Meritage Futures Fund L.P. - FORM 10-Q

Attached files

file	filename
EX-10.5 - EXHIBIT 10.5 - Meritage Futures Fund L.P.	meritage105.htm
EX-10.1 - EXHIBIT 10.1 - Meritage Futures Fund L.P.	meritage101.htm
EX-10.6 - EXHIBIT 10.6 - Meritage Futures Fund L.P.	meritage106.htm
EX-10.3 - EXHIBIT 10.3 - Meritage Futures Fund L.P.	meritage103.htm
EX-10.4 - EXHIBIT 10.4 - Meritage Futures Fund L.P.	meritage104.htm
EX-10.2 - EXHIBIT 10.2 - Meritage Futures Fund L.P.	meritage102.htm
EX-32.02 - EXHIBIT 32.02 - Meritage Futures Fund L.P.	meritageex3202.htm
EX-31.02 - EXHIBIT 31.02 - Meritage Futures Fund L.P.	meritageex3102.htm
EX-31.01 - EXHIBIT 31.01 - Meritage Futures Fund L.P.	meritageex3101.htm
EXCEL - IDEA: XBRL DOCUMENT - Meritage Futures Fund L.P.	Financial_Report.xls
EX-32.01 - EXHIBIT 32.01 - Meritage Futures Fund L.P.	meritageex3201.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2011 or

o 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: 000-53113

	MERITAGE FUTURES FUND L.P.
	(Exact name of registrant as specified in its charter)

	Delaware	20-8529352
	(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

Ceres Managed Futures LLC
522 Fifth Avenue, 14th Floor
New York, NY		10036
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code

(212) 296-1999

Managed Futures Profile MV, L.P.

(Former name, former address and former fiscal year, if changed since last report)

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

Yes x No 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 x 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.

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x	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 0 No T

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

INDEX TO QUARTERLY REPORT ON FORM 10-Q

June 30, 2011

	PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements (Unaudited)

	Statements of Financial Condition as of June 30, 2011 and December 31, 2010	2

	Statements of Income and Expenses for the Three and Six Months Ended June 30, 2011 and 2010	3

	Statements of Changes in Partners’ Capital for the Six Months Ended June 30, 2011 and 2010	4

	Notes to Financial Statements	5-20

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21-29

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	30-47

Item 4.	Controls and Procedures	47-48

	PART II. OTHER INFORMATION

Item 1A.	Risk Factors	49

Item 2.	Unregistered Sales of Securities and Use of Proceeds	49

Item 6.	Exhibits	49-50

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

STATEMENTS OF FINANCIAL CONDITION

(Unaudited)

	June 30,	December 31,
	2011	2010
ASSETS	$	$

Investments in Affiliated Trading Companies:
Investment in BHM I, LLC	8,787,558	–
Investment in Kaiser I, LLC	6,443,352	10,489,485
Investment in TT II, LLC	5,421,395	11,800,671
Investment in Aspect I, LLC	4,852,206	10,343,798
Investment in Altis I, LLC	4,806,354	–
Investment in WNT I, LLC	4,161,870	10,780,859
Investment in AHL I, LLC	3,915,735	–
Investment in Boronia I, LLC	3,278,311	–
Investment in Rotella I, LLC	2,710,613	–
Investment in Augustus I, LLC	2,477,001	4,661,993
Investment in GLC I, LLC	1,872,130	4,661,993
Investment in Chesapeake I, LLC	1,691,200	5,536,117
Investment in DKR I, LLC	1,222,861	–

Total Investments in Affiliated Trading Companies, at fair value (cost $51,853,950 and $53,541,098 respectively)	51,640,586	58,274,916
Receivable from Affiliated Trading Companies	–	794,623
Subscriptions receivable	–	615,000

Total Assets	51,640,586	59,684,539

LIABILITIES

Redemptions payable	1,729,847	498,522
Payable to Affiliated Trading Companies	–	757,516

Total Liabilities	1,729,847	1,256,038

PARTNERS’ CAPITAL
Class A (33,427.070 and 37,461.613Units, respectively)	35,548,088	42,138,662
Class B (5,399.775 and 5,513.195 Units, respectively)	5,855,849	6,308,090
Class C (6,686.444 and 7,529.287 Units, respectively)	7,394,367	8,762,829
Class Z (967.372 and 1,012.277 Units, respectively)	1,112,435	1,218,920

Total Partners’ Capital	49,910,739	58,428,501

Total Liabilities and Partners’ Capital	51,640,586	59,684,539

NET ASSET VALUE PER UNIT
Class A	1,063.45	1,124.85
Class B	1,084.46	1,144.18
Class C	1,105.87	1,163.83
Class Z	1,149.95	1,204.13

The accompanying notes are an integral part of these financial statements.

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MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

STATEMENTS OF INCOME AND EXPENSES

(Unaudited)

	For the Three Months Ended June 30,		For the Six Months Ended June 30,

	2011	2010	2011	2010
	$	$	$	$
EXPENSES
Ongoing Placement Agent fees	238,271	265,335	485,793	524,015
General Partner fees	137,116	149,843	278,893	295,982
Administrative fees	54,846	59,937	111,557	118,393

Total Expenses	430,233	475,115	876,243	938,390

NET INVESTMENT LOSS	(430,233)	(475,115)	(876,243)	(938,390)

REALIZED/NET CHANGE IN UNREALIZED DEPRECIATION
ON INVESTMENTS
Realized	2,285,351	59,645	2,908,755	226,580
Net change in unrealized depreciation
on investments	(4,679,437)	(1,954,324)	(4,947,182)	(536,507)

Total Realized/Net Change in Unrealized
Depreciation on Investments	(2,394,086)	(1,894,679)	(2,038,427)	(309,927)

NET LOSS	(2,824,319)	(2,369,794)	(2,914,670)	(1,248,317)

NET LOSS ALLOCATION
Class A	(1,989,975)	(1,763,741)	(2,085,850)	(939,268)
Class B	(340,100)	(253,586)	(342,918)	(131,259)
Class C	(438,323)	(312,078)	(434,224)	(162,301)
Class Z	(55,921)	(40,389)	(51,678)	(15,489)

NET LOSS PER UNIT *
Class A	(59.16)	(43.47)	(61.40)	(24.95)
Class B	(58.87)	(42.70)	(59.72)	(22.58)
Class C	(58.55)	(41.91)	(57.96)	(20.16)
Class Z	(57.81)	(40.24)	(54.18)	(15.11)

	Units	Units	Units	Units
WEIGHTED AVERAGE NUMBER
OF UNITS OUTSTANDING
Class A	34,101.225	40,784.152	34,929.979	41,002.415
Class B	5,777.219	5,938.465	5,731.999	5,714.460
Class C	7,486.441	7,373.250	7,493.779	7,566.520
Class Z	967.372	1,003.833	982.010	997.343

* Based on change in net asset value per Unit.

The accompanying notes are an integral part of these financial statements.

