DIVERSIFIED 2000 FUTURES FUND L.P. - FORM 10-Q

Attached files

file	filename
EX-31.2 - EX-31.2 - DIVERSIFIED 2000 FUTURES FUND L.P.	y04763exv31w2.htm
EX-31.1 - EX-31.1 - DIVERSIFIED 2000 FUTURES FUND L.P.	y04763exv31w1.htm
EX-32.1 - EX-32.1 - DIVERSIFIED 2000 FUTURES FUND L.P.	y04763exv32w1.htm
EX-32.2 - EX-32.2 - DIVERSIFIED 2000 FUTURES FUND L.P.	y04763exv32w2.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2011

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 000-32599

DIVERSIFIED 2000 FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4077759


(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes No

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


Large accelerated filer		Accelerated filer		Non-accelerated filer X		Smaller reporting company

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

Yes No X

As of April 30, 2011, 39,069.7276 Limited Partnership Redeemable Units were outstanding.

DIVERSIFIED 2000 FUTURES FUND L.P.

FORM 10-Q

INDEX


			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at March 31, 2011 (unaudited) and December 31, 2010	3

		Schedules of Investments at March 31, 2011 (unaudited) and December 31, 2010	4 − 5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2011 and 2010 (unaudited)	6


		Notes to Financial Statements (unaudited)	7 − 16

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17 − 19

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	20 − 25

	Item 4.	Controls and Procedures	26

PART II - Other Information			27 − 32
Exhibits

EX–31.1 CERTIFICATION
EX–31.2 CERTIFICATION
EX–32.1 CERTIFICATION
EX–32.2 CERTIFICATION

PART I

Item 1. Financial Statements

Diversified 2000 Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) March 31,		December 31,
	2011		2010

Assets:
Investment in Funds, at fair value	$	56,573,097	$	60,378,147
Cash		179,329		152,302

Total assets	$	56,752,426	$	60,530,449

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage fees	$	255,387	$	272,388
Management fees		80,966		88,127
Incentive fees		3,225		352,348
Other		179,113		134,745
Redemptions payable		1,658,022		268,399

Total liabilities		2,176,713		1,116,007

Partners’ Capital:
General Partner, 441.6499 unit equivalents outstanding at March 31, 2011 and December 31, 2010		606,982		621,185
Limited Partners, 39,268.5671 and 41,800.7127 Redeemable Units outstanding at March 31, 2011 and December 31, 2010, respectively		53,968,731		58,793,257

Total partners’ capital		54,575,713		59,414,442

Total liabilities and partners’ capital	$	56,752,426	$	60,530,449

Net asset value per unit	$	1,374.35	$	1,406.51

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Schedule of Investments

March 31, 2011

(Unaudited)


			% of Partners’
	Fair Value		Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	11,234,460		20.59	%
CMF Graham Capital Master Fund L.P.		9,421,920		17.26
CMF SandRidge Master Fund L.P.		5,433,165		9.96
CMF Eckhardt Master Fund L.P.		10,660,281		19.53
Waypoint Master Fund L.P.		12,696,276		23.26
PGR Master Fund L.P.		7,126,995		13.06

Total investment in Funds, at fair value	$	56,573,097		103.66	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Schedule of Investments
December 31, 2010


			% of Partners’
	Fair Value		Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	12,593,732		21.19	%
CMF Graham Capital Master Fund L.P.		12,185,485		20.51
CMF SandRidge Master Fund L.P.		8,175,283		13.76
CMF Eckhardt Master Fund L.P.		9,595,146		16.15
Waypoint Master Fund L.P.		12,714,093		21.40
PGR Master Fund L.P.		5,114,408		8.61

Total investment in Funds, at fair value	$	60,378,147		101.62	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)


	Three Months Ended
	March 31,
	2011			2010
Investment income:
Interest income from investment in Funds	$	11,192		$	7,686


Expenses:
Brokerage fees including clearing fees		832,975			907,991
Management fees		248,371			284,061
Incentive fees		3,225			9,927
Other		85,029			77,705

Total expenses		1,169,600			1,279,684

Net investment income (loss)		(1,158,408	)		(1,271,998	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on investment in Funds		409,372			(1,274,110	)
Change in net unrealized gains (losses) on investment in Funds		(600,324	)		407,661

Total trading results		(190,952	)		(866,449	)

Net income (loss)		(1,349,360	)		(2,138,447	)
Redemptions — General Partner		—			(250,000	)
Redemptions — Limited Partners		(3,489,369	)		(2,894,419	)

Net increase (decrease) in Partners’ Capital		(4,838,729	)		(5,282,866	)
Partners’ Capital, beginning of period		59,414,442			67,723,311

Partners’ Capital, end of period	$	54,575,713		$	62,440,445

Net asset value per unit (39,710.2170 and 46,269.0095 units outstanding at March 31, 2011 and 2010, respectively)	$	1,374.35		$	1,349.51

Net income (loss) per unit *	$	(32.16	)	$	(43.35	)

Weighted average units outstanding		41,562.7448			47,991.3335


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)


1.	General:

Diversified 2000 Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on August 25, 1999 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Partnership, through its investment in the Funds (as defined in note 5 “Investment in Funds”), are volatile and involve a high degree of market risk.

