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 0-53211

 

EMERGING CTA PORTFOLIO  L.P.

 

(Exact name of registrant as specified in its charter)

 

 

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):

 

 

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, 137,876.5083 Limited Partnership Redeemable Units were outstanding.

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition

		(Unaudited)
		March 31,				December 31,
		2011				2010
Assets:
Investment in Funds, at fair value		$	136,996,940			$	93,009,857
Equity in trading account:
Cash			48,374,300				85,698,856
Cash margin			9,032,501				5,943,791
Net unrealized appreciation on open futures contracts			1,283,860				1,516,219
Net unrealized appreciation on open forward contracts			211,795				19,265
Options purchased, at fair value (cost $757,563 and $854,880 at March 31, 2011 and December 31, 2010, respectively)			892,156				901,226
			196,791,552				187,089,214
Interest receivable			2,966				7,439
Total assets		$	196,794,518			$	187,096,653
Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $44,100 and $0 at March 31, 2011 and December 31, 2010, respectively)		$	29,053			$	—
Accrued expenses:
Brokerage fees			573,899				545,698
Management fees			286,651				279,142
Administrative fees			81,700				77,685
Incentive fees			154,616				500,939
Other			111,726				107,923
Redemptions payable			2,179,801				2,059,665
Total liabilities			3,417,446				3,571,052
Partners’ Capital:
General Partner, 1,302.6036 unit equivalents outstanding at March 31, 2011 and December 31, 2010			1,874,746				1,927,332
Limited Partners, 133,059.0888 and 122,734.7189 Redeemable Units outstanding at March 31, 2011 and December 31, 2010, respectively			191,502,326				181,598,269
Total partners’ capital			193,377,072				183,525,601
Total liabilities and partners’ capital		$	196,794,518			$	187,096,653
Net asset value per unit		$	1,439.23			$	1,479.60

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments
March 31, 2011
(Unaudited)

		Notional ($)/
		Number of								% of Partners’
		Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			161			$	255,132				0.13	%
Energy			366				1,331,925				0.69
Grains			436				385,116				0.20
Indices			152				243,878				0.12
Interest Rates U.S.			1,486				(139,875	)			(0.07	)
Interest Rates Non-U.S.			487				(95,563	)			(0.05	)
Livestock			331				811,000				0.42
Metals			34				15,949				0.01
Softs			210				(227,436	)			(0.12	)
Total futures contracts purchased							2,580,126				1.33
Futures Contracts Sold
Currencies			122				(82,120	)			(0.04	)
Energy			226				(586,786	)			(0.30	)
Grains			265				118,383				0.06
Indices			118				(504,298	)			(0.26	)
Interest Rates U.S.			157				33,667				0.02
Interest Rates Non-U.S.			324				128,346				0.06
Livestock			242				(676,230	)			(0.35	)
Metals			8				(17,337	)			(0.01	)
Softs			132				290,109				0.15
Total futures contracts sold							(1,296,266	)			(0.67	)
Unrealized Appreciation on Open Forward Contracts
Currencies		$	132,865,599				1,956,590				1.01
Metals			455				1,472,745				0.76
Total unrealized appreciation on open forward contracts							3,429,335				1.77
Unrealized Depreciation on Open Forward Contracts
Currencies		$	124,787,967				(1,745,161	)			(0.90	)
Metals			411				(1,472,379	)			(0.76	)
Total unrealized depreciation on open forward contracts							(3,217,540	)			(1.66	)
Options Purchased
Calls
Metals			271				747,680				0.39
Puts
Grains			6				356				0.00	*
Softs			81				144,120				0.07
Total options purchased							892,156				0.46
Options Premium Received
Calls
Metals			92				(28,940	)			(0.01	)
Puts
Grains			6				(113	)			(0.00	)*
Total options premium received							(29,053	)			(0.01	)
Investment in Funds
CMF Altis Partners Master Fund L.P.							10,570,079				5.46
CMF Sasco Master Fund L.P.							16,032,181				8.29
Waypoint Master Fund L.P.							19,799,346				10.24
Blackwater Master Fund L.P.							24,247,798				12.54
PGR Master Fund L.P.							20,627,846				10.67
JEM Master Fund L.P.							23,134,406				11.96
CMF Cirrus Master Fund L.P.							22,585,284				11.68
Total investment in Funds							136,996,940				70.84
Net fair value						$	139,355,698				72.06	%

