CERES TACTICAL SYSTEMATIC L.P. - FORM 10-Q

Attached files

file	filename
EXCEL - IDEA: XBRL DOCUMENT - CERES TACTICAL SYSTEMATIC L.P.	Financial_Report.xls
EX-31.2 - EX-31.2 - CERES TACTICAL SYSTEMATIC L.P.	y05035exv31w2.htm
EX-32.2 - EX-32.2 - CERES TACTICAL SYSTEMATIC L.P.	y05035exv32w2.htm
EX-32.1 - EX-32.1 - CERES TACTICAL SYSTEMATIC L.P.	y05035exv32w1.htm
EX-31.1 - EX-31.1 - CERES TACTICAL SYSTEMATIC L.P.	y05035exv31w1.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 ( ) 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 000-50718

TACTICAL DIVERSIFIED FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4224248

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

c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14^th Floor
New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer		Accelerated filer		Non-accelerated filer X		Smaller reporting company

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes No X

As of July 31, 2011, 622,166.8816 Limited Partnership Redeemable Units were outstanding.

TACTICAL DIVERSIFIED FUTURES FUND L.P.

FORM 10-Q

INDEX


		Page
		Number

PART I - Financial Information:

Item 1.	Financial Statements:

	Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010	3

	Condensed Schedules of Investments at June 30, 2011 (unaudited) and December 31, 2010	4–5

	Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2011 and 2010 (unaudited)	6


	Notes to Financial Statements (unaudited)	7–20

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21–22

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	23–31

Item 4.	Controls and Procedures	32

PART II - Other Information		33–36
Exhibits
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

31.1 Certification

31.2 Certification

32.1 Certification

32.2 Certification

101. INS XBRL Instance Document.

101. SCH XBRL Taxonomy Extension Schema 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.

PART I

Item 1. Financial Statements

Tactical Diversified Futures Fund L.P.

Statements of Financial Condition


	(Unaudited)
	June 30,		December 31,
	2011		2010

Assets:

Investment in Funds, at fair value	$	675,838,358	$	734,276,743
Equity in trading account:
Cash		32,300,779		37,455,804
Cash margin		2,305,825		5,998,581
Net unrealized appreciation on open futures contracts		132,641		2,720,921

Total trading equity		710,577,603		780,452,049
Interest receivable		349		2,913

Total assets	$	710,577,952	$	780,454,962


Liabilities and Partners’ Capital:

Liabilities:
Accrued expenses:
Brokerage fees	$	3,256,815	$	3,577,085
Management fees		1,023,100		1,249,495
Incentive fees		0		364,790
Other		410,209		158,419
Redemptions payable		16,301,506		11,937,684

Total liabilities		20,991,630		17,287,473

Partners’ Capital:
General Partner, 7,513.5294 unit equivalents outstanding at June 30, 2011 and December 31, 2010		8,229,644		8,755,366
Limited Partners, 622,069.8495 and 647,408.8339 Redeemable Units outstanding at June 30, 2011 and December 31, 2010, respectively		681,356,678		754,412,123

Total partners’ capital		689,586,322		763,167,489

Total liabilities and partners’ capital	$	710,577,952	$	780,454,962

Net asset value per unit	$	1,095.31	$	1,165.28

See accompanying notes to financial statements.

Tactical Diversified Futures Fund, L.P.

Condensed Schedule of Investments

June 30, 2011

(Unaudited)


	Number of					% of Partners
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		148	$	(25,125	)		0.00	* %
Grains		20		(14,500	)		(0.00	)*
Indices		5		(1,238	)		(0.00	)*
Interest Rates – U.S.		170		30,917			0.00	*
Interest Rates Non – U.S.		196		104,802			0.01
Metals		20		(49,800	)		(0.01	)
Softs		108		47,891			0.01

Total futures contracts purchased				92,947			0.01

Futures Contracts Sold
Currencies		13		(6,531	)		(0.00	)*
Energy		42		(188,553	)		(0.03	)
Grains		80		345,475			0.05
Indices		15		(22,617	)		(0.00	)*
Softs		35		(88,080	)		(0.01	)

Total futures contracts sold				39,694			0.01

Investment in Funds
CMF Drury Capital Master Fund L.P.				108,927,166			15.80
CMF Willowbridge Argo Master Fund L.P.				55,902,411			8.11
CMF Aspect Master Fund L.P.				115,928,778			16.81
CMF Capital Fund Management Master Fund L.P.				76,979,879			11.16
CMF Winton Master L.P.				51,370,575			7.45
CMF Graham Capital Master Fund L.P.				94,276,716			13.67
KR Master Fund L.P.				61,301,723			8.89
CMF Altis Partners Master Fund L.P.				62,191,446			9.02
Morgan Stanley Smith Barney DKR Fusion, LLC				48,959,664			7.10

Total investment in Funds				675,838,358			98.01

Net fair value			$	675,970,999			98.03	%


*		Due to rounding.

See accompanying notes to financial statements.

Tactical Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2010


	Number of					% of Partners
	Contracts		Fair Value			Capital

Futures Contracts Purchased
Currencies		208	$	386,550			0.05	%
Energy		132		225,694			0.03
Grains		246		338,625			0.04
Indices		40		34,240			0.01
Interest Rates Non – U.S.		23		2,689			0.00	*
Metals		148		1,301,880			0.17
Softs		372		379,951			0.05

Total futures contracts purchased				2,669,629			0.35

Futures Contracts Sold
Currencies		28		(25,275	)		(0.00	)*
Energy		1		(1,250	)		(0.00	)*
Interest Rates – U.S.		197		198,088			0.03
Interest Rates Non – U.S.		143		(120,271	)		(0.02	)

Total futures contracts sold				51,292			0.01

Investment in Funds
CMF Drury Capital Master Fund L.P.				107,683,407			14.11
CMF Willowbridge Argo Master Fund L.P.				45,858,815			6.01
CMF Aspect Master Fund L.P.				108,551,664			14.22
CMF Capital Fund Management Master Fund L.P.				124,459,170			16.31
CMF Winton Master L.P.				123,917,915			16.24
CMF Graham Capital Master Fund L.P.				105,484,588			13.82
CMF SandRidge Master Fund L.P.				73,181,625			9.59
CMF Sasco Master Fund L.P.				45,139,559			5.91

Total investment in Funds				734,276,743			96.21

Net fair value			$	736,997,664			96.57	%


*		Due to rounding.

See accompanying notes to financial statements.

