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EX-32.1 - EX-32.1 - WESTPORT FUTURES FUND L.P.y04753exv32w1.htm
EX-32.2 - EX-32.2 - WESTPORT FUTURES FUND L.P.y04753exv32w2.htm
EX-31.1 - EX-31.1 - WESTPORT FUTURES FUND L.P.y04753exv31w1.htm
EX-31.2 - EX-31.2 - WESTPORT FUTURES FUND L.P.y04753exv31w2.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 000-24111
 
WESTPORT JWH FUTURES FUND L.P.
 
(Exact name of registrant as specified in its charter)
 
     
New York   13-3939393
     
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification No.)
 
c/o Ceres Managed Futures LLC
522 Fifth Ave — 14th 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 this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes     No   
 
Indicate by check mark 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, 37,154.0421 Limited Partnership Redeemable Units were outstanding.


 

 
WESTPORT JWH FUTURES FUND L.P.
 
FORM 10-Q
 
INDEX
 
             
        Page
        Number
 
 
           
 
                Item 1.
    Financial Statements:    
           
        Statements of Financial Condition at
March 31, 2011 (unaudited) and December 31, 2010
  3
           
        Condensed 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 including the Financial Statements of JWH Master Fund LLC (unaudited)   7 – 22
           
 
                Item 2.
    Management’s Discussion and Analysis
of Financial Condition and Results of Operations
  23 – 25
           
 
                Item 3.
    Quantitative and Qualitative Disclosures about Market Risk   26 – 28
           
 
                Item 4.
    Controls and Procedures   29
     
  30 - 33
     
   
 
Ex. 31.1 Certification
Ex. 31.2 Certification
Ex. 32.1 Certification
Ex. 32.2 Certification
       


2


 

 
PART I
 
 
Item 1. Financial Statements
 
 
Westport JWH Futures Fund L.P.
Statements of Financial Condition
                 
    (unaudited)        
    March 31,     December 31,  
    2011     2010  
Assets:
               
Investment in JWH Master, at fair value
  $ 59,853,797     $ 56,636,675  
Equity in trading account:
               
Cash
    7,667,104       7,604,362  
Cash margin
    1,056,104       735,316  
Net unrealized appreciation on open futures contracts
    321,513       329,705  
Net unrealized appreciation on open forward contracts
          99,712  
 
           
 
    68,898,518       65,405,770  
Interest receivable
    369       544  
 
           
Total assets
  $ 68,898,887     $ 65,406,314  
 
           
 
               
Liabilities and Partners’ Capital
               
Liabilities:
               
Net unrealized depreciation on open forward contracts
  $ 13,006     $  
Accrued expenses:
               
Brokerage fees
    301,373       299,779  
Management fees
    114,091       108,308  
Incentive fees
    612        
Other
    129,359       121,685  
Redemptions payable
    1,107,606       180,831  
 
           
Total liabilities
    1,666,047       710,603  
 
           
 
Partners’ Capital:
               
General Partner, 400.0879 unit equivalents outstanding at March 31, 2011 and December 31, 2010
    721,398       696,573  
Limited Partners, 36,887.2105 and 36,758.9460 Redeemable Units outstanding at March 31, 2011 and December 31, 2010, respectively
    66,511,442       63,999,138  
 
           
Total partners’ capital
    67,232,840       64,695,711  
 
           
Total liabilities and partners’ capital
  $ 68,898,887     $ 65,406,314  
 
           
Net asset value per unit
  $ 1,803.10     $ 1,741.05  
 
           
 
See accompanying notes to financial statements.


3


 

Westport JWH Futures Fund L.P.
Condensed Schedule of Investments
March 31, 2011
(Unaudited)
                         
    Number of             % of Partners’  
  Contracts     Fair Value     Capital  
Futures Contracts Purchased
                       
Currencies
    69     $ 33,362       0.05 %
Energy
    21       59,210       0.09  
Grains
    40       19,963       0.03  
Indices
    17       20,444       0.03  
Interest Rates U.S.
    32       (8,400 )     (0.01 )
Interest Rates Non-U.S.
    3       1,448       0.00 *
Livestock
    8       28,480       0.04  
Metals
    6       9,650       0.01  
Softs
    18       182,713       0.27  
 
                   
Total futures contracts purchased
            346,870       0.51  
 
                   
 
                       
Futures Contracts Sold
                       
Indices
    3       (26,789 )     (0.04 )
Interest Rates U.S.
    14       (2,125 )     (0.00 )*
Interest Rates Non-U.S.
    46       5,527       0.00 *
Softs
    2       (1,970 )     (0.00 )*
 
                   
Total futures contracts sold
            (25,357 )     (0.04 )
 
                   
 
                       
Unrealized Appreciation on Open Forward Contracts
                       
Metals
    7       13,431       0.02  
 
                   
Total unrealized appreciation on open forward contracts
            13,431       0.02  
 
                   
 
                       
Unrealized Depreciation on Open Forward Contracts
                       
Metals
    6       (26,437 )     (0.04 )
 
                   
Total unrealized depreciation on open forward contracts
            (26,437 )     (0.04 )
 
                   
 
Investment in JWH Master
            59,853,797       89.03  
 
                   
Net fair value
          $ 60,162,304       89.48 %
 
                   
 

*    Due to rounding.
 

See accompanying notes to financial statements.