Between January 31, 2000 (commencement of the initial offering period) and May 30, 2000, 16,045 redeemable units of limited partnership interest (“Redeemable Units”) and 162 general partner unit equivalents were sold at $1,000 per unit. The proceeds of the initial offering were held in an escrow account until May 31, 2000, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell 150,000 Redeemable Units during its initial offering period. As of November 25, 2002, the Partnership was authorized to sell an additional 40,000 Redeemable Units. The Partnership no longer offers Redeemable Units for sale.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. As of March 31, 2011, all trading decisions for the Partnership are made by the Advisors (defined below).

As of March 31, 2011, all trading decisions are made for the Partnership by Aspect Capital Limited (“Aspect”), Graham Capital Management L.P. (“Graham”), Eckhardt Trading Company (“Eckhardt”), SandRidge Capital L.P. (“SandRidge”), Waypoint Capital Management LLC (“Waypoint”) and PGR Capital LLP (“PGR”) (each, an “Advisor”, and collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors indirectly through investments in the Funds.

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)


2.	Financial Highlights:

Changes in the net asset value per unit for the three months ended March 31, 2011 and 2010 were as follows:


	Three Months Ended
	March 31,
	2011			2010
Net realized and unrealized gains (losses)*	$	(24.35	)	$	(35.76	)
Interest income		0.28			0.16
Expenses**		(8.09	)		(7.75	)

Increase (decrease) for the period		(32.16	)		(43.35	)
Net asset value per unit, beginning of period		1,406.51			1,392.86

Net asset value per unit, end of period	$	1,374.35		$	1,349.51


*		Includes brokerage fees.

**		Excludes brokerage fees.


	Three Months Ended
	March 31,
	2011			2010
Ratio to average net assets: ***
Net investment income (loss) before incentive fees ****		(8.2	)%		(8.0	)%

Operating expenses		8.3	%		8.0	%
Incentive fees		0.0	%*****		0.0	%*****

Total expenses		8.3	%		8.0	%

Total return:
Total return before incentive fees		(2.3	)%		(3.1	)%
Incentive fees		0.0	%*****		0.0	%*****

Total return after incentive fees		(2.3	)%		(3.1	)%


***		Annualized (other than incentive fees).

****		Interest income less total expenses.

*****		Due to rounding.

The above capital ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.


3.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. However, the Partnership’s investments are in other funds. The results of the Partnership’s trading activity are resulting from its investments in other funds as shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreement between the Partnership/Funds and CGM gives the Partnership and the Funds the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap and open forward contracts on the Statements of Financial Condition.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)


4.	Fair Value Measurements:

Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), through its investment in other funds, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Funds’ Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Funds’ Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Funds’ Level 1 assets and liabilities are actively traded.

GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets.

The Partnership and the Funds will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in funds reflects its proportional interest in the funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).


			Quoted Prices in Active		Significant Other		Significant
			Markets for Identical		Observable Inputs		Unobservable
	3/31/11		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Funds	$	56,573,097	$	—	$	56,573,097	$	—

Net fair value	$	56,573,097	$	—	$	56,573,097	$	—


			Quoted Prices in Active		Significant Other		Significant
			Markets for Identical		Observable Inputs		Unobservable
	12/31/2010		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Funds	$	60,378,147	$	—	$	60,378,147	$	—

Net fair value	$	60,378,147	$	—	$	60,378,147	$	—


5.	Investments in Funds:

On January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF Campbell Master Fund L.P. (“Campbell Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 51,356.1905 units of Campbell Master with cash equal to $50,768,573, and a contribution of open commodity futures and forward contracts with a fair value of $587,618. Campbell Master was formed in order to permit commodity pools managed now or in the future by Campbell using its Financial, Metal and Energy Large Portfolio (“FME”), a proprietary, systematic trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Campbell Master on February 28, 2010 for cash equal to $4,508,811.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 43,434.9465 units of Aspect Master with cash equal to $40,490,895, and a contribution of open commodity futures and forward contracts with a fair value of $2,944,052. Aspect Master was formed in order to permit commodity pools managed now or in the future by Aspect using its Diversified Program, a proprietary systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 41,952.2380 units of Graham Master with cash equal to $41,952,238. Graham Master was formed in order to permit commodity pools managed now or in the future by Graham using the K4D - 15V program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2007, the assets allocated to SandRidge for trading were invested in CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,659.0734 units of SandRidge Master with cash equal to $9,635,703. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 10,000.0000 units of Eckhardt Master with cash equal to $10,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is the also general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2010, the assets allocated to Waypoint for trading were invested in Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 5,975.7506 units of Waypoint Master with cash of $5,975,751. Waypoint Master was formed in order to permit commodity pools managed now or in the future by Waypoint using its Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to PGR for trading were invested in PGR Master Fund L.P. (“PGR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 5,000.0000 units of PGR Master with cash equal to $5,000,000. PGR Master was formed in order to permit commodity pools managed now or in the future by PGR using its Mayfair Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended March 31, 2011.