Tactical 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	$	1,479		$	8,759		$	10,367		$	12,901
Interest income from investment in Funds		25,821			187,980			166,921			278,464

Total investment income		27,300			196,739			177,288			291,365


Expenses:
Brokerage fees including clearing fees		11,234,460			11,860,792			22,734,214			23,371,678
Management fees		3,530,168			3,830,618			7,266,020			7,614,489
Incentive fees		0			0			347,609			0
Other		420,742			210,060			946,785			456,798

Total expenses		15,185,370			15,901,470			31,294,628			31,442,965

Net investment income (loss)		(15,158,070	)		(15,704,731	)		(31,117,340	)		(31,151,600	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		(874,688	)		2,714,334			2,109,789			35,433
Net realized gains (losses) on investment in Funds		(11,058,783	)		(12,091,339	)		11,575,801			(15,552,495	)
Change in net unrealized gains (losses) on open contracts		(2,230,742	)		65,008			(2,588,280	)		1,335,455
Change in net unrealized gains (losses) on investment in Funds		(16,687,078	)		(3,546,036	)		(24,747,082	)		1,722,884

Total trading results		(30,851,291	)		(12,858,033	)		(13,649,772	)		(12,458,723	)


Net income (loss)		(46,009,361	)		(28,562,764	)		(44,767,112	)		(43,610,323	)
Subscriptions — Limited Partners		20,715,369			31,543,000			40,656,608			67,322,000
Redemptions — Limited Partners		(35,111,365	)		(20,895,762	)		(69,470,663	)		(44,254,874	)

Net increase (decrease) in Partners’ Capital		(60,405,357	)		(17,915,526	)		(73,581,167	)		(20,543,197	)
Partners’ Capital, beginning of period		749,991,679			786,911,611			763,167,489			789,539,282

Partners’ Capital, end of period	$	689,586,322		$	768,996,085		$	689,586,322		$	768,996,085

Net asset value per unit (629,583.3789 and 670,119.2127 units outstanding in June 30, 2011 and 2010, respectively)	$	1,095.31		$	1,147.55		$	1,095.31		$	1,147.55

Net income (loss) per unit*	$	(71.76	)	$	(42.25	)	$	(69.97	)	$	(65.16	)

Weighted average units outstanding		646,285.6265			672,746.1421			652,138.8251			668,994.8079


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

General:

Tactical Diversified Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Partnership and the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk.

Between March 27, 2003 (commencement of the public offering period) and April 30, 2003, 36,616 redeemable units of limited partnership interest (“Redeemable Units”) were publicly offered at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to publicly offer 300,000 Redeemable Units during the initial public offering period. As of December 4, 2003, the Partnership was authorized to publicly offer an additional 700,000 Redeemable Units. As of October 7, 2004, the Partnership was authorized to publicly offer an additional 1,000,000 Redeemable Units. As of June 30, 2005, the Partnership was authorized to publicly offer the 2,000,000 Redeemable Units previously registered. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers up to 200,000 Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of June 30, 2011, all trading decisions are made for the Partnership by Drury Capital, Inc., (“Drury”), Graham Capital Management, L.P., (“Graham”), John W. Henry & Company, Inc., (“JWH”), Willowbridge Associates Inc. (“Willowbridge”), Aspect Capital Limited (“Aspect”), Capital Fund Management S.A. (“CFM”), Winton Capital Management Limited (“Winton”), Krom River Trading AG and Krom River Investment Management (Cayman) Limited (collectively, “Krom River”), Altis Partners (Jersey) Limited (“Altis”) and DKR Fusion Management L.P. (“DKR”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor. SandRidge Capital L.P. (“SandRidge”) was terminated as of April 30, 2011. Sasco Energy Partners LLC (“Sasco”) was terminated as of 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 JWH directly, where as the Partnership invests the portion of its assets allocated to each of the other Advisors indirectly through investments in master funds.

The General Partner and each 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 disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

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.

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) *	$	(65.72	)	$	(36.53	)	$	(57.17	)	$	(53.52	)
Interest income		0.04			0.29			0.27			0.43
Expenses **		(6.08	)		(6.01	)		(13.07	)		(12.07	)

Increase (decrease) for the period		(71.76	)		(42.25	)		(69.97	)		(65.16	)
Net asset value per unit, beginning of period		1,167.07			1,189.80			1,165.28			1,212.71

Net asset value per unit, end of period	$	1,095.31		$	1,147.55		$	1,095.31		$	1,147.55


*		Includes brokerage fees.

**		Excludes brokerage 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****		(8.2	)%		(8.0	)%		(8.3	)%		(8.1	)%

Operating expenses		8.2	%		8.1	%		8.3	%		8.1	%
Incentive fees		—	%		—	%		0.0	%*****		—	%

Total expenses		8.2	%		8.1	%		8.3	%		8.1	%


Total return:
Total return before incentive fees		(6.1	)%		(3.6	)%		(6.0	)%		(5.4	)%
Incentive fees		—	%		—	%		(0.0	)%*****		—	%

Total return after incentive fees		(6.1	)%		(3.6	)%		(6.0	)%		(5.4	)%


***		Annualized (other than incentive fees).

****		Interest income less total expenses.

*****		Due to rounding.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreements between the Partnership and CGM and the Funds and CGM or Morgan Stanley & Co. LLC, as applicable, give the Partnership and the Funds the legal right to net unrealized gains and losses on open futures contracts and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended June 30, 2011 and 2010 were 956 and 1,462, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2011 and 2010 were 1,127 and 1,376, respectively.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

The following tables indicate the gross fair values of derivative instruments of futures contracts traded directly by the Partnership as separate assets and liabilities as of June 30, 2011 and December 31, 2010.


	June 30, 2011
Assets
Currencies	$	56,050
Grains		345,475
Interest Rates - U.S.		48,125
Interest Rates Non - U.S.		127,186
Softs		63,829

Total unrealized appreciation on open futures contracts	$	640,665


Liabilities
Currencies	$	(87,706	)
Energy		(188,553	)
Grains		(14,500	)
Indices		(23,855	)
Interest Rates - U.S.		(17,208	)
Interest Rates Non - U.S.		(22,384	)
Metals		(49,800	)
Softs		(104,018	)

Total unrealized depreciation on open futures contracts	$	(508,024	)


Net unrealized appreciation on open futures contracts	$	132,641	*


*		This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)


	December 31, 2010

Assets
Futures Contracts
Currencies	$	386,550
Energy		225,694
Grains		338,625
Indices		34,240
Interest Rates — U.S.		211,500
Interest Rates Non — U.S.		94,003
Metals		1,301,880
Softs		597,238

Total unrealized appreciation on open futures contracts	$	3,189,730

Liabilities
Futures Contracts
Currencies	$	(25,275	)
Energy		(1,250	)
Interest Rates — U.S.		(13,412	)
Interest Rates Non — U.S.		(211,585	)
Softs		(217,287	)

Total unrealized depreciation on open futures contracts	$	(468,809	)

