Attached files
file | filename |
---|---|
EXCEL - IDEA: XBRL DOCUMENT - GLOBAL DIVERSIFIED FUTURES FUND L.P. | Financial_Report.xls |
EX-32.1 - EX-32.1 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y05024exv32w1.htm |
EX-31.2 - EX-31.2 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y05024exv31w2.htm |
EX-31.1 - EX-31.1 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y05024exv31w1.htm |
EX-32.2 - EX-32.2 - GLOBAL DIVERSIFIED FUTURES FUND L.P. | y05024exv32w2.htm |
Table of Contents
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 June 30, 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 000-30455
GLOBAL
DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York incorporation or organization) |
|
13-4015586 Identification No.) |
c/o Ceres Managed Futures LLC
522 Fifth Avenue 14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
522 Fifth Avenue 14th Floor
New York, New York 10036
(212) 296-1999
(Registrants 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 þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§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 þ No o
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 o | Accelerated filer o | Non-accelerated filer þ
| Smaller reporting company o |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of
the Exchange Act).
Yes o No þ
As of
July 31, 2011, 13,144.2693 Limited Partnership Redeemable Units were outstanding.
GLOBAL DIVERSIFIED FUTURES FUND L.P.
FORM 10-Q
INDEX
Page | ||||
Number | ||||
3 | ||||
4-5 | ||||
6 | ||||
7-16 | ||||
17-19 | ||||
20-25 | ||||
26 | ||||
27-30 |
Exhibits |
Exhibit 31.1 Certification |
Exhibit 31.2 Certification |
Exhibit 32.1 Certification |
Exhibit 32.2 Certification |
101.INS
|
XBRL Instance Document. | |||||||
101.SCH
|
XBRL Taxonomy Extension Scema Document. | |||||||
101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase Document. | |||||||
101.LAB
|
XBRL Taxonomy Extension Label Linkbase Document. | |||||||
101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document. | |||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
2
Table of Contents
PART I
Item 1. Financial Statements
Global Diversified Futures Fund L.P.
Statements of Financial Condition
(Unaudited) | ||||||||
June 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Investment in Funds, at fair value |
$ | 25,023,769 | $ | 28,849,787 | ||||
Equity in trading account: |
||||||||
Cash |
57,502 | 49,062 | ||||||
Total assets |
$ | 25,081,271 | $ | 28,898,849 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage fees |
$ | 112,866 | $ | 130,045 | ||||
Management fees |
33,648 | 40,378 | ||||||
Incentive fees |
0 | 119,072 | ||||||
Other |
66,705 | 63,261 | ||||||
Redemptions payable |
217,696 | 110,030 | ||||||
Total liabilities |
430,915 | 462,786 | ||||||
Partners Capital: |
||||||||
General Partner, 157.9234 unit equivalents
outstanding at June 30, 2011 and December
31, 2010 |
290,552 | 317,576 | ||||||
Limited
Partners, 13,240.2347 and 13,982.7114
Redeemable Units outstanding at June 30,
2011 and December 31, 2010, respectively |
24,359,804 | 28,118,487 | ||||||
Total partners capital |
24,650,356 | 28,436,063 | ||||||
Total liabilities and partners capital |
$ | 25,081,271 | $ | 28,898,849 | ||||
Net asset
value per unit |
$ | 1,839.83 | $ | 2,010.95 | ||||
See accompanying notes to financial statements.
3
Table of Contents
Global Diversified Futures Fund L.P.
Schedule of Investments
June 30, 2011
(Unaudited)
(Unaudited)
% of Partners | ||||||||
Fair Value | Capital | |||||||
Investment in Funds |
||||||||
CMF Aspect Master Fund L.P. |
$ | 6,121,097 | 24.83 | % | ||||
CMF Altis Partners Master Fund L.P. |
5,204,570 | 21.11 | ||||||
Waypoint Master Fund L.P. |
7,196,647 | 29.20 | ||||||
Blackwater Master Fund L.P. |
6,501,455 | 26.38 | ||||||
Total investment in Funds, at fair value |
$ | 25,023,769 | 101.52 | % | ||||
See accompanying notes to financial statements.
4
Table of Contents
Global Diversified Futures Fund L.P.
Schedule of Investments
December 31, 2010
Schedule of Investments
December 31, 2010
% of Partners | ||||||||
Fair Value | Capital | |||||||
Investment in Funds |
||||||||
CMF Aspect Master Fund L.P. |
$ | 6,105,359 | 21.47 | % | ||||
CMF Altis Partners Master Fund L.P. |
5,893,177 | 20.72 | ||||||
Waypoint Master Fund L.P. |
7,080,876 | 24.90 | ||||||
Blackwater Master Fund L.P. |
5,892,624 | 20.72 | ||||||
CMF Sasco Master Fund L.P. |
3,877,751 | 13.64 | ||||||
Total investment in Funds, at fair value |
$ | 28,849,787 | 101.45 | % | ||||
See accompanying notes to financial statements.
5
Table of Contents
Global Diversified Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income: |
||||||||||||||||
Interest income |
$ | 0 | 0 | $ | 0 | $ | 240 | |||||||||
Interest income from investment in Funds |
960 | 6,972 | 6,328 | 10,183 | ||||||||||||
Total investment income |
960 | 6,972 | 6,328 | 10,423 | ||||||||||||
Expenses: |
||||||||||||||||
Brokerage fees including clearing fees |
384,046 | 396,884 | 788,573 | 798,486 | ||||||||||||
Management fees |
108,789 | 123,154 | 223,348 | 248,861 | ||||||||||||
Incentive fees |
(25,230 | ) | 22,336 | 0 | 22,336 | |||||||||||
Other |
45,472 | 57,020 | 102,123 | 92,356 | ||||||||||||
Total expenses |
513,077 | 599,394 | 1,114,044 | 1,162,039 | ||||||||||||
Net investment income (loss) |
(512,117 | ) | (592,422 | ) | (1,107,716 | ) | (1,151,616 | ) | ||||||||
Trading Results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests and investment in Funds: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
0 | (34,336 | ) | 0 | (485,070 | ) | ||||||||||
Net realized gains (losses) on investment in Funds |
(296,757 | ) | 1,041,968 | (89,013 | ) | 779,828 | ||||||||||
Change in net unrealized gains (losses) on open contracts |
0 | 34,316 | 0 | 35,125 | ||||||||||||
Change in net unrealized gains (losses) on investments in Funds |
(102,169 | ) | (1,072,940 | ) | (1,163,280 | ) | (194,248 | ) | ||||||||
Total trading results |
(398,926 | ) | (30,992 | ) | (1,252,293 | ) | 135,635 | |||||||||
Net income (loss) |
(911,043 | ) | (623,414 | ) | (2,360,009 | ) | (1,015,981 | ) | ||||||||
Redemptions Limited Partners |
(893,051 | ) | (837,971 | ) | (1,425,698 | ) | (1,537,556 | ) | ||||||||
Redemptions General Partner |
0 | 0 | 0 | (100,000 | ) | |||||||||||
Net increase (decrease) in Partners Capital |
(1,804,094 | ) | (1,461,385 | ) | (3,785,707 | ) | (2,653,537 | ) | ||||||||
Partners Capital, beginning of period |
26,454,450 | 28,531,784 | 28,436,063 | 29,723,936 | ||||||||||||
Partners Capital, end of period |
$ | 24,650,356 | $ | 27,070,399 | $ | 24,650,356 | $ | 27,070,399 | ||||||||
Net asset
value per unit (13,398.1581 and 14,809.0156 units outstanding at
June 30, 2011 and 2010, respectively) |
$ | 1,839.83 | $ | 1,827.97 | $ | 1,839.83 | $ | 1,827.97 | ||||||||
Net income (loss) per unit* |
$ | (68.09 | ) | $ | (41.77 | ) | $ | (171.12 | ) | $ | (65.49 | ) | ||||
Weighted average units outstanding |
13,708.2603 | 15,091.4562 | 13,877.8503 | 15,311.4372 | ||||||||||||
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
6
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
1. General:
Global Diversified Futures Fund L.P. (the Partnership) is a limited partnership organized
under the partnership laws of the State of New York on June 15,
1998 to engage, directly or
indirectly, in the speculative trading of a diversified portfolio of commodity interests, including
futures contracts, options, swaps and forward contracts on United States exchanges and certain foreign
exchanges. The sectors traded include currencies, energy, lumber, grains, indices, metals, softs,
livestock and U.S. and non-U.S. interest rates. The commodity
interests that are traded by the Partnership, through it investments in the
Funds (as defined in note 5 Investment in Funds) are volatile and involve a high degree of market
risk. The Partnership commenced trading on February 2,
1999.