Aspect Master’s, Graham Master’s, SandRidge Master’s, Eckhardt Master’s, Waypoint Master’s and PGR Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per Redeemable Unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

At March 31, 2011, the Partnership owned approximately 6.5% of Aspect Master, 6.0% of Graham Master, 1.4% of SandRidge Master, 41.4% of Eckhardt Master, 32.5% of Waypoint Master and 25.7% of PGR Master. At December 31, 2010, the Partnership owned approximately 8.0% of Aspect Master, 7.2% of Graham Master, 1.5% of SandRidge Master, 40.5% of Eckhardt Master, 30.8% of Waypoint Master and 25.1% of PGR Master. It is Aspect’s, Graham’s, SandRidge’s, Eckhardt’s, Waypoint’s and PGR’s intention to continue to invest the assets allocated to each by the Partnership in Aspect Master, Graham Master, SandRidge Master, Eckhardt Master, Waypoint Master and PGR Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and capital for the Funds is shown in the following tables.


	March 31, 2011
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	171,917,989	$	60,063	$	171,857,926
Graham Master		158,542,504		335,674		158,206,830
SandRidge Master		417,397,881		39,202,100		378,195,781
Eckhardt Master		25,991,860		239,967		25,751,893
Waypoint Master		39,176,243		71,071		39,105,172
PGR Master		27,797,437		43,941		27,753,496

Total	$	840,823,914	$	39,952,816	$	800,871,098


	December 31, 2010
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	157,910,582	$	46,523	$	157,864,059
Graham Master		168,973,503		48,832		168,924,671
SandRidge Master		581,631,311		52,896,054		528,735,257
Eckhardt Master		23,748,773		62,448		23,686,325
Waypoint Master		41,306,976		59,330		41,247,646
PGR Master		20,415,391		28,810		20,386,581

Total	$	993,986,536	$	53,141,997	$	940,844,539

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) for the Funds is shown in the following tables.


	For the three months ended March 31, 2011
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(28,839	)	$	1,725,970		$	1,697,131
Graham Master		(146,256	)		(1,070,720	)		(1,216,976	)
SandRidge Master		(250,105	)		15,043,073			14,792,968
Eckhardt Master		(54,656	)		(273,717	)		(328,373	)
Waypoint Master		(64,415	)		(1,606,979	)		(1,671,394	)
PGR Master		(27,411	)		591,465			564,054

Total	$	(571,682	)	$	14,409,092		$	13,837,410


	For the three months ended March 31, 2010
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(47,890	)	$	6,886,287		$	6,838,397
Graham Master		(99,316	)		(3,943,186	)		(4,042,502	)
SandRidge Master		(261,244	)		(15,233,208	)		(15,494,452	)
Eckhardt Master		(36,785	)		(1,419,363	)		(1,456,148	)
Waypoint Master		(11,498	)		573,053			561,555

Total	$	(456,733	)	$	(13,136,417	)	$	(13,593,150	)

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds is shown in the following tables.


	March 31, 2011					For the three months ended March 31, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		20.59	%	$	11,234,460	$	116,551		$	2,533	$	1,676	$	112,342		Commodity Portfolio	Monthly
Graham Master		17.26	%		9,421,920		(61,649	)		9,586		1,459		(72,694	)	Commodity Portfolio	Monthly
SandRidge Master		9.96	%		5,433,165		247,726			3,510		1,180		243,036		Energy Portfolio	Monthly
Eckhardt Master		19.53	%		10,660,281		(108,356	)		17,402		7,183		(132,941	)	Commodity Portfolio	Monthly
Waypoint Master		23.26	%		12,696,276		(520,116	)		16,633		7,104		(543,853	)	Commodity Portfolio	Monthly
PGR Master		13.06	%		7,126,995		146,084			2,208		7,369		136,507		Commodity Portfolio	Monthly

Total				$	56,573,097	$	(179,760	)	$	51,872	$	25,971	$	(257,603	)


	December 31, 2010					For the three months ended March 31, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Campbell Master		—		$	—	$	(266,611	)	$	1,344	$	672	$	(268,627	)	Commodity Portfolio	Monthly
Aspect Master		21.19	%		12,593,732		844,224			6,292		1,951		835,981		Commodity Portfolio	Monthly
Graham Master		20.51	%		12,185,485		(691,460	)		12,179		1,975		(705,614	)	Commodity Portfolio	Monthly
SandRidge Master		13.76	%		8,175,283		(265,256	)		4,994		1,347		(271,597	)	Energy Portfolio	Monthly
Eckhardt Master		16.15	%		9,595,146		(571,383	)		8,568		7,127		(587,078	)	Commodity Portfolio	Monthly
Waypoint Master		21.40	%		12,714,093		91,723			1,371		987		89,365		Commodity Portfolio	Monthly
PGR Master		8.61	%		5,114,408		—			—		—		—		Commodity Portfolio	Monthly

Total				$	60,378,147	$	(858,763	)	$	34,748	$	14,059	$	(907,570	)

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)


6.	Financial Instrument Risks:

In the normal course of business, the Partnership, through its investments in the Funds, is a party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.