Net unrealized appreciation on open futures contracts	$	2,720,921	**


**		This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2011 and 2010.


	Three Months Ended			Three Months Ended			Six Months Ended			Six Months Ended
	June 30, 2011			June 30, 2010			June 30, 2011			June 30, 2010
Sector	Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading
Currencies	$	232,251		$	671,637		$	(526,059	)	$	1,124,477
Energy		(1,546,415	)		(677,884	)		1,037,865			(1,222,932	)
Grains		(1,199,550	)		(425,763	)		(2,042,825	)		(408,488	)
Indices		(180,442	)		(187,104	)		(761,949	)		(260,840	)
Interest Rates — U.S.		246,725			1,236,682			126,474			1,046,720
Interest Rates Non — U.S.		82,611			1,580,989			(17,323	)		1,652,154
Metals		(127,030	)		571,205			475,855			(1,092,955	)
Softs		(613,580	)		9,580			1,229,471			532,752

Total	$	(3,105,430	)***	$	2,779,342	***	$	(478,491	)***	$	1,370,888	***


***		This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

Fair Value Measurements:

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

Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

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

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership and 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 for Identical		Significant Other Observable Inputs		Significant Unobservable
	6/30/2011		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Futures	$	640,665	$	640,665	$	—	$	—
Investment in Funds		675,838,358		—		675,838,358		—

Total assets		676,479,023		640,665		675,838,358		—


Liabilities
Futures	$	508,024	$	508,024	$	—	$	—

Total liabilites		508,024		508,024		—		—

Net fair value	$	675,970,999	$	132,641	$	675,838,358	$	—


			Quoted Prices in
			Active Markets for Identical		Significant Other Observable Inputs		Significant Unobservable
	12/31/2010*		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Futures	$	3,189,730	$	3,189,730	$	—	$	—
Investment in Funds		734,276,743		—		734,276,743		—

Total assets		737,466,473		3,189,730		734,276,743		—


Liabilities
Futures	$	468,809	$	468,809	$	—	$	—

Total liabilites		468,809		468,809		—		—

Net fair value	$	736,997,664	$	2,720,921	$	734,276,743	$	—

* The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

Investment in Funds:

The assets allocated to JWH for trading are invested directly pursuant to JWH’s Global Analytics Program.

On December 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 52,981.2908 units of Winton Master with cash equal to $57,471,493. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2005, the assets allocated to Aspect for trading were invested in the 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 131,340.8450 units of Aspect Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward contracts with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the 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 July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 95,795.8082 units of Willowbridge Master with cash equal to $85,442,868 and a contribution of open commodity futures and forward contracts with a fair value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to Drury for trading were invested in the CMF Drury Capital Master Fund L.P. (“Drury Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 120,720.7387 units of Drury Master with cash equal to $117,943,206 and a contribution of open commodity futures and forward contracts with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Trend-Following Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership, are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to CFM for trading were invested in the CMF Capital Fund Management Master Fund L.P. (“CFM Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 159,434.0631 units of CFM Master with cash equal to $157,804,020 and a contribution of open commodity futures and forward contracts with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discus Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership, are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

On October 1, 2005, the assets allocated to AAA for trading were invested in the AAA Master Fund LLC (“AAA Master”) a limited liability company organized under the New York Limited Liability Company Law. The Partnership purchased 13,956.1190 units of AAA Master with cash equal to $50,000,000. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program — Futures and Swaps, a proprietary, discretionary trading system, to invest in one trading vehicle. The Partnership fully redeemed its investment in AAA Master on January 31, 2010 for cash equal to $40,267,084.

On June 1, 2006, the assets allocated to Graham for trading were invested in the CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 101,486.0491 units of Graham Master with cash equal to $103,008,482. Graham Master was formed in order to permit accounts managed now or in the future by Graham using the K4D-15V program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2009, the assets allocated to SandRidge for trading were in invested in the CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,408.1177 units of SandRidge Master with cash equal to $27,000,000. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure should promote efficiency and economy in the trading process. The Partnership fully redeemed its investment in SandRidge Master on April 30, 2011 for cash equal to $14,786,676.

On October 1, 2010, the assets allocated to Sasco for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 19,612.3882 units of Sasco Master with cash equal to $25,535,000. Sasco Master was formed in order to permit commodity pools managed now or in the future by Sasco using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Sasco Master. Individual and pooled accounts currently managed by Sasco, including the Partnership, are permitted to be limited partners of Sasco Master. The General Partner and Sasco believe that trading through this structure should promote efficiency and economy in the trading process. The Partnership fully redeemed its investment in Sasco Master on May 31, 2011 for cash equal to $51,987,122.

On May 1, 2011, the assets allocated to Krom River for trading were invested in the KR Master Fund L.P. (“KR Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased KR Master with cash equal to $65,000,000. KR Master was formed in order to permit commodity pools managed now or in the future by Krom River using the Commodity Program at 150% Leverage, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of KR Master. Individual and pooled accounts currently managed by Krom River, including the Partnership, are permitted to be limited partners of KR Master. The General Partner and Krom River believe that trading through this structure should promote efficiency and economy in the trading process.

On May 1, 2011, the assets allocated to Altis for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 21,851.9469 units of Altis Master with cash equal to $70,000,000. Altis Master was formed to permit commodity pools managed now and in the future by Altis using the 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 June 1, 2011, the assets allocated to DKR for trading were invested in the Morgan Stanley Smith Barney DKR Fusion, LLC (“DKR I, LLC” or the “Trading Company”), a limited liability company organized under the partnership laws of the State of Delaware. The Partnership purchased DKR I, LLC with cash equal to $53,373,870. DKR I, LLC was formed to permit commodity pools managed now and in the future by DKR using DKR’s Quantitative Strategies Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the managing member of DKR I, LLC. Individual and pooled accounts currently managed by DKR, including the Partnership, are permitted to be non-managing members of DKR I, LLC. The General Partner and DKR believe that trading through this structure should promote efficiency and economy in the trading process.

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended June 30, 2011.

Winton Master’s, Aspect Master’s, Drury Master’s, Willowbridge Master’s, CFM Master’s, Graham Master’s, Altis Master’s, KR Master’s and DKR I, LLC’s (collectively, the “Funds”) and the Partnership’s trading of futures and exchange cleared swaps, forwards and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM, with the exception of DKR I, LLC, whose commodity brokers are Morgan Stanley & Co. Incorporated (“MS&Co.”) and Morgan Stanley & Co. International plc (“MSIP”).