– 3 –

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV L.P.)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the Six Months Ended June 30, 2011 and 2010

(Unaudited)

	Class A	Class B	Class C	Class Z	Total
	$	$	$	$	$
Partners’ Capital,
December 31, 2010	42,138,662	6,308,090	8,762,829	1,218,920	58,428,501

Subscriptions	2,224,288	300,000	—	—	2,524,288

Net Loss	(2,085,850)	(342,918)	(434,224)	(51,678)	(2,914,670)

Redemptions	(6,729,012)	(409,323)	(934,238)	(54,807)	(8,127,380)

Partners’ Capital,
June 30, 2011	35,548,088	5,855,849	7,394,367	1,112,435	49,910,739

Partners’ Capital,
December 31, 2009	43,345,191	5,779,409	8,695,492	1,113,738	58,933,830

Subscriptions	3,857,829	733,828	—	15,000	4,606,657

Net Loss	(939,268)	(131,259)	(162,301)	(15,489)	(1,248,317)

Redemptions	(4,049,992)	—	(848,958)	—	(4,898,950)

Partners’ Capital,
June 30, 2010	42,213,760	6,381,978	7,684,233	1,113,249	57,393,220

	Class A	Class B	Class C	Class Z	Total
	Units	Units	Units	Units	Units
Beginning Units,
December 31, 2010	37,461.613	5,513.195	7,529.287	1,012.277	51,516.372

Subscriptions	1,975.661	264.024	—	—	2,239.685

Redemptions	(6,010.204)	(377.444)	(842.843)	(44.905)	(7,275.396)

Ending Units,
June 30, 2011	33,427.070	5,399.775	6,686.444	967.372	46,480.661

Beginning Units,
December 31, 2009	40,464.124	5,330.595	7,924.148	990.781	54,709.648

Subscriptions	3,657.703	681.014	—	13.052	4,351.769

Redemptions	(3,774.305)	—	(790.490)	—	(4,564.795)

Ending Units,
June 30, 2010	40,347.522	6,011.609	7,133.658	1,003.833	54,496.622

The accompanying notes are an integral part of these financial statements.

- 4 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS

June 30, 2011

(Unaudited)

The unaudited financial statements contained herein include, in the opinion of management, all adjustments necessary for a fair presentation of the financial condition and results of operations of Meritage Futures Fund L.P. (formerly, Managed Futures Profile MV, L.P.) (“Meritage” or the “Partnership”). The financial statements and condensed notes herein should be read in conjunction with the Partnership’s Annual Report on Form 10-K for the fiscal year ending December 31, 2010.

1. Organization

Meritage Futures Fund L.P. (formerly, Managed Futures Profile MV, L.P.) was formed on February 22, 2007, under the Delaware Revised Uniform Limited Partnership Act, as a multi-advisor commodity pool created to profit from the speculative trading of domestic and foreign futures contracts, forward contracts, foreign exchange commitments, options on physical commodities and futures contracts, spot (cash) commodities and currencies, exchange of futures contracts on physicals transactions and futures contracts transactions, and any rights pertaining thereto (collectively, “Futures Interests”) (refer to Note 4. Financial Instruments of the Trading Companies) through its investments in affiliated trading companies (each a “Trading Company”, or collectively the “Trading Companies”). Meritage is one of the partnerships in the Managed Futures Multi-Strategy Profile Series, comprised of Meritage, and LV Futures Fund L.P. (“LV”) (formerly, Managed Futures Profile LV, L.P.) (collectively, the “Profile Series”). Prior to May 1, 2011, the Profile Series was comprised of the Partnership, LV, and Polaris Futures Fund L.P. (formerly, Managed Futures Profile HV, L.P.)

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MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership allocates substantially all of its assets to multiple affiliated Trading Companies, each of which allocates substantially all of its assets to the trading program of an unaffiliated commodity trading advisor which makes investment decisions for each respective Trading Company.

The Partnership commenced trading operations on August 1, 2007, in accordance with the terms of its Limited Partnership Agreement (the “Limited Partnership Agreement”). The non-clearing commodity broker for each Trading Company is Morgan Stanley Smith Barney LLC (“MSSB”). Morgan Stanley & Co. Incorporated (“MS&Co.”) acts as each Trading Company’s clearing commodity broker, except that Morgan Stanley Smith Barney Kaiser I, LLC (“Kaiser I, LLC”) uses Newedge USA, LLC (“Newedge”). Morgan Stanley & Co. International plc (“MSIP”) acts as each Trading Company’s commodity broker to the extent it trades on the London Metal Exchange (except Kaiser I, LLC, which uses Newedge) (collectively, MS&Co., MSIP, and Newedge are referred to as the “Commodity Brokers”). Each Trading Company’s over-the-counter foreign exchange spot, options, and forward contract counterparty is either MS&Co. and/or Morgan Stanley Capital Group Inc. (“MSCG”) to the extent a Trading Company trades options on over-the-counter foreign currency forward contracts (except that Newedge serves in such capacity with respect to Kaiser I, LLC).

The financial statements of the Partnership have been prepared using the “Fund of Funds” approach and accordingly all revenue and expense information from the Trading Companies is reflected as a net change in unrealized appreciation (depreciation) on investments on the Statements of Income and Expenses. The Partnership maintains sufficient cash balances on hand to satisfy ongoing operating expenses for the Partnership.

- 6 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Trading Companies and their trading advisors (each individually, a “Trading Advisor” or collectively, the “Trading Advisors”) for the Partnership at June 30, 2011, are as follows:

Trading Company	Trading Advisor

Morgan Stanley Smith Barney AHL I, LLC
(“AHL I, LLC”)	Man-AHL (USA) Ltd.
Morgan Stanley Smith Barney Altis I, LLC
(“Altis I, LLC”)	Altis Partners (Jersey) Limited
Morgan Stanley Smith Barney Aspect I, LLC
(“Aspect I, LLC”)	Aspect Capital Limited
Morgan Stanley Smith Barney Augustus I, LLC
(“Augustus I, LLC”)	GAM International Management Limited
Morgan Stanley Smith Barney BHM I, LLC
(“BHM I, LLC”)	Blenheim Capital Management, L.L.C.
Morgan Stanley Smith Barney Boronia I, LLC
(“Boronia I, LLC”)	Boronia Capital Pty. Ltd.
Morgan Stanley Smith Barney Chesapeake Diversified I, LLC
(“Chesapeake I, LLC”)	Chesapeake Capital Corporation
Morgan Stanley Smith Barney DKR Fusion I, LLC
(“DKR I, LLC”)	DKR Fusion Management L.P.
Morgan Stanley Smith Barney GLC I, LLC
(“GLC I, LLC”)	GLC Ltd. (“GLC”)
Kaiser I, LLC	Kaiser Trading Group Pty. Ltd.
Morgan Stanley Smith Barney Rotella I, LLC
(“Rotella I, LLC”)	Rotella Capital Management, Inc.
Morgan Stanley Smith Barney TT II, LLC
(“TT II, LLC”)	Transtrend B.V.
Morgan Stanley Smith Barney, WNT I, LLC
(“WNT I, LLC”)	Winton Capital Management Limited

Ceres Managed Futures LLC (“Ceres”), the general partner of the Partnership and the trading manager of each Trading Company, is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). MSSBH is majority-owned indirectly by Morgan Stanley and minority-owned indirectly by Citigroup Inc. MSSB is the principal subsidiary of MSSBH. MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley.

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MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Ceres may reallocate the Partnership’s assets to the different Trading Companies at its sole discretion.

Units of limited partnership interest (“Units”) of the Partnership are being offered in four share classes in a private placement pursuant to Regulation D under the Securities Act of 1933, as amended. Depending on the aggregate amount invested in the Partnership, limited partners receive class A, B, C or D Units in the Partnership (each a “Class” and collectively the “Classes”). As of June 30, 2011 and December 31, 2010, there were no Class D Units outstanding. Certain limited partners who are not subject to the ongoing placement agent fee are deemed to hold Class Z Units. Ceres received Class Z Units with respect to its investment in the Partnership.

Ceres is not required to maintain any investment in the Partnership, and may withdraw any portion of its interest in the Partnership at any time, as permitted by the Limited Partnership Agreement. In addition, Class Z shares are only being offered to certain individuals affiliated with Morgan Stanley at Ceres’ sole discretion. Class Z Unit holders are not subject to paying the placement agent fee.

