Long U.S. Futures Contracts
	Agricultural	$	262,634			0.40	%
	Currency		130,370			0.20	%
	Energy		305,284			0.46	%
	Interest rate		(113,206	)		(0.17	)%
	Metal		(56,982	)		(0.09	)%
	Stock index		270,586			0.41	%
	Net unrealized gain on open long U.S. futures contracts		798,686			1.21	%

Short U.S. Futures Contracts
	Agricultural		(254,521	)		(0.38	)%
	Currency		(35,204	)		(0.05	)%
	Energy		(154,083	)		(0.23	)%
	Interest rate		(40,453	)		(0.06	)%
	Metal (1)		(683,867	)		(1.03	)%
	Stock index		(47,700	)		(0.07	)%
	Net unrealized loss on open short U.S. futures contracts		(1,215,828	)		(1.82	)%

	Total U.S. Futures Contracts Net unrealized loss on open U.S. futures contracts		(417,142	)		(0.61	)%

Long Foreign Futures Contracts
	Agricultural		(43,856	)		(0.07	)%
	Currency		418,764			0.63	%
	Energy		131,754			0.20	%
	Interest rate		(77,790	)		(0.12	)%
	Metal		42,667			0.06	%
	Stock index		104,931			0.16	%
	Net unrealized gain on open long foreign futures contracts		576,470			0.86	%

Short Foreign Futures Contracts
	Agricultural		(20,365	)		(0.03	)%
	Currency		316,944			0.48	%
	Interest rate		297,734			0.45	%
	Metal		(20,985	)		(0.03	)%
	Stock index		(586,140	)		(0.88	)%
	Net unrealized loss on open short foreign futures contracts		(12,812	)		(0.01	)%

	Total Foreign Futures Contracts Net unrealized gain on open foreign futures contracts		563,658			0.85	%

	Net unrealized gain on open futures contracts	$	146,516			0.24	%

(1) No individual futures 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.

Sage Fund Limited Partnership

Condensed Schedule of Investments

December 31, 2010

(Audited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Long U.S. Futures Contracts
	Agricultural (1)	$	1,268,992			1.66	%
	Currency		458,322			0.60	%
	Energy		608,067			0.80	%
	Interest rate		188,147			0.25	%
	Metal
	LME Copper U.S. (54 contracts, Jan 2011 – Apr 2011)		1,121,063			1.47	%
	Other (1)		1,659,779			2.17	%
	Stock index		12,632			0.02	%
	Net unrealized gain on open long U.S. futures contracts		5,317,002			6.97	%

Short U.S. Futures Contracts
	Agricultural		(183,030	)		(0.24	)%
	Currency		(281,316	)		(0.37	)%
	Energy (1)		(1,150,945	)		(1.50	)%
	Interest rate		(59,969	)		(0.08	)%
	Metal
	LME Zinc U.S. (122 contracts, Jan 2011 – Apr 2011)		(898,888	)		(1.18	)%
	Other (1)		(1,849,621	)		(2.42	)%
	Stock index		1,800			0.00	%
	Net unrealized loss on open short U.S. futures contracts		(4,421,969	)		(5.79	)%

	Total U.S. Futures Contracts Net unrealized gain on open U.S. futures contracts		895,033			1.18	%

Long Foreign Futures Contracts
	Agricultural		384,170			0.50	%
	Currency		158,179			0.21	%
	Energy		311,379			0.41	%
	Interest rate		27,862			0.04	%
	Metal		96,460			0.13	%
	Stock index		(48,932	)		(0.06	)%
	Net unrealized gain on open long foreign futures contracts		929,118			1.23	%

Short Foreign Futures Contracts
	Agricultural		(65,886	)		(0.09	)%
	Currency (1)		3,036,326			3.97	%
	Interest rate		(225,376	)		(0.29	)%
	Stock index		50,151			0.07	%
	Net unrealized gain on open short foreign futures contracts		2,795,215			3.66	%

	Total Foreign Futures Contracts Net unrealized gain on open foreign futures contracts		3,724,333			4.89	%

	Net unrealized gain on open futures contracts	$	4,619,366			6.07	%

(1) No individual futures 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.