4


 

Westport JWH Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2010
 
                         
    Number of
          % of Partners’
 
    Contracts     Fair Value     Capital  
 
Futures Contracts Purchased
                       
Currencies
    26     $ 121,719       0.19 %
Energy
    14       24,947       0.04  
Grains
    40       142,491       0.22  
Indices
    39       (1,191 )     (0.00 )*
Livestock
    8       11,920       0.02  
Metals
    6       56,575       0.09  
Softs
    27       35,342       0.05  
                         
Total futures contracts purchased
            391,803       0.61  
                         
Futures Contracts Sold
                       
Currencies
    6       (13,875 )     (0.02 )
Energy
    10       (12,500 )     (0.02 )
Interest Rates U.S. 
    13       (4,644 )     (0.01 )
Interest Rates Non-U.S. 
    25       (31,079 )     (0.05 )
                         
Total futures contracts sold
            (62,098 )     (0.10 )
                         
Unrealized Appreciation on Open Forward Contracts
                       
Metals
    11       99,712       0.15  
                         
Total unrealized appreciation on open forward contracts
            99,712       0.15  
                         
 
                       
Investment in JWH Master
            56,636,675       87.54  
                         
Net fair value
          $ 57,066,092       88.20 %
                         
 
* Due to rounding.
 
See accompanying notes to financial statements.


5


 

                 
    Three Months Ended  
    March 31,  
    2011     2010  
Investment income:
               
Interest income
  $ 1,728     $ 962  
Interest income from investment in JWH Master
    11,357       5,066  
 
           
Total investment income
    13,085       6,028  
 
           
 
               
Expenses:
               
Brokerage fees including clearing fees
    937,645       714,015  
Management fees
    341,672       252,415  
Incentive fees
    612        
Other expenses
    117,134       88,483  
 
           
Total expenses
    1,397,063       1,054,913  
 
           
Net investment income (loss)
    (1,383,978 )     (1,048,885 )
 
           
 
               
Trading Results:
               
Net gains (losses) on trading of commodity interests and investment in JWH Master
               
Net realized gains (losses) on closed contracts
    329,298       (278,724 )
Net realized gains (losses) on investment in JWH Master
    3,553,144       (3,378,594 )
Change in net unrealized gains (losses) on open contracts
    (120,910 )     60,102  
Change in net unrealized gains (losses) on investment in JWH Master
    (38,313 )     1,543,855  
 
           
Total trading results
    3,723,219       (2,053,361 )
 
           
Net income (loss)
    2,339,241       (3,102,246 )
Subscriptions-Limited Partners
    2,081,872       285,000  
Redemptions-Limited Partners
    (1,883,984 )     (1,185,026 )
 
           
Net increase (decrease) in Partners’ capital
    2,537,129       (4,002,272 )
Partners’ Capital, beginning of period
    64,695,711       53,461,385  
 
           
Partners’ Capital, end of period
  $ 67,232,840     $ 49,459,113  
 
           
Net asset value per unit (37,287.2984 and 37,242.6177 units outstanding at March 31, 2011 and 2010, respectively)
  $ 1,803.10     $ 1,328.02  
 
           
 
               
Net income (loss) per unit*
  $ 62.05     $ (81.41 )
 
           
 
               
Weighted average units outstanding
    37,786.4854       37,867.0203  
 
           
 
*   Based on change in net asset value per unit.
 
See accompanying notes to financial statements.


6


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
1.   General:
 
Westport JWH Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 21, 1997 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts and forward contracts. The sectors traded include energy, currencies, grains, U.S. and non-U.S. interest rates, indices, softs, livestock and metals. The Partnership commenced trading on August 1, 1997. The commodity interests that are traded by the Partnership, directly, and through its investment in JWH Master Fund LLC (“JWH Master”), are volatile and involve a high degree of market risk. The Partnership privately and continuously offers up to 200,000 redeemable units of limited partnership interest (“Redeemable Units”) 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 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 John W. Henry & Company, Inc. (the “Advisor”).
 
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 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.
 


7


 

 
Westport JWH 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) *
  $ 73.87     $ (72.57 )
Interest Income
    0.36       0.16  
Expenses **
    (12.18 )     (9.00 )
 
           
Increase (decrease) for the period
    62.05       (81.41 )
Net asset value per unit, beginning of period
    1,741.05       1,409.43  
 
           
Net asset value per unit, end of period ***
  $ 1,803.10     $ 1,328.02  
 
           
 
*   Includes brokerage fees.
 
**   Excludes brokerage fees.
 
                 
    Three Months Ended  
    March 31,  
    2011     2010  
Ratios to Average Net Assets:***
               
Net investment income (loss) before incentive fees****
    (8.4 )%     (8.4 )%
 
           
 
Operating expenses
    8.5 %     8.4 %
Incentive fees
    %*****     %
 
           
Total expenses
    8.5 %     8.4 %
 
           
 
Total return:
               
Total return before incentive fees
    3.6 %     (5.8 )%
Incentive fees
    %*****     %
 
           
Total return after incentive fees
    3.6 %     (5.8 )%
 
           
 
*** Annualized (other than incentive fees).
 
**** Interest income less total expenses (exclusive of incentive fees).
 
***** Due to rounding.
 
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.

8


 

Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
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 JWH Master and CGM give the Partnership and JWH Master, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership and JWH Master 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. The monthly average number of futures contracts traded during the three months ended March 31, 2011 and 2010 were 289 and 245, respectively. The monthly average number of metal forward contracts traded during the three months ended March 31, 2011 and 2009 were 19 and 23, respectively.
 