Effective May 18, 2011, the Partnership changed its name from Managed Futures Profile MV, L.P. to Meritage Futures Fund L.P.

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smith Barney AHL I, LLC added Man-AHL (USA) Ltd. as a Trading Advisor to the Partnership.

- 8 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smith Barney Altis I, LLC added Altis Partners (Jersey) Limited as a Trading Advisor to the Partnership.

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smith Barney BHM I, LLC added Blenheim Capital Management, L.L.C. as a Trading Advisor to the Partnership.

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smithy Barney Boronia I, LLC added Boronia Capital Pty. Ltd. as a Trading Advisor to the Partnership.

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smith Barney DKR Fusion I, LLC added DKR Fusion Management L.P. as a Trading Advisor to the Partnership.

Effective June 1, 2011, the Partnership through its investment in Morgan Stanley Smith Barney Rotella I, LLC added Rotella Capital Management Inc., as a Trading Advisor to the Partnership.

2. Related Party Transactions

The cash held by each Trading Company is on deposit with MSSB, MS&Co., and MSIP in futures interest trading accounts to meet margin requirements as needed. MSSB pays each Trading Company at each month end interest income on 100% of its average daily funds held at MSSB. Assets deposited with MS&Co. and MSIP as margin are credited with interest income at a rate approximately equivalent to what MS&Co. and

- 9 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

MSIP pay or charge other customers on such assets deposited as margin. Assets not deposited as margin with MS&Co. and MSIP are credited with interest income at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. For purposes of such interest payments, net assets do not include monies owed to each Trading Company on Futures Interests. MSSB and MS&Co. will retain any excess interest not paid to each Trading Company.

The Partnership pays monthly administrative fees and general partner fees to Ceres. The Partnership pays to MSSB ongoing placement agent fees on a monthly basis equal to a percentage of the net asset value of a limited partners’ Units as of the beginning of each month.

- 10 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

3. Financial Highlights

Changes in the net asset value per Unit for three and six months ended June 30, 2011 and 2010 were as follows:

	Class A	Class B	Class C	Class Z

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
APRIL 1, 2011:	$ 1,122.61	$ 1,143.33	$ 1,164.42	$ 1,207.76

NET OPERATING RESULTS:
Net investment loss	(9.55)	(8.30)	(7.00)	(4.24)
Net realized/unrealized loss	(49.61)	(50.57)	(51.55)	(53.57)
Net loss	(59.16)	(58.87)	(58.55)	(57.81)

NET ASSET VALUE,
JUNE 30, 2011:	$ 1,063.45	$ 1,084.46	$ 1,105.87	$ 1,149.95
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (2)	-3.41%	-2.91%	-2.41%	-1.40%
Partnership expenses (1) (2)	3.41%	2.91%	2.41%	1.40%

TOTAL RETURN:	-5.27%	-5.15%	-5.03%	-4.79%

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
JANUARY 1, 2011:	$ 1,124.85	$ 1,144.18	$ 1,163.83	$ 1,204.13

NET OPERATING RESULTS:
Net investment loss	(19.12)	(16.61)	(14.00)	(8.47)
Net realized/unrealized loss	(42.28)	(43.11)	(43.96)	(45.71)
Net loss	(61.40)	(59.72)	(57.96)	(54.18)

NET ASSET VALUE,
JUNE 30, 2011:	$ 1,063.45	$ 1,084.46	$ 1,105.87	$ 1,149.95
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (2)	-3.43%	-2.92%	-2.42%	-1.41%
Partnership expenses (1) (2)	3.43%	2.92%	2.42%	1.41%

TOTAL RETURN:	-5.46%	-5.22%	-4.98%	-4.50%

- 11 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

	Class A	Class B	Class C	Class Z

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
APRIL 1, 2010:	$ 1,089.72	$ 1,104.31	$ 1,119.09	$ 1,149.23

NET OPERATING RESULTS:
Net investment loss	(9.19)	(7.95)	(6.67)	(4.00)
Net realized/unrealized loss	(34.28)	(34.75)	(35.24)	(36.24)
Net loss	(43.47)	(42.70)	(41.91)	(40.24)

NET ASSET VALUE,
JUNE 30, 2010:	$ 1,046.25	$ 1,061.61	$ 1,077.18	$ 1,108.99
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (2)	-3.41%	-2.91%	-2.41%	-1.40%
Partnership expenses (1) (2)	3.41%	2.91%	2.41%	1.40%

TOTAL RETURN:	-3.99%	-3.87%	-3.75%	-3.50%

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
JANUARY 1, 2010:	$ 1,071.20	$ 1,084.19	$ 1,097.34	$ 1,124.10

NET OPERATING RESULTS:
Net investment loss	(18.09)	(15.65)	(13.11)	(7.85)
Net realized/unrealized loss	(6.86)	(6.93)	(7.05)	(7.26)
Net loss	(24.95)	(22.58)	(20.16)	(15.11)

NET ASSET VALUE,
JUNE 30, 2010:	$ 1,046.25	$ 1,061.61	$ 1,077.18	$ 1,108.99
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (2)	-3.43%	-2.92%	-2.42%	-1.41%
Partnership expenses (1) (2)	3.43%	2.92%	2.42%	1.41%

TOTAL RETURN:	-2.33%	-2.08%	-1.84%	-1.34%

(1) Annualized

(2) Does not include the expenses of the Trading Companies in which the Partnership invests.

4. Financial Instruments of the Trading Companies

The Trading Advisors trade Futures Interests on behalf of the Trading Companies. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until settlement date, at which time they are realized. They are valued at fair value, generally

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MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the net change in unrealized trading profit (loss) from one period to the next on the Statements of Income and Expenses. The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges,

and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.

The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price

will be equal to the settlement price on the first subsequent day on which the contract could be liquidated. The fair value of non-exchange-traded contracts is based on the fair value quoted by the counterparty.

- 13 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Trading Companies’ contracts are accounted for on a trade-date basis and marked to market on a daily basis. A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:

1)	a) One or more “underlyings” and b) one or more “notional amounts” or payment provisions or both;

2)	Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and

3)	Terms that require or permit net settlement.

Generally, derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars.

The futures, forwards and options traded by the Trading Advisors on behalf of the Trading Companies involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses of off-exchange-traded forward currency options contracts are settled upon an agreed upon

- 14 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

settlement date. However, the Trading Companies are required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Trading Companies’ accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

5. Fair Value Measurements and Disclosures

Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 - unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 – inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates, credit risk); and Level 3 - unobservable inputs for the asset or liability (including the Partnership’s own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnership’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and consideration of the factors specific to the investment. The Partnership’s assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.