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.
Condensed Schedule of Investments
December 31, 2010

		Notional ($)/
		Number of								% of Partners’
		Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			200			$	313,957				0.17	%
Energy			62				233,896				0.13
Grains			250				538,738				0.29
Indices			163				16,869				0.01
Interest Rates U.S.			592				135,855				0.07
Interest Rates Non-U.S.			640				125,143				0.07
Livestock			214				259,202				0.14
Metals			75				315,525				0.17
Softs			66				18,323				0.01
Total futures contracts purchased							1,957,508				1.06
Futures Contracts Sold
Currencies			114				(56,972	)			(0.03	)
Energy			159				(55,211	)			(0.03	)
Grains			75				(191,587	)			(0.10	)
Indices			97				156,446				0.09
Interest Rates U.S.			6				25				0.00	*
Interest Rates Non-U.S.			22				7,402				0.00	*
Livestock			170				(207,591	)			(0.11	)
Softs			115				(93,801	)			(0.05	)
Total futures contracts sold							(441,289	)			(0.23	)
Unrealized Appreciation on Open Forward Contracts
Currencies		$	76,652,847				1,610,313				0.88
Metals			92				805,081				0.44
Total unrealized appreciation on open forward contracts							2,415,394				1.32
Unrealized Depreciation on Open Forward Contracts
Currencies		$	69,670,836				(1,639,341	)			(0.89	)
Metals			88				(756,788	)			(0.41	)
Total unrealized depreciation on open forward contracts							(2,396,129	)			(1.30	)
Options Purchased
Calls
Energy			106				295,740				0.16
Metals			109				574,070				0.31
Softs			11				31,416				0.02
Total options purchased							901,226				0.49
Investment in Funds
CMF Altis Partners Master Fund L.P.							17,568,791				9.57
CMF Sasco Master Fund L.P.							18,664,413				10.17
Waypoint Master Fund L.P.							21,455,619				11.69
Blackwater Master Fund L.P.							20,047,327				10.92
PGR Master Fund L.P.							15,273,707				8.32
Total investment in Funds							93,009,857				50.67
Net fair value						$	95,446,567				52.01	%

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)

		Three Months Ended
		March 31,
		2011				2010
Investment Income:
Interest income		$	14,284			$	13,402
Interest income from investment in Funds			32,198				12,067
Total investment income			46,482				25,469
Expenses:
Brokerage fees including clearing fees			2,042,893				1,693,330
Management fees			853,416				837,333
Administrative fees			240,335				209,333
Incentive fees			119,461				115,578
Other			137,521				165,210
Total expenses			3,393,626				3,020,784
Net investment income (loss)			(3,347,144	)			(2,995,315	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts			(615,614	)			(2,611,442	)
Net realized gains (losses) on investment in Funds			1,905,764				(946,413	)
Change in net unrealized gains (losses) on open contracts			63,465				2,327,587
Change in net unrealized gains (losses) on investment in Funds			(3,312,682	)			4,590,105
Total trading results			(1,959,067	)			3,359,837
Net income (loss)			(5,306,211	)			364,522
Subscriptions — Limited Partners			20,606,111				12,618,000
Redemptions — Limited Partners			(5,448,429	)			(10,118,927	)
Net increase (decrease) in Partners’ Capital			9,851,471				2,863,595
Partners’ Capital, beginning of period			183,525,601				166,705,672
Partners’ Capital, end of period		$	193,377,072			$	169,569,267
Net asset value per unit (134,361.6924 and 120,312.1145 units outstanding at March 31, 2011 and 2010, respectively)		$	1,439.23			$	1,409.41
Net income (loss) per unit*		$	(40.37	)		$	3.03
Weighted average units outstanding			132,363.8128				121,555.9118