Market risk is the potential for changes in the value of the financial instruments traded by the Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Funds to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Funds do not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Funds’ businesses, these instruments may not be held to maturity.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

7. Critical Accounting Policies:

Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

GAAP requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

Futures Contracts. The Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Options. The Funds may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
March 31, 2011

(Unaudited)

Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events. Management of the Partnership evaluates events that occur after the balance sheet date but before financial statements are filed. Management has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.


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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Funds and cash. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership/Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2011.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the three months ended March 31, 2011, Partnership Capital decreased 8.1% from $59,414,442 to $54,575,713. This decrease was attributable to the net loss from operations of $1,349,360, coupled with the redemption of 2,532.1456 Redeemable Units resulting in an outflow of $3,489,369. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized and change in net unrealized trading gain (loss) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the first quarter of 2011, the Partnership’s net asset value per unit decreased 2.3% from $1,406.51 to $1,374.35 as compared to a decrease of 3.1% in the same period of 2010. The Partnership experienced a net trading loss through its investment in the Funds before brokerage fees and related fees in the first quarter of 2011 of $190,952. Losses were primarily attributable to the Funds trading in currencies, U.S. and non-U.S. interest rates, metals and indices and were partially offset by gains in energy, grains, livestock and softs. The Partnership experienced a net trading loss through its investment in the Funds before brokerage fees and related fees in the first quarter of 2010 of $866,449. Losses were primarily attributable to the Funds trading in energy, U.S. interest rates, metals, softs and indices and were partially offset by gains in currencies, grains, non-U.S. interest rates and livestock.

The most significant losses were incurred within the interest rate sector, primarily during January, from long futures positions in European fixed-income as prices declined after European Central Bank President Jean-Claude Trichet said inflation pressures in the euro region may increase. Further losses were recorded within this sector during February from short positions in US and European interest rate futures as prices increased mid-month amid concern over unrest in the Middle East, which spurred demand for the relative “safety” of government debt. Within the metals sector, losses were experienced primarily during January due to long futures positions in gold as prices fell amid a strengthening U.S. dollar, which reduced the “safe-haven” appeal of the precious metal. Further losses were recorded within this sector during March from long futures positions in copper as prices moved lower amid concern that rising energy costs associated with mounting unrest in the Middle East may slow the global economy. Within the currency markets, losses were experienced primarily in January from long positions in the Australian dollar, South African rand, and Swiss franc versus the U.S. dollar as the value of these currencies declined against the U.S. dollar following the release of minutes from the latest U.S. Federal Reserve meeting that showed optimism about the U.S. economy and boosted demand for the U.S. currency. Within the global stock index markets, losses were experienced primarily during March from long positions in European, Pacific Rim, and U.S. equity index futures as prices moved sharply lower after the disaster in Japan spurred concern about global economic growth.

A portion of the Partnership’s losses for the quarter was offset by gains achieved within the energy markets, primarily during February and March, from long futures positions in crude oil and its related products as prices rose after political tension in Egypt stoked worries that protests may spread to crude-producing parts of the Middle East. Further gains were recorded after futures prices of crude oil and its related products continued to increase as geopolitical tensions extended to Libya. Within the agricultural complex, gains were experienced primarily during January due to long futures positions in corn as prices increased to the highest levels since July 2008 after the U.S. government lowered forecasts for domestic inventories as adverse weather slashed harvests. Further gains were recorded within this sector during February from long positions in cocoa futures as prices rose to a one-year high on speculation that an order to ban exports from the Ivory Coast, the world’s largest producer of cocoa may be extended.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Funds expect to increase capital through operations.

Interest income on 80% of the average daily equity maintained in cash in the Funds’ brokerage account at a 30-day U.S. Treasury bill rate determined by CGM and/or will place up to all of the Funds’ assets in 90-day U.S. Treasury bills. Interest income from investment in the Funds for the three months ended March 31, 2011 increased by $3,506 as compared to the corresponding period in 2010. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three months ended March 31, 2011, as compared to the corresponding period in 2010. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership nor CGM has control.