- 15 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

June 30, 2011

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
		$		$
Investment in BHM I, LLC	–	8,787,558	–	8,787,558
Investment in Kaiser I, LLC	–	6,443,352	–	6,443,352
Investment in TT II, LLC	–	5,421,395	–	5,421,395
Investment in Aspect I, LLC	–	4,852,206	–	4,852,206
Investment in Altis I, LLC	–	4,806,354	–	4,806,354
Investment in WNT I, LLC	–	4,161,870	–	4,161,870
Investment in AHL I, LLC	–	3,915,735	–	3,915,735
Investment in Boronia I, LLC	–	3,278,311	–	3,278,311
Investment in Rotella I, LLC	–	2,710,613	–	2,710,613
Investment in Augustus I, LLC	–	2,477,001	–	2,477,001
Investment in GLC I, LLC	–	1,872,130	–	1,872,130
Investment in Chesapeake I, LLC	–	1,691,200	–	1,691,200
Investment in DKR I, LLC	–	1,222,861	–	1,222,861

December 31, 2010

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
		$		$
Investment in TT II, LLC	–	11,800,671	–	11,800,671
Investment in WNT I, LLC	–	10,780,859	–	10,780,859
Investment in Kaiser I, LLC	–	10,489,485	–	10,489,485
Investment in Aspect I, LLC	–	10,343,798	–	10,343,798
Investment in Chesapeake I, LLC	–	5,536,117	–	5,536,117
Investment in GLC I, LLC	–	4,661,993	–	4,661,993
Investment in Augustus I, LLC	–	4,661,993	–	4,661,993

The Partnership’s assets identified as “Investments in Affiliated Trading Companies” reflected on the Statements of Financial Condition represents the net asset value of the Partnership’s pro rata share of each Trading Company.

- 16 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The net assets of each Trading Company is equal to the total assets of the Trading Company (including, but not limited to all cash and cash equivalents, accrued interest and amortization of original issue discount, and the fair value of all open Futures Interests contract positions and other assets) less all liabilities of the Trading Company (including, but not limited to, brokerage commissions that would be payable upon the closing of open Futures Interest positions, management fees, incentive fees, and extraordinary expenses), determined in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

At June 30, 2011, the Partnership’s investment in the Trading Companies represented approximately: BHM I, LLC 17.60%; Kaiser I, LLC 12.90%; TT II, LLC 10.85%; Aspect I, LLC 9.70%; Altis I, LLC 9.60%, WNT I, LLC 8.30%; AHL I, LLC 7.85%; Boronia I, LLC 6.55%; Rotella I, LLC 5.40%; Augustus I, LLC 4.95%; GLC I, LLC 3.75%, Chesapeake I, LLC 3.35%; and DKR I, LLC 2.45% of Meritage’s Partners’ Capital, respectively.

At December 31, 2010, the Partnership’s investment in the Trading Companies represented approximately: WNT I, LLC 18.50%; Kaiser I, LLC, 18.00%; TT II, LLC 20.20%; Aspect I, LLC 17.75%; Chesapeake I, LLC 9.50%; Augustus I, LLC 8.00% and GLC I, LLC 8.00% of Meritage’s Partners’ Capital, respectively.

The tables below represent summarized Income Statement information for the Trading Companies that the Partnership invests in for the three and six months ended June 30, 2011 and 2010, respectively, in accordance with Rule 3-09 of Regulation S-X, as follows:

- 17 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

For the three months ended June 30, 2011, there was no information for the Trading Companies that required disclosure in accordance with Rule 3-09 of Regulation S-X.

For the Six Months Ended June 30, 2011	Investment Loss	Net Investment Loss	Total Trading Results	Net Loss
	$	$	$	$
TT II, LLC	(662)	(1,397,735)	(13,500,315)	(14,898,050)

For the Three Months Ended June 30, 2010	Investment Income/(Loss)	Net Investment Loss	Total Trading Results	Net Income/(Loss)
	$	$	$	$
Kaiser I, LLC	218	(287,992)	2,365,060	2,077,068
WNT I, LLC	268	(473,865)	1,525,950	1,052,085
Aspect I, LLC	(680)	(322,174)	219,680	(102,494)
TT II, LLC	822	(289,991)	(1,109,594)	(1,399,585)
Chesapeake I, LLC	(10,242)	(198,680)	(5,087,762)	(5,286,442)
GLC I, LLC	841	(111,138)	(1,578,200)	(1,689,338)

For the Six Months Ended June 30, 2010	Investment Income (Loss)	Net Investment Loss	Total Trading Results	Net Income/(Loss)
	$	$	$	$
Kaiser I, LLC	218	(582,844)	2,093,119	1,510,275
WNT I, LLC	348	(770,738)	3,790,747	3,020,009
Aspect I, LLC	(2,097)	(628,146)	2,213,764	1,585,618
TT II, LLC	(1,933)	(575,295)	2,095,536	1,520,241
Chesapeake I, LLC	(21,724)	(424,038)	(4,766,347)	(5,190,385)
GLC I, LLC	527	(211,997)	(1,600,458)	(1,812,455)

- 18 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

6. Other Pronouncements

In May 2011, 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 (“IFRSs”).” 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 IFRSs. 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.

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as limited partners are individually responsible for reporting income or loss based upon their respective share of the Partnership’s revenues or expenses for income tax purposes. The Partnership files U.S. federal and state tax returns.

- 19 -

MERITAGE FUTURES FUND L.P.

(formerly, Managed Futures Profile MV, L.P.)

NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

The guidance issued by the Financial Accounting Standards Board on income taxes clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax

position taken or expected to be taken. The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of June 30, 2011. If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination.

8. Subsequent Events

Management of Ceres performed its evaluation of 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.

- 20 -

Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Liquidity. MS&Co. and its affiliates act as custodians of each Trading Company’s assets pursuant to customer agreements and foreign exchange customer agreement. The Partnership allocates substantially all of its assets to multiple Trading Companies. Such assets are deposited in the Trading Companies’ trading accounts with MS&Co. or its affiliates. The funds in such accounts are available for margin and are used to engage in Futures Interest trading pursuant to instructions provided by the Trading Advisors. The assets are held in either non-interest bearing bank accounts or in securities and instruments permitted by the Commodity Futures Trading Commission for investment of customer segregated or secured funds. Since the Partnership’s sole purpose is to trade Futures Interests indirectly through the investment in the Trading Companies, it is expected that the Trading Companies will continue to own such liquid assets for margin purposes.

The Trading Companies’ investment in Futures Interests may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Trading Companies from promptly liquidating their futures or options contracts and result in restrictions on redemptions.

- 21 -

There is no limitation on daily price moves in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Trading Companies from trading in potentially profitable markets or prevent the Trading Companies from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s assets.

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

Capital Resources. The Partnership does not have, nor does it expect to have, any capital assets. Redemptions, exchanges, and sales of Units in the future will affect the amount of funds available for investments in Futures Interests in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows of Units.

There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to the Partnership’s capital resource arrangements at the present time.

Results of Operations

General. The Partnership’s results depend on the Trading Advisors and the ability of each Trading Advisor’s trading program to take advantage of price movements in the futures, forward and options markets. The

- 22 -

following presents a summary of the Partnership’s operations for the three and six month periods ended June 30, 2011 and 2010, and a general discussion of its trading activities during each period. It is important to note, however, that the Trading Advisors trade in various markets at different times and that prior activity in a particular market does not mean that such market will be actively traded by the Trading Advisors or will be profitable in the future. Consequently, the results of operations of the Partnership are difficult to discuss other than in the context of the Trading Advisors’ trading activities on behalf of the Partnership during the period in question. Past performance is no guarantee of future results.

The Partnership’s results of operations set forth in the financial statements on pages 2 through 20 of this report are prepared in accordance with U.S. GAAP, which requires the use of certain accounting policies that affect the amounts reported in these financial statements, including the following: the contracts the Trading Companies trade are accounted for on a trade-date basis and marked to market on a daily basis. The difference between their original contract value and fair value is recorded on the Statements of Income and Expenses as “Net change in unrealized gain (loss)” for open contracts, and recorded as “Realized trading gain (loss)” when open positions are closed out. The sum of these amounts constitutes the Trading Company’s trading results. The fair value of a futures contract is the settlement price on the exchange on which that futures contract is traded on a particular day. The value of a foreign currency forward contract is based on the spot rate as of approximately 3:00 P.M. (E.T.), the close of the business day.