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

1. General:

     Emerging CTA Portfolio L.P. (the “Partnership”) is a limited partnership that was organized on July 7, 2003 under the partnership laws of the State of New York. The objective of the Partnership is to achieve capital appreciation through the allocation of assets to a “blind pool” of early-stage commodity trading advisors which engage, directly and indirectly, in speculative trading of a diversified portfolio of commodity interests, including futures contracts, options and forward contracts. The Partnership may also enter into swap and other derivative transactions with the approval of the General Partner (defined below). The sectors traded include currencies, livestock, energy, grains, metals, indices, softs, and U.S. and non-U.S. interest rates. The Partnership and the Funds, (as defined in Note 5 “Investment in Funds”) may trade futures, forward and option contracts of any kind. The commodity interests that are traded by the Partnership and the Funds are volatile and involve a high degree of market risk.

     Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872 redeemable units of limited partnership interest (“Redeemable Units”) were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August 6, 2004, at which time they were remitted to the Partnership for trading. The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

     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 are made for the Partnership by its eleven trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. As indicated above, the Partnership allocates its assets to a “blind pool” of trading advisors which refers to the fact that detailed information about the advisors, such as their backgrounds, individual trading strategies and past performance records has not been, and is not expected to be, provided to investors. The General Partner has chosen not to disclose such information because, among other reasons, the advisors engaged to trade on behalf of the Partnership may have little or no performance histories and the mix of advisors may change frequently as new advisors are identified and others progress beyond the “emerging” stage. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership.

     The 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 General Partner and each limited partner of the Partnership (each a “Limited Partner”) share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of such Limited Partner’s capital contribution and profits, if any, net of distributions.

     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.

Emerging CTA Portfolio 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) *		$	(30.46	)		$	13.74
Interest income			0.35				0.21
Expenses **			(10.26	)			(10.92	)
Increase (decrease) for the period			(40.37	)			3.03
Net asset value per unit, beginning of period			1,479.60				1,406.38
Net asset value per unit, end of period		$	1,439.23			$	1,409.41

		Three Months Ended
		March 31,
		2011				2010
Ratios to Average Net Assets:***
Net investment income (loss) before incentive fees****			(7.0	)%			(7.1	)%
Operating expenses			7.1	%			7.2	%
Incentive fees			0.1	%			0.1	%
Total expenses			7.2	%			7.3	%
Total return:
Total return before incentive fees			(2.7	)%			0.3	%
Incentive fees			—	%*****			(0.1	)%
Total return after incentive fees			(2.7	)%			0.2	%

     The above 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. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

     The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition.

     All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 4,476 and 6,083, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 553 and 513, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 244 and 0, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were $317,620,979 and $375,528,302, respectively.

     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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

     The following tables indicate the gross fair values of derivative instruments of futures and forward as separate assets and liabilities as of March 31, 2011 and December 31, 2010.

		March 31, 2011
Assets
Futures Contracts
Currencies		$	297,843
Energy			1,337,775
Grains			871,937
Indices			256,589
Interest Rates Non-U.S.			180,664
Interest Rates U.S.			111,188
Livestock			811,400
Metals			41,014
Softs			330,482
Total unrealized appreciation on open futures contracts		$	4,238,892
Liabilities
Futures Contracts
Currencies		$	(124,831	)
Energy			(592,636	)
Grains			(368,438	)
Indices			(517,008	)
Interest Rates Non-U.S.			(147,881	)
Interest Rates U.S.			(217,396	)
Livestock			(676,630	)
Metals			(42,403	)
Softs			(267,809	)
Total unrealized depreciation on open futures contracts		$	(2,955,032	)
Net unrealized appreciation on open futures contracts		$	1,283,860	*

		March 31, 2011
Assets
Forward Contracts
Currencies		$	1,956,590
Metals			1,472,745
Total unrealized appreciation on open forward contracts		$	3,429,335
Liabilities
Forward Contracts
Currencies		$	(1,745,161	)
Metals			(1,472,379	)
Total unrealized depreciation on open forward contracts		$	(3,217,540	)
Net unrealized appreciation on open forward contracts		$	211,795	**