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 June 30, 2011, all trading decisions are made for the Partnership by Aspect Capital
Limited (Aspect), Altis Partners (Jersey) Limited (Altis), Waypoint Capital Management LLC
(Waypoint), and Blackwater Capital Management LLC (Blackwater) (each an Advisor and collectively, the Advisors), each of which is a registered
commodity trading advisor. Sasco Energy Partners LLC
(Sasco) was terminated as an Advisor to the Partnership
on May 31, 2011. Each Advisor is allocated a portion of the Partnerships assets to manage. The Partnership invests the
portion of its assets allocated to each Advisor indirectly through investments in the Funds.
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 Partnerships financial condition at
June 30, 2011 and December 31, 2010 and the results of its operations and changes in partners
capital for the three and six months ended June 30, 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 Partnerships 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 disclosure 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
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
2. Financial Highlights:
Changes
in the net asset value per unit for the three and six months ended
June 30, 2011 and 2010
were as follows:
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized and unrealized gains (losses) * |
$ | (58.88 | ) | $ | (28.85 | ) | $ | (148.33 | ) | $ | (42.41 | ) | ||||
Interest income |
0.07 | 0.46 | 0.46 | 0.68 | ||||||||||||
Expenses ** |
(9.28 | ) | (13.38 | ) | (23.25 | ) | (23.76 | ) | ||||||||
Increase (decrease) for the period |
(68.09 | ) | (41.77 | ) | (171.12 | ) | (65.49 | ) | ||||||||
Net asset value per unit, beginning of period |
1,907.92 | 1,869.74 | 2,010.95 | 1,893.46 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,839.83 | $ | 1,827.97 | $ | 1,839.83 | $ | 1,827.97 | ||||||||
* | Includes brokerage fees and clearing fees. | |
** | Excludes brokerage fees and clearing fees. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net investment income (loss) before incentive fees**** |
(8.3) | % | (8.2 | )% | (8.3) | % | (8.1 | )% | ||||||||
Operating
expenses |
8.3 | % | 8.3 | % | 8.4 | % | 8.2 | % | ||||||||
Incentive fees |
(0.1) | % | 0.1 | % | | % | 0.1 | % | ||||||||
Total expenses |
8.2 | % | 8.4 | % | 8.4 | % | 8.3 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
(3.7) | % | (2.1 | )% | (8.5) | % | (3.4 | )% | ||||||||
Incentive fees |
0.1 | % | (0.1 | )% | | % | (0.1 | )% | ||||||||
Total return after incentive fees |
(3.6) | % | (2.2 | )% | (8.5) | % | (3.5 | )% | ||||||||
*** | 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 Limited Partner class using
the Limited Partners share of income, expenses and average net assets.
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity
interests, including derivative financial instruments and derivative commodity instruments. The
Partnerships investments are in other funds which trade these instruments. The Partnerships
trading activity are resulting from its investment in other funds
as shown in the Statements of Income and
Expenses and Changes in Partners Capital.
The customer agreements between the Partnership/Funds and CGM give the Partnership/Funds the
legal right to net unrealized gains and losses on open futures and forward contracts. The
Partnership/Funds net, for financial
reporting purposes, the unrealized gains and losses on open futures
and on open forward contracts on
the Statements of Financial Condition.
All of the
commodity interests owned by the Funds are held for trading
purposes.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance and redemptions.
8
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
4. Fair Value Measurements:
Partnerships and the Funds Investments. All commodity interests (including derivative
financial instruments and derivative commodity instruments), through
its investments in other funds,
are held for trading purposes. The commodity interests are recorded on trade date and open
contracts are recorded at fair value (as described below) at the measurement date. Investments in
commodity interests denominated in foreign currencies are translated into U.S. dollars at the
exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are
liquidated. Unrealized gains or losses on open contracts are included as a component of equity in
trading account on the Funds Statements of Financial Condition. Net realized gains or losses and
any change in net unrealized gains or losses from the preceding period are reported in the
Funds Statements of Income and Expenses and Changes in Partners Capital.
Partnerships and the Funds Fair Value Measurements. Fair value is defined as the price that
would be received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable
inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in
its entirety falls shall be determined based on the lowest level input that is significant to the
fair value measurement in its entirety. Management has concluded that based on available
information in the marketplace, the Funds Level 1 assets and liabilities
are actively traded.
GAAP 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
Partnerships and the Funds Level 2 assets.
The Partnership and the Funds will separately present purchases, sales, issuances, and
settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items
on a gross basis rather than on a net basis), and make disclosures regarding the level of
disaggregation and the inputs and valuation techniques used to measure fair value for measurements
that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Funds consider prices for exchange-traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1).
The values of non-exchange-traded forwards and certain options 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 funds (other commodity pools) where
there are no other rights or obligations inherent within the ownership interest held by the
Partnership are priced based on the end of the day net asset value (Level 2).
The value of the Partnerships investments in the Funds reflects its proportional interest in
the Funds. As of and for the periods ended June 30, 2011 and December 31, 2010, the Funds did not
hold any derivative instruments that are priced at fair value using unobservable inputs through the
application of managements assumptions and internal valuation pricing models (Level 3).
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
June 30, 2011 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Funds |
$ | 25,023,769 | $ | | $ | 25,023,769 | $ | | ||||||||
Net fair value |
$ | 25,023,769 | | $ | 25,023,769 | | ||||||||||
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 |
||||||||||||||||
Investment in Funds |
$ | 28,849,787 | $ | | $ | 28,849,787 | $ | | ||||||||
Net fair value |
$ | 28,849,787 | | $ | 28,849,787 | | ||||||||||
9
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
5. Investment in Funds:
On January 1, 2005, the assets allocated to Campbell for trading were invested in CMF Campbell
Master Fund L.P. (Campbell Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 17,534.8936 units of
Campbell Master with cash equal to
$17,341,826 and a contribution of open commodity futures and forward contracts with a fair value of $193,067.
Campbell Master was formed in order to permit commodity pools managed now or in the future by
Campbell using Campbells Financials, Metals and Energy (FME) Large Portfolio, Campbells
proprietary, systematic trading system, to invest together in one trading vehicle.
On November 30, 2010 the Partnership fully redeemed its investment in Campbell Master for cash equal to $3,548,386.
On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect
Master Fund L.P. (Aspect Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 16,015.3206 units of Aspect Master with cash equal
to $14,955,106 and a contribution of open commodity futures and forward contracts with a fair value of
$1,060,214. Aspect Master was formed in order to permit commodity pools managed now or in the
future by Aspect using Aspects Diversified Program, a proprietary, systematic trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of Aspect
Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are
permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that
trading through this structure should promote efficiency and economy in the trading process.
On November 1, 2005, the assets allocated to Altis for trading were invested in CMF Altis
Partners Master Fund L.P. (Altis Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 13,013.6283 units of the Altis Master with
cash equal to $11,227,843 and a contribution of open commodity futures and forwards contracts with a fair
value of $1,785,785. Altis Master was formed to permit commodity pools managed now and in the
future by Altis using Altiss Global Futures Portfolio Program, a proprietary, systematic trading
system, to invest together in one trading vehicle. The General Partner is also the general partner
of Altis Master. Individual and pooled accounts currently managed by Altis, including the
Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis
believe that trading through this structure should promote efficiency and economy in the trading
process.