For the Three and Six Months Ended June 30, 2011

The Partnership recorded total realized/net change in unrealized depreciation on investments of $(2,394,086) and expenses totaling $430,233, resulting in a net loss of $2,824,319 for the three months ended June 30, 2011. The Partnership’s net asset value per Unit by share Class is provided in the table below.

- 23 -

Share Class	NAV at 6/30/11	NAV at 3/31/11

A	$1,063.45	$1,122.61
B	$1,084.46	$1,143.33
C	$1,105.87	$1,164.42
Z	$1,149.95	$1,207.76

The most significant trading losses were incurred within the agricultural complex, primarily during June, due to long positions in wheat futures as prices fell on speculation that warm weather would aid U.S. crops. Meanwhile, long positions in corn futures resulted in losses as prices declined sharply after the U.S. Department of Agriculture revealed larger-than-expected plantings. 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. Within the global stock index sector, losses were incurred primarily during May from long positions in U.S., European, and Pacific Rim equity index futures as prices declined after worse-than-expected economic reports and mounting worries over the European debt crisis stoked concern the global economic recovery is faltering. Further losses were experienced within this sector during June from long positions in U.S., European, and Pacific Rim equity index futures. Lastly, losses were incurred within the metals sector, primarily during May, due to long positions in silver futures as prices fell sharply from a 31-year high. 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 Australian dollar, euro, and Swiss franc 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.

- 24 -

The Partnership recorded total realized/net change in unrealized depreciation on investments of $(2,038,427) and expenses totaling $876,243, resulting in a net loss of $2,914,670 for the six months ended June 30, 2011. The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class	NAV at 6/30/11	NAV at 12/31/10

A	$1,063.45	$1,124.85
B	$1,084.46	$1,144.18
C	$1,105.87	$1,163.83
Z	$1,149.95	$1,204.13

The most significant trading losses were incurred in the agricultural complex, primarily during March, due to long positions in corn futures as prices fell after a U.S. Department of Agriculture report revealed increasing world stockpiles and declining U.S. exports of the crop. Additional losses were recorded in this sector throughout a majority of the first six months of the year as concerns regarding the European debt crisis and mixed signs regarding the U.S. economic recovery resulted in volatile price movement and a lack of sustained trends. Losses were recorded within the global stock index sector, primarily during March, from long positions in Japanese, European, and U.S. equity index futures as prices reversed lower amid concern that heightened tensions in the Middle East, as well as the natural disaster and subsequent nuclear crisis in Japan, may threaten the global economic recovery. Further losses were experienced within this sector during May and June from long positions in U.S., European, and Pacific Rim equity index futures. Within the energy sector, losses were incurred 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. 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 Australian dollar, euro, and Swiss franc versus the U.S. dollar as the value of these currencies rose against the U.S. dollar after better-than-expected corporate

- 25 -

earnings reports and signs of global growth spurred demand for higher-yielding currencies. Within the metals sector, gains were recorded primarily during February from long futures positions in silver and gold as silver futures prices extended a rally to a 30-year high and gold futures prices approached an all-time high. Additional gains were experienced in this sector during April from long futures positions in silver and gold as silver futures prices advanced to a 31-year high and gold futures prices reached an all-time high.

For the Three and Six Months Ended June 30, 2010

The Partnership recorded total realized/net change in unrealized depreciation on investments of $(1,894,679) and expenses totaling $475,115, resulting in a net loss of $2,369,794 for the three months ended June 30, 2010. The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class	NAV at 6/30/10	NAV at 3/31/10

A	$1,046.25	$1,089.72
B	$1,061.61	$1,104.31
C	$1,077.18	$1,119.09
Z	$1,108.99	$1,149.23

The most significant trading losses of approximately 2.5% were incurred within the global stock index markets, primarily during May, from long positions in U.S., Pacific Rim, and European equity index futures as prices moved lower on growing concerns that Greece’s sovereign debt crisis might spread throughout Europe. Prices continued to fall throughout the month due to uncertainty regarding policy actions in Europe and the impact on global economic growth. Within the energy sector, losses of approximately 2.0% were

experienced primarily during May from long futures positions in crude oil and its related products as prices declined on continued worries that Europe’s debt troubles might slow down the global economic recovery

- 26 -

and thereby weaken energy demand. Within the currency markets, losses of approximately 0.8% were recorded primarily during May and June. In May, losses were experienced from long positions in the Mexican peso, Australian dollar, Canadian dollar, and New Zealand dollar versus the U.S. dollar as the value of these currencies fell against the U.S. dollar amid concern over the aforementioned Greek government debt crisis, which reduced demand for higher-yielding currency assets. Additional losses were incurred during June from short positions in the Swiss franc and British pound versus the U.S. dollar as the value of these currencies moved higher against the U.S. dollar after a report revealed industrial production in the Euro-Zone was up 9.5% in April from a year ago and the U.K. government predicted that real Gross Domestic Product in the region may be better than previously estimated. Losses of approximately 0.8% were recorded within the agricultural complex, primarily during May and June. In May, long positions in cocoa futures resulted in losses as prices moved lower amid news that cocoa processing, an indication of demand, is far below levels of two years ago. During June, losses were incurred due to short positions in corn as prices increased at the end of the month after a government report revealed that U.S. growers planted less of the grain than anticipated. Within the metals markets, losses of approximately 0.7% were experienced primarily during May from long futures positions in aluminum, copper, zinc, and nickel as prices were pressured lower following news that an index of Chinese manufacturing dropped to a six-month low, spurring concern that demand for base metals might be slipping. A portion of the Partnership’s losses for the quarter was offset by gains of approximately 4.3% experienced within the global interest sector from long positions in U.S., European, and Pacific Rim fixed-income futures as prices trended higher throughout the quarter due to increased “safe haven” demand as investors remained concerned about the stability of the economic recovery. Prices also rose as the European Central Bank left interest rates at a record low after Europe’s sovereign debt crisis forced it to start buying government bonds.

- 27 -

The Partnership recorded total realized/net change in unrealized depreciation on investments totaling $(309,927) and expenses totaling $938,390, resulting in a net loss of $1,248,317 for the six months ended June 30, 2010. The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class	NAV at 6/30/10	NAV at 12/31/09

A	$1,046.25	$1,071.20
B	$1,061.61	$1,084.19
C	$1,077.18	$1,097.34
Z	$1,108.99	$1,124.10

The most significant trading losses of approximately 2.4% were incurred within the global stock index markets, primarily during January, from long positions in European, U.S., and Pacific Rim equity index futures as prices moved lower amid disappointing U.S. corporate earnings reports. Further losses were experienced during May and June from long positions in U.S., European, and Pacific Rim equity index futures as prices reversed lower on growing concerns that Greece’s sovereign debt crisis might spread throughout Europe. Prices also fell due to concerns over weakening growth in China and a slump in U.S. consumer confidence. Within the agricultural complex, losses of approximately 1.8% were recorded primarily during February, March, April, and May from long futures positions in sugar as prices reversed lower and continued to fall amid easing supply concerns following news that production might rise in Brazil, India, and Thailand, three of the world’s largest sugar producers. Additional losses were incurred during June from short positions in corn as prices increased at the end of the month after a government report revealed that U.S. growers planted less of the grain than anticipated. Losses of approximately 1.4% were incurred

within the energy markets, primarily during January and May, from long futures positions in crude oil and its