		March 31, 2011
Assets
Options Purchased
Grains		$	356
Metals			747,680
Softs			144,120
Total options purchased		$	892,156	***
Liabilities
Options Premium Received
Grains		$	(113	)
Metals			(28,940	)
Total options premium received		$	(29,053	)****

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

		December 31, 2010
Assets
Futures Contracts
Currencies		$	423,873
Energy			282,296
Grains			552,787
Indices			223,941
Interest Rates Non-U.S			151,118
Interest Rates U.S.			169,390
Livestock			259,202
Metals			315,525
Softs			43,918
Total unrealized appreciation on open futures contracts		$	2,422,050
Liabilities
Futures Contracts
Currencies		$	(166,888	)
Energy			(103,611	)
Grains			(205,637	)
Indices			(50,626	)
Interest Rates Non-U.S			(18,572	)
Interest Rates U.S.			(33,510	)
Livestock			(207,591	)
Softs			(119,396	)
Total unrealized depreciation on open futures contracts			(905,831	)
Net unrealized appreciation on open futures contracts		$	1,516,219	*

		December 31, 2010
Assets
Forward Contracts
Currencies		$	1,610,313
Metals			805,081
Total unrealized appreciation on open forward contracts		$	2,415,394
Liabilities
Forward Contracts
Currencies		$	(1,639,341	)
Metals			(756,788	)
Total unrealized depreciation on open forward contracts			(2,396,129	)
Net unrealized appreciation on open forward contracts		$	19,265	**

		December 31, 2010
Assets
Options Purchased
Energy		$	295,740
Metals			574,070
Softs			31,416
Total options purchased		$	901,226	***

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

     The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2011 and 2010.

		Three Months Ended
		March 31,
Sector		2011				2010
Currencies		$	(500,408	)		$	(1,290,781	)
Energy			376,329				(778,392	)
Grains			491,121				493,596
Indices			(1,044,871	)			(70,139	)
Interest Rates U.S.			(47,415	)			(583,632	)
Interest Rates Non-U.S.			(458,286	)			1,047,888
Livestock			(305,846	)			(182,093	)
Metals			387,102				620,966
Softs			550,125				458,732
Total		$	(552,149	)		$	(283,855	)

4. Fair Value Measurements:

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

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

     The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers 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 the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

						Quoted Prices in
						Active Markets				Significant Other				Significant
						for Identical				Observable Inputs				Unobservable Inputs
		March 31, 2011				Assets (Level 1)				(Level 2)				(Level 3)
Assets
Investment in Funds		$	136,996,940			$	—			$	136,996,940			$	—
Futures			4,238,892				4,238,892				—				—
Forwards			3,429,335				1,472,745				1,956,590				—
Options purchased			892,156				892,156				—				—
Total assets			145,557,323				6,603,793				138,953,530				—
Liabilities
Futures		$	2,955,032			$	2,955,032			$	—			$	—
Forwards			3,217,540				1,472,379				1,745,161				—
Options premium received			29,053				29,053				—				—
Total liabilities			6,201,625				4,456,464				1,745,161				—
Net fair value		$	139,355,698			$	2,147,329			$	137,208,369			$	—
						Quoted Prices in
						Active Markets				Significant Other				Significant
						for Identical				Observable Inputs				Unobservable Inputs
		December 31, 2010*				Assets (Level 1)				(Level 2)				(Level 3)
Assets
Investment in Funds		$	93,009,857			$	—			$	93,009,857			$	—
Futures			2,422,050				2,422,050				—				—
Forwards			2,415,394				805,081				1,610,313				—
Options purchased			901,226				901,226				—				—
Total assets			98,748,527				4,128,357				94,620,170				—
Liabilities
Futures		$	905,831			$	905,831			$	—			$	—
Forwards			2,396,129				756,788				1,639,341				—
Total liabilities			3,301,960				1,662,619				1,639,341				—
Net fair value		$	95,446,567			$	2,465,738			$	92,980,829			$	—