Sage Fund Limited Partnership

Statements of Operations

For the Three Months Ended March 31, 2011 and 2010

(Unaudited)

	Three Months Ended March 31,
	2011			2010
Trading Gain (Loss)
Net realized gain (loss)	$	(6,726,654	)	$	1,707,435
Net change in unrealized gain (loss)		(4,472,850	)		720,631
Brokerage commissions and trading expenses		(74,903	)		(31,496	)
Net gain (loss) from trading		(11,274,407	)		2,396,570

Income
Interest income		64,482			27,942
Expenses
Trading Advisor management fee		176,179			183,795
Selling Agent fees – General Partner		527,725			551,452
Administrative expenses – General Partner		300,735			251,755
General Partner management fee		193,499			202,199
General Partner 1% allocation		(122,395	)		13,489
Total expenses		1,075,743			1,202,690
Administrative expenses waived		(168,515	)		(113,627	)
Net total expenses		907,228			1,089,063
Net investment loss		(842,746	)		(1,061,121	)
Net Income (Loss)	$	(12,117,153	)	$	1,335,449

	Three Months Ended March 31,
	2011			2010
Increase (decrease) in net asset value per Unit	$	(422.26	)	$	45.19

Net income (loss) per Unit	$	(428.33	)	$	46.25
(based on weighted average number of units outstanding during the period)

Weighted average number of Units outstanding		28,289.4984			28,876.1688

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

Sage Fund Limited Partnership

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)	$	(12,117,153	)	$	1,335,449
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss		4,472,850			(720,631	)
Changes in
Interest receivable		5,265			(2,880	)
Government sponsored enterprise notes		-			8,075,134
Trading Advisor management fee payable		(8,717	)		336
Trading Advisor incentive fee payable		(1,684	)		-
Commissions and other trading fees payable on open contracts		(4,827	)		1,271
General Partner management fee payable		(9,210	)		2,193
General Partner 1% allocation receivable/payable		(178,927	)		95,153
Selling Agent fees payable – General Partner		(25,117	)		5,983
Administrative expenses payable – General Partner		(6,761	)		(127	)
Net cash provided by (used in) operating activities		(7,874,281	)		8,791,881

Cash flows from financing activities
Subscriptions		2,292,864			1,425,477
Subscriptions received in advance		2,072,303			183,019
Redemptions		(1,191,198	)		(1,194,754	)
Net cash provided by financing activities		3,173,969			413,742

Net increase (decrease) in cash and cash equivalents		(4,700,312	)		9,205,623
Cash and cash equivalents, beginning of period		73,864,700			62,332,730
Cash and cash equivalents, end of period	$	69,164,388		$	71,538,353

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	14,069,734		$	16,988,951
Cash and cash equivalents		55,094,654			54,549,402
Total end of period cash and cash equivalents	$	69,164,388		$	71,538,353

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	424,209		$	199,956
Prior period subscriptions received in advance	$	1,141,953		$	767,147

Supplemental schedule of non-cash financing activities
Redemptions payable	$	765,009		$	1,109,247

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

Sage Fund Limited Partnership

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

For the Three Months Ended March 31, 2011 and 2010

(Unaudited)

	Units			Amount
Three Months Ended March 31, 2011
Balance at December 31, 2010		27,991.7912		$	76,476,459
Net loss					(12,117,153	)
Subscriptions		1,329.6685			3,434,817
Redemptions		(634.5111	)		(1,531,998	)
Balance at March 31, 2011		28,686.9486		$	66,262,125

Three Months Ended March 31, 2010
Balance at December 31, 2009		28,805.7820		$	73,049,616
Net income					1,335,449
Subscriptions		877.8792			2,192,624
Redemptions		(830.5567	)		(2,104,045	)
Balance at March 31, 2010		28,853.1045		$	74,473,644

	Net Asset Value Per Unit

March 31, 2011	$	2,309.84
December 31, 2010	$	2,732.10
March 31, 2010	$	2,581.13
December 31, 2009	$	2,535.94

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

Sage Fund Limited Partnership

Notes to Financial Statements

(Unaudited)

1.	Organization and Summary of Significant Accounting Policies

Description of the Fund

Sage Fund Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced operations on August 2, 1995. The Fund issues Class A units of limited partner interests (“Units”), which represent Units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Second Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

The Fund uses a commodity trading advisor to engage in the speculative trading of futures contracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund primarily trades futures contracts within six major market sectors: interest rates, equity indices, energy products, currencies, metals and agricultural commodities.

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to 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 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 Financial Industry Regulatory Authority (“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.

Steben & Company, Inc. (“General Partner”), is the general partner of the Fund and a Maryland corporation registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. 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.