On March 1, 2010, the assets allocated to Waypoint for trading were invested in Waypoint
Master Fund L.P. (Waypoint Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 4,959.4220 units of Waypoint Master with cash
equal to $4,959,422. Waypoint Master was formed in order to permit commodity pools managed now or
in the future by Waypoint using its Diversified Program, a proprietary, systematic trading system,
to invest together in one trading vehicle. The General Partner is also the general partner of
Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the
Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and
Waypoint believe that trading through this structure should promote efficiency and economy in the
trading process.
On November 1, 2010, the assets allocated to Blackwater for trading were invested in Blackwater Master Fund L.P. (Blackwater Master), a limited partnership organized under the
partnership laws of the State of Delaware. The Partnership purchased 5,000.0000 units of Blackwater
Master with cash equal to $5,000,000. Blackwater Master was formed in order to permit commodity
pools managed now or in the future by Blackwater using its Global Program, a proprietary,
systematic trading system, to invest together in one trading vehicle. The General Partner is also
the general partner of Blackwater Master. Individual and pooled accounts currently managed by
Blackwater, including the Partnership, are permitted to be limited partners of Blackwater Master.
The General
Partner and Blackwater believe that trading through this structure should promote efficiency
and economy in the trading process.
10
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
On December 1, 2010, the assets allocated to Sasco for trading were invested in CMF Sasco
Master Fund L.P. (Sasco Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 3,064.6736 units of Sasco Master with cash equal
to $4,000,000. Sasco Master was formed in order to permit commodity pools managed now or in the
future by Sasco using its Energy Program, a proprietary,
discretionary trading system, to invest
together in one trading vehicle. On May 31, 2011 the Partnership
fully redeemed its investment in Sasco Master for cash equal to $ 3,583,752.
The General Partner is not aware of any material changes to the trading programs discussed
above during the fiscal quarter ended June 30, 2011.
Aspect
Masters, Altis Masters, Waypoint Masters and Blackwater Masters
(collectively, the Funds) trading of futures, forwards, swaps and options
contracts, if applicable, on commodities is done primarily on United States of America commodity
exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity
brokerage accounts maintained by CGM.
A limited partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples of the net asset value per unit as of the
end of any day (the Redemption Date) after a request for redemption has been made to the General
Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability
when the limited partner elects to redeem, and informs the Funds.
Management and incentive fees are charged at the Partnership level. All exchange, clearing,
user, give-up, floor brokerage and National Futures Asscociation fees are borne by the Partnership
through its investment in the Funds. All other fees, including CGMs direct brokerage fees are
charged at the Partnership level.
At
June 30, 2011, the Partnership owned approximately 3.8%, 5.0%, 19.0%
and 18.7% of Aspect Master, Altis Master, Waypoint Master and
Blackwater, respectively.
At
December 31, 2010, the Partnership owned approximately 3.9%, 9.2%, 17.2%, 22.7% and 4.7% of Aspect
Master, Altis Master, Waypoint Master, Blackwater Master and Sasco Master, respectively. It is the
intention of the Partnership to continue to invest in the Funds. The performance of the Partnership
is directly affected by the performance of the Funds. Expenses to the investors as a result of the
investment in the Funds are approximately the same and redemption rights are not affected.
Summarized
information reflecting the total assets, liabilities and capital of
the Funds is
shown in the following tables.
June 30, 2011 | ||||||||||||
Total | Total | |||||||||||
Total Assets | Liabilities | Capital | ||||||||||
Aspect Master |
$ | 161,590,568 | $ | 1,233,120 | $ | 160,357,448 | ||||||
Altis Master |
104,815,171 | 945,798 | 103,869,373 | |||||||||
Waypoint Master |
38,256,105 | 292,377 | 37,963,728 | |||||||||
Blackwater Master |
35,191,918 | 447,132 | 34,744,786 | |||||||||
Total |
$ | 339,853,762 | $ | 2,918,427 | $ | 336,935,335 | ||||||
December 31, 2010 | ||||||||||||
Total | Total | |||||||||||
Total Assets | Liabilities | Capital | ||||||||||
Aspect Master |
$ | 157,910,582 | $ | 46,523 | $ | 157,864,059 | ||||||
Altis Master |
64,276,767 | 591,256 | 63,685,511 | |||||||||
Waypoint Master |
41,306,976 | 59,330 | 41,247,646 | |||||||||
Blackwater Master |
25,966,821 | 28,810 | 25,938,011 | |||||||||
Sasco Master |
81,882,294 | 198,664 | 81,683,630 | |||||||||
Total |
$ | 371,343,440 | $ | 924,583 | $ | 370,418,857 | ||||||
11
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
Summarized information reflecting the net investment income (loss), total trading results
and net income (loss) for the Funds is shown in the following tables.
For the Three months ended June 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Aspect Master |
$ | (49,767 | ) | $ | (4,157,070 | ) | $ | (4,206,837 | ) | |||
Altis Master |
(86,627 | ) | (11,353,961 | ) | (11,440,588 | ) | ||||||
Waypoint Master |
(49,050 | ) | 846,382 | 797,332 | ||||||||
Blackwater Master |
(20,229 | ) | (503,805 | ) | (524,034 | ) | ||||||
Sasco Master |
(337,870 | ) | 3,450,469 | 3,112,599 | ||||||||
Total |
$ | (543,543 | ) | $ | (11,717,985 | ) | $ | (12,261,528 | ) | |||
For the Six months ended June 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Aspect Master |
$ | (78,606 | ) | $ | (2,431,100 | ) | $ | (2,509,706 | ) | |||
Altis Master |
(139,884 | ) | (19,456,564 | ) | (19,596,448 | ) | ||||||
Waypoint Master |
(113,465 | ) | (760,597 | ) | (874,062 | ) | ||||||
Blackwater Master |
(47,734 | ) | 516,903 | 469,169 | ||||||||
Sasco Master |
(707,823 | ) | 1,199,725 | 491,902 | ||||||||
Total |
$ | (1,087,512 | ) | $ | (20,931,633 | ) | $ | (22,019,145 | ) | |||
For the Three months ended June 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Aspect Master |
$ | (66,054 | ) | $ | 993,585 | $ | 927,531 | |||||
Altis Master |
(80,238 | ) | (6,238,080 | ) | (6,318,318 | ) | ||||||
Waypoint Master |
(47,691 | ) | 5,344,480 | 5,296,789 | ||||||||
Campbell Master |
(51,553 | ) | 447,826 | 396,273 | ||||||||
Total |
$ | (245,536 | ) | $ | 547,811 | $ | 302,275 | |||||
For the Six months ended June 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Aspect Master |
$ | (113,944 | ) | $ | 7,879,872 | $ | 7,765,928 | |||||
Altis Master |
(119,263 | ) | (4,102,014 | ) | (4,221,277 | ) | ||||||
Waypoint Master |
(59,189 | ) | 5,917,533 | 5,858,344 | ||||||||
Campbell Master |
(87,737 | ) | (1,114,798 | ) | (1,202,535 | ) | ||||||
Total |
$ | (380,133 | ) | $ | 8,580,593 | $ | 8,200,460 | |||||
Summarized information reflecting the Partnerships investment in, and the operations of the
Funds is shown in the following tables.