5. Investment in Funds:

     On November 1, 2005, the assets allocated to Altis Partners Jersey Limited (“Altis”) for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 4,898.1251 units of Altis Master with cash equal to $4,196,275 and a contribution of open commodity futures and forward contracts with a fair value of $701,851. Altis Master was formed to permit accounts managed now or in the future by Altis using the Global Futures Portfolio program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

     On March 1, 2006, the assets allocated to Avant Capital Management L.P. (“Avant”) for trading were invested in the CMF Avant Master Fund L.P. (“Avant Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 8,177.1175 units of Avant Master with cash equal to $6,827,887 and a contribution of open commodity futures and forward contracts with a fair value of $1,349,230. Avant Master was formed in order to permit accounts managed now or in the future by Avant using the Diversified Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Avant Master on April 30, 2010 for cash equal to $12,280,606.

     On May 1, 2009, the assets allocated to Sasco Energy Partners LLC (“Sasco”) for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 16,437.9008 units of Sasco Master with cash equal to $16,364,407 and a contribution of open commodity futures contracts with a fair value of $(1,325,727). Sasco Master was formed in order to permit accounts managed now or in the future by Sasco using the Energy Program, a proprietary, discretionary trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Sasco Master. Individual and pooled accounts currently managed by Sasco, including the Partnership, are permitted to be limited partners of Sasco Master. The General Partner and Sasco believe that trading through this structure should promote efficiency and economy in the trading process.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

     On March 1, 2010, the assets allocated to Waypoint Capital Management LLC for trading were invested in the Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 26,581.6800 units of Waypoint Master with cash equal to $26,581,680. 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 program, 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 Capital LLP (“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 14,913.0290 units of PGR Master with cash equal to $14,913,029. PGR Master was formed to permit accounts managed now or in the future by PGR using the Mayfair Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for 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.

     On November 1, 2010, the assets allocated to Blackwater Capital Management LLC (“Blackwater”) for trading were invested in Blackwater Master Fund L.P. (“Blackwater Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 15,674.6940 units of Blackwater Master with cash equal to $15,674,694. Blackwater Master was formed to permit accounts managed now or in the future by Blackwater using the Global Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Blackwater Master. Individual and pooled accounts currently managed by Blackwater, including the Partnership, are permitted to be limited partners of Blackwater Master. The General Partner and Blackwater believe that trading through this structure should promote efficiency and economy in the trading process.

     On January 1, 2011, the assets allocated to J E Moody & Company LLC (“JE Moody”) for trading were invested in JEM Master Fund L.P. (“JEM Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 19,624.4798 units of JEM Master with cash equal to $19,624,480. JEM Master was formed to permit accounts managed now or in the future by J E Moody using the Commodity Relative Value Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for JEM Master. Individual and pooled accounts currently managed by J E Moody, including the Partnership, are permitted to be limited partners of JEM Master. The General Partner and J E Moody believe that trading through this structure should promote efficiency and economy in the trading process.

     On January 1, 2011, the assets allocated to Cirrus Capital Management LLC (“Cirrus”) for trading were invested in CMF Cirrus Master Fund L.P. (“Cirrus Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 22,270.9106 units of Cirrus Master with cash equal to $22,270,911. Cirrus Master was formed to permit accounts managed now or in the future by Cirrus using the Energy Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Cirrus Master. Individual and pooled accounts currently managed by Cirrus, including the Partnership, are permitted to be limited partners of Cirrus Master. The General Partner and Cirrus 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.

     Altis Master’s, Sasco Master’s, Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s and Cirrus Master’s (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 their capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

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

     At March 31, 2011, the Partnership owned approximately 21.6% of Altis Master, 15.7% of Sasco Master, 50.6% of Waypoint Master, 74.3% of PGR Master, 80.3% of Blackwater Master, 100% of JEM Master and 84.7% of Cirrus Master. At December 31, 2010, the Partnership owned approximately 27.6%, of Altis Master, 22.8% of Sasco Master, 52.0% of Waypoint Master, 74.9% of PGR Master and 77.3% of Blackwater Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