The monthly average number of futures contracts traded by JWH Master, during the three months ended March 31, 2011 and 2010 were 2,197 and 2,019, 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.
 
     The following tables indicate the Partnership’s gross fair values of derivative instruments of futures and forward contracts traded directly by the Partnership as separate assets and liabilities as of March 31, 2011 and December 31, 2010.
         
Assets      
Futures Contracts   March 31, 2011  
Currencies
  $ 69,150  
Energy
    59,210  
Grains
    26,162  
Indices
    22,488  
Interest Rates Non-U.S.
    7,579  
Livestock
    28,480  
Metals
    9,650  
Softs
    182,712  
 
     
Total unrealized appreciation on open futures contracts
  $ 405,431  
 
     
         
Liabilities    
Futures Contracts      
Currencies
  $ (35,788 )
Grains
    (6,200 )
Indices
    (28,832 )
Interest Rates U.S.
    (10,525 )
Interest Rates Non-U.S.
    (603 )
Softs
    (1,970 )
 
     
Total unrealized depreciation on open futures contracts
  $ (83,918 )
 
     
Net unrealized appreciation on open futures contracts
  $ 321,513
 
     
         
Assets      
Forward Contracts      
Metals
  $ 13,431  
 
     
Total unrealized appreciation on open forward contracts
  $ 13,431  
 
     
         
Liabilities    
Forward Contracts        
Metals
  $ (26,437 )
       
Total unrealized depreciation on open forward contracts
  $ (26,437 )
       
Net unrealized depreciation on open forward contracts
  $ (13,006 )**
       
 
*   This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
 
**   This amount is in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.


9


 

Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
         
    December 31, 2010  
 
Assets
       
Futures Contracts
       
Currencies
  $ 122,819  
Energy
    24,947  
Grains
    142,491  
Indices
    14,510  
Interest Rates Non-U.S. 
    989  
Livestock
    11,920  
Metals
    56,575  
Softs
    50,963  
         
Total unrealized appreciation on open futures contracts
  $ 425,214  
         
Liabilities
       
Futures Contracts
       
Currencies
  $ (14,975 )
Energy
    (12,500 )
Indices
    (15,702 )
Interest Rates U.S. 
    (4,644 )
Interest Rates Non-U.S. 
    (32,068 )
Softs
    (15,620 )
         
Total unrealized depreciation on open futures contracts
  $ (95,509 )
         
Net unrealized appreciation on open futures contracts
  $ 329,705 *
         
 
*This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
 
         
    December 31, 2010  
 
Assets
       
Forward Contracts
       
Metals
  $ 99,712  
         
Total unrealized appreciation on open forward contracts
    99,712  
         
Net unrealized appreciation on open forward contracts
  $ 99,712 **
         
 
**This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.
 
 
The following tables indicate the trading results, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2011 and 2010.
                 
    Three month ended
    March 31,
Sector   2011   2010
Currencies
  $ (225,127 )   $ (84,352 )
Energy
    158,772       110,323  
Grains
    37,191       (59,100 )
Indices
    (132,736 )     (47,578 )
Interest Rates U.S.
    (55,537 )     (69,896 )
Interest Rates Non-U.S.
    21,746       78,319  
Livestock
    24,250       27,060  
Metals
    3,665       (68,869 )
Softs
    376,164       (104,529 )
 
       
Total
  $ 208,388 ***   $ (218,622 )***
 
       
 
*** This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.


10


 

Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
4.   Fair Value Measurements:
 
Partnership’s and JWH Master’s Investments.  All commodity interests held by the Partnership and JWH Master (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 gain or loss from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
 
     Partnership’s and JWH Master’s 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 JWH Master’s 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 Level 2 assets and liabilities.
     The Partnership 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 by GAAP.


11


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
The Partnership and JWH Master consider prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). Investments in JWH Master (or 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 of JWH Master (Level 2). The value of the Partnership’s investment in JWH Master reflects its proportional interest in JWH Master. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and JWH Master 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).
 
                                 
          Quoted Prices in
             
          Active Markets for
    Significant Other
    Significant
 
          Identical Assets
    Observable Inputs
    Unobservable Inputs
 
    March 31, 2011     (Level 1)     (Level 2)     (Level 3)  
 
Assets
                               
Futures
  $ 405,431     $ 405,431     $     $  
Forwards
    13,431       13,431              
                                 
Investment in JWH Master
    59,853,797             59,853,797        
                                 
Total assets
    60,272,659       418,862       59,853,797      
                                 
 
Liabilities
                               
Futures
    83,918       83,918          
Forwards
    26,437       26,437              
                                 
Total Liabilities
    110,355       110,355              
                                 
Net fair value
  $ 60,162,304     $ 308,507     $ 59,853,797     $  
                                 
 
          Quoted Prices in
             
          Active Markets for
    Significant Other
    Significant
 
          Identical Assets
    Observable Inputs
    Unobservable Inputs
 
    December 31, 2010*     (Level 1)     (Level 2)     (Level 3)  
 
Assets
                               
Forwards
  $ 99,712     $ 99,712     $     $  
Futures
    425,214       425,214              
Investment in JWH Master
    56,636,675             56,636,675        
 
                       
Total assets
  $ 57,161,601     $ 524,926     $ 56,636,675        
 
                       
 
Liabilities
                               
Futures
    95,509       95,509          
                                 
Total Liabilities
    95,509       95,509              
 
                       
Net fair value
  $ 57,066,092     $ 429,417     $ 56,636,675     $  
 
                       
 
*   The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation based on new fair value guidance.
5.   Investment in JWH Master:
 
The Advisor trades a portion of the assets allocated to the Advisor directly, in accordance with the systematic JWH Diversified Plus Program. On January 2, 2008, 80% of the assets allocated to the Advisor for trading were invested in JWH Master, a limited liability company organized under the laws of the State of New York. The Partnership purchased 29,209.3894 units of JWH Master (each, a “Unit of Member Interest”) with cash equal to $39,540,753. JWH Master was formed in order to permit accounts managed by the Advisor using the Global Analytics Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of the JWH Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be non-managing members of JWH Master. The General Partner and the Advisor believe that trading through this structure promotes efficiency and economy in the trading process.
 