June 30, 2011 | For the three months ended June 30, 2011 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Aspect Master |
24.83 | % | $ | 6,121,097 | $ | (159,693 | ) | $ | 1,530 | $ | 427 | $ | (161,650 | ) | Commodity Portfolio | Monthly | ||||||||||||||||
Altis Master |
21.11 | % | 5,204,570 | (445,074 | ) | 3,961 | 1,132 | (450,167 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Waypoint Master |
29.20 | % | 7,196,647 | 137,690 | 6,247 | 2,675 | 128,768 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Blackwater Master |
26.38 | % | 6,501,455 | (114,795 | ) | 3,228 | 689 | (118,712 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Sasco Master |
| | 183,906 | 11,257 | 2,673 | 169,976 | Energy Portfolio | Monthly | ||||||||||||||||||||||||
Total |
$ | 25,023,769 | $ | (397,966 | ) | $ | 26,223 | $ | 7,596 | $ | (431,785 | ) | ||||||||||||||||||||
12
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011 | For the six months ended June 30, 2011 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Aspect Master |
24.83 | % | $ | 6,121,097 | $ | (101,118 | ) | $ | 2,824 | $ | 1,301 | $ | (105,243 | ) | Commodity Portfolio | Monthly | ||||||||||||||||
Altis Master |
21.11 | % | 5,204,570 | (1,247,413 | ) | 8,797 | 2,807 | (1,259,017 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Waypoint Master |
29.20 | % | 7,196,647 | (133,341 | ) | 14,910 | 6,375 | (154,626 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Blackwater Master |
26.38 | % | 6,501,455 | 128,116 | 6,695 | 4,543 | 116,878 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Sasco Master |
| | 107,791 | 24,669 | 4,617 | 78,505 | Energy Portfolio | Monthly | ||||||||||||||||||||||||
Total |
$ | 25,023,769 | $ | (1,245,965 | ) | $ | 57,895 | $ | 19,643 | $ | (1,323,503 | ) | ||||||||||||||||||||
December 31, 2010 | For the three months ended June 30, 2010 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Campbell Master |
| % | $ | | $ | 40,871 | $ | 1,950 | $ | 2,912 | $ | 36,009 | FME Portfolio | Monthly | ||||||||||||||||||
Aspect Master |
21.47 | % | 6,105,359 | 56,098 | 3,085 | 2,925 | 50,088 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Altis Master |
20.72 | % | 5,893,177 | (827,396 | ) | 5,070 | 8,431 | (840,897 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Waypoint Master |
24.90 | % | 7,080,876 | 706,427 | 5,416 | 2,401 | 698,610 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Blackwater Master(a) |
20.72 | % | 5,892,624 | | | | | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Sasco Master(b) |
13.64 | % | 3,877,751 | | | | | Energy Portfolio | Monthly | |||||||||||||||||||||||
Total |
$ | 28,849,787 | $ | (24,000 | ) | $ | 15,521 | $ | 16,669 | $ | (56,190 | ) | ||||||||||||||||||||
December 31, 2010 | For the six months ended June 30, 2010 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Campbell Master |
| % | $ | | $ | (73,832 | ) | $ | 4,354 | $ | 3,791 | $ | (81,977 | ) | FME Portfolio | Monthly | ||||||||||||||||
Aspect Master |
21.47 | % | 6,105,359 | 438,856 | 5,937 | 3,809 | 429,110 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Altis Master |
20.72 | % | 5,893,177 | (551,811 | ) | 9,997 | 9,975 | (571,783 | ) | Commodity Portfolio | Monthly | |||||||||||||||||||||
Waypoint Master |
24.90 | % | 7,080,876 | 782,550 | 6,553 | 3,221 | 772,776 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Blackwater Master(a) |
20.72 | % | 5,892,624 | | | | | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Sasco Master(b) |
13.64 | % | 3,877,751 | | | | | Energy Portfolio | Monthly | |||||||||||||||||||||||
Total |
$ | 28,849,787 | $ | 595,763 | $ | 26,841 | $ | 20,796 | $ | 548,126 | ||||||||||||||||||||||
(a) | Commenced trading on November 1, 2010. | |
(b) | Commenced trading on December 1, 2010. |
13
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
6. Financial Instrument Risks:
In the normal course of business, the Partnership, through its investments in the Funds, is
party to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments may include forwards,
futures and options, whose values are based upon an underlying asset, index, or reference rate, and
generally represent future commitments to exchange currencies or cash balances, to purchase or sell
other financial instruments at specific terms at specified future dates, or, in the case of
derivative commodity instruments, to have a reasonable possibility to be settled in cash, through
physical delivery or with another financial instrument. These instruments may be traded on an
exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and include
futures and certain forwards and option contracts. OTC contracts are negotiated between contracting
parties and include 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
assets and undistributed profits. This limited liability is a result of the organization of
the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Funds due to market changes, including interest and foreign exchange rate movements and
fluctuations in commodity or security prices. Market risk is directly impacted by the volatility
and liquidity in the markets in which the related underlying assets are traded. The Funds are
exposed to a market risk equal to the value of futures and forward contracts purchased and
unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to
perform according to the terms of a contract. The Partnerships/Funds risk of loss in the event of
a counterparty default is typically limited to the amounts recognized in the Statements of
Financial Condition and is not represented by the contract or notional amounts of the instruments. The
Partnerships/Funds risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and
losses and other assets and liabilities with such counterparties upon the occurrence of certain
events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or
broker with respect to the Funds assets is CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent, that through CGM, the Partnerships/Funds
counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and
then bear the risk of unfavorable changes in the price of the contract underlying the option.
Written options expose the Funds to potentially unlimited liability; for purchased options, the risk
of loss is limited to the premiums paid. Certain written put options permit cash settlement and do
not require the option holder to own the reference asset. The Funds do not consider these contracts
to be guarantees.
The General Partner monitors and attempts to control the Funds risk exposure on a daily basis
through financial, credit and risk management monitoring systems, and accordingly, believes that it
has effective procedures for evaluating and limiting the credit and market risks to which the Funds
may be subject. These monitoring systems generally allow the General Partner to statistically
analyze actual trading results with risk-adjusted performance indicators and correlation
statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards
and options 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 Funds business, these instruments may not be held to
maturity.
14
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 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.
Partnerships and the Funds Investments. All commodity interests (including derivative
financial instruments and derivative commodity instruments), through
its investments in other funds,
are held for trading purposes. The commodity interests are recorded on trade date and open
contracts are recorded at fair value (as described below) at the measurement date. Investments in
commodity interests denominated in foreign currencies are translated into U.S. dollars at the
exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are
liquidated. Unrealized gains or losses on open contracts are included as a component of equity in
trading account on the Statements of Financial Condition. Net realized gains or losses and
any change in net unrealized gains or losses from the preceding period are reported in the
Funds Statements of Income and Expenses and Changes in Partners Capital.
Partnerships and the Funds Fair Value Measurements. Fair value is defined as the price that
would be received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date under current
market conditions. The
fair value hierarchy gives the highest priority to unadjusted
quoted prices in active markets for identical assets or
liabilities (Level 1) and the lowest priority to fair
values derived from unobservable inputs (Level 3). The
level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on
the lowest level input that is significant to the fair value
measurement in its entirety. Management has concluded that based
on available information in the marketplace, the
Funds Level 1 assets and
liabilities are actively traded.
GAAP 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 Partnerships
and the Funds Level 2 assets and liabilities.
The Partnership and the Funds will separately present purchases,
sales, issuances and settlements in their reconciliation of
Level 3 fair value measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make
disclosures regarding the level of disaggregation and the inputs
and valuation techniques used to measure fair value for
measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy as required by GAAP.
The Funds consider prices for exchange-traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1).
The values of non-exchange-traded forwards, swaps and certain options contracts for which market
quotations are not readily available, are priced by broker-dealers that derive fair values for
those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where
there are no other rights or obligations inherent within the ownership interest held by the
Partnership are priced based on the end of the day net asset value (Level 2). The value of the
Partnerships investments in the Funds reflects its proportional interest in the Funds. As of and
for the periods ended June 30, 2011 and December 31, 2010, the Funds did not hold any derivative
instruments that were priced at fair value using unobservable inputs through the application of
managements assumptions and internal valuation pricing models (Level 3).