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

		March 31, 2011
		Total Assets				Total Liabilities				Total Capital
Altis Master		$	49,421,811			$	490,934			$	48,930,877
Sasco Master			109,008,174				6,899,009				102,109,165
Waypoint Master			39,176,243				71,071				39,105,172
Blackwater Master			30,230,892				36,968				30,193,924
PGR Master			27,797,437				43,941				27,753,496
JEM Master			23,142,222				9,000				23,133,222
Cirrus Master			26,677,107				9,000				26,668,107
Total		$	305,453,886			$	7,559,923			$	297,893,963

		December 31, 2010
		Total Assets				Total Liabilities				Total Capital
Altis Master		$	64,276,767			$	591,256			$	63,685,511
Sasco Master			81,882,294				198,664				81,683,630
Waypoint Master			41,306,976				59,330				41,247,646
Blackwater Master			25,966,821				28,810				25,938,011
PGR Master			20,415,391				28,810				20,386,581
Total		$	233,848,249			$	906,870			$	232,941,379

     Summarized information reflecting the net investment income (loss) from trading, 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				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
Altis Master		$	(53,257	)		$	(8,102,603	)		$	(8,155,860	)
Sasco Master			(369,953	)			(2,250,744	)			(2,620,697	)
Waypoint Master			(64,415	)			(1,606,979	)			(1,671,394	)
Blackwater Master			(27,505	)			1,020,708				993,203
PGR Master			(27,411	)			591,465				564,054
JEM Master			(105,156	)			(187,170	)			(292,326	)
Cirrus Master			(19,809	)			661,782				641,973
Total		$	(667,506	)		$	(9,873,541	)		$	(10,541,047	)
		For the three months ended March 31, 2010
		Net Investment				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
Altis Master		$	(39,025	)		$	2,136,066			$	2,097,041
Avant Master			(23,527	)			618,730				595,203
Sasco Master			(240,581	)			2,912,728				2,672,147
Waypoint Master			(11,498	)			573,053				561,555
Total		$	(314,631	)		$	6,240,577			$	5,925,946

     Summarized information reflecting the Partnership’s investments 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
		Partnership’s												Expenses								Net Income				Investment		Redemption
Funds		Net Assets				Fair Value				Income (Loss)				Brokerage Fees				Other				(Loss)				Objective		Permitted
Altis Master			5.46	%		$	10,570,079			$	(1,878,531	)		$	11,568			$	4,027			$	(1,894,126	)		Commodity Portfolio		Monthly
Sasco Master			8.29	%			16,032,181				(308,193	)			60,195				8,736				(377,124	)		Energy Portfolio		Monthly
Waypoint Master			10.24	%			19,799,346				(807,200	)			25,907				11,060				(844,167	)		Commodity Portfolio		Monthly
Blackwater Master			12.54	%			24,247,798				784,016				13,121				13,282				757,613			Commodity Portfolio		Monthly
PGR Master			10.67	%			20,627,846				451,151				5,842				17,762				427,547			Commodity Portfolio		Monthly
JEM Master			11.96	%			23,134,406				(182,227	)			101,099				9,000				(292,326	)		Commodity Portfolio		Monthly
Cirrus Master			11.68	%			22,585,284				566,264				14,597				7,626				544,041			Energy Portfolio		Monthly
Total						$	136,996,940			$	(1,374,720	)		$	232,329			$	71,493			$	(1,678,542	)

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

		December 31, 2010								For the three months ended March 31, 2010
		% of
		Partnership’s												Expenses								Net Income				Investment		Redemption
Funds		Net Assets				Fair Value				Income (Loss)				Brokerage Fees				Other				(Loss)				Objective		Permitted
Altis Master			9.57	%		$	17,568,791			$	732,462			$	12,988			$	4,069			$	715,405			Commodity Portfolio		Monthly
Avant Master			—				—				620,526				5,237				20,086				595,203			Energy Portfolio		Monthly
Sasco Master			10.17	%			18,664,413				1,894,258				77,157				82,723				1,734,378			Energy Portfolio		Monthly
Waypoint Master			11.69	%			21,455,619				408,513				6,097				4,393				398,023			Commodity Portfolio		Monthly
Blackwater Master			10.92	%			20,047,327				—				—				—				—			Commodity Portfolio		Monthly
PGR Master			8.32	%			15,273,707				—				—				—				—			Commodity Portfolio		Monthly
Total						$	93,009,857			$	3,655,759			$	101,479			$	111,271			$	3,443,009

6. Financial Instrument Risks:

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

     The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the 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 Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

     Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The 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 Partnership’s/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 Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/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 Partnership/Funds do not consider these contracts to be guarantees.