Altis Partners (Jersey) Ltd. (“Trading Advisor”) is the sole trading advisor for the Fund. The Trading Advisor uses the Altis Global Futures Portfolio (“Trading Program”), a proprietary, systematic trading system that deploys multiple trading strategies utilizing derivatives that seek to identify and exploit directional moves in market behavior to a broad and diversified range of global markets.

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 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 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, corporate notes, 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.

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.

Investments in money market funds, 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.

Cash and Cash Equivalents

Cash and cash equivalents may include cash, money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal 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 challenged” or “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. With few exceptions, the Fund is no longer subject to U.S. or state and local income tax examinations by tax authorities for years before 2007.

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 statements of operations.

Reclassification

Certain reclassifications have been made in the 2010 financial statements and notes 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
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	146,516
Cash and cash equivalents:
Money market fund		8,672
Total	$	155,188

*See the condensed schedule of investments for further description.

At December 31, 2010
	Level 1
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	4,619,366
Cash and cash equivalents:
Money market fund		8,669
Total	$	4,628,035

*See the condensed schedule of investments for further description.

There were no Level 2 or 3 holdings at March 31, 2011 or December 31, 2010, and no Level 3 holdings 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 future contracts, none of which are designated as hedging instruments. At March 31, 2011 and December 31, 2010, the Fund’s derivative contracts had the following impact on the statements of financial condition:

March 31, 2011	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Net unrealized gain on open futures contracts
Agricultural	$	542,203	$	(598,311	)	$	(56,108	)
Currency		1,346,735		(515,861	)		830,874
Energy		464,435		(181,480	)		282,955
Interest rate		445,661		(379,376	)		66,285
Metal		1,578,012		(2,297,179	)		(719,167	)
Stock index		389,108		(647,431	)		(258,323	)
Net unrealized gain on open futures contracts	$	4,766,154	$	(4,619,638	)	$	146,516

At March 31, 2011, there were 5,129 open futures contracts.

December 31, 2010	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Net unrealized gain on open futures contracts
Agricultural	$	1,692,012	$	(287,766	)	$	1,404,246
Currency		3,856,198		(484,687	)		3,371,511
Energy		948,198		(1,179,697	)		(231,499	)
Interest rate		376,551		(445,887	)		(69,336	)
Metal		2,923,850		(2,795,057	)		128,793
Stock index		174,685		(159,034	)		15,651
Net unrealized gain on open futures contracts	$	9,971,494	$	(5,352,128	)	$	4,619,366

At December 31, 2010, there were 5,918 open futures 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:

	2011						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	$	621,966		$	(1,460,354	)	$	109,522		$	(42,398	)
Currency		(4,353,919	)		(2,540,637	)		1,761,195			(228,569	)
Energy		(417,824	)		514,454			(1,396,281	)		2,066,965
Interest rate		(453,410	)		135,621			572,878			428,435
Metal		(699,678	)		(847,960	)		725,405			(1,334,442	)
Stock index		(1,400,137	)		(273,974	)		(62,224	)		(169,360	)
Total futures contracts	$	(6,703,002	)	$	(4,472,850	)	$	1,710,495		$	720,631

For the three months ended March 31, 2011 and 2010, the number of futures contracts closed was 14,894 and 4,936, respectively.

4.	General Partner

At March 31, 2011 and December 31, 2010, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. During 2010, the beneficiary of the sole shareholder of the General Partner redeemed his investment of 21.5210 Units.

The General Partner earns the following compensation:

General Partner management fee – the Fund incurs a monthly fee equal to 1/12th of 1.10% of the Fund’s month-end net asset value, payable in arrears.

Selling Agent fees – the Fund incurs a monthly fee equal to 1/12th of 3.00% of the Fund’s month-end net asset value, payable in arrears. The General Partner, in turn, pays selling agent fees to the respective selling agents. If selling agent fees are not paid to the selling agents, or if the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations.

5.	Trading Advisor

The Fund has an agreement with the Trading Advisor, pursuant to which the Fund incurs a management fee, payable monthly in arrears, equal to 1/12th of 1% of allocated net assets (as defined in the advisory agreement) and an incentive fee, payable quarterly in arrears, equal to 25% of new trading profits (as defined in the advisory agreement).

6.	Deposits with Brokers

To meet margin requirements, the Fund deposits funds with its futures broker, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with the broker. At March 31, 2011 and December 31, 2010, the Fund had margin requirements of $9,907,578 and $12,546,070, respectively.