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2011.


12


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
JWH Master’s trading of futures and forward contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. JWH Master engages in such trading through commodity brokerage accounts maintained by CGM.
 
A non-managing member may withdraw all or part of its redeemable capital contributions and undistributed profits, if any, from JWH Master in multiples of the net asset value per Unit of Member Interest 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 Unit of Member Interest is classified as a liability when the non-managing member elects to redeem and informs JWH Master.
 
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 Partnership and through its investment in JWH Master. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.
 
At March 31, 2011, the Partnership owned approximately 78.8% of JWH Master. At December 31, 2010, the Partnership owned approximately 78.7% of JWH Master. The Partnership intends to continue to invest a portion of its assets in JWH Master. The performance of the Partnership is directly affected by the performance of JWH Master. Expenses to investors as a result of the investment in JWH Master are approximately the same and redemption rights are not affected.
The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Members’ Capital for the three months ended March 31, 2011 and 2010 are presented below:
JWH Master Fund LLC
Statements of Financial Condition
                 
    (Unaudited)        
    March 31,     December 31,  
    2011     2010  
Assets:
               
Equity in trading account:
               
Cash
  $ 63,963,204     $ 58,147,328  
Cash margin
    7,850,842       9,601,427  
Net unrealized appreciation on open futures contracts
    4,266,450       4,314,312  
 
           
Total assets
  $ 76,080,496     $ 72,063,067  
 
           
 
Liabilities and Member’s Capital:
               
Liabilities:
               
Accrued expenses:
               
Professional fees
  $ 103,651     $ 71,427  
 
           
Total liabilities
    103,651       71,427  
 
           
 
Members’ Capital:
               
Members’ Capital, 21,130.9323 and 21,244.0589 units outstanding at March 31, 2011 and December 31, 2010, respectively
    75,976,845       71,991,640  
 
           
Total liabilities and members’ capital
  $ 76,080,496     $ 72,063,067  
 
           
Net asset value per unit
  $ 3,595.53     $ 3,388.79  
 
           


13


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
JWH Master Fund LLC
Condensed Schedule of Investments
March 31, 2011
(Unaudited)
 
                         
    Number of             % of Members’  
    Contracts     Fair Value     Capital  
Futures Contracts Purchased
                       
Currencies
    219     $ 576,281       0.76 %
Energy
    266       626,242       0.82  
Grains
    40       (41,312 )     (0.05 )
Interest Rates U.S.
    208       (137,569 )     (0.18 )
Interest Rates Non-U.S.
    17       (106,631 )     (0.14 )
Metals
    240       2,212,500       2.91  
Softs
    384       2,305,805       3.03  
 
                   
Total futures contracts purchased
            5,435,316       7.15  
 
                   
 
Futures Contracts Sold
                       
Currencies
    50       (8,000 )     (0.01 )
Grains
    160       (504,113 )     (0.66 )
Indices
    47       (656,712 )     (0.86 )
Interest Rates Non-U.S.
    246       61,951       0.08  
Softs
    54       (61,992 )     (0.08 )
 
                   
Total futures contracts sold
            (1,168,866 )     (1.53 )
 
                   
 
                       
Net fair value
          $ 4,266,450       5.62 %
 
                   


14


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
JWH Master Fund LLC
Condensed Schedule of Investments
December 31, 2010
 
                         
    Number of
          % of Members’
 
    Contracts     Fair Value     Capital  
 
Futures Contracts Purchased
                       
Currencies
    328     $ 608,700       0.85 %
Energy
    212       361,671       0.50  
Grains
    390       530,375       0.74  
Indices
    68       57,461       0.08  
Interest Rates Non-U.S. 
    37       4,326       0.01  
Metals
    236       2,104,700       2.92  
Softs
    592       563,962       0.78  
                         
Total futures contracts purchased
            4,231,195       5.88  
                         
Futures Contracts Sold
                       
Currencies
    46       (41,600 )     (0.06 )
Energy
    3       (3,750 )     (0.01 )
Interest Rates U.S. 
    318       321,553       0.45  
Interest Rates Non-U.S. 
    228       (193,086 )     (0.27 )
                         
Total futures contracts sold
            83,117       0.11  
                         
Net fair value
          $ 4,314,312       5.99 %
                         


15


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
JWH Master Fund LLC
Statements of Income and Expenses and Changes in Members’ Capital
(Unaudited)
                 
    Three Months Ended  
    March 31,  
    2011     2010  
Investment Income:
               
Interest income
  $ 15,166     $ 6,686  
 
           
Total investment income
  15,166     6,686  
 
           
Expenses:
               
Clearing fees
    23,123       16,408  
Professional fees
    42,224       19,191  
 
           
Total expenses
    65,347       35,599  
 
           
Net investment income (loss)
    (50,181 )     (28,913 )
 