Brokerage fees are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions. Brokerage fees for the three months ended March 31, 2011 decreased by $75,016 as compared to the corresponding period in 2010. The decrease in brokerage fees is primarily due to a decrease in average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three months ended March 31, 2011 decreased by $35,690 as compared to the corresponding period in 2010. The decrease in management fees is primarily due to a decrease in average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

Incentive fees are based on the new trading profits generated by each Advisor as defined in the management agreement among the Partnership, the General Partner and each Advisor and are payable annually. Trading performance for the three months ended March 31, 2011 and 2010 resulted in an incentive fee accrual of $3,225 and $9,927, respectively.

In allocating the assets of the Partnership among the trading advisors, the General Partner considers past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the trading advisors and may allocate assets to additional advisors at any time.


Item 3.	Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Funds. The Funds are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or substantially all of the Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Funds’ main line of business.

Market movements result in frequent changes in the fair value of the Funds’ open positions and, consequently, in their earnings and cash balances. The Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the value of financial instruments and contracts, the diversification effects of the Funds’ open positions and the liquidity of the markets in which they trade.

The Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Funds’ past performance is not necessarily indicative of their future results.

“Value at Risk” is a measure of the maximum amount which the Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Funds’ speculative trading and the recurrence in the markets traded by the Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Funds’ losses in any market sector will be limited to Value at Risk or by the Funds’ attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Partnership’s advisors currently trade the Partnership’s assets indirectly in master fund managed accounts, over which they have been granted limited authority to make trading decisions. The first trading Value at Risk table reflects the market sensitive instruments held by the Partnership indirectly, through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments, indirectly held by each Fund, separately.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2011 and December 31, 2010. As of March 31, 2011, the Partnership’s total capitalization was $54,575,713.

March 31, 2011


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	4,170,851		7.64	%
Energy		1,083,557		1.99	%
Grains		144,793		0.27	%
Indices		815,208		1.49	%
Interest Rates U.S.		419,543		0.77	%
Interest Rates Non-U.S.		892,840		1.64	%
Livestock		100,626		0.18	%
Lumber		98		0.00	%
Metals		405,954		0.74	%
Softs		149,095		0.27	%

Total	$	8,182,565		14.99	%

As of December 31, 2010, the Partnership’s total capitalization was $59,414,442.

December 31, 2010


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	2,017,181		3.40	%
Energy		1,274,022		2.14	%
Grains		254,311		0.43	%
Indices		1,280,463		2.16	%
Interest Rates U.S.		43,796		0.07	%
Interest Rates Non-U.S.		381,358		0.64	%
Livestock		14,152		0.02	%
Metals		390,875		0.66	%
Softs		130,248		0.22	%

Total	$	5,786,406		9.74	%

The following tables indicate the trading Value at Risk associated with the Partnership’s investments in the Funds by market category as of March 31, 2011 and December 31, 2010, and the highest, lowest and average value during the three months ended March 31, 2011 and for the twelve months ended December 31, 2010. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.

As of March 31, 2011, Aspect Master’s total capitalization was $171,857,926. The Partnership owned approximately 6.5% of Aspect Master. As of March 31, 2011, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	6,848,407		3.99	%	$	8,424,651	$	6,132,034	$	7,404,837
Energy		2,054,170		1.20	%		2,054,170		1,241,868		1,577,567
Grains		379,656		0.22	%		736,876		342,613		543,431
Indices		1,979,457		1.15	%		3,093,179		1,263,661		2,599,483
Interest Rates U.S.		586,200		0.34	%		586,200		172,125		370,718
Interest Rates Non-U.S.		2,531,705		1.47	%		2,531,705		1,273,466		2,101,082
Livestock		118,500		0.07	%		128,500		76,750		119,217
Lumber		1,500		0.00	%**		3,000		1,300		1,933
Metals		1,432,783		0.83	%		1,857,539		1,115,572		1,299,324
Softs		646,569		0.38	%		891,860		628,212		699,379

Total	$	16,578,947		9.65	%


*		Average of month-end Values at Risk

**		Due to rounding

As of December 31, 2010, Aspect Master’s total capitalization was $157,864,059. The Partnership owned approximately 8.0% of Aspect Master. As of December 31, 2010, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
										Average
			% of Total			High		Low		Value at
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Risk*
Currencies	$	6,641,142		4.21	%	$	6,908,626	$	1,960,264	$	4,676,665
Energy		1,421,450		0.90	%		1,932,150		351,414		1,223,668
Grains		663,172		0.42	%		853,702		150,472		496,932
Indices		2,735,405		1.73	%		15,325,500		832,920		2,830,563
Interest Rates U.S.		128,755		0.08	%		2,333,350		128,755		1,185,599
Interest Rates Non-U.S.		1,433,026		0.91	%		6,063,200		1,068,897		4,111,787
Livestock		109,519		0.07	%		240,000		14,717		93,906
Metals		1,798,174		1.14	%		2,724,717		539,569		1,434,801
Softs		853,509		0.54	%		1,719,693		494,690		987,242

