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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
 
(State or other jurisdiction of
incorporation or organization)
 
 
13-4015586
 
(I.R.S. Employer
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)
(212) 296-1999
 
(Registrant’s telephone number, including area code)
     Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes 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

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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.

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Table of Contents

Global Diversified Futures Fund L.P.
Schedule of Investments
June 30, 2011
(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.

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Table of Contents

Global Diversified Futures Fund L.P.
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.

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Table of Contents

Global Diversified Futures Fund L.P.
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.

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Table of Contents

Global Diversified Futures Fund L.P.
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 Partnership’s 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 Partnership’s 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 Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.
     The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related 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.

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Table of Contents

Global Diversified Futures Fund L.P.
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 Partnership’s investments are in other funds which trade these instruments. The Partnership’s 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 Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions.

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Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
4. Fair Value Measurements:
     Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), through its 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.
     Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Funds’ Level 1 assets and liabilities are actively traded.
     GAAP requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets.
          The Partnership and the Funds will separately present purchases, sales, issuances, and settlements in 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 Partnership’s 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 management’s 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        
 
                       

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Table of Contents

Global Diversified Futures Fund L.P.
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 Campbell’s Financials, Metals and Energy (“FME”) Large Portfolio, Campbell’s 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 Aspect’s 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 Altis’s 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.

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Global Diversified Futures Fund L.P.
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 Master’s, Altis Master’s, Waypoint Master’s and Blackwater Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained 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 CGM’s 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  
 
                 

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Global Diversified Futures Fund L.P.
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 Partnership’s 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              
    Partnership’s     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 )                
 
                                                     

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Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
                                                                 
    June 30, 2011     For the six months ended June 30, 2011              
    % of                                     Net              
    Partnership’s     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              
    Partnership’s     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              
    Partnership’s     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.

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Global Diversified Futures Fund L.P.
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 Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent, that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
     As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then 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.

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Global Diversified Futures Fund L.P.
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.
     Partnership’s 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 Fund’s Statements of Income and Expenses and Changes in Partners’ Capital.
     Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Funds’ Level 1 assets and liabilities are actively traded.
     GAAP requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.
     The Partnership and the Funds will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required 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 Partnership’s 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 management’s 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.

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Global Diversified Futures Fund L.P.
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 Partnership’s income and expenses.
     GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.
          The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.
     Subsequent Events. 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 FASB’s 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 Partnership’s 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”.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
     The Partnership does not engage in sales of goods or services. The Partnership’s 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 Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest income 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 Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.
     The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

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Results of Operations
      During the Partnership’s 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 Partnership’s/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 world’s 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 Partnership’s 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 Partnership’s 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 Partnership’s/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 world’s 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 & Poor’s put a “negative” outlook on the United States’ AAA credit rating, prompting demand for an alternative to U.S. Treasuries. A portion of the Partnership’s 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 Partnership’s 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.

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      Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance 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.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk
     All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Funds 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 Partnership’s 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 Partnership’s Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts, over which they have been granted limited authority to make trading decisions. The first 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.

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     The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2011 and December 31,2010. As of June 30, 2011, the Partnership’s 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 Partnership’s 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 Partnership’s 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 Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.
     As of June 30, 2011, Aspect Master’s total capitalization was $160,357,448. The Partnership owned approximately 3.8% of Aspect Master. As of June 30, 2011, the Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:
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.

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     As of December 31, 2010, Aspect Master’s total capitalization was $157,864,059. The Partnership owned approximately 3.9% of Aspect Master. As of December 31, 2010, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:
December 31, 2010
                                         
                    Twelve months ended December 31, 2010  
            % 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 Master’s total capitalization was $103,869,373. The Partnership owned approximately 5.0% of Altis Master. As of June 30, 2011, the Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s 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.

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     As of December 31, 2010, Altis Master’s total capitalization was $63,685,511. The Partnership owned approximately 9.2% of Altis Master. As of December 31, 2010, the Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s 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 Master’s total capitalization was $37,963,728. The Partnership owned approximately 19.0% of Waypoint Master. As of June 30, 2011, the Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:
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.

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     As of December 31, 2010, Waypoint Master’s total capitalization was $41,247,646. The Partnership owned approximately 17.2% of Waypoint Master. As of December 31, 2010, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:
December 31, 2010
                                         
                    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 Master’s total capitalization was $34,744,786. The Partnership owned approximately 18.7% of Blackwater Master. As of June 30, 2011, the Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s 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.

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     As of December 31, 2010, Blackwater Master’s total capitalization was $25,938,011. The Partnership owned approximately 22.7% of Blackwater Master. As of December 31, 2010, the Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s 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.

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Item 4. Controls and Procedures.
     The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
     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 Partnership’s external disclosures.
     The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2011, and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
     The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
  pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
  provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and
 
  provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
     There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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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 Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31,2010, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31,2011.

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Item 1A. Risk Factors.
     There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s 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 Partnership’s business in connection with effecting redemptions for Limited Partners.
 
**   Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.
Item 3. Defaults Upon Senior Securities — None
Item 4. [Removed and Reserved]
Item 5. Other Information. — None

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Item 6. Exhibits
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).

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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.

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

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