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Table of Contents

 
 
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
     
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 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 000-52602
BRISTOL ENERGY FUND L.P.
 
(Exact name of registrant as specified in its charter)
     
New York   20-2718952
     
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification No.)
c/o Ceres Managed Futures LLC
522 Fifth Avenue, 14th Floor
New York, New York 10036
 
(Address of principal executive offices) (Zip Code)
(212) 296-1999
 
(Registrant’s telephone number, including area code)
     Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes þ No o
     Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ No o
     Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
             
Large accelerated filer o   Accelerated filer o   Non Accelerated filer þ   Smaller reporting company o
     Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of the Exchange Act).
Yes o No þ
As of October 31, 2011, 206,728.9637 Limited Partnership Redeemable Units were outstanding.
 
 


 

BRISTOL ENERGY FUND L.P.
FORM 10-Q
INDEX
         
    Page  
    Number  
       
       
    3  
    4  
    5-17  
    18-20  
    21-22  
    23  
    24-26  
Exhibits        
Ex. 31.1 Certification        
Ex. 31.2 Certification        
Ex. 32.1 Certification        
Ex. 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.
 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

2


Table of Contents

PART I
Item 1. Financial Statements
Bristol Energy Fund L.P.
Statements of Financial Condition
                 
    (Unaudited)        
    September 30,     December 31,  
    2011     2010  
Assets:
               
Investment in Master, at fair value
  $ 305,405,765     $ 402,350,613  
Cash
    196,178       151,370  
 
           
Total assets
  $ 305,601,943     $ 402,501,983  
 
           
Liabilities and Partners’ Capital:
               
Liabilities:
               
Accrued expenses:
               
Brokerage fees
  $ 955,006     $ 1,257,819  
Management fees
    507,535       668,594  
Administrative fees
    126,884       167,149  
Other
    126,170       87,766  
Redemptions payable
    3,061,505       22,213,402  
 
           
Total liabilities
    4,777,100       24,394,730  
 
           
Partners’ Capital:
               
General Partner, 2,934.8368 and 3,346.8277 unit equivalents outstanding at September 30, 2011 and December 31, 2010, respectively
    4,109,417       4,240,732  
Special Limited Partner, 800.7772 Redeemable Units outstanding at September 30, 2011 and December 31, 2010
    1,121,264       1,014,657  
Limited Partners, 211,105.2570 and 294,258.5619 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively
    295,594,162       372,851,864  
 
           
Total partners’ capital
    300,824,843       378,107,253  
 
           
Total liabilities and partners’ capital
  $ 305,601,943     $ 402,501,983  
 
           
Net asset value per unit
  $ 1,400.22     $ 1,267.09  
 
           
See accompanying notes to financial statements.

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Table of Contents

Bristol Energy Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Investment Income:
                               
Interest income allocated from Master
  $ 8,767     $ 120,936     $ 87,559     $ 308,106  
 
                       
Expenses:
                               
Expenses allocated from Master
    158,044       341,889       611,688       987,160  
Brokerage fees
    2,875,383       4,128,555       8,971,503       13,566,407  
Management fees
    1,528,147       2,194,878       4,768,401       7,211,773  
Administrative fees
    382,037       548,720       1,192,100       1,802,944  
Other
    98,605       73,143       281,048       217,746  
 
                       
Total expenses
    5,042,216       7,287,185       15,824,740       23,786,030  
 
                       
Net investment income (loss)
    (5,033,449 )     (7,166,249 )     (15,737,181 )     (23,477,924 )
 
                       
 
                               
Trading Results:
                               
Net realized gains (losses) on closed contracts allocated from Master
    9,316,811       (22,416,807 )     8,147,034       (67,976,467 )
Change in net unrealized gains (losses) on open contracts allocated from Master
    8,343,129       (9,112,156 )     37,181,838       (22,393,338 )
 
                       
Total trading results allocated from Master
    17,659,940       (31,528,963 )     45,328,872       (90,369,805 )
 
                       
Net income (loss)
    12,626,491       (38,695,212 )     29,591,691       (113,847,729 )
Subscriptions — Limited Partners
    1,219,776       21,467,000       9,315,802       114,418,000  
Redemptions — Limited Partners
    (12,481,714 )     (25,309,558 )     (115,664,903 )     (44,401,947 )
Redemptions — General Partner
    0       0       (525,000 )     0  
 
                       
Net increase (decrease) in Partners’ Capital
    1,364,553       (42,537,770 )     (77,282,410 )     (43,831,676 )
Partners’ Capital, beginning of period
    299,460,290       469,305,600       378,107,253       470,599,506  
 
                       
Partners’ Capital, end of period
  $ 300,824,843     $ 426,767,830     $ 300,824,843     $ 426,767,830  
 
                       
Net asset value per unit (214,840.8710 and 327,708.9940 units outstanding at September 30, 2011 and 2010, respectively)
  $ 1,400.22     $ 1,302.28     $ 1,400.22     $ 1,302.28  
 
                       
Net income (loss) per unit*
  $ 57.16     $ (115.04 )   $ 133.13     $ (343.45 )
 
                       
Weighted average units outstanding
    220,091.1045       336,704.1908       241,170.6807       324,668.0187  
 
                       
 
*      Based on change in net asset value per unit.
See accompanying notes to financial statements.

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
1. General:
     Bristol Energy Fund L.P. (the “Partnership”) is a limited partnership organized on April 20, 2005 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of commodity interests, including options, commodity futures contracts, forwards and swaps contracts on exchanges and markets located in the United States and abroad. The Master (as defined below) may enter into swap and derivative contracts on energy related products. The commodity interests that are traded by the Partnership, through its investment in the Master, are volatile and involve a high degree of market risk. During the initial offering period the Partnership sold 11,925