Futures
Contracts. The Funds trade futures contracts and exchange-cleared
swaps. Exchange-cleared swaps are traded as futures. A futures contract is a firm commitment
to buy or sell a specified quantity of investments, currency or a standardized amount of a
deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments
(variation margin) may be made or received by the Funds each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or
losses by the Funds. When the contract is closed, the Funds record a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and the value at the
time it was closed. Transactions in futures contracts require participants to make both initial
margin deposits of cash or other assets and variation margin deposits, through the futures broker,
directly with the exchange on which the contracts are traded. Net realized gains (losses) and
changes in net unrealized gains (losses) on futures contracts are included in the Statements of
Income and Expenses and Changes in Partners Capital.
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the
Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on
an agreed future date. Foreign currency contracts are valued daily, and the Funds net equity
therein, representing unrealized gain or loss on the contracts as measured by the difference
between the forward foreign exchange rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of Financial Condition. Net realized
gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the changes occur, respectively, and
are included in the Statements of Income and Expenses and Changes in Partners Capital.
15
Table of Contents
Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
The
Funds do not isolate the portion of the results of operations arising from the effect of
changes in foreign exchange rates on investments from fluctuations from changes in market prices of
investments held. Such fluctuations are included in net income (loss) on investments in the
Statements of Income and Expenses and Changes in Partners Capital.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange
(LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates
published by the LME. Payments (variation margin) may be made or received by the Funds each
business day, depending on the daily fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long
positions have been matched with a like number of short positions settling on the same prompt date.
When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and the value at the
time it was closed. Transactions in LME contracts require participants to make both initial margin
deposits of cash or other assets and variation margin deposits, through the broker, directly with
the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal
contracts are included in the Statements of Income and Expenses and Changes in Partners Capital.
Options. The Funds may purchase and write (sell) both exchange listed and OTC options on
commodities or financial instruments. An option is a contract allowing, but not requiring, its
holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a
specified price during a specified time period. The option premium is the total price paid or
received for the option contract. When the Funds write an option, the premium received is recorded
as a liability in the Statements of Financial Condition and marked to market daily. When the Funds
purchase an option, the premium paid is recorded as an asset in the Statements of Financial
Condition and marked to market daily. Net realized gains
(losses) and changes in net unrealized gains
(losses) on options contracts are included in the Statements of Income and Expenses and Changes in
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 Partnerships 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 Partnerships financial statements to
determine whether the tax positions are more-likely-than-not to be sustained by the applicable
tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the
more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.
The General Partner has concluded that no provision for income tax is required in the Partnerships
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. The General Partner of the Partnership evaluates events that occur after the balance
sheet date but before financial statements are filed. The General Partner has assessed the subsequent events
through the date of filing and has determined that there were no subsequent events requiring
adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standard Board (FASB) issued Accounting Standards
Update (ASU) 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and
International Financial Reporting Standards (IFRS). The amendments within this ASU change the wording used to describe
many of the requirements in U.S.
GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording
differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASBs intent about the application of
existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring
fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods
beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the
Partnerships 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.
16
Table of Contents
Item 2. Managements 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. The Partnerships assets are
its investment in the Funds and cash. Because of the low margin deposits normally required in
commodity futures trading, relatively small price movements may result in substantial losses to the
Partnership, through its investments in the Funds. While substantial losses could lead to a
material decrease in liquidity, no such illiquidity occurred during the second quarter of 2011.
The Partnerships capital consists of the capital contributions of the partners, as increased
or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest
income and redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2011, Partnership capital decreased
13.3% from $28,436,063 to $24,650,356.
This decrease was attributable to the net loss from operations of $2,360,009, coupled with the
redemptions of 742.4767 Redeemable Units totaling $1,425,698. Future redemptions could 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 Partnerships significant accounting
policies are described in detail in Note 7 of the Financial Statements.
The Partnership records all investments at fair value in its
financial statements, with changes in fair value reported as a
component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes
in Partners Capital.
17
Table of Contents
Results of Operations
During the Partnerships second quarter of 2011 the net asset value per Unit decreased 3.6% from
$1,907.92 to $1,839.83 as compared to a decrease of 2.2% in the second quarter of 2010. The Partnership experienced
a net trading loss, before brokerage fees and related fees in the second quarter of 2011 of $398,926. Losses were primarily
attributable to the Funds trading of commodity futures in energy, grains, non-U.S. interest rates, livestock, indices,
metals and softs, and were partially offset by gains in currencies and U.S. interest rates.
The Partnership experienced a net trading loss, before brokerage fees and related fees in the second quarter of 2010 of
$30,992. Losses were primarily attributable to the Partnerships/Funds trading of commodity futures in currencies, energy, grains,
livestock, indices, metals and softs, and were partially offset by gains in U.S. and non-U.S. interest rates.
During the second quarter of 2011, the most significant losses were incurred within the global
stock index sector, primarily during June, from long positions in U.S., Pacific Rim, and European
equity index futures as prices declined on worse-than-expected economic reports and mounting
worries over the European debt crisis. Within the energy markets, losses were recorded primarily
during May and June due to long futures positions in crude oil and its related products as prices
moved lower amid concern energy demand may weaken. Further losses were experienced in June due to
short positions in natural gas futures as prices rose on forecasts of above-average temperatures in
the U.S., boosting demand for the fuel. Within the agricultural complex, losses were recorded
primarily in April from long positions in cotton futures as prices declined on concern demand may
slow from China, the worlds biggest buyer of the fiber. Further losses were experienced during
June due to long positions in corn futures as prices fell sharply after the U.S. Department of
Agriculture revealed larger-than-expected plantings. Losses were also experienced within the
metals markets, primarily during May, due to long positions in silver futures as prices fell
sharply from a 31-year high. Further losses were experienced in June due to long positions in
aluminum futures as prices fell amid a slowing global economy and a rising U.S. dollar.
A portion of the Partnerships losses during the second quarter was offset by gains achieved
within the currency markets, primarily during April, from long positions in the Brazilian real,
Swiss franc, Indonesian rupiah, and Australian dollar versus the U.S. dollar as the value of these
currencies rose against the U.S. dollar after better-than-expected corporate earnings reports and
signs of global growth spurred demand for higher-yielding currencies. Gains were also experienced
within the global interest rate sector, primarily during May, from long positions in U.S.
fixed-income futures as prices increased following reports that showed the U.S. economy grew less
than forecast and U.S. jobless claims unexpectedly rose.
During the Partnerships six months ended June 30, 2011, the net asset value per Unit decreased 8.5% from
$2,010.95 to $1,839.83, as compared to a decrease of 3.5% during the six months ended June 30, 2010. The Partnership
experienced a net trading loss, before brokerage fees and related fees during the six months ended June 30, 2011
of $1,252,293. Losses were primarily attributable to the Funds trading of commodity futures in grains, non-U.S. interest rates, livestock, metals, softs, indices and were partially offset
by gains in currencies, energy and U.S. interest rates. The Partnership experienced a net trading gain, before brokerage
fees and related fees during the six months ended June 30, 2010 of $135,635. Gains were primarily attributable to the
Partnerships/Funds trading of commodity futures in currencies, U.S. and non-U.S. interest rates, and were partially offset by losses in energy,
grains, livestock, metals, softs and indices.
During the six months ended of 2011, the most significant losses were incurred in the
global stock index sector, primarily during June, from long positions in European, Pacific Rim, and
U.S. equity index futures as prices declined after worse-than-expected economic reports and
mounting worries over the European debt crisis. Additional losses were experienced in this sector
during March from long positions in European equity index futures as prices moved lower. Losses
were experienced within the metals markets, primarily during March, from long positions in copper
futures as prices moved lower amid concern that rising energy costs would possibly slow the global
economy and reduce demand for base metals. Further losses were incurred within this sector during
May and June from long positions in aluminum futures. Within the agricultural complex, losses were
incurred primarily during March due to long positions in cocoa futures as prices fell on signs the
political turmoil in the Ivory Coast, the worlds largest cocoa producing country, may be easing.