Total	$	15,784,152		10.00	%


*		Annual average of month-end Value at Risk

As of March 31, 2011, Graham Master’s total capitalization was $158,206,830. The Partnership owned approximately 6.0% of Graham Master. As of March 31, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	10,526,667		6.65	%	$	14,645,028	$	5,042,022	$	9,712,741
Energy		1,121,320		0.71	%		1,221,130		430,473		715,112
Grains		478,650		0.30	%		624,700		436,750		497,655
Indices		4,094,626		2.59	%		11,180,261		3,276,704		6,785,775
Interest Rates U.S.		829,155		0.52	%		1,205,145		545,675		851,529
Interest Rates Non-U.S.		2,782,686		1.76	%		3,022,899		1,439,332		2,717,692
Livestock		63,600		0.04	%		63,600		38,000		42,867
Metals		1,048,048		0.66	%		1,637,443		616,825		1,030,163
Softs		375,073		0.24	%		491,327		241,774		354,051

Total	$	21,319,825		13.47	%


*		Average of month-end Values at Risk

As of December 31, 2010, Graham Master’s total capitalization was $168,924,671. The Partnership owned approximately 7.2% of Graham Master. As of December 31, 2010, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
								Low		Average
			% of Total			High		Value		Value
Market Sector	Value at Risk		Capitalization			Value at Risk		at Risk		at Risk*
Currencies	$	6,192,975		3.67	%	$	11,364,239	$	996,231	$	5,226,199
Energy		1,048,521		0.62	%		1,989,347		236,269		1,000,222
Grains		448,450		0.26	%		964,687		124,875		411,118
Indices		5,301,813		3.14	%		13,726,706		1,137,775		5,507,221
Interest Rates U.S.		161,600		0.10	%		2,021,410		68,806		1,014,515
Interest Rates Non-U.S.		1,209,918		0.72	%		4,305,447		749,055		2,006,426
Livestock		40,000		0.02	%		106,400		800		50,304
Metals		1,012,127		0.60	%		1,771,142		494,357		993,963
Softs		258,565		0.15	%		1,144,148		85,988		385,351

Total	$	15,673,969		9.28	%


*		Annual average of month-end Value at Risk

As of March 31, 2011, SandRidge Master’s total capitalization was $378,195,781. The Partnership owned approximately 1.4% of SandRidge Master. As of March 31, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	34,995,837		9.25	%	$	61,733,650	$	31,352,944	$	41,648,911

Total	$	34,995,837		9.25	%


*		Average of month-end Values at Risk

As of December 31, 2010, SandRidge Master’s total capitalization was $528,735,257. The Partnership owned approximately 1.5% of SandRidge Master. As of December 31, 2010, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
								Low		Average
			% of Total			High		Value at		Value at
Market Sector	Value at Risk		Capitalization			Value at Risk		Risk		Risk*
Energy	$	61,391,255		11.61	%	$	85,692,107	$	18,754,664	$	56,852,448

Total	$	61,391,255		11.61	%


*		Annual average of month-end Value at Risk

As of March 31, 2011, Eckhardt Master’s total capitalization was $25,751,893. The Partnership owned approximately 41.4% of Eckhardt Master. As of March 31, 2011, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,226,115		4.76	%	$	1,671,011	$	400,509	$	1,112,646
Energy		686,180		2.66	%		736,750		191,724		657,310
Grains		177,000		0.69	%		528,082		5,000		253,023
Indices		1,004,141		3.90	%		889,841		114,649		887,330
Interest Rates U.S.		318,450		1.24	%		390,050		172,050		375,467
Interest Rates Non -U.S.		501,485		1.95	%		501,485		101,934		296,287
Metals		503,540		1.95	%		618,550		155,269		480,364
Softs		40,500		0.16	%		124,357		29,700		89,178

Total	$	4,457,411		17.31	%


*		Average of month-end Values at Risk

As of December 31, 2010, Eckhardt Master’s total capitalization was $23,686,325. The Partnership owned approximately 40.5% of Eckhardt Master. As of December 31, 2010, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,025,866		4.33	%	$	1,147,164	$	9,175	$	427,400
Energy		248,250		1.05	%		580,400		10,875		238,534
Grains		348,259		1.47	%		370,823		41,862		169,215
Indices		610,979		2.58	%		3,147,442		19,055		430,625
Interest Rates U.S.		3,900		0.02	%		887,750		3,900		351,889
Interest Rates Non -U.S.		331,533		1.40	%		852,062		63,225		352,114
Metals		268,184		1.13	%		365,762		26,255		198,271
Softs		46,300		0.19	%		146,472		10,950		70,345

Total	$	2,883,271		12.17	%


*		Annual average of month-end Value at Risk

As of March 31, 2011, Waypoint Master’s total capitalization was $39,105,172. The Partnership owned approximately 32.5% of Waypoint Master. As of March 31, 2011, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk *
Currencies	$	7,828,647		20.01	%	$	10,064,603	$	2,910,415	$	6,548,633
Energy		109,000		0.28	%		195,000		45,000		89,333
Interest Rates U.S.		170,500		0.44	%		502,450		30,400		145,783
Interest Rates Non-U.S.		924,273		2.36	%		1,369,739		330,677		840,248
Metals		120,024		0.31	%		197,750		70,014		121,691
Softs		62,100		0.16	%		89,700		54,000		68,600