- 28 -

related products as prices declined on continued worries that a slowdown in the global economic recovery may weaken energy demand. During June, newly established short futures positions in crude oil and its related products resulted in losses as prices reversed higher following news that crude inventories dropped the most in six months. Within the metals sector, losses of approximately 0.4% were recorded primarily during January from long futures positions in copper, aluminum, and zinc as prices fell sharply on speculation that demand for base metals may wane. During May, additional losses were incurred from long futures positions in aluminum, copper, zinc, and nickel as prices were pressured lower following news that an index of Chinese manufacturing dropped to a six-month low, spurring continued concerns that demand for base metals might be slipping. A portion of the Partnership’s losses for the first six months of the year was offset by gains achieved within the global interest rate sector from long positions in European, U.S., and Japanese fixed-income futures as prices trended higher throughout a majority of the first half of the year due to increased “safe haven” demand as investors remained concerned about the stability of the economic recovery. Smaller gains of approximately 1.0% were experienced within the currency markets, primarily during February, from short positions in the British pound, euro, and Swiss franc versus the U.S. dollar as the value of these currencies declined against the U.S. dollar amid concerns that Greece’s fiscal struggles might begin to spread and that the nation’s debt rating may be downgraded again. In March, gains in the currency markets were recorded from long positions in the Mexican peso and Canadian dollar versus the U.S. dollar as the value of these currencies moved higher against the U.S. dollar after signs of a global economic recovery caused investors to increase their risk appetite for higher-yielding currencies. During April, further gains were achieved from short positions in the euro versus the U.S. dollar as the value of the euro fell relative to the U.S. dollar amid concern Greece might struggle to raise further funds, thereby reducing demand for European currency assets.

- 29 -

Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Trading Companies, each of which invests substantially all of its assets in the trading program of an unaffiliated Trading Advisor. The market-sensitive instruments held by the Trading Companies are acquired for speculative trading purposes, and substantially all of the respective Trading Companies’ 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 Trading Companies’ main line of business.

The futures, forwards and options traded by the Trading Companies involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities. These factors result in frequent changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts and forward currency options contracts are settled upon termination of the contract. However, the Trading Companies are required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Trading Companies’ accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

- 30 -

The total market risk of the respective Trading Companies may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Trading Companies’ open positions, the volatility present within the markets, and the liquidity of the markets.

The face value of the market sector instruments held by the Trading Companies is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Trading Companies typically to be many times the total capitalization of the Trading Companies.

The Partnership’s and the Trading Companies’ past performance are no guarantee of their future results. Any attempt to numerically quantify the Trading Companies’ market risk is limited by the uncertainty of their speculative trading. The Trading Companies’ speculative trading and use of leverage may cause future losses and volatility (i.e., “risk of ruin”) that far exceed the Trading Companies’ experiences to date disclosed under the “Trading Companies’ Value at Risk in Different Market Sectors” section and significantly exceed the Value at Risk (“VaR”) tables disclosed below.

Limited partners will not be liable for losses exceeding the current net asset value of their investment.

Quantifying the Trading Companies’ Trading Value at Risk

The following quantitative disclosures regarding the Trading Companies’ market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities

- 31 -

Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Trading Companies account for open positions on the basis of mark to market accounting principles. Any loss in the market value of the Trading Companies’ open positions is directly reflected in the Trading Companies’ earnings and cash flow.

The Trading Companies’ risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of VaR. VaR for a particular market sector is estimated by Ceres using a model based upon historical simulation (with a confidence level of 99%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical daily changes in the value of a Trading Company’s portfolio are based on daily percentage changes observed in key market indices or other market factors (“market risk factors”) to which the portfolio is sensitive. The one-day 99% confidence level of the Trading Companies’ VaR corresponds to the reliability of the expectations that the Trading Company’s trading losses in one day will not exceed the maximum loss indicated by the VaR. The 99% one-day confidence level is not an indication of probability of such losses, nor does VaR typically represent the worst case outcome. Ceres uses approximately four years of daily market data and re-values its portfolio for each of the historical market moves that occurred over this period. This enables Ceres to generate a distribution of daily “simulated profit and loss” outcomes.

- 32 -

The Trading Companies’ VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and do not distinguish between exchange and non-exchange dealer-based instruments. They are also not based on exchange and/or dealer-based maintenance margin requirements. VaR models, including the models used by Morgan Stanley and Ceres, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Trading Advisors in their daily risk management activities. Please further note that VaR as described above may not be comparable to similarly-titled measures used by other entities.

The Trading Companies’ Value at Risk in Different Market Sectors

As of June 30, 2011 and December 31, 2010, Aspect I, LLC’s total capitalization was $49,050,123 and $54,986,074, respectively. The Partnership owned approximately 10% and 19%, respectively, of Aspect I, LLC.

Aspect I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(2.17)%	(0.27)%
Currency	(1.07)	(0.91)
Equity	(0.23)	(1.48)
Commodity	(0.75)	(2.49)
Aggregate Value at Risk	(2.59)%	(4.04)%

As of June 30, 2011 and December 31, 2010, Augustus I, LLC’s total capitalization was $14,531,879 and $18,443,353, respectively. The Partnership owned approximately 17% and 25%, respectively, of Augustus I, LLC.

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Augustus I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(0.44)%	(0.35)%
Currency	(1.59)	(1.12)
Aggregate Value at Risk	(1.65)%	(1.26)%

As of June 30, 2011, and December 31, 2010, Chesapeake I, LLC’s total capitalization was $9,726,716 and $15,637,106, respectively. The Partnership owned approximately 17% and 35%, respectively, of Chesapeake I, LLC.

Chesapeake I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(1.60)%	(1.05)%
Currency	(1.48)	(0.81)
Equity	(3.05)	(3.50)
Commodity	(4.43)	(5.49)
Aggregate Value at Risk	(6.76)%	(7.91)%

As of June 30, 2011 and December 31, 2010, GLC I, LLC’s total capitalization was $11,964,067 and $17,534,046, respectively. The Partnership owned approximately 16% and 27%, respectively, of GLC I, LLC.

GLC I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(0.51)%	(0.30)%
Currency	(0.43)	(0.83)
Equity	(0.35)	(1.12)
Aggregate Value at Risk	(1.01)%	(1.82)%

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As of June 30, 2011 and December 31, 2010, Kaiser I, LLC’s total capitalization was $39,779,516 and $40,014,468, respectively. The Partnership owned approximately 16% and 26%, respectively, of Kaiser I, LLC.

Kaiser I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(0.72)%	(0.02)%
Currency	(0.33)	(0.02)
Equity	(0.44)	(0.44)
Commodity	(0.38)	(0.11)
Aggregate Value at Risk	(0.84)%	(0.47)%

As of June 30, 2011 and December 31, 2010, TT II, LLC.’s total capitalization was $403,022,901 and $43,741,623, respectively. The Partnership owned approximately 1% and 27%, respectively, of TT II, LLC.

TT II, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(1.24)%	(0.32)%
Currency	(1.18)	(1.68)
Equity	(0.20)	(1.89)
Commodity	(1.29)	(2.31)
Aggregate Value at Risk	(1.88)%	(5.18)%

As of June 30, 2011 and December 31, 2010, WNT I, LLC.’s total capitalization was $14,042,169 and $53,769,718, respectively. The Partnership owned approximately 30% and 20%, respectively, of WNT I, LLC.

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WNT I, LLC

	June 30, 2011	December 31, 2010
Primary Market Risk Category	VAR	VAR

Interest Rate	(1.15)%	(0.26)%
Currency	(0.91)	(0.43)
Equity	(0.73)	(1.26)
Commodity	(0.69)	(1.44)
Aggregate Value at Risk	(1.80)%	(2.85)%

As of June 30, 2011, BHM I, LLC’s total capitalization was $413,342,385. The Partnership owned approximately 2% of BHM I, LLC. Effective June 1, 2011, BHM I, LLC was added as a Trading Company.