7.	Administrative 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 0.75% of the Fund’s month-end net asset value, payable in arrears. Administrative expenses include accounting, audit, legal, salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund; such as, salaries and commissions of General Partner marketing personnel, administrative employee salaries and related costs. Pursuant to the terms of the Partnership Agreement, administrative expenses that exceed 1% of the average month-end net asset value are the responsibility of the General Partner.

For the three months ended March 31, 2011 and 2010, actual administrative expenses exceeded the 1% administrative expense limitation of average month-end net asset value of the Fund by $124,442 and $67,584, respectively. Such amounts were included in Administrative expenses waived in the statements of operations.

Additionally, during the three months ended March 31, 2011 and 2010, the General Partner voluntarily waived $44,073 and $46,043, respectively, of administrative expenses of the Fund. Such amounts were included in Administrative expenses waived in the statements of operations.

At March 31, 2011 and December 31, 2010, $37,251 and $44,012, respectively, were payable to the General Partner for 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.

8.	Subscriptions, Distributions and Redemptions

Generally, 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 Unit 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 $2,072,303 and $1,141,953, 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 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.

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 applicable government or self-regulatory organization regulations.

9.	Trading Activities and Related Risks

The Fund engages in the speculative trading of futures contracts in the U.S. and internationally. Trading futures contracts 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 the total cash and other property deposited. The Fund utilizes Newedge USA, LLC as its futures broker.

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 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. 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 utilizes UBS as its cash management securities broker for the investment of some excess margin amounts into short-term fixed income instruments including commercial paper, U.S. Treasury securities and U.S. government sponsored enterprise notes with durations of less than one year.

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 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 specific 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 31, 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 data and other financial ratios for the three months ended March 31, 2011 and 2010, assuming the Unit was outstanding throughout the entire period:

	2011			2010
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	2,732.10		$	2,535.94
Income (loss) from operations
Gain (loss) from trading (1)		(392.47	)		81.94
Net investment loss (1)		(29.79	)		(36.75	)
Total income (loss) from operations		(422.26	)		45.19

Net asset value per Unit at end of period	$	2,309.84		$	2,581.13

Total return (5)		(15.46	)%		1.78	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation (2) (3) (4)		5.77	%		5.92	%
General Partner 1% allocation (5)		(0.17	)%		0.02	%
Total expenses		5.60	%		5.94	%

Net investment loss (2) (3) (4) (6)		(5.41	)%		(5.76	)%

Total returns are calculated based on the change in value of a Unit during the period. An individual 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 Units outstanding during the period. Gain (loss) 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 (loss) 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 for Units are computed net of voluntary and involuntary waivers of administrative expenses. For the three months ended March 31, 2011 and 2010, the ratios are net of 0.94% and 0.63%, respectively, of average net asset value relating to the waivers of administrative expenses. Both the nature and the amounts of the waivers are more fully explained in Note 7.

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

(6) Ratio excludes General Partner 1% allocation.

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

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

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 any capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. 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 investments in futures contracts, forward currency 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 Units for the three months ended March 31, 2011 and 2010 were (15.46)% and 1.78%, respectively. Past performance is not necessarily indicative of future results. Further analysis of the trading gains and losses is provided below.

2011

January

The Fund finished 7.04% lower this month as losses from foreign currencies, equity indices and metals offset profits from agricultural commodities, energy and interest rate instruments. The most significant losses came from the Fund’s positions in international currencies as several foreign exchange prices reversed direction in response to positive economic news in both the US and Europe. Cross-currency trades in several markets, including the British pound/Japanese yen, euro/Australian dollar, and British pound/ Australian dollar all reversed and moved against the Fund’s positions during the month. In agricultural commodities, rising prices in cotton, corn and sugar contributed additional profits. In other sectors, results were mixed leading to flat performance in metals, interest rate instruments, energy and equity indices.

February

The Fund finished 0.83% lower this month as losses from foreign currencies, interest rate instruments, equity indices and metals offset profits from agricultural commodities and energy. The most significant losses came from the Fund’s positions in international currencies as several foreign exchange prices reversed direction from previous trends in both Europe and Japan. The most significant profits came from the Fund’s positions in energy as tensions in the Middle East, and especially in Libya, pushed oil prices higher benefiting the Funds’ long positions in that sector. In agricultural commodities, rising prices in cotton, corn and sugar contributed additional profits. In other sectors, results were mixed leading to flat performance in metals, interest rate instruments and equity indices. For the year the Fund was down 7.81% and for the last 12 months it was up 1.35%.