           
 
               
Trading Results:
               
Net gains (losses) on trading of commodity interests:
               
Net realized gains (losses) on closed positions
    4,502,223       (4,234,841 )
Change in net unrealized gains (losses) on open positions
    (47,862 )     1,936,754  
 
           
Total trading results
    4,454,361       (2,298,087 )
 
           
Net income (loss)
    4,404,180       (2,327,000 )
Subscriptions
    1,765,498       348,000  
Redemptions
    (2,169,307 )     (1,967,579 )
Distribution of interest income to feeder funds
    (15,166 )     (6,686 )
 
           
Net increase (decrease) in Members’ Capital
    3,985,205       (3,953,265 )
Members’ capital, beginning of period
    71,991,640       56,933,016  
 
           
Members’ capital, end of period
  $ 75,976,845     $ 52,979,751  
 
           
Net asset value per unit (21,130.9323 and 22,480.6170 units outstanding in March 31, 2011 and 2010, respectively)
  $ 3,595.53     $ 2,356.69  
 
           
Net income (loss) per unit*
  $ 207.46     $ (100.91 )
 
           
Weighted average units outstanding
    21,396.2349       23,032.0959  
 
           
 
*   Based on change in net asset value per unit.


16


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
     JWH Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended March 31, 2011 and December 31, 2010, JWH Master 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).
 
                                 
          Quoted Prices in
             
          Active Markets
    Significant Other
    Significant
 
          for Identical
    Observable Inputs
    Unobservable
 
    March 31, 2011     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
 
Assets
                               
Futures
  $ 5,817,500     $ 5,817,500     $     $  
 
                       
Total assets
    5,817,500     5,817,500          
 
                       
 
Liabilities
                               
Futures
    1,551,050       1,551,050          
                                 
Total Liabilites
    1,551,050       1,551,050              
 
                       
Net fair value
  $ 4,266,450     $ 4,266,450     $     $  
                                 
                                 
                                 
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    December 31, 2010*     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
 
                               
Assets
                               
Futures
  $ 5,068,371     $ 5,068,371     $     $  
 
                       
Total assets
    5,068,371       5,068,371              
 
                       
 
Liabilities
                               
Futures
    754,059       754,059          
                                 
Total Liabilites
    754,059       754,059              
 
                       
Net fair value
  $ 4,314,312     $ 4,314,312     $     $  
 
                       
 
                               
 
*   The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation based on new fair value guidance.


17


 

 
 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
Financial Highlights of JWH Master:
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)*
  $ 208.73     $ (100.36 )
Interest income
    0.72       0.30  
Expenses**
    (1.99 )     (0.85 )
 
           
Increase (decrease) for the period
    207.46       (100.91 )
Distributions of interest income to feeder funds
    (0.72 )     (0.30 )
Net asset value per unit, beginning of period
    3,388.79       2,457.90  
 
           
Net asset value per unit, end of period
  $ 3,595.53     $ 2,356.69  
 
           
     
*   Includes clearing fees.
 
**   Excludes clearing fees.
                 
    Three Months Ended  
    March 31,  
    2011     2010  
Ratios to average net assets:***
               
Net investment income (loss)****
    (0.3 )%     (0.2 )%
 
           
Operating expenses
    0.4 %     0.3 %
 
           
Total return
    6.1 %     (4.1 )%
 
           
 
***   Annualized (other than incentive fees).
 
****   Interest income less total expenses (exclusive of incentive fees).
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 non-managing member class using the non-managing member’s share of income, expenses and average net assets.


18


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
The following tables indicate JWH Master’s gross fair values of derivative instruments of futures contracts as separate assets and liabilities as of March 31, 2011 and December 31, 2010.
 
         
    March 31, 2011  
Assets
       
Futures Contracts
       
Currencies
  $ 591,300  
Energy
    643,922  
Interest Rates Non-U.S.
    63,973  
Metals
    2,212,500  
Softs
    2,305,805  
 
     
Total unrealized appreciation on open futures contracts
  $ 5,817,500  
 
     
 
Liabilities
       
Futures Contracts
       
Currencies
  $ (23,019 )
Energy
    (17,680 )
Grains
    (545,425 )
Indices
    (656,712 )
Interest Rates U.S.
    (137,569 )
Interest Rates Non-U.S.
    (108,653 )
Softs
    (61,992 )
 
     
Total unrealized depreciation on open futures contracts
  $ (1,551,050 )
 
     
Net unrealized appreciation on open futures contracts
  $ 4,266,450 *
 
     
         
    December 31, 2010  
Assets
       
Futures Contracts
       
Currencies
  $ 608,700  
Energy
    362,521  
Grains
    530,375  
Indices
    57,461  
Interest Rates U.S. 
    342,828  
Interest Rates Non-U.S. 
    149,777  
Metals
    2,104,700  
Softs
    912,009  
         
Total unrealized appreciation on open futures contracts
  $ 5,068,371  
         
Liabilities
       
Futures Contracts
       
Currencies
  $ (41,600 )
Energy
    (4,600 )
Interest Rates U.S.
    (21,275 )
Interest Rates Non-U.S.
    (338,537 )
Softs
    (348,047 )
         
Total unrealized depreciation on open futures contracts
  $ (754,059 )
         
Net unrealized appreciation on open futures contracts
  $ 4,314,312 *
         
 
* This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.


19


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
The following tables indicate JWH Master’s total trading results, by market sector, on derivative instruments for the three months ended March 31, 2011 and 2010.
                 