A limited partner/non-managing member 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/non-managing member 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, with the exception of DKR I, LLC, where the Partnership pays, indirectly, its pro rata portion of the management and incentive fees of the Trading Company. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly and 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 87.9% of Drury Master, 78.0% of Willowbridge Master, 72.3% of Aspect Master, 70.1% of CFM Master, 6.1% of Winton Master, 58.4% of Graham Master, 82.9% of KR Master, 59.9% of Altis Master and 92.2% of DKR I, LLC. At December 31, 2010, the Partnership owned approximately 87.5% of Drury Master, 21.2% of Willowbridge Master, 68.7% of Aspect Master, 76.3% of CFM Master, 14.0% of Winton Master, 62.5% of Graham Master, 13.8% of SandRidge Master and 55.3% of Sasco Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

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


	June 30, 2011
	Total Assets		Total Liabilities		Total Capital
Drury Master	$	128,299,462	$	4,372,192	$	123,927,270
Willowbridge Master		72,784,784		1,089,263		71,695,521
Aspect Master		161,590,568		1,233,120		160,357,448
CFM Master		110,748,889		930,779		109,818,110
Winton Master		839,242,715		3,738,831		835,503,884
Graham Master		163,117,009		1,643,146		161,473,863
KR Master		79,187,574		5,223,421		73,964,153
Altis Master		104,815,171		945,798		103,869,373
DKR I, LLC		53,190,582		101,283		53,089,299

Total	$	1,712,976,754	$	19,277,833	$	1,693,698,921


	December 31, 2010
	Total Assets		Total Liabilities		Total Capital
Drury Master	$	123,117,898	$	43,219	$	123,074,679
Willowbridge Master		216,360,362		61,729		216,298,633
Aspect Master		157,910,582		46,523		157,864,059
CFM Master		163,136,901		63,667		163,073,234
Winton Master		883,842,483		122,612		883,719,871
Graham Master		168,973,503		48,832		168,924,671
SandRidge Master		581,631,311		52,896,054		528,735,257
Sasco Master		81,882,294		198,664		81,683,630

Total	$	2,376,855,334	$	53,481,300	$	2,323,374,034

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)
Drury Master	$	(74,287	)	$	(16,618,430	)	$	(16,692,717	)
Willowbridge Master		(44,827	)		8,404,000			8,359,173
Aspect Master		(49,767	)		(4,157,070	)		(4,206,837	)
CFM Master		(413,674	)		6,757,483			6,343,809
Winton Master		(103,633	)		(11,692,933	)		(11,796,566	)
Graham Master		(236,860	)		(7,784,946	)		(8,021,806	)
SandRidge Master		(180,388	)		15,086,153			14,905,765
Sasco Master		(337,870	)		3,450,469			3,112,599
KR Master		(52,101	)		(3,925,641	)		(3,977,742	)
Altis Master		(86,627	)		(11,353,961	)		(11,440,588	)
DKR I, LLC		(226,242	)		(4,815,057	)		(5,041,299	)

Total	$	(1,806,276	)	$	(26,649,933	)	$	(28,456,209	)


	For the six months ended June 30, 2011
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Drury Master	$	(123,276	)	$	(12,642,242	)	$	(12,765,518	)
Willowbridge Master		(70,386	)		15,278,935			15,208,549
Aspect Master		(78,606	)		(2,431,100	)		(2,509,706	)
CFM Master		(805,647	)		15,051,950			14,246,303
Winton Master		(57,348	)		10,541,599			10,484,251
Graham Master		(383,116	)		(8,855,666	)		(9,238,782	)
SandRidge Master		(430,493	)		30,129,226			29,698,733
Sasco Master		(707,823	)		1,199,725			491,902
KR Master		(52,101	)		(3,925,641	)		(3,977,742	)
Altis Master		(139,884	)		(19,456,564	)		(19,596,448	)
DKR I, LLC		(342,706	)		(4,994,570	)		(5,337,276	)

Total	$	(3,191,386	)	$	19,895,652		$	16,704,266

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)


	For the three months ended June 30, 2010
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Drury Master	$	(69,788	)	$	(7,747,483	)	$	(7,817,271	)
Willowbridge Master		(51,064	)		(13,357,029	)		(13,408,093	)
Aspect Master		(66,054	)		993,585			927,531
CFM Master		(790,115	)		1,622,704			832,589
Winton Master		(13,583	)		22,166,459			22,152,876
Graham Master		(136,035	)		957,704			821,669
SandRidge Master		(388,928	)		(68,950,382	)		(69,339,310	)

Total	$	(1,515,567	)	$	(64,314,442	)	$	(65,830,009	)


	For the six months ended June 30, 2010
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Drury Master	$	(109,339	)	$	(8,013,229	)	$	(8,122,568	)
Willowbridge Master		(118,663	)		(33,883,661	)		(34,002,324	)
Aspect Master		(113,944	)		7,879,872			7,765,928
CFM Master		(1,392,449	)		4,777,460			3,385,011
Winton Master		(110,017	)		54,470,081			54,360,064
AAA Master		(1,831,646	)		(43,998,970	)		(45,830,616	)
Graham Master		(235,351	)		(2,985,482	)		(3,220,833	)
SandRidge Master		(650,172	)		(84,183,590	)		(84,833,762	)

Total	$	(4,561,581	)	$	(105,937,519	)	$	(110,499,100	)

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

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								Expenses				Net
	Partnership's			Fair		Income							Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Drury Master		15.80	%	$	108,927,166	$	(14,602,277	)	$	58,273	$	11,561	$	(14,672,111	)	Commodity Portfolio	Monthly
Willowbridge Master		8.11	%		55,902,411		123,666			11,274		5,460		106,932		Commodity Portfolio	Monthly
Aspect Master		16.81	%		115,928,778		(2,996,658	)		31,895		9,030		(3,037,583	)	Commodity Portfolio	Monthly
CFM Master		11.16	%		76,979,879		5,548,964			297,235		10,259		5,241,470		Commodity Portfolio	Monthly
Winton Master		7.45	%		51,370,575		1,051,124			9,050		1,289		1,040,785		Commodity Portfolio	Monthly
Graham Master		13.67	%		94,276,716		(4,079,403	)		138,272		8,712		(4,226,387	)	Commodity Portfolio	Monthly
Sandridge Master		0.00	%		—		(442,285	)		1,833		1,074		(445,192	)	Energy Portfolio	Monthly
Sasco Master		0.00	%		—		2,546,775			196,180		61,863		2,288,732		Energy Portfolio	Monthly
KR Master		8.89	%		61,301,723		(3,242,782	)		36,844		7,560		(3,287,186	)	Commodity Portfolio	Monthly
Altis Master		9.02	%		62,191,446		(7,371,835	)		35,640		7,118		(7,414,593	)	Commodity Portfolio	Monthly
DKR I, LLC		7.10	%		48,959,664		(4,255,329	)		65,476		93,404		(4,414,209	)	Commodity Portfolio	Monthly

Total				$	675,838,358	$	(27,720,040	)	$	881,972	$	217,330	$	(28,819,342	)