Within the global interest rate sector, losses were incurred primarily during April due to short
positions in European fixed-income futures as prices moved higher after Standard & Poors put a
negative outlook on the United States AAA credit rating, prompting demand for an alternative to
U.S. Treasuries. A portion of the Partnerships losses during the first six months of the year was
offset by gains achieved within the currency markets, primarily during April, from long positions
in the Brazilian real, Swiss franc, Indonesian rupiah, and Australian dollar versus the U.S. dollar
as the value of these currencies rose against the U.S. dollar after better-than-expected corporate
earnings reports and signs of global growth spurred demand for higher-yielding currencies.
Commodity futures markets are highly volatile.
Broad price fluctuations and rapid inflation
increase the risks involved in commodity trading, but also increases the possibility of profit. The
profitability of the Funds depends on the existence of major price trends and the ability of the
Advisors to correctly identify those price trends. Price trends are influenced by, among other
things, changing supply and demand relationships, weather, governmental, agricultural, commercial
and trade programs and policies, national and international political and economic events and
changes in interest rates. To the extent that market trends exist and the Advisors are able to
identify them, the Funds expect to increase capital through operations.
Interest income on 80% of the average daily equity maintained in cash in each of the Funds accounts was earned at the
monthly average 30- day U.S. Treasury bill rate. Interest income for the three and six months ended June 30, 2011
decreased by $6,012 and $4,095, respectively, as compared to the corresponding periods in 2010. The decrease
in interest income is due to lower U.S.
Treasury bill rates during the six months ended June 30, 2011, as compared to the corresponding period in 2010.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on the last day of each
month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the
fluctuations in the monthly net asset values. Brokerage fees and related fees for the three and six months ended June 30,
2011 decreased by $12,838 and $9,913, respectively, as compared to the corresponding periods in 2010.
The decrease in brokerage fees and related fees was due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.
18
Table of Contents
Management fees are calculated as a percentage of the Partnerships adjusted net asset value as of the end of each
month and are affected by trading performance and redemptions. Management fees for the three and six months ended
June 30, 2011 decreased by $14,365 and $25,513, respectively, as compared to the corresponding periods in 2010. The decrease
in management fees was due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.
Incentive fees are based on the new trading profits generated by each Advisor as defined in the management agreements between the Partnership, the
General Partner and each Advisor and are payable annually. Trading performance for the three months ended
June 30, 2011 resulted in an incentive fee reversal of $25,230. There was no incentive fee for the six months
ended June 30, 2011. Trading performance for the three and six months ended June 30, 2010 resulted in an incentive fee accrual
of $22,336.
In
allocating the assets of the Partnership among Advisors, the General Partner considers
past performance, trading style, volatility of markets traded and fee requirements. The General
Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets
to additional advisors at any time.
19
Table of Contents
Item 3. Quantitative and Qualitative Disclosures about Market Risk
All of the Partnerships assets are subject to the risk of trading loss through its
investments in the Funds and are speculative commodity pools. The market sensitive instruments held
by them are acquired for speculative trading purposes, and substantially all of the Funds assets
are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive
instruments is integral, not incidental, to the Funds main lines 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
Partnerships assets and undistributed profits. This limited liability is a result 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 Funds open contracts
and, consequently in their earnings and cash balances. The Funds market risks are influenced by a
wide variety of factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts, the diversification effects
of the Funds open contracts and the liquidity of the market in which they trade.
The Funds rapidly acquire and liquidate both long and short positions in a wide range of
different markets. Consequently, it is not possible to predict how a particular future market
scenario will affect performance, and the Funds past performances are not necessarily indicative
of their future results.
Value at Risk is a measure of the maximum amount which the Funds could reasonably be
expected to lose in a given market sector. However, the inherent uncertainty of the Funds
speculative trading and the recurrence in the markets traded by the Funds of market movements far
exceeding expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Funds experiences to date (i.e., risk of ruin). In light of the
foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion
of the quantification in this section should not be considered to constitute any assurance or
representation that the Funds losses in any market sector will be limited to Value at Risk or by
the Funds attempts to manage their market risks.
Exchange maintenance margin requirements have been used by the Funds as the measure of their
Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any
one-day interval. Maintenance margin has been used rather than the more generally available initial
margin, because initial margin includes a credit risk component, which is not relevant to Value at
Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market
risk sensitive instruments. The Partnerships Advisors currently trade the Partnerships assets
indirectly in master fund managed accounts, over which they have been granted limited authority to
make trading decisions. The first two trading Value at Risk tables reflect the market sensitive
instruments held by the Partnership indirectly, through its
investments in the Funds. The remaining
trading Value at Risk tables reflect the market sensitive instruments held by each Fund,
separately.
20
Table of Contents
The
following tables indicate the trading Value at Risk associated with the Partnerships
open positions by market category as of June 30, 2011 and December 31,2010. As of
June 30, 2011, the Partnerships total capitalization was
$24,650,356.
June 30, 2011
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 921,732 | 3.74 | % | ||||
Energy |
194,819 | 0.79 | % | |||||
Grains |
53,966 | 0.22 | % | |||||
Indices |
522,791 | 2.12 | % | |||||
Interest Rates U.S. |
181,000 | 0.73 | % | |||||
Interest Rates Non-U.S. |
617,376 | 2.50 | % | |||||
Livestock |
8,803 | 0.04 | % | |||||
Lumber |
1,692 | 0.01 | % | |||||
Metals |
175,574 | 0.71 | % | |||||
Softs |
81,311 | 0.33 | % | |||||
Total |
$ | 2,759,064 | 11.19 | % | ||||
As of
December 31, 2010, the Partnerships
total capitalization was $28,436,063.
December 31,
2010
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 1,073,671 | 3.78 | % | ||||
Energy |
687,716 | 2.42 | % | |||||
Grains |
92,399 | 0.32 | % | |||||
Indices |
548,609 | 1.93 | % | |||||
Interest Rates U.S. |
34,492 | 0.12 | % | |||||
Interest Rates Non-U.S. |
213,543 | 0.75 | % | |||||
Livestock |
39,333 | 0.14 | % | |||||
Lumber |
478 | 0.00 | %* | |||||
Metals |
237,979 | 0.84 | % | |||||
Softs |
102,064 | 0.36 | % | |||||
Total |
$ | 3,030,284 | 10.66 | % | ||||
* | Due to rounding. |
The following tables indicate the trading Value at Risk associated with the Partnerships
investments in the Funds by market category as of June 30, 2011
and December 31, 2010, and the highest, lowest and average
values during the three months ended June 30, 2011 and during
the twelve months ended December 31, 2010. All open position trading risk exposures of the
Partnership have been included in calculating the figures set forth below. There have been no
material changes in the trading Value at Risk information previously disclosed in the Partnerships
Annual Report on Form 10-K for the year ended December 31, 2010.