    Three Months Ended
March 31,
Sector   2011     2010  
Currencies
  $ (1,192,848 )   $ 684,042
Energy
    4,315,497     (871,356 )
Grains
    (1,486,900 )     15,639
Indices
    (970,965 )     (126,600 )
Interest Rates U.S.
    (202,807 )     (282,912 )
Interest Rates Non-U.S.
    (206,321 )     43,944
Metals
    1,218,895     (2,597,160 )
Softs
    2,979,810     836,316
 
       
Total
  $ 4,454,361 *   $ (2,298,087 )*
 
       
 
* This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Members’ Capital.
6.   Financial Instrument Risks:
 
In the normal course of business, the Partnership and JWH Master are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards and futures 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 on specific terms on 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 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 and JWH Master 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 and JWH Master are exposed to 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 and JWH Master’s 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 and JWH Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership and JWH Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership and JWH Master have credit risk and concentration risk, as the sole counterparty or broker with respect to the Partnership and JWH Master 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 and JWH Master counterparty is an exchange or clearing organization.
 
The General Partner monitors and attempts to control the Partnership’s and JWH Master’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 Partnership and JWH Master 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 and forward contracts 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 and JWH Master’s business, these instruments may not be held to maturity.


20


 

 
Westport JWH 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.
 
Partnership’s and JWH Master’s Investments.  All commodity interests held by the Partnership and JWH Master (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 commodity futures 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 JWH Master’s 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 JWH Master’s 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 Level 2 assets and liabilities.
     The Partnership will separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required by GAAP.
 
The Partnership and JWH Master consider prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward, for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). Investments in JWH Master or (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 JWH Master reflects its proportional interest in JWH Master. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and JWH Master 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).
 


21


 

 
Westport JWH Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 
Futures Contracts.   The Partnership and JWH Master trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery 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 JWH Master 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 JWH Master. When the contract is closed, the Partnership and JWH Master 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.
 
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 JWH Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and JWH Master 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 JWH Master. 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 JWH Master 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.
 
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.”


22


 

 
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 (i) investment in JWH Master (ii) equity in trading account, consisting of cash, net unrealized appreciation on open futures contracts and net unrealized depreciation on open forward contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2011.
 
The Partnership’s capital consists of the capital contributions of its partners, as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any.
 
For the three months ended March 31, 2011, Partnership capital increased 3.9% from $64,695,711 to $67,232,840. This increase was attributable to net income from operations of $2,339,241, coupled with subscriptions of 1,176.0455 Redeemable Units totaling $2,081,872, which was partially offset by the redemption of 1,047.7810 Redeemable Units totaling $1,883,984. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.
 
JWH Master’s capital consists of the capital contributions of its members increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemption, of Units of Member Interest and distributions of profits if any.
 
For the three months ended March 31, 2011, JWH Master’s capital increased 5.5% from $71,991,640 to $75,976,845. This increase was attributable to a net income from operations of $4,404,180 coupled with the subscriptions of 508.1968 Units of Member Interest totaling $1,765,498 which was partially offset by the redemption of 621.3233 Units of Member Interest totaling $2,169,307 and distribution of interest income to feeder funds totaling $15,166. 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 and JWH Master record 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.


23


 

 
Results of Operations
     During the Partnership’s first quarter of 2011, the net asset value per unit increased 3.6% from $1,741.05 to $1,803.10 as compared to a decrease of 5.8% in the first quarter of 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $3,723,219. Gains were primarily attributable to the Partnership’s and JWH Masters’ trading of commodity futures in energy, livestock, metals and softs and were partially offset by losses in currencies, grains, U.S. and non-U.S. interest rates and indices. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2010 of $2,053,361. Losses were primarily attributable to the Partnership’s and JWH Masters’ trading of commodity futures in metals, indices, energy, grains and U.S. interest rates and were partially offset by gains in currencies, livestock, non-U.S. interest rates and softs.
     The most significant gains were recorded within the energy markets throughout the majority of the quarter from long futures positions in crude oil and its related products as prices rose amid an escalation in political instability in the Middle East and North Africa, prompting concerns that crude supplies may be disrupted. Within the agricultural complex, gains were experienced primarily during January and February due to long positions in cotton futures 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. Within the metals markets, gains were achieved primarily during February and March from long positions in silver futures as prices extended a rally to a 30-year high after mounting unrest in the Middle East spurred demand for the precious metal as a “safe haven.”
     A portion of the Partnership’s gains for the quarter was offset by losses incurred within the currency markets throughout the quarter, particularly in February and March, from long positions in the Japanese yen versus the U.S. dollar. The Japanese yen whipsawed as it reversed from near or all-time highs, first on the unwinding of the carry trade as investors sought a “safe haven” in response to geopolitical turmoil, and then after the G-7 countries coordinated intervention to halt the rise of the yen in the wake of the disaster in Japan. Within the global stock index markets, losses were experienced primarily during March from long positions in Japanese equity index futures as prices moved sharply lower following the worst earthquake and tsunami in Japanese history. Lastly, losses were incurred within the global interest rate sector, primarily during March, due to long positions in Japanese fixed-income futures after prices fell as optimism about the nuclear threat being stabilized reduced demand for the relative “safety” of government debt.
 
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increases the potential profit or loss. The profitability of the Partnership and JWH Master depends on the existence of major price trends and the ability of the Advisor 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 Advisor is able to identify them, the Partnership expects to increase capital through operations.