	June 30, 2011					For the six months ended June 30, 2011
	% of								Expenses				Net
	Partnership's			Fair		Income							Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Drury Master		15.80	%	$	108,927,166	$	(11,093,475	)	$	107,195	$	30,715	$	(11,231,385	)	Commodity Portfolio	Monthly
Willowbridge Master		8.11	%		55,902,411		1,337,602			18,727		11,571		1,307,304		Commodity Portfolio	Monthly
Aspect Master		16.81	%		115,928,778		(1,716,116	)		58,415		25,574		(1,800,105	)	Commodity Portfolio	Monthly
CFM Master		11.16	%		76,979,879		11,939,030			595,585		37,850		11,305,595		Commodity Portfolio	Monthly
Winton Master		7.45	%		51,370,575		3,618,454			23,706		4,965		3,589,783		Commodity Portfolio	Monthly
Graham Master		13.67	%		94,276,716		(4,749,426	)		236,561		23,001		(5,008,988	)	Commodity Portfolio	Monthly
Sandridge Master		0.00	%		—		1,710,045			33,570		11,848		1,664,627		Energy Portfolio	Monthly
Sasco Master		0.00	%		—		819,472			430,592		95,550		293,330		Energy Portfolio	Monthly
KR Master		8.89	%		61,301,723		(3,242,782	)		36,844		7,560		(3,287,186	)	Commodity Portfolio	Monthly
Altis Master		9.02	%		62,191,446		(7,371,835	)		35,640		7,118		(7,414,593	)	Commodity Portfolio	Monthly
DKR I, LLC		7.10	%		48,959,664		(4,255,329	)		65,476		93,404		(4,414,209	)	Commodity Portfolio	Monthly

Total				$	675,838,358	$	(13,004,360	)	$	1,642,311	$	349,156	$	(14,995,827	)


	December 31, 2010					For the three months ended June 30, 2010
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Drury Master		14.11	%	$	107,683,407	$	(6,833,026	)	$	42,929	$	45,307	$	(6,921,262	)	Commodity Portfolio	Monthly
Willowbridge Master		6.01	%		45,858,815		(3,530,756	)		25,543		5,721		(3,562,020	)	Commodity Portfolio	Monthly
Aspect Master		14.22	%		108,551,664		626,376			34,153		32,365		559,858		Commodity Portfolio	Monthly
CFM Master		16.31	%		124,459,170		1,257,590			621,362		28,602		607,626		Commodity Portfolio	Monthly
Winton Master		16.24	%		123,917,915		3,765,135			31,244		5,980		3,727,911		Commodity Portfolio	Monthly
Graham Master		13.82	%		105,484,588		551,027			70,381		32,461		448,185		Commodity Portfolio	Monthly
SandRidge Master		9.59	%		73,181,625		(11,285,741	)		80,326		15,090		(11,381,157	)	Energy Portfolio	Monthly
Sasco Master		5.91	%		45,139,559		—			—		—		—		Energy Portfolio	Monthly

Total				$	734,276,743	$	(15,449,395	)	$	905,938	$	165,526	$	(16,520,859	)


	December 31, 2010					For the six months ended June 30, 2010
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Drury Master		14.11	%	$	107,683,407	$	(7,040,623	)	$	76,656	$	58,979	$	(7,176,258	)	Commodity Portfolio	Monthly
Willowbridge Master		6.01	%		45,858,815		(9,524,608	)		48,687		11,228		(9,584,523	)	Commodity Portfolio	Monthly
Aspect Master		14.22	%		108,551,664		4,855,149			65,672		42,138		4,747,339		Commodity Portfolio	Monthly
CFM Master		16.31	%		124,459,170		3,746,154			1,087,484		42,733		2,615,937		Commodity Portfolio	Monthly
Winton Master		16.24	%		123,917,915		9,640,287			62,048		9,101		9,569,138		Commodity Portfolio	Monthly
AAA Master		0.00	%		—		(134,982	)		10,603		2,019		(147,604	)	Energy Portfolio	Monthly
Graham Master		13.82	%		105,484,588		(1,053,623	)		127,077		41,678		(1,222,378	)	Commodity Portfolio	Monthly
SandRidge Master		9.59	%		73,181,625		(14,038,901	)		127,186		27,597		(14,193,684	)	Energy Portfolio	Monthly
Sasco Master		5.91	%		45,139,559		—			—		—		—		Energy Portfolio	Monthly

Total				$	734,276,743	$	(13,551,147	)	$	1,605,413	$	235,473	$	(15,392,033	)

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

Financial Instrument Risks:

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

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

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/Funds’ assets is CGM, Morgan Stanley & Co. LLC or their 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 Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

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

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

Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

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

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

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)

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. Realized gains (losses) and changes in 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.

The Funds do not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the 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.

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

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 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 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 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 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/Fund’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”.

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

Liquidity and Capital Resources

The Partnership does not engage in the sale of goods or services. The Partnership’s assets are its (i) investment in Funds, (ii) equity in its trading account, consisting of cash and cash equivalents, and net unrealized appreciation on open futures contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the second quarter of 2011.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2011, Partnership capital decreased 9.6% from $763,167,489 to $689,586,322. This decrease was attributable to the redemptions of 59,933.2444 Redeemable Units resulting in an outflow of $69,470,663, coupled with the net loss from operations of $44,767,112, which was offset by the subscriptions of 34,594.2600 Redeemable Units totaling $40,656,608. 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.

Results of Operations

During the second quarter of 2011, the Partnership’s net asset value per unit decreased 6.1% from $1,167.07 to 1,095.31 as compared to a decrease of 3.6% in the same period of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the second quarter of 2011 of $30,851,291. Losses were primarily attributable to the Partnership/Funds’ trading in energy, grains, non-U.S. interest rates, livestock, metals and softs and were partially offset by gains in currencies, indices 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 $12,858,033. Losses were primarily attributable to the Partnership/Funds’ trading in energy, grains, livestock, metals, softs and indices and were partially offset by gains in currencies, U.S. and non-U.S. interest rates.

The most significant losses were incurred within the energy sector, 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. Losses were also experienced within the metals markets, primarily during May and June, due to long positions in copper, nickel, and aluminum futures as base metals prices fell as a slowing global economy and a rising U.S. dollar eroded the appeal of commodities as an investment and eased the risk of accelerating inflation. 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. Within the global stock index sector, losses were recorded primarily during May and June, from long positions in Pacific Rim, U.S., and European 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. A portion of the Partnership’s losses during the quarter was offset by gains achieved 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. Gains were also experienced within the currency markets, primarily during April, from long positions in the Swiss franc, Australian dollar, and New Zealand 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.

During the Partnership’s six months ended June 30, 2011, the net asset value per Redeemable Unit decreased 6.0% from $1,165.28 to $1,095.31 as compared to a decrease of 5.4% in the same period of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2011 of $13,649,772. Losses were primarily attributable to the Partnership/Funds’ trading in energy, grains, non-U.S. interest rates, livestock, metals and softs and were partially offset by gains in currencies, indices and U.S interest rates. The Partnership experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2010 of $12,458,723. Losses were primarily attributable to the Partnership/Funds’ trading in energy, grains, livestock, metals, softs and indices and were partially offset by gains in currencies, U.S. and non-U.S. interest rates.