BHM I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(0.40)%
Currency	(0.16)
Commodity	(3.42)
Aggregate Value at Risk	(4.06)%

As of June 30, 2011, DKR I, LLC’s total capitalization was $53,089,299. The Partnership owned approximately 2% of DKR I, LLC. Effective June 1, 2011, DKR I, LLC was added as a Trading Company.

DKR I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(1.84)%
Currency	(3.53)
Equity	(1.45)
Commodity	(1.17)
Aggregate Value at Risk	(4.22)%

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As of June 30, 2011, Altis I, LLC’s total capitalization was $48,540,074. The Partnership owned approximately 10% of Altis I, LLC. Effective June 1, 2011, Altis I, LLC was added as a Trading Company.

Altis I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(0.86)%
Currency	(1.92)
Equity	(0.46)
Commodity	(0.77)
Aggregate Value at Risk	(2.22)%

As of June 30, 2011, AHL I, LLC’s total capitalization was $39,564,376. The Partnership owned approximately 10% of AHL I, LLC. Effective June 1, 2011 AHL I, LLC was added as a Trading Company.

AHL I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(0.74)%
Currency	(2.52)
Equity	(0.41)
Commodity	(0.52)
Aggregate Value at Risk	(2.14)%

As of June 30, 2011, Boronia I, LLC’s total capitalization was $43,853,561. The Partnership owned approximately 7% of Boronia I, LLC. Effective June 1, 2011 Boronia I, LLC was added as a Trading Company.

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Boronia I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(0.73)%
Currency	(1.27)
Equity	(2.17)
Commodity	(0.77)
Aggregate Value at Risk	(4.06)%

As of June 30, 2011, Rotella I, LLC’s total capitalization was $14,104,524. The Partnership owned approximately 19% of Rotella I, LLC. Effective June 1, 2011, Rotella I, LLC was added as a Trading Company.

Rotella I, LLC

	June 30, 2011
Primary Market Risk Category	VAR

Interest Rate	(0.65)%
Currency	(1.49)
Equity	(0.50)
Commodity	(0.41)
Aggregate Value at Risk	(1.74)%

The VaR for a market category represents the one-day downside risk for the aggregate exposures associated with this market category. The Aggregate Value at Risk listed above represents the VaR of the respective

Trading Companies’ open positions across all the market categories, and is less than the sum of the VaRs for all such market categories due to the diversification benefit across asset classes.

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Because the business of the Trading Companies is the speculative trading of futures, forwards and options, the composition of their trading portfolio can change significantly over any given time period, or even within a single trading day. Such changes could positively or negatively materially impact market risk as measured by VaR.

The tables below supplement the quarter-end VaR set forth above by presenting the Trading Companies’ high, low, and average VaR, as a percentage of total net assets for the four quarter-end periods from July 1, 2010 through June 30, 2011 and from January 1, 2010 through December 31, 2010, respectively.

June 30, 2011

Aspect I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(2.17)%	(0.27)%	(1.19)%
Currency	(1.34)	(0.91)	(1.12)
Equity	(1.48)	(0.23)	(0.92)
Commodity	(2.52)	(0.75)	(1.77)
Aggregate Value at Risk	(4.21)%	(2.59)%	(3.42)%

Augustus I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.50)%	(0.35)%	(0.42)%
Currency	(1.95)	(1.12)	(1.51)
Aggregate Value at Risk	(2.22)%	(1.26)%	(1.65)%

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Chesapeake I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(2.17)%	(1.05)%	(1.49)%
Currency	(1.48)	(0.81)	(1.14)
Equity	(3.79)	(2.98)	(3.33)
Commodity	(6.43)	(4.43)	(5.60)
Aggregate Value at Risk	(9.25)%	(6.76)%	(7.93)%

GLC I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.93)%	– %	(0.44)%
Currency	(0.92)	(0.37)	(0.64)
Equity	(1.15)	(0.35)	(0.82)
Aggregate Value at Risk	(2.02)%	(0.76)%	(1.40)%

Kaiser I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.72)%	(0.02)%	(0.36)%
Currency	(0.69)	(0.02)	(0.33)
Equity	(1.02)	(0.44)	(0.62)
Commodity	(0.38)	(0.11)	(0.24)
Aggregate Value at Risk	(0.90)%	(0.47)%	(0.75)%

TT II, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.24)%	(0.32)%	(0.82)%
Currency	(2.18)	(1.18)	(1.68)
Equity	(3.00)	(0.20)	(1.74)
Commodity	(2.31)	(1.23)	(1.76)
Aggregate Value at Risk	(5.82)%	(1.88)%	(4.21)%

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WNT I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.15)%	(0.26)%	(0.70)%
Currency	(0.91)	(0.43)	(0.68)
Equity	(1.26)	(0.73)	(0.96)
Commodity	(1.44)	(0.69)	(1.09)
Aggregate Value at Risk	(2.98)%	(1.79)%	(2.36)%

BHM I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.55)%	(0.34)%	(0.42)%
Currency	(0.16)	(0.06)	(0.10)
Commodity	(3.90)	(3.33)	(3.61)
Aggregate Value at Risk	(4.45)%	(3.61)%	(4.03)%

DKR I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.84)%	(0.55)%	(1.09)%
Currency	(3.53)	(1.04)	(2.09)
Equity	(1.45)	(0.39)	(0.95)
Commodity	(4.38)	(1.17)	(2.91)
Aggregate Value at Risk	(6.97)%	(3.61)%	(4.83)%

Altis I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.08)%	(0.56)%	(0.82)%
Currency	(2.14)	(1.38)	(1.80)
Equity	(3.93)	(0.36)	(1.46)
Commodity	(2.98)	(0.77)	(2.08)
Aggregate Value at Risk	(4.41)%	(2.22)%	(3.38)%

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AHL I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.74)%	– %	(0.18)%
Currency	(2.52)	–	(0.63)
Equity	(0.41)	–	(0.10)
Commodity	(0.52)	–	(0.13)
Aggregate Value at Risk	(2.14)%	– %	(0.54)%

Boronia I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.73)%	(0.36)%	(0.54)%
Currency	(1.39)	(0.57)	(0.95)
Equity	(2.17)	(0.65)	(1.37)
Commodity	(2.57)	(0.77)	(1.90)
Aggregate Value at Risk	(4.06)%	(2.68)%	(3.47)%

Rotella I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.86)%	(0.65)%	(0.73)%
Currency	(1.67)	(1.28)	(1.52)
Equity	(4.23)	(0.50)	(2.50)
Commodity	(2.15)	(0.41)	(1.52)
Aggregate Value at Risk	(6.27)%	(1.74)%	(4.60)%

December 31, 2010

Aspect I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.65)%	(0.27)%	(1.10)%
Currency	(1.34)	(0.33)	(0.83)
Equity	(2.14)	(0.22)	(1.21)
Commodity	(2.49)	(0.76)	(1.50)
Aggregate Value at Risk	(4.04)%	(1.56)%	(3.00)%

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Chesapeake I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(2.17)%	(1.01)%	(1.40)%
Currency	(1.09)	(0.49)	(0.84)
Equity	(3.82)	(2.15)	(3.11)
Commodity	(6.43)	(2.25)	(4.48)
Aggregate Value at Risk	(7.91)%	(2.88)%	(6.39)%

Kaiser I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.76)%	(0.02)%	(0.38)%
Currency	(0.27)	(0.02)	(0.18)
Equity	(1.44)	(0.27)	(0.79)
Commodity	(0.19)	(0.11)	(0.16)
Aggregate Value at Risk	(1.40)%	(0.47)%	(0.92)%