24


 

Interest income on 80% of the daily average equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of JWH Master) account was earned at the monthly average of the 30-day U.S. Treasury bill yield. CGM may continue to maintain the Partnership’s assets in cash. Interest income for the three months ended March 31, 2011 increased by $7,057 as compared to the corresponding period in 2010. The increase in interest income is due to higher average net assets 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 JWH Masters’ accounts and upon interest rates over which neither the Partnership 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. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees and clearing fees for the three months ended March 31, 2011 increased by $223,630, as compared to the corresponding period in 2010. The increase in brokerage fees and clearing 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 as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2011 increased by $89,257, 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.
 
Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter as defined in the advisory agreements among the Partnership, the General Partner and the Advisor. Trading performance for the three month ended March 31, 2011, resulted in incentive fees of $612. There were no incentive fees earned for the three months ended March 31, 2010.
 
In allocating the assets of the Partnership to the trading Advisor, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the trading advisor and may allocate assets to additional advisors at any time.


25


 

Item 3.   Quantitative and Qualitative Disclosures about Market Risk
 
The Partnership and JWH Master 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 and JWH Master’s 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 and JWH Master’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 and JWH Master’s open contracts and, consequently, in its earnings and cash balances. The Partnership’s and JWH Master’s 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 and JWH Master’s open contracts and the liquidity of the markets in which it trades.
 
The Partnership and JWH Master rapidly acquire and liquidate both long and short contracts 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 and JWH Master’s past performance is not necessarily indicative of their future results.
 
“Value at Risk” is a measure of the maximum amount which the Partnership and JWH Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s and JWH Master’s speculative trading and the recurrence in the markets traded by the Partnership and JWH Master 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 and JWH Master’s 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 and JWH Master’s losses in any market sector will be limited to Value at Risk or by the Partnership’s and JWH Master’s attempts to manage their market risk.
 
Exchange maintenance margin requirements have been used by the Partnership and JWH Master 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 sensitive instruments. The first two tables indicate the trading Value at Risk associated with the Partnership’s and JWH Master’s open positions by market category as of March 31, 2011 and December 31, 2010. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed account in the Partnership’s name traded by JWH) and indirectly by JWH Master separately. 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.
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 $67,232,840.
March 31, 2011
                 
Market Sector   Value at Risk     % of Total Capitalization  
Currencies
  $ 681,114       1.01 %
Energy
    1,025,365       1.52 %
Grains
    439,600       0.65 %
Indices
    518,207       0.77 %
Interest Rates U.S.
    270,340       0.40 %
Interest Rates Non-U.S.
    474,095       0.71 %
Livestock
    101,251       0.15 %
Metals
    1,188,574       1.77 %
Softs
    1,234,438       1.84 %
 
           
Total
  $ 5,932,984       8.82 %
 
           


26


 

          As of December 31, 2010, the Partnership’s total capitalization was $64,695,711.
December 31, 2010
                 
            % of Total  
Market Sector   Value at Risk     Capitalization  
Currencies
  $ 963,589       1.49 %
Energy
    689,135       1.07 %
Grains
    818,882       1.27 %
Interest Rates U.S.
    479,109       0.74 %
Interest Rates Non-U.S.
    775,022       1.20 %
Livestock
    8,000       0.01 %
Metals
    1,135,249       1.75 %
Softs
    1,513,386       2.34 %
Indices
    321,889       0.50 %
 
           
Total
  $ 6,704,261       10.37 %
 
           
 
The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments through JWH Master by market category as of March 31, 2011 and December 31, 2010 and the highest, lowest and average values at any point during the three months ended March 31, 2011, and the highest, lowest and average value at any point during the year ended December 31, 2010. All open contracts trading risk exposures have been included in calculating the figures set forth below.
 
As of March 31, 2011 the Partnership’s Value at Risk for the portion of its assets allocated to the Diversified Plus Program that are traded directly by the Advisor, 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
  $ 235,500       0.35 %   $ 247,704     $ 102,570     $ 216,167  
Energy
    93,640       0.14 %     97,290       63,360       81,273  
Grains
    85,000       0.13 %     85,000       82,250       84,333  
Interest Rates U.S.
    13,862       0.02 %     19,815       7,749       13,809  
Interest Rates Non -U.S.
    101,251       0.15 %     103,716       81,963       102,285  
Livestock
    9,600       0.01 %     9,600       8,000       8,533  
Metals
    88,844       0.13 %     100,822       88,832       95,838  
Softs
    124,070       0.19 %     135,575       105,600       117,253  
Indices
    86,933       0.13 %     152,445       35,559       126,282  
 
                                   
Totals
  $ 838,700       1.25 %                        
 
                                   
 
* Average of month-end Values at Risk.
     As of December 31, 2010, the Partnership’s Value at Risk for the portion of its assets allocated to the Diversified Plus Program that are traded directly by JWH 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
  $ 94,820       0.15 %   $ 167,600     $ 58,028     $ 107,473  
Energy
    63,360       0.10 %     112,000       32,400       74,898  
Grains
    82,250       0.13 %     82,250       5,500       47,330  
Interest Rates U.S.
    18,950       0.03 %     60,950       12,896       42,183  
Interest Rates Non -U.S.
    52,442       0.08 %     103,150       19,462       77,242  
Livestock
    8,000       0.01 %     13,600       4,900       8,917  
Metals
    94,835       0.15 %     102,231       20,007       84,204  
Softs
    105,600       0.16 %     105,600       22,800       72,203  
Indices
    144,026       0.22 %     146,234       21,287       94,506  
 
                                   
Totals
  $ 664,283       1.03 %                        
 
                                   
     
*   Annual average of month-end Value at Risk.