The most significant losses were incurred within the global stock index sector, primarily during May and June, from long positions in Pacific Rim, European, 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 Pacific Rim and European equity index futures as prices moved lower. Within the agricultural complex, losses were incurred throughout a majority of the first half of the year from positions in soybean futures as prices moved without consistent direction on weather related concerns and other supply and demand factors. Further losses were incurred within this sector during March from long positions cocoa futures as prices fell on signs the political turmoil in the Ivory Coast, the world’s largest producer of cocoa, may be easing. Meanwhile, long positions in corn futures resulted in losses as prices declined sharply in June. Losses were also experienced within the metals markets, primarily during May and June, due to long positions in copper, nickel, and aluminum futures as base metals prices fell amid a slowing global economy and a rising U.S. dollar. Within the global interest rate sector, losses were experienced primarily during April, from 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 for the first half of the year was offset by gains achieved within the energy markets, primarily during the first four months of the year, from long futures positions in crude oil and its related products as prices rose after political tension in Egypt and Libya stoked worries that protests may spread to crude-producing parts of the Middle East. Gains were also experienced 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.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account was earned at the monthly average 30-day U.S. Treasury bill yield determined weekly by CGM. MS&Co. credits DKR I, LLC at each month-end with interest income on the assets on deposit with MS&Co. (such interest income ultimately flows to the Fund based on its percentage ownership of DKR I, LLC). Interest income for the three and six months ended June 30, 2011 decreased by $169,439 and $114,077, respectively as compared to the corresponding periods in 2010. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership nor CGM/MS&Co. has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and six months ended June 30, 2011 decreased $626,332 and $637,464, respectively as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to a decrease in average net assets for the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions or as described in the advisory agreement among the Partnership/Trading Company, the General Partner and each Advisor. Management fees for the three and six months ended June 30, 2011 decreased $300,450 and $348,469, respectively as compared to the corresponding periods in 2010. The decrease in management fees is due to a decrease in average net assets for 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 at the end of the quarter as defined in the management agreement among the Partnership/Trading Company, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2011 resulted in incentive fees of $0 and $347,609, respectively. There were no incentive fees earned for the three and six months ended June 30, 2010. An Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership among the trading 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 trading advisors and may allocate assets to additional advisors at any time.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

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

“Value at Risk” is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of JWH, 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. JWH directly trades a managed account in the Partnership’s name. The first two trading Value at Risk tables reflects the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by JWH) and indirectly by each Fund separately.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2011 and December 31, 2010. As of June 30, 2011, the Partnership’s total capitalization was $689,586,322.


			% of Total
Market Sector	Value at Risk		Capitalization
Commodities	$	24,795,917		3.60	%
Currencies		30,411,451		4.41	%
Indices		11,296,214		1.64	%
Interest Rates		23,831,268		3.45	%

Total	$	90,334,850		13.10	%

As of December 31, 2010, the Partnership’s total capitalization was $763,167,489.


	December 31, 2010
			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	17,027,277		2.23	%
Energy		18,382,741		2.41	%
Grains		3,360,398		0.44	%
Indices		13,933,328		1.83	%
Interest Rates U.S.		8,649,152		1.13	%
Interest Rates Non-U.S.		7,377,323		0.97	%
Livestock		1,844,941		0.24	%
Metals		6,948,426		0.91	%
Softs		3,734,248		0.49	%

Total	$	81,257,834		10.65	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of June 30, 2011 and December 31, 2010, the highest and lowest value at any point and the average value during the three months ended June 30, 2011 and for the twelve months ended December 31, 2010. All open position trading risk exposures 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, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH 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	$	390,200		0.06	%	$	775,720	$	328,900	$	422,687
Energy		189,138		0.03	%		728,756		35,000		300,864
Grains		232,750		0.03	%		453,000		80,850		242,917
Indices		153,850		0.02	%		366,200		32,500		176,650
Interest Rates U.S.		515,265		0.08	%		520,470		164,140		375,782
Interest Rates Non -U.S.		90,000		0.01	%		948,084		90,000		461,055
Metals		250,400		0.04	%		823,700		48,600		456,800
Softs		81,817		0.01	%		264,793		45,890		111,186

Total	$	1,903,420		0.28	%


*		Average of month-end Values at Risk

As of December 31, 2010, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	700,600		0.09	%	$	1,005,600	$	28,800	$	596,618
Energy		494,420		0.06	%		600,500		36,500		431,918
Grains		587,000		0.08	%		664,000		13,875		342,870
Indices		133,361		0.02	%		204,731		48,781		123,711
Interest Rates U.S.		361,250		0.05	%		411,200		40,000		276,068
Interest Rates Non -U.S.		575,201		0.07	%		615,037		102,218		425,813
Metals		822,000		0.11	%		822,000		39,984		475,734
Softs		1,121,800		0.15	%		1,121,800		176,000		507,714

Total	$	4,795,632		0.63	%


*		Annual average of month-end Value at Risk

As of June 30, 2011, Drury Master’s total capitalization was $123,927,270. The Partnership owned approximately 87.9% of Drury Master. As of June 30, 2011, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury 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	$	8,409,316		6.78	%	$	10,354,047	$	8,004,087	$	8,723,314
Energy		2,066,802		1.67	%		2,066,802		97,500		1,387,636
Grains		1,595,040		1.29	%		1,595,040		257,850		797,768
Indices		3,906,229		3.15	%		8,249,728		3,906,229		5,630,735
Interest Rates U.S.		1,255,950		1.01	%		1,673,050		1,255,950		1,506,517
Interest Rates Non-U.S.		4,137,363		3.34	%		7,351,133		2,713,242		3,621,089
Metals		3,626,663		2.93	%		4,984,254		1,557,461		3,357,327
Softs		1,434,882		1.16	%		1,651,654		508,252		1,242,063

Total	$	26,432,245		21.33	%


*		Average of month-end Values at Risk

As of December 31, 2010, Drury Master’s total capitalization was $123,074,679. The Partnership owned approximately 87.5% of Drury Master. As of December 31, 2010, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury 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	$	5,021,338		4.08	%	$	5,021,338	$	1,706,188	$	4,123,793
Energy		1,328,630		1.08	%		1,790,100		543,799		1,050,228
Grains		982,250		0.80	%		1,650,750		165,550		982,525
Indices		7,109,978		5.78	%		9,597,332		1,667,730		5,958,055
Interest Rates U.S.		458,036		0.37	%		1,358,000		457,621		933,366
Interest Rates Non-U.S.		3,594,971		2.92	%		5,511,448		1,657,132		3,464,645
Metals		3,849,377		3.13	%		3,849,377		502,003		1,958,430
Softs		1,071,845		0.87	%		1,393,499		278,418		939,629