March

The Fund finished 8.29% lower this month with losses in agricultural commodities, energy, metals, and currencies offsetting profits from interest rate instruments. The most significant losses came from the agricultural commodities sector where prices in many cases fell sharply early in the month. Corn futures prices fell over 10% moving against the Fund’s long positions. Events in Japan and Libya sent energy prices significantly higher. The higher energy prices benefited the Fund’s long positions in that sector but losses from long positions in natural gas offset those profits leaving a net loss for the sector. The same global events also generated reversals in global stock indices, which went against the Fund’s long positions and generated losses. Although equity prices rebounded later in the month it wasn’t enough to offset the earlier losses. Prices in interest rate instruments were mixed this month with losses offsetting profits in that sector. For the year the Fund was down 15.46% and for the last 12 months it was down 10.51%.

2010

January

The Fund ended the month 2.57% lower as losses from global equity indices, energy, and metals offset profits from interest rate instruments, agricultural commodities and currencies. The Fund’s most significant losses came from global equity indices. The sector reversed from an upward trend that began in March of 2009. The stock market experienced a sharp sell-off after investors reacted to the growing concern of weaker global economic growth and the U.S. administration’s announcement to limit speculative trading by banks. The reversal in equity prices went against the Fund’s long positions, which generated losses. China announced it was taking steps to limit bank lending in order to moderate its own growth. The news pushed commodity prices lower, especially in energy and industrial metals. The lower prices went against the Fund’s long positions in those sectors. Interest rate instrument prices were higher this month, which helped recover some of the losses the sector generated in last month’s trading.

February

The Fund posted positive gains in February of 0.58% as profits from interest rate instruments and currencies outweighed losses from agricultural commodities and energies. The most significant gains came from short-term interest rate instrument prices, which trended higher following news of the Greek debt crisis. This news also placed downward pressure on foreign currencies, especially the EU euro and British pound. The rise in interest rate instrument prices benefited the Funds’ long positions in that sector, while falling European currencies generated profits for the Fund’s short foreign currency positions. In agricultural commodities, declining prices went against the Fund’s long positions, including sugar, corn and soybeans.

March

The Fund finished 3.87% higher this month with profits in five of the six major market sectors. The Fund’s most significant gains came from the energy and equity indices. In equity indices, many global indices, including the S&P 500, reached their highest level since the third quarter of 2008. Although equity prices experienced a brief reversal between late January and early February, the Fund’s trading systems maintained long positions and profited from the upward trend that resumed during late February and March. In the energy sector, natural gas resumed a strong downward trend that benefited the Fund’s short natural gas positions, while crude oil prices climbed which benefited the Fund’s long oil positions. In the metals sector, the base metals including nickel, copper, aluminum and zinc all profited on rising prices.

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 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, 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 General Partner was unable to offset futures interests positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to market risk, upon entering into futures contracts there is a credit risk that 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 foreign 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 credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

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 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 value of money market funds is based quoted market prices for identical shares. 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, 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 first quarter of 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 Fund’s 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 first quarter of 2011 were as follows:

	January		February		March		Total

Units redeemed		143.9412		159.3735		331.1964		634.5111
Average net asset value per Unit	$	2,539.80	$	2,518.66	$	2,309.84	$	2,414.46

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 of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1*	Form of Selling Agreement.

3.1*	Certificate of Limited Partnership of Sage Fund Limited Partnership.

3.2*	Second Amended and Restated Limited Partnership Agreement of Sage Fund Limited Partnership.

10.1*	Form of Subscription Agreement.

10.2**	Advisory Agreement by and among the Fund, the General Partner and Altis Partners (Jersey) Limited dated August 8, 2007.

10.3*	Amendment to Advisory Agreement by and among the Fund, the General Partner and Altis Partners (Jersey) Limited dated August 27, 2007.

10.4*	Futures Account Agreement dated January 21, 2001 by and among the Fund, the General Partner and Carr Futures Inc. (subsequently, Newedge USA, LLC).

10.5*	Corporate Cash Account Management Agreement dated September 25, 2007 by and among the Fund, the General Partner and UBS Financial Services, Inc.

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

*Filed with the Registrant’s Form 10 filed on April 27, 2009, and incorporated herein by reference.

**Filed with the Registrant’s Amendment No. 2 Form 10 filed on July 31, 2009, and incorporated herein by reference.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.

Dated May 13, 2011	Sage Fund Limited Partnership


	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)

SAGE FUND LP - FORM 10-Q - May 13, 2011

Attached files

SAGE FUND LP Reports