As
of June 30, 2011, Aspect Masters total capitalization was
$160,357,448. The Partnership
owned approximately 3.8% of Aspect Master. As of June 30, 2011, the Aspect Masters Value at Risk
for its assets (including the portion of the Partnerships assets allocated to Aspect for trading)
was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 6,644,755 | 4.14 | % | $ | 9,705,808 | $ | 6,644,755 | $ | 8,426,784 | ||||||||||
Energy |
950,544 | 0.59 | % | 2,078,345 | 856,518 | 1,280,704 | ||||||||||||||
Grains |
123,592 | 0.08 | % | 498,219 | 123,592 | 340,962 | ||||||||||||||
Indices |
1,221,773 | 0.76 | % | 2,915,866 | 914,885 | 1,958,623 | ||||||||||||||
Interest Rates U.S. |
1,448,950 | 0.90 | % | 2,289,150 | 1,118,150 | 1,618,750 | ||||||||||||||
Interest Rates Non-U.S. |
6,697,399 | 4.18 | % | 6,742,007 | 1,784,812 | 4,313,958 | ||||||||||||||
Livestock |
33,755 | 0.02 | % | 131,900 | 31,500 | 61,990 | ||||||||||||||
Lumber |
9,000 | 0.01 | % | 9,000 | 1,000 | 7,500 | ||||||||||||||
Metals |
916,286 | 0.57 | % | 1,578,653 | 811,801 | 1,137,353 | ||||||||||||||
Softs |
425,101 | 0.27 | % | 627,776 | 410,674 | 487,133 | ||||||||||||||
Total |
$ | 18,471,155 | 11.52 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
21
Table of Contents
As of December 31, 2010, Aspect Masters total capitalization was $157,864,059. The
Partnership owned approximately 3.9% of Aspect Master. As of December 31, 2010, Aspect Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to Aspect
for trading) was as follows:
December 31, 2010
Twelve months ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 6,641,142 | 4.21 | % | $ | 6,908,626 | $ | 1,960,264 | $ | 4,676,655 | ||||||||||
Energy |
1,421,450 | 0.90 | % | 1,932,150 | 351,414 | 1,223,668 | ||||||||||||||
Grains |
663,172 | 0.42 | % | 853,702 | 150,472 | 496,932 | ||||||||||||||
Indices |
2,735,405 | 1.73 | % | 15,325,500 | 832,920 | 2,830,563 | ||||||||||||||
Interest Rates U.S. |
128,755 | 0.08 | % | 2,333,350 | 128,755 | 1,185,599 | ||||||||||||||
Interest Rates Non-U.S. |
1,433,026 | 0.91 | % | 6,063,200 | 1,068,897 | 4,111,787 | ||||||||||||||
Livestock |
109,519 | 0.07 | % | 240,000 | 14,717 | 93,906 | ||||||||||||||
Metals |
1,798,174 | 1.14 | % | 2,724,717 | 539,569 | 1,434,801 | ||||||||||||||
Softs |
853,509 | 0.54 | % | 1,719,693 | 494,690 | 987,242 | ||||||||||||||
Total |
$ | 15,784,152 | 10.00 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
As
of June 30, 2011, Altis Masters total capitalization was
$103,869,373. The Partnership
owned approximately 5.0% of Altis Master. As of June 30, 2011, the Altis Masters Value at Risk
for its assets (including the portion of the Partnerships assets allocated to Altis for trading)
was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 2,577,430 | 2.48 | % | $ | 4,043,859 | $ | 1,499,893 | $ | 2,914,230 | ||||||||||
Energy |
1,327,961 | 1.28 | % | 2,954,905 | 374,821 | 1,279,237 | ||||||||||||||
Grains |
519,081 | 0.50 | % | 1,290,740 | 326,477 | 656,920 | ||||||||||||||
Indices |
1,616,300 | 1.56 | % | 4,865,066 | 719,883 | 2,328,540 | ||||||||||||||
Interest Rates U.S. |
480,200 | 0.46 | % | 1,007,400 | 445,650 | 617,058 | ||||||||||||||
Interest Rates Non -U.S. |
1,700,061 | 1.64 | % | 1,814,978 | 535,752 | 1,269,522 | ||||||||||||||
Livestock |
150,410 | 0.14 | % | 244,350 | 52,475 | 115,828 | ||||||||||||||
Lumber |
27,000 | 0.03 | % | 69,000 | 13,500 | 25,500 | ||||||||||||||
Metals |
1,229,811 | 1.18 | % | 2,447,050 | 644,520 | 1,129,073 | ||||||||||||||
Softs |
778,782 | 0.75 | % | 1,748,653 | 495,644 | 1,024,497 | ||||||||||||||
Total |
$ | 10,407,036 | 10.02 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
22
Table of Contents
As of December 31, 2010, Altis Masters total capitalization was $63,685,511. The Partnership owned
approximately 9.2% of Altis Master. As of December 31, 2010, the Altis Masters Value at Risk for
its assets (including the portion of the Partnerships assets allocated to Altis Master for
trading) was as follows:
December 31, 2010
Twelve months ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 3,113,522 | 4.89 | % | $ | 3,481,070 | $ | 143,363 | $ | 2,231,735 | ||||||||||
Energy |
1,077,195 | 1.69 | % | 2,479,469 | 236,868 | 1,086,124 | ||||||||||||||
Grains |
483,876 | 0.76 | % | 915,463 | 136,257 | 435,755 | ||||||||||||||
Indices |
1,251,469 | 1.97 | % | 7,740,340 | 220,942 | 2,503,689 | ||||||||||||||
Interest Rates U.S. |
191,408 | 0.30 | % | 1,193,750 | 110,116 | 570,835 | ||||||||||||||
Interest Rates Non-U.S. |
733,663 | 1.15 | % | 1,849,973 | 183,212 | 1,000,258 | ||||||||||||||
Livestock |
107,232 | 0.17 | % | 170,400 | 22,320 | 82,718 | ||||||||||||||
Lumber |
5,200 | 0.01 | % | 27,500 | 1,100 | 9,287 | ||||||||||||||
Metals |
1,079,175 | 1.69 | % | 2,589,641 | 241,177 | 1,152,447 | ||||||||||||||
Softs |
747,574 | 1.17 | % | 937,879 | 199,670 | 499,434 | ||||||||||||||
Total |
$ | 8,790,314 | 13.80 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
As
of June 30, 2011, Waypoint Masters total capitalization
was $37,963,728. The Partnership
owned approximately 19.0% of Waypoint Master. As of June 30, 2011, the Waypoint Masters Value at
Risk for its assets (including the portion of the Partnerships assets allocated to Waypoint for
trading) was as follows:
June
30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk * | |||||||||||||||
Currencies |
$ | 1,978,315 | 5.21 | % | $ | 10,317,436 | $ | 381,280 | $ | 6,777,194 | ||||||||||
Energy |
46,750 | 0.12 | % | 112,500 | 42,500 | 51,875 | ||||||||||||||
Grains |
40,250 | 0.11 | % | 111,500 | 19,250 | 75,875 | ||||||||||||||
Indices |
1,040,966 | 2.74 | % | 1,280,802 | 200,908 | 648,984 | ||||||||||||||
Interest Rates U.S. |
26,000 | 0.07 | % | 591,250 | 26,000 | 367,367 | ||||||||||||||
Interest Rates Non-U.S. |
697,203 | 1.84 | % | 1,537,795 | 78,185 | 821,745 | ||||||||||||||
Metals |
142,500 | 0.37 | % | 170,512 | 40,500 | 156,506 | ||||||||||||||
Softs |
37,800 | 0.10 | % | 105,300 | 37,800 | 62,100 | ||||||||||||||
Total |
$ | 4,009,784 | 10.56 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
23
Table of Contents
As of December 31, 2010, Waypoint Masters total capitalization was $41,247,646. The Partnership
owned approximately 17.2% of
Waypoint Master. As of December 31, 2010, Waypoint Masters Value at Risk for its assets (including
the portion of the Partnerships assets allocated to Waypoint for trading) was as follows:
December 31, 2010
For the period ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk * | |||||||||||||||
Currencies |
$ | 1,878,430 | 4.55 | % | $ | 11,817,794 | $ | 633,809 | $ | 5,198,266 | ||||||||||
Indices |
901,236 | 2.18 | % | 1,613,660 | 100,993 | 790,428 | ||||||||||||||
Metals |
80,750 | 0.20 | % | 216,436 | 31,500 | 66,207 | ||||||||||||||
Total |
$ | 2,860,416 | 6.93 | % | ||||||||||||||||
* | For the period March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk. |
As
of June 30, 2011, Blackwater Masters total capitalization was $34,744,786. The
Partnership owned approximately 18.7% of Blackwater Master. As of
June 30, 2011, the Blackwater
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Blackwater for trading) was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 890,150 | 2.56 | % | $ | 1,876,683 | $ | 890,150 | $ | 1,011,517 | ||||||||||
Energy |
446,336 | 1.28 | % | 868,462 | 19,250 | 175,945 | ||||||||||||||
Grains |
84,000 | 0.24 | % | 141,000 | 42,000 | 73,500 | ||||||||||||||
Indices |
1,063,136 | 3.06 | % | 1,607,842 | 541,808 | 952,159 | ||||||||||||||
Interest Rates U.S. |
518,800 | 1.49 | % | 969,300 | 219,050 | 480,350 | ||||||||||||||
Interest Rates Non -U.S. |
781,285 | 2.25 | % | 807,320 | 330,533 | 571,484 | ||||||||||||||
Metals |
279,849 | 0.81 | % | 758,876 | 279,843 | 505,780 | ||||||||||||||
Softs |
102,000 | 0.30 | % | 119,000 | 102,000 | 102,000 | ||||||||||||||
Total |
$ | 4,165,556 | 11.99 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
24
Table of Contents
As of December 31, 2010, Blackwater Masters total capitalization was $25,938,011. The
Partnership owned approximately 22.7% of Blackwater Master. As of December 31, 2010, the Blackwater