TT II, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.15)%	(0.32)%	(0.79)%
Currency	(2.29)	(0.67)	(1.70)
Equity	(3.55)	(0.25)	(2.17)
Commodity	(2.31)	(0.53)	(1.79)
Aggregate Value at Risk	(6.84)%	(1.03)%	(4.72)%

Augustus I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.71)%	(0.35)%	(0.51)%
Currency	(1.69)	(1.07)	(1.31)
Aggregate Value at Risk	(1.85)%	(1.26)%	(1.54)%

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WNT I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(1.13)%	(0.26)%	(0.71)%
Currency	(0.72)	(0.43)	(0.59)
Equity	(2.15)	(0.13)	(1.11)
Commodity	(1.44)	(0.58)	(1.02)
Aggregate Value at Risk	(2.85)%	(1.45)%	(2.23)%

GLC I, LLC

Primary Market Risk Category	High	Low	Average

Interest Rate	(0.88)%	– %	(0.42)%
Currency	(1.53)	(0.37)	(0.88)
Equity	(1.12)	(0.43)	(0.80)
Aggregate Value at Risk	(1.82)%	(0.76)%	(1.34)%

Limitations on Value at Risk as an Assessment of Market Risk

VaR models permit estimation of a portfolio’s aggregate market risk exposure, incorporating a range of varied market risks, reflect risk reduction due to portfolio diversification or hedging activities, and can cover a wide

range of portfolio assets. However, VaR risk measures should be viewed in light of the methodology’s limitations, which include, but may not be limited to the following:

·	past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

·	changes in portfolio value caused by market movements may differ from those of the VaR model;

·	VaR results reflect past market fluctuations applied to current trading positions while future risk depends on future positions;

·	VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

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·	the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

In addition, the VaR tables above, as well as the past performance of the Partnership and the Trading Companies, give no indication of the Partnership’s potential “risk of ruin.”

The VaR tables provided present the results of the Partnership’s VaR for each of the Trading Companies’ market risk exposures and on an aggregate basis at June 30, 2011 and December 31, 2010, and for the four quarter-end reporting periods from July 1, 2010 through June 30, 2011 and from January 1, 2010 through December 31, 2010, respectively. VaR is not necessarily representative of the Trading Companies’ historic risk, nor should it be used to predict the Partnership’s or the Trading Companies’ future financial performance or their ability to manage or monitor risk. There can be no assurance that the Trading Companies’ actual losses on a particular day will not exceed the VaR amounts indicated above or that such losses will not occur more than once in 100 trading days.

Non-Trading Risk

The Trading Companies have non-trading market risk on their foreign cash balances. These balances and any market risk they may represent are immaterial.

The Trading Companies also maintain a substantial portion of their available assets in cash at MSSB; as of June 30, 2011, such amount was equal to:

·	approximately 94% of WNT I, LLC’s net assets.

·	approximately 96% of Kaiser I, LLC’s net assets.

·	approximately 93% of TT II, LLC’s net assets.

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·	approximately 92% of Aspect I, LLC’s net assets.

·	approximately 82% of Chesapeake I, LLC’s net assets.

·	approximately 97% of Augustus I, LLC’s net assets.

·	approximately 98% of GLC I, LLC’s net assets.

·	approximately 92% of BHM I, LLC’s net assets.

·	approximately 88% of Altis I, LLC’s net assets.

·	approximately 85% of DKR I, LLC’s net assets.

·	approximately 93% of Rotella I, LLC’s net assets.

·	approximately 94% of AHL I, LLC’s net assets.

·	approximately 91% of Boronia I, LLC’s net assets.

A decline in short-term interest rates would result in a decline in the Trading Companies’ cash management income. This cash flow risk is not considered to be material.

Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality, and multiplier features of the Trading Companies’ market-sensitive instruments, in relation to the Trading Companies’ net assets.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures – except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its

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primary market risk exposures – constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Act of 1934. The Partnership’s primary market risk exposures, as well as the strategies used and to be used by Ceres and the Trading Advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation, and many other factors could result in material losses, as well as in material changes to the risk exposures and the risk management strategies of the Partnership.

Investors must be prepared to lose all or substantially all of their investment in the Partnership.

Item 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of Ceres, at the time this quarterly report was filed, Ceres’ President (Ceres’ principal executive officer) and Chief Financial Officer (Ceres’ principal financial officer) have evaluated the effectiveness of the design and operation 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. The Partnership’s disclosure controls and procedures are designed to provide reasonable assurance that

information the Partnership is required to disclose in the reports that the Partnership files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms. Based on this evaluation, the President and Chief Financial Officer of Ceres have concluded that the disclosure controls and procedures of the Partnership were effective at June 30, 2011.

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Changes in Internal Control over Financial Reporting

There have been no significant changes during the period covered by this quarterly report in the Partnership’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that have materially affected or are reasonably likely to materially affect the Partnership’s internal control over financial reporting.

Limitations on the Effectiveness of Controls

Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

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PART II. OTHER INFORMATION

Item 1A. RISK FACTORS

There have been no material changes from the risk factors previously referenced in the Partnership’s Report on Form 10-K for the fiscal year ended December 31, 2010.

Item 2. UNREGISTERED SALES OF SECURITIES AND USE OF PROCEEDS

Units of the Partnership are sold to persons and entities who are accredited investors as the term is defined in Rule 501(a) of Regulation D.

The aggregate proceeds of securities sold in all share Classes to the limited partners through June 30, 2011, was $82,469,189. Since inception, the Partnership received $570,000 in consideration from the sale of Units to the General Partner.

Item 6. EXHIBITS

10.1

Advisory Agreement among Morgan Stanley Smith Barney AHL I, LLC, Ceres Managed Futures LLC and Man-AHL (USA) Ltd., dated May 4, 2011. *

10.2

Advisory Agreement among Morgan Stanley Managed Futures Altis I, LLC, Demeter Management Corporation and Altis Partners (Jersey) Limited, dated April 30, 2007. **

10.3

Advisory Agreement among Morgan Stanley Smith Barney Managed Futures BHM I, LLC, Demeter Management LLC and Bleheim Capital Management, L.L.C., dated May 15, 2007. **

10.4

Advisory Agreement among Morgan Stanley Managed Futures GMF I, LLC, Demeter Management Corporation and Boronis Capital Pty Ltd, dated April 1, 2008. **

10.5

Advisory Agreement among Morgan Stanley Managed Futures DKR I, LLC, Demeter Management Corporation and DKR Fusion management L.P., dated April 30, 2007. **

10.6

Advisory Agreement among MSSB Managed Futures Rotella I, LLC, Demeter Management LLC and Rotella Capital Management, Inc. dated July 1, 2009. +

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31.01

Certification of President of Ceres Managed Futures LLC, the general partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the general partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.01

Certification of President of Ceres Managed Futures LLC, the general partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the general partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

Confidential treatment has been requested with respect to the omitted portions of this exhibit.

**	On January 14, 2009, the SEC granted confidential treatment with respect to the omitted portion of this exhibit.

+	On November 18, 2009, the SEC granted confidential treatment with respect to the omitted portions of this exhibit.

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SIGNATURE

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.

	Meritage Futures Fund L.P.
	(Registrant)

	By:	Ceres Managed Futures LLC
		(General Partner)

August 15, 2011	By:	/s/Jennifer Magro
		Jennifer Magro
		Chief Financial Officer

The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

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Meritage Futures Fund L.P. - FORM 10-Q - August 15, 2011

Attached files

Meritage Futures Fund L.P. Reports