Total	$	9,214,544		23.56	%


*		Average of month-end Values at Risk

As of December 31, 2010, Waypoint Master’s total capitalization was $41,247,646. The Partnership owned approximately 30.8% of Waypoint Master. As of December 31, 2010, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,878,430		4.55	%	$	11,817,974	$	633,809	$	5,198,266
Indices		901,236		2.18	%		1,613,660		100,993		790,428
Metals		80,750		0.20	%		216,426		31,500		66,207

Total	$	2,860,416		6.93	%


*		Period from March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk

As of March 31, 2011, PGR Master’s total capitalization was $27,753,496 . The Partnership owned approximately 25.7% of PGR Master. As of March 31, 2011, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

March 31, 2011


						Three Months Ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	164,135		0.59	%	$	265,514	$	125,948	$	205,315
Energy		285,258		1.03	%		302,794		173,242		244,413
Grains		70,500		0.25	%		133,500		52,500		89,333
Indices		562,023		2.03	%		837,150		372,931		658,492
Interest Rates U.S.		207,450		0.75	%		207,450		132,200		161,292
Interest Rates Non -U.S.		346,720		1.25	%		346,720		108,867		214,136
Livestock		9,600		0.03	%		9,600		6,000		8,867
Metals		185,269		0.67	%		230,771		134,516		179,933
Softs		97,864		0.35	%		134,013		70,400		100,477

Total	$	1,928,819		6.95	%


*		Average of month-end Value at Risk

As of December 31, 2010, PGR Master’s total capitalization was $20,386,581 . The Partnership owned approximately 25.1% of PGR Master. As of December 31, 2010, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
			% of Total			High		Low		Average*
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk
Currencies	$	183,120		0.90	%	$	183,120	$	103,066	$	154,058
Energy		252,600		1.24	%		252,600		107,024		195,337
Grains		111,250		0.54	%		111,250		43,750		83,625
Indices		617,024		3.03	%		621,232		385,104		524,198
Interest Rates U.S.		80,800		0.40	%		141,150		66,450		81,150
Interest Rates Non-U.S.		180,603		0.89	%		265,434		135,161		161,976
Livestock		10,000		0.05	%		11,000		6,000		9,500
Metals		162,000		0.79	%		162,000		69,500		125,875
Softs		98,003		0.48	%		109,657		57,757		89,793

Total	$	1,695,400		8.32	%


*		Period from November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk


Item 4.	Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:


	•	pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

	•	provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

	•	provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended March 31, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION


Item 1.	Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

CGM is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM (formerly known as Salomon Smith Barney) or any of its individual principals and no such actions are currently pending, except as follows.

Mutual Funds

Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, CGM has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds.

On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and CGM completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and CGM in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors.

In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

FINRA Settlement

On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (“AWC”) in which CGM, without admitting or denying the findings, consented to the entry of the AWC and a fine and censure of $600,000. The AWC includes findings that CGM failed to adequately supervise the activities of its equities trading desk in connection with swap and related hedge trades in U.S. and Italian equities that were designed to provide certain perceived tax advantages. CGM was charged with failing to provide for effective written procedures with

respect to the implementation of the trades, failing to monitor Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.

Auction Rate Securities

On May 31, 2006, the SEC instituted and simultaneously settled proceedings against CGM and 14 other broker-dealers regarding practices in the auction rate securities market. The SEC alleged that the broker-dealers violated Section 17(a)(2) of the Securities Act of 1933, as amended. The broker-dealers, without admitting or denying liability, consented to the entry of an SEC cease-and-desist order providing for censures, undertakings and penalties. CGM paid a penalty of $1.5 million.

On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC, and other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par auction rate securities from all Citigroup individual investors, small institutions (as defined by the terms of the settlement), and charities that purchased auction rate securities from Citigroup prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State of New York and a $50 million fine to the other state regulatory agencies.

Subprime Mortgage-Related Actions

The SEC, among other regulators, is investigating Citigroup’s subprime and other mortgage-related conduct and business activities, as well as other business activities affected by the credit crisis, including an ongoing inquiry into Citigroup’s structuring and sale of collateralized debt obligations. Citigroup is cooperating fully with the SEC’s inquiries.

On July 29, 2010, the SEC announced the settlement of an investigation into certain of Citigroup’s 2007 disclosures concerning its subprime-related business activities. On October 19, 2010, the United States District Court for the District of Columbia entered a final judgment approving the settlement, pursuant to which Citigroup agreed to pay a $75 million civil penalty and to maintain certain disclosure policies, practices and procedures for a three-year period. Additional information relating to this action is publicly available in court filings under the docket number 10 Civ. 1277 (D.D.C.) (Huvelle, J.).