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Blackwater for trading) was as follows:
December 31, 2010
For the period 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 |
$ | 903,667 | 3.48 | % | $ | 903,667 | $ | 577,300 | $ | 765,383 | ||||||||||
Energy |
357,370 | 1.38 | % | 508,250 | 184,174 | 350,610 | ||||||||||||||
Grains |
97,000 | 0.37 | % | 97,000 | 30,000 | 48,500 | ||||||||||||||
Indices |
756,741 | 2.92 | % | 1,256,105 | 756,741 | 941,241 | ||||||||||||||
Interest Rates U.S. |
52,250 | 0.20 | % | 171,550 | 14,700 | 33,475 | ||||||||||||||
Interest Rates Non-U.S. |
397,172 | 1.53 | % | 445,693 | 86,447 | 358,644 | ||||||||||||||
Livestock |
111,000 | 0.43 | % | 111,000 | 40,000 | 97,000 | ||||||||||||||
Metals |
240,867 | 0.93 | % | 346,947 | 240,866 | 283,148 | ||||||||||||||
Total |
$ | 2,916,067 | 11.24 | % | ||||||||||||||||
* | For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk. |
25
Table of Contents
Item 4. Controls
and Procedures.
The Partnerships 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 SECs 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.
The
General Partner is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of June 30, 2011, and, based on that evaluation, the General Partners CEO and CFO have
concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners 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 Partnerships 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 Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process
during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely
to materially affect, the Partnerships internal control over financial reporting.
26
Table of Contents
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
There are no material changes to the discussion set forth under Part I, Item 3, Legal Proceedings
in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,2010, as updated by the
Partnerships Quarterly Report on Form 10-Q for the quarter ended March 31,2011.
27
Table of Contents
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 Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,
2010 and under Part II, Item 1A. Risk Factors in the Partnerships Quarterly Report ended March 31, 2011.
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
The Redeemable Units were issued to accredited investors 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.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number | ||||||||||||||||||||||
(c) Total Number | (or Approximate | |||||||||||||||||||||
of Redeemable Units | Dollar Value) of | |||||||||||||||||||||
Purchased as Part | Redeemable Units that | |||||||||||||||||||||
(a) Total Number | (b) Average | of Publicly | May Yet Be | |||||||||||||||||||
of Redeemable | Price Paid per | Announced | Purchased Under the | |||||||||||||||||||
Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||||
April 1,
2011 April 30, 2011 |
122.8876 | $ | 1,992.10 | N/A | N/A | |||||||||||||||||
May 1,
2011 May 31, 2011 |
226.2236 | $ | 1,903.21 | N/A | N/A | |||||||||||||||||
June 1,
2011 June 30, 2011 |
118.3239 | $ | 1,839.83 | N/A | N/A | |||||||||||||||||
467.4351 | $ | 1,910.54 | ||||||||||||||||||||
* | 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 Partnerships 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
28
Table of Contents
Item 6.
Exhibits
Exhibits:
3.1 Certificate of Limited Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York, dated June 12, 1998 (filed as Exhibit 3.2 to the
Registration Statement on Form S-1 filed on August 20, 1998 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 the State of New York, dated June 30, 1998 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on August 20, 1998 and incorporated herein by reference). | ||
(b) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(c) | Certificate of Change to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, effective January 31, 2000 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(d) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.1(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(e) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(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 the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Form 8-K filed on September 2, 2008 and incorporated herein by reference). | ||
(g) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(g) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(h) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference). | ||
(i) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated June 30, 2010 (filed as Exhibit 3.1(i) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference). |
3.2 Limited Partnership Agreement, dated June 15, 1998 (filed as Exhibit A to the Registration
Statement on Form S-1 filed on August 20, 1998 and incorporated herein by reference).
10.1 Customer Agreement between the Partnership and Salomon Smith Barney Inc., dated October 21,
1998 (filed as Exhibit 10.1 to the Pre-Effective Amendment No. 1 to the Registration Statement on
Form S-1 filed on October 22, 1998 and incorporated herein by reference).
10.2
Escrow Agreement among the Partnership, Smith Barney Inc., and European American Bank, dated
October 21, 1998 (filed as Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the Registration
Statement on Form S-1 filed on October 22, 1998 and incorporated herein by reference).
29
Table of Contents
10.3 Selling Agreement among the Partnership, Smith Barney Futures Management Inc., and Smith
Barney Inc., dated October 21, 1998 (filed as Exhibit 1.1 to the Pre-Effective Amendment No. 1 to
the Registration Statement on Form S-1 filed on October 22, 1998 and incorporated herein by
reference).
10.4 Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global
Markets Inc. and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the
Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
10.5 Management Agreement among the Partnership, the General Partner and Aspect Capital
Management Limited, dated April 17, 2001 (filed as Exhibit 10.12 to the Form 10-K filed on March
28, 2002 and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Aspect Capital Management Limited for 2010, dated June 1, 2010 (filed as Exhibit 10.6(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference). |
10.6 Management Agreement among the Partnership, the General Partner and Altis Partners (Jersey)
Limited, dated October 1, 2005 (filed as Exhibit 33.1 to the Form 10-Q/A filed on November 16, 2005
and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Altis Partners (Jersey) Limited for 2010, dated June 1, 2010 (filed as Exhibit 10.7(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference). |
10.7 Management Agreement among the Partnership, the General Partner and Waypoint Capital
Management LLC, dated September 29, 2008 (filed as Exhibit 10.23 to the Form 10-K filed on March
31, 2009 and incorporated herein by reference).
(a) | Letter from the General Partner extending Management Agreement with Waypoint Capital Management LLC for 2010, dated June 1, 2010 (filed as Exhibit 10.8(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference). |
10.8
Management Agreement among the Partnership, the General Partner and Blackwater Capital
Management LLC, dated October 29, 2010 (filed as Exhibit 10.9 to the Form 8-K filed on November 4,
2010 and incorporated herein be 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).
101.INS
|
XBRL Instance Document. | |
101.SCH
|
XBRL Taxonomy Extension Scema Document. | |
101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101.LAB
|
XBRL Taxonomy Extension Label Linkbase Document. | |
101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document. |
30
Table of Contents
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.
GLOBAL DIVERSIFIED FUTURES FUND L.P. By: Ceres Managed Futures LLC (General Partner) |
||||
By: | /s/ Walter Davis | |||
Walter Davis | ||||
President and Director |
Date:
August 15, 2011
By: | /s/ Jennifer Magro | |||
Jennifer Magro | ||||
Chief Financial Officer and Director (Principal Accounting Officer) |
Date: August 15, 2011
31