     The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition,

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

online monitoring systems provide account analysis of futures, exchange-cleared swaps, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

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

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.

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

     Partnership’s and 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 Partnership’s and 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 Fund’s Level 2 assets and liabilities.

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

     The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers 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 the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

     Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership’s and 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. Net realized gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

     The Partnership and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses 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 Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. 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 Partner’s Capital.

     Options. The Partnership/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 Partnership/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 Partnership/Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

     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 has 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 has 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 assets are its (i) investment in the Funds, (ii) equity in its trading account, consisting of cash, net unrealized appreciation on open futures contracts and net unrealized appreciation on open forward contracts, and (iii) interest receivables. Because of the low margin deposits normally required in futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and investment in the 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 net realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.

     For the three months ended March 31, 2011, Partnership capital increased 5.4% from $183,525,601 to $193,377,072. This increase was attributable by the subscriptions of 14,087.7825 Redeemable Units totaling $20,606,111, which was partially offset by a net loss from operations of $5,306,211 coupled with the redemption of 3,763.4126 Redeemable Units resulting in an outflow of $5,448,429. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

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 Partnership’s first quarter of 2011, the net asset value per unit decreased 2.7% from $1,479.60 to $1,439.23 as compared to an increase of 0.2% in the first quarter of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2011 of $1,959,067. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, U.S. and non-U.S. interest rates, livestock, and indices and were partially offset by gains in energy, grains, metals, and softs. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2010 of $3,359,837. Gains were primarily attributed to the Partnership/Funds’ trading of commodity futures in energy, grains, non-U.S. interest rates, metals, softs and indices and were partially offset by losses in currencies, U.S. interest rates and livestock.

     The most significant losses were incurred within the global interest rate sector. In January, losses were recorded from long positions in European fixed-income futures as prices declined after European Central Bank President Jean-Claude Trichet said inflationary pressures in the euro region may increase. Additional losses were recorded in February due to short positions in U.S. and European fixed-income futures as prices increased amid a “flight-to-safety” spurred by geopolitical concerns in the Middle East and North Africa. Within the currency sector, losses were recorded primarily in January as the value of the Australian dollar, Swiss franc, Japanese yen, and Canadian dollar moved lower against the U.S. dollar following stronger-than-expected U.S. factory data and the release of minutes from the latest U.S. Federal Reserve meeting that showed optimism about the U.S. economy. The U.S. dollar was further supported by positive reports on American jobs growth and optimistic forecasts on the service industries, boosting demand for the U.S. currency. Within the global stock index markets, losses were experienced primarily during March from long positions in the global equity index futures as prices moved sharply lower following the worst earthquake and tsunami in Japanese history. Within the livestock sector, losses were registered in March as prices whipsawed. Initially meat prices dropped following the earthquake and tsunami in Japan due to lower demand expectation. However, prices unexpectedly rebounded in the second half of the month as speculation that the natural disaster and the radiation leaks will force the country to import more processed food and meat.

     A portion of the Partnership’s losses for the quarter was offset by gains achieved within the energy markets 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 experienced in February due to long futures positions in brent crude and heating oil as prices rose sharply after violence escalated in the Libya, prompting fear of contagion to other nations in the region and causing concern that crude oil supplies may be disrupted. Gains were achieved within the agricultural complex, primarily during January and February, due to long futures positions in cotton as prices increased on signs that global output may fail to keep pace with

rising demand in China, the world’s biggest buyer of the fiber. Additional gains were earned in trading corn and coffee throughout the quarter.

     Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/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 Partnership expects to increase capital through operations.

     Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its (or the Partnership’s allocable portion of a Fund’s) account during each month at the 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. Interest income for the three months ended March 31, 2011 increased by $21,013, as compared to the corresponding period in 2010. The increase in interest income is due to higher U.S. Treasury bill rates during the three ended March 31, 2011 as compared to the corresponding period in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership and the Funds depends on the average daily equity in the Partnership’s/Fund’s account and upon interest rates over which neither the Partnership and the Funds nor CGM has control.

     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. Brokerage fees for the three months ended March 31, 2011 increased by $349,563, as compared to the corresponding period in 2010. The increase in brokerage and fees is due to higher 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 adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2011 increased by $16,083, as compared to the corresponding period in 2010. The increase in management fees is due to higher average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

     Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These 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. Administrative fees for the three months ended March 31, 2011 increased by $31,002, as compared to the corresponding period in 2010. The increase in administrative fees is due to higher average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

     Incentive fees paid by the Partnership to the Advisors are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three ended March 31, 2011 resulted in incentive fees of $119,461. Trading performance for the three months ended March 31, 2010, resulted in incentive fees of $115,578.

     In allocating the assets of the Partnership among the Advisors, the General Partner conducts proprietary research and considers the background of the Advisors’ principals, as well as the Advisors’ trading styles, strategies and markets traded, expected volatility, trading results (to the extent available) and fee requirements. The General Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets to additional advisors at any time.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

     The Partnership/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 Partnership’s/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 Partnership’s main line of business.

     The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the 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 movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/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 fair value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

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

     “Value at Risk” is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/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 Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

     Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. 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. Some of 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. Other Advisors directly trade managed accounts in the Partnership’s name. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed accounts in the Partnership’s name) and indirectly 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 $193,377,072.

March 31, 2011

						% of Total
Market Sector		Value at Risk				Capitalization
Currencies		$	7,966,650				4.12	%
Energy			2,523,712				1.30	%
Grains			618,164				0.32	%
Indices			1,974,215				1.02	%
Interest Rates U.S.			1,779,359				0.92	%
Interest Rates Non-U.S.			1,649,399				0.85	%
Livestock			504,783				0.26	%
Lumber			2,592				0.00	%*
Metals			2,065,601				1.07	%
Softs			957,802				0.50	%
Total		$	20,042,277				10.36	%

     As of December 31, 2010, the Partnership’s total capitalization was $183,525,601.

December 31, 2010

						% of Total
Market Sector		Value at Risk				Capitalization
Currencies		$	3,742,488				2.05	%
Energy			3,712,642				2.02	%
Grains			610,757				0.33	%
Indices			3,061,953				1.67	%
Interest Rates U.S.			653,137				0.36	%
Interest Rates Non-U.S.			1,216,750				0.66	%
Livestock			268,789				0.15	%
Lumber			1,435				0.00	%*
Metals			1,427,354				0.78	%
Softs			756,573				0.41	%
Total		$	15,451,878				8.43	%

     The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and through its investments in the Funds by market category as of March 31, 2011 and December 31, 2010, the highest, lowest and average values during the three months ended March 31, 2011 and the twelve months ended December 31, 2010. All open contracts trading risk exposures have been included in calculating the figures set forth below. There has been no material change 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, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

March 31, 2011

										Three months ended March 31, 2011
		Value at				% of Total				High				Low				Average Value
Market Sector		Risk				Capital				Value at Risk				Value at Risk				at Risk*
Currencies		$	2,191,443				1.13	%		$	2,655,434			$	1,266,734			$	2,048,117
Energy			713,480				0.37	%			804,337				260,253				657,742
Grains			435,130				0.22	%			651,925				113,300				406,827
Indices			1,149,722				0.60	%			2,523,159				893,439				1,418,348
Interest Rates U.S.			1,062,657				0.55	%			1,154,807				734,800				920,069
Interest Rates Non-U.S.			640,198				0.33	%			882,250				414,631				640,988
Livestock			188,000				0.10	%			215,275				118,525				167,850
Metals			1,543,933				0.80	%			1,641,692				295,664				1,032,922
Softs			694,183				0.36	%			694,183				238,619				548,728
Total		$	8,618,746				4.46	%