The Federal Reserve Bank, the OCC and the FDIC, among other federal and state authorities, are investigating issues related to the conduct of certain mortgage servicing companies, including Citigroup affiliates, in connection with mortgage foreclosures. Citigroup is cooperating fully with these inquiries.

Credit Crisis Related Matters

Beginning in the fourth quarter of 2007, certain of Citigroup’s, and CGM’ regulators and other state and federal government agencies commenced formal and informal investigations and inquiries, and issued subpoenas and requested information, concerning Citigroup’s subprime mortgage-related conduct and business activities. Citigroup and certain of its affiliates, including CGM, are involved in discussions with certain of its regulators to resolve certain of these matters.

Certain of these regulatory matters assert claims for substantial or indeterminate damages. Some of these matters already have been resolved, either through settlements or court

proceedings, including the complete dismissal of certain complaints or the rejection of certain claims following hearings.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the general partner believes do not have a material effect on the business of CGM.


Item 1A.	Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010.


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

The Partnership no longer offers Redeemable Units at the net asset value per Redeemable Unit as of the end of each month.

The following chart sets forth the purchases of Redeemable Units by the Partnership.

(d) Maximum Number

(c) Total Number

(or Approximate

of Shares (or

Dollar Value) of Shares

(a) Total Number

(b) Average

Redeemable Units)

(or Redeemable Units) that

of Shares

Price Paid per

Purchased as Part

May Yet Be

(or Redeemable

Share (or

of Publicly Announced

Purchased Under the

Period

Units) Purchased*

Redeemable Unit)**

Plans or Programs

January 1, 2011 –
January 31, 2011

713.1124

1,372.31

N/A

February 1, 2011 –
February 28, 2011

612.6286

1,391.93

N/A

March 1, 2011 –
March 31, 2011

1,206.4046

1,374.35

N/A

2,532.1456

1,378.03

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.


Item 3.	Defaults Upon Senior Securities

None.


Item 4.	[Removed and Reserved]


Item 5.	Other Information

None.


Item 6.	Exhibits

3.1 Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

3.2 Certificate of Limited Partnership of the Partnership as filed in the Office of the Secretary of State of the State of New York on August 25, 1999 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a)Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(b) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(c) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(d) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Form 8-K filed on September 2, 2008 and incorporated herein by reference).

(e) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 24, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference).

(f) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(f) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

10.1 Form of Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

10.2 Form of Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a) Form of Letter Amending Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3A to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

10.3 Form of Selling Agreement among the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 1.1 to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

10.4 Joinder Agreement among the Partnership, the General Partner, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

10.5 Amended and Restated Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, LP, dated June 30, 2007 (filed as Exhibit 10.1 to the Quarterly Report on Form 10-Q filed on August 14, 2007 and incorporated herein by reference).

(a) Letter from the General Partner extending Advisory Agreement between the General Partner and SandRidge Capital, L.P. for 2010, dated June 1, 2010 (filed as Exhibit 10.5(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.6 Management Agreement among the Partnership, the General Partner and Aspect Capital Limited, dated January 3, 2002 (filed as Exhibit 99 to the Annual Report on Form 10-K filed on March 27, 2003 and incorporated herein by reference).

(a) Letter from the General Partner extending Management with Aspect Capital Limited for 2010, dated June 1, 2010 (filed as Exhibit 10.6(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.7 Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company, dated March 31, 2008 (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2008 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Eckhardt Trading Company for 2010, dated June 1, 2010 (filed as Exhibit 10.7(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.8 Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC, dated February 25, 2010 (filed as Exhibit 10.8 to the Quarterly Report on Form 10-Q filed on May 17, 2010 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Waypoint Capital Management LLC for 2010, dated June 1, 2010 (filed as Exhibit 10.10(A) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.9 Management Agreement among the Partnership, the General Partner and Graham Capital Management, L.P., dated June 11, 2001 (filed as Exhibit 10 to the Annual Report on Form 10-K filed on March 27, 2002 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Graham Capital Management, L.P. for 2010, dated June 1, 2010 (filed as Exhibit 10.9(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.10 Management Agreement among the Partnership, the General Partner and PGR Capital LLP, dated October 29, 2010 (filed as Exhibit 10.10 to the Form 8-K filed on November 4, 2010 and incorporated herein by reference).

Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)

Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)

Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director)

SIGNATURES

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

DIVERSIFIED 2000 FUTURES FUND L.P.


By:	Ceres Managed Futures LLC

(General Partner)


By:	/s/ Walter Davis

Walter Davis

President and Director


Date:	May 16, 2011


By:	/s/ Jennifer Magro

Jennifer Magro

Chief Financial Officer and Director
(Principal Accounting Officer)


Date:	May 16, 2011

Attached files

DIVERSIFIED 2000 FUTURES FUND L.P. Reports

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