27


 

As of March 31, 2011, JWH Master’s total capitalization was $75,976,845. The Partnership owned approximately 78.8% of JWH Master. The JWH Master’s Value at Risk for its assets (including the portion of the Partnership’s assets that are traded indirectly) 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
  $ 565,500       0.74 %   $ 1,616,400     $ 332,400     $ 876,900  
Energy
    1,182,392       1.56 %     1,182,392       795,140       1,057,472  
Grains
    450,000       0.59 %     1,186,000       210,000       620,000  
Indices
    500,174       0.66 %     526,367       61,094       352,244  
Interest Rates U.S.
    232,750       0.31 %     447,729       143,050       368,821  
Interest Rates Non -U.S.
    584,052       0.77 %     1,291,947       278,909       964,009  
Metals
    1,496,160       1.97 %     1,496,160       195,039       985,440  
Softs
    1,453,800       1.91 %     1,971,480       1,065,600       1,425,187  
 
                                   
Total
  $ 6,464,828       8.51 %                        
 
                                   
 
* Average of month-end Values at Risk.
     As of December 31, 2010, JWH Master’s Capitalization was $71,991,640. The Partnership owned approximately 78.7% of JWH Master. The JWH Master’s value at Risk for its assets (including the portion of the Partnership’s assets that are traded indirectly) 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
  $ 1,103,900       1.54 %   $ 1,502,400     $ 46,800     $ 911,350  
Energy
    795,140       1.10 %     941,200       58,100       672,278  
Grains
    936,000       1.30 %     1,042,000       21,645       530,709  
Interest Rates U.S.
    584,700       0.81 %     624,600       60,068       425,373  
Interest Rates Non -U.S.
    918,145       1.28 %     982,359       163,217       672,177  
Metals
    1,322,000       1.84 %     1,322,000       39,984       736,005  
Softs
    1,788,800       2.48 %     1,788,800       268,000       791,066  
Indices
    226,001       0.31 %     350,360       83,364       203,797  
 
                                   
Total
  $ 7,674,686       10.66 %                        
 
                                   
     
*   Annual average of month-end Value at Risk.


28


 

 
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 (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
 
Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the 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.


29


 

 
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.


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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.


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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
 
For the three months ended March 31, 2011, there were additional subscriptions of 1,176.0455 Redeemable Units totaling $2,081,872. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as described in Regulation D, as well as to a small number of persons who are non-accredited investors.
 
Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, swaps, options and forwards contracts.
 
The following chart sets forth the purchases of Redeemable Units by the Partnership.
 
                                         
                              (d) Maximum Number
 
                              (or Approximate
 
                      (c) Total Number
      Dollar Value) of Shares
 
                      of Shares (or Units)
      (or Units) that
 
      (a) Total Number
      (b) Average
      Purchased as Part
      May Yet Be
 
      of Shares
      Price Paid per
      of Publicly Announced
      Purchased Under the
 
Period     (or Units) Purchased*       Share (or Unit)**       Plans or Programs       Plans or Programs  
January 1, 2011 -
January 31, 2011
      312.1904       $ 1,774.41         N/A         N/A  
February 1, 2011 -
February 28, 2011
      121.3119       $ 1,833.49         N/A         N/A  
March 1, 2011 -
March 31, 2011
      614.2787       $ 1,803.10         N/A         N/A  
     Total       1,047.7810       $ 1,798.07                      
                                         
 
* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the 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. No fee will be charged for redemptions.
 
Item 3.   Defaults Upon Senior Securities – None
 
Item 4.   [Removed and Reserved]
 
Item 5.   Other Information – None


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Item 6. Exhibits
  3.1   Limited Partnership Agreement, dated March 21, 1997 (filed as Exhibit A to the Registration Statement on Form S-1 filed on April 10, 1997 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, dated March 21, 1997 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).
  (a)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated October 1, 1999 (filed as Exhibit 3.2(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (b)   Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, effective January 31, 2000 (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 of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated May 21, 2003 (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 of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 21, 2005 (filed as Exhibit 3.2(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (e)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (f)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference).
  (g)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated June 29, 2010 (filed as Exhibit 3.2(g) 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 Smith Barney Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).
  (a)   Amendment No. 1 to the Customer Agreement, dated March 1, 2000 (filed as Exhibit 10.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  10.2   Form of Escrow Agreement and Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).
  (a)   Amendment to the Escrow Agreement and Instructions relating to escrow of subscription funds, dated April 8, 1997 (filed as Exhibit 10.2(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  10.3   Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company Inc., dated March 1, 2000 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (a)   Amendment No. 1 to the Amended and Restated Management Agreement, dated September 10, 2000 (filed as Exhibit 10.3(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (b)   Letter extending the Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company, Inc. for 2010, dated June 1, 2010 (filed as Exhibit 10.3 to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
  10.4   Form of Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  10.5   Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC and Citigroup Global Markets Inc., dated November 11, 2009 (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  10.6   Joinder Agreement among the General Partner, Citigroup Global Markets Inc., and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference
  31.1   – Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
  31.2   – Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)
  32.1   – Section 1350 Certification (Certification of President and Director)
  32.2   – Section 1350 Certification (Certification of Chief Financial Officer and Director)


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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.
 
WESTPORT JWH 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


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