Total	$	23,416,425		19.03	%


*		Annual average of month-end Value at Risk

As of June 30, 2011, Willowbridge Master’s total capitalization was $71,695,521. The Partnership owned approximately 78.0% of Willowbridge Master. As of June 30, 2011, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge 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	$	722,070		1.01	%	$	2,879,258	$	509,592	$	967,661
Energy		1,023,000		1.43	%		4,681,000		181,500		1,754,417
Grains		726,000		1.01	%		1,031,250		66,000		653,875
Interest Rates U.S.		316,800		0.44	%		1,654,100		316,800		494,667
Interest Rates Non-U.S.		819,328		1.14	%		2,784,138		687,641		918,156
Metals		868,725		1.21	%		4,137,702		280,500		1,432,907
Softs		336,600		0.47	%		3,503,200		242,550		931,350

Total	$	4,812,523		6.71	%


*		Average of month-end Values at Risk

As of December 31, 2010, Willowbridge Master’s total capitalization was $216,298,633. The Partnership owned approximately 21.2% of Willowbridge Master. As of December 31, 2010, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge 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	$	2,232,591		1.03	%	$	7,096,121	$	940,854		3,547,819
Energy		2,742,900		1.27	%		6,539,400		460,750		2,570,821
Grains		2,062,750		0.95	%		3,762,750		207,200		1,238,276
Interest Rates U.S.		774,255		0.36	%		3,269,700		243,600		1,143,161
Interest Rates Non-U.S.		1,908,692		0.88	%		5,489,653		289,858		2,700,503
Livestock		112,000		0.05	%		171,200		44,800		92,018
Metals		3,791,000		1.75	%		5,643,396		710,500		2,729,785
Softs		2,024,400		0.94	%		3,388,150		198,000		1,542,246

Total	$	15,648,588		7.23	%


*		Annual average of month-end Value at Risk

As of June 30, 2011, Aspect Master’s total capitalization was $160,357,448. The Partnership owned approximately 72.3% of Aspect Master. As of June 30, 2011, 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

**		Due to rounding

As of December 31, 2010, Aspect Master’s total capitalization was $157,864,059. The Partnership owned approximately 68.7% 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	$	4,676,665
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 Value at Risk

As of June 30, 2011, CFM Master’s total capitalization was $109,818,110. The Partnership owned approximately 70.1% of CFM Master. As of June 30, 2011, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM 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	$	2,711,600		2.47	%	$	5,365,500	$	1,502,244	$	2,938,851
Energy		267,885		0.24	%		1,093,591		194,067		511,419
Grains		387,164		0.35	%		712,062		251,317		421,061
Indices		4,844,141		4.41	%		8,797,600		1,022,150		5,652,637
Interest Rates U.S.		2,537,150		2.31	%		6,531,050		597,960		4,156,317
Interest Rates Non -U.S.		3,435,682		3.13	%		5,003,129		1,912,197		2,984,644
Livestock		35,650		0.04	%		71,650		15,025		47,525
Metals		1,339,409		1.22	%		1,851,754		369,067		1,469,115
Softs		288,206		0.26	%		493,369		214,625		322,002

Total	$	15,846,887		14.43	%


*		Average of month-end Values at Risk

As of December 31, 2010, CFM Master’s total capitalization was $163,073,234. The Partnership owned approximately 76.3% of CFM Master. As of December 31, 2010, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM 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	$	2,320,930		1.42	%	$	6,402,680	$	414,348	$	2,078,665
Energy		344,275		0.21	%		2,166,109		154,579		709,954
Grains		238,210		0.15	%		585,400		91,736		276,553
Indices		9,619,057		5.90	%		9,619,057		1,002,179		5,981,337
Interest Rates U.S.		1,334,500		0.82	%		3,845,150		93,777		2,207,437
Interest Rates Non -U.S.		1,128,977		0.69	%		6,320,972		315,476		2,646,684
Livestock		13,404		0.01	%		129,150		2,626		30,932
Metals		396,250		0.24	%		814,850		13,102		336,186
Softs		193,451		0.12	%		587,384		124,374		253,108

Total	$	15,589,054		9.56	%


*		Annual average of month-end Value at Risk

As of June 30, 2011, Winton Master’s total capitalization was $835,503,884. The Partnership owned approximately 6.1% of Winton Master. As of June 30, 2011, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton 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	$	17,884,383		2.14	%	$	18,064,632	$	9,728,469	$	12,891,577
Energy		2,064,453		0.25	%		4,524,046		2,021,975		3,418,682
Grains		1,801,281		0.21	%		2,972,716		1,801,281		2,487,708
Indices		9,886,505		1.18	%		15,338,993		8,657,696		12,190,872
Interest Rates U.S.		6,770,600		0.81	%		8,976,950		2,472,700		5,655,283
Interest Rates Non-U.S.		11,289,812		1.35	%		11,519,611		1,680,246		6,020,488
Livestock		234,400		0.03	%		340,400		42,650		242,067
Metals		5,477,650		0.66	%		6,615,109		5,009,664		5,661,383
Softs		1,664,712		0.20	%		1,664,712		329,218		1,107,992

Total	$	57,073,796		6.83	%


*		Average of month-end Values at Risk.

**		Due to rounding.

As of December 31, 2010, Winton Master’s total capitalization was $883,719,871. The Partnership owned approximately 14.0% of Winton Master. As of December 31, 2010, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton 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	$	8,969,665		1.01	%	$	13,529,797	$	3,127,432	$	9,858,603
Energy		3,277,769		0.37	%		4,944,082		236,988		2,213,508
Grains		3,992,796		0.45	%		4,064,389		556,164		2,285,359
Indices		15,987,691		1.81	%		22,020,780		2,382,812		12,021,182
Interest Rates U.S.		1,387,025		0.16	%		10,348,050		275,672		5,195,958
Interest Rates Non-U.S.		3,521,207		0.40	%		13,490,861		1,949,046		7,347,287
Livestock		268,200		0.03	%		437,350		158,080		263,226
Metals		6,416,979		0.73	%		8,963,451		3,939,668		5,989,765
Softs		1,393,632		0.16	%		2,071,953		538,916		1,029,710

Total	$	45,214,964		5.12	%


*		Annual average of month-end Value at Risk.

As of June 30, 2011, Graham Master’s total capitalization was $161,473,863. The Partnership owned approximately 58.4% of Graham Master. As of June 30, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham 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	$	13,555,324		8.40	%	$	13,555,324	$	8,726,569	$	11,581,843
Energy		1,054,172		0.65	%		1,790,886		646,679		1,209,214
Grains		392,062		0.24	%		561,012		325,891		400,296
Indices		2,488,837		1.54	%		8,218,707		1,625,857		3,260,028
Interest Rates U.S.		968,150		0.60	%		4,564,925		968,150		2,351,225
Interest Rates Non-U.S.		1,987,740		1.23	%		2,505,732		795,437		1,561,437
Livestock		66,000		0.04	%		88,800		6,000		40,800
Metals		1,263,511		0.78	%		1,753,698		740,183		1,078,290
Softs		332,954		0.21	%		508,137		247,550		337,506

Total	$	22,108,750		13.69	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Graham Master’s total capitalization was $168,924,671. The Partnership owned approximately 62.5% of Graham Master. As of December 31, 2010, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham 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	$	6,192,975		3.67	%	$	11,364,239	$	996,231	$	5,226,199
Energy		1,048,521		0.62	%		1,989,347		236,269		1,000,222
Grains		448,450		0.26	%		964,687		124,875		411,118
Indices		5,301,813		3.14	%		13,726,706		1,137,775		5,507,221
Interest Rates U.S.		161,600		0.10	%		2,021,410		68,806		1,014,515
Interest Rates Non-U.S.		1,209,918		0.72	%		4,305,447		749,055		2,006,426
Livestock		40,000		0.02	%		106,400		800		50,304
Metals		1,012,127		0.60	%		1,771,142		494,357		993,963
Softs		258,565		0.15	%		1,144,148		85,988		385,351

Total	$	15,673,969		9.28	%


*		Annual average of month-end Value at Risk.

As of June 30, 2011, KR Master’s total capitalization was $73,964,153. The Partnership owned approximately 82.9% of KR Master. As of June 30, 2011, KR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to KR for trading) was as follows:

June 30, 2011


						For the period ended June 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	777,164		1.05	%	$	1,515,141	$	185,991	$	910,144
Grains		890,950		1.21	%		2,029,031		464,452		1,356,665
Livestock		1,225		0.00	%**		103,225		1,225		32,425
Metals		2,414,305		3.26	%		2,917,921		938,921		2,240,957
Softs		519,962		0.70	%		1,209,019		441,785		620,167

Total	$	4,603,606		6.22	%


*		For the period May 1, 2011 (commencement of trading operations) to June 30, 2011 average of month-end Value at Risk.

**		Due to rounding.

As of June 30, 2011, Altis Master’s total capitalization was $103,869,373. The Partnership owned approximately 59.9% of Altis Master. As of June 30, 2011, 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

As of June 30, 2011, DKR I, LLC’s total capitalization was $53,089,299. The Partnership owned approximately 92.2% of DKR I, LLC. As of June 30, 2011, DKR I, LLC’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to DKR for trading) was as follows:

June 30, 2011



			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Commodities	$	2,088,362		3.94	%	$	2,789,492	$	771,090	$	1,741,421
Currencies		5,217,051		9.83	%		7,053,801		2,196,624		4,605,912
Interest Rates		3,605,840		6.79	%		5,481,695		2,421,110		4,596,477
Indices		517,371		0.97	%		1,289,065		116,467		451,095

Total	$	11,428,624		21.53	%


*		For the period of June 1, 2011 (date of which the Partnership invested in DKR I, LLC) to June 30, 2011 average of month-end Value at Risk.

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 (“CEO”) and Chief Financial Officer (“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.

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.

Item 1A. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010.

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

The public offering of Redeemable Units terminated on November 30, 2008.

For the three months ended June 30, 2011, there were additional subscriptions of 17,609.7206 Redeemable Units totaling $20,715,369. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as described in Regulation D.

Proceeds of net offering were used for the trading of commodity interests including futures contracts, swaps, options and forward contracts.

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

April 1, 2011 –
April 30, 2011

9,908.1489

1,217.74

N/A

May 1, 2011 –
May 31, 2011

5,864.5666

1,150.01

N/A

June 1, 2011 –
June 30, 2011

14,883.0065

1,095.31

N/A

30,655.7220

1,145.34


*		Generally, limited partners are permitted to redeem their Redeemable Units as of the end 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.

Item 3. Defaults Upon Senior Securities. None.

Item 4. [Removed and Reserved]

Item 5. Other Information. None.

Item 6. 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 (filed as Exhibit 3.2 to the Registration on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

	(a)		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 99.2 to the Form 8-K filed on November 3, 2009 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 September 21, 2005 (filed as Exhibit 99.3 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

	(c)		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 99.4 to the Form 8-K filed on November 3, 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 September 24, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 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 June 30, 2010 (filed as Exhibit 3.1(e) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

	3.2		Limited Partnership Agreement (filed as Exhibit A to the Post-Effective Amendment No. 5 to the Registration on Form S-1 filed on April 22, 2008 and incorporated herein by reference).

	(a)		Amendment to the Limited Partnership Agreement, dated May 31, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

	10.1		Amended and Restated Customer Agreement among the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.1 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003 and incorporated herein by reference).

	10.2		Escrow Agreement among the Partnership, Salomon Smith Barney Inc. and JPMorgan Chase Bank (filed as Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003).

	10.3		Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.5 to the Registration on Form S-1 filed on December 20, 2002).

	(a)		Letter from the General Partner extending Management Agreement with Graham for 2010 (filed as Exhibit 10.3(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

	10.4		Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Registration on Form S-1 filed on December 20, 2002).

	(a)		Letter from the General Partner extending Management Agreement with Willowbridge for 2010 (filed as Exhibit 10.4(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

	10.5		Management Agreement among the Partnership, the General Partner and Drury (filed as Exhibit 10.4 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003).

	(a)		Letter from the General Partner extending Management Agreement with Drury for 2010 (filed as Exhibit 10.5(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 JWH (filed as Exhibit 10.6 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003).

	(a)		Letter from the General Partner extending Management Agreement with JWH for 2010 (filed as Exhibit 10.6(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 Winton (filed as Exhibit 10.2 to the Form 10-K filed on March 16, 2005 and incorporated herein by reference).

	(a)		Letter from the General Partner extending Management Agreement with Winton for 2010 (filed as Exhibit 10.7(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

	10.8		Amended and Restated Management Agreement among the Partnership, the General Partner and CFM (filed as Exhibit 10.8 to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

	10.9		Management Agreement among the Partnership, the General Partner and Aspect (filed as Exhibit 10.4 to the Form 10-K filed on March 16, 2005 and incorporated herein by reference).


	(a)		Letter from the General Partner extending Management Agreement with Aspect for 2010 (filed as Exhibit 10.9(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

	10.10		Management Agreement among the Partnership, the General Partner and Altis Partners (Jersey) Limited. (filed as Exhibit 10.13 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).

	10.11		Management Agreement among the Partnership, the General Partner and Krom River Investment Management (Cayman) Limited and Krom River Trading AG (filed as Exhibit 10.14 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).

	10.12		Second Amended and Restated Agency Agreement among the Partnership, the General Partner, CGM and MSSB dated July 29, 2010 (filed as Exhibit 10.12 to the Form 8-K filed on August 3, 2010 and incorporated herein by reference).

31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)
32.1 — Section 1350 Certification (Certification of President and Director)
32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director)

101. INS XBRL Instance Document.

101. SCH XBRL Taxonomy Extension Schema 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.

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.

TACTICAL 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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CERES TACTICAL SYSTEMATIC L.P. Reports

CERES TACTICAL SYSTEMATIC L.P. - FORM 10-Q - August 15, 2011

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CERES TACTICAL SYSTEMATIC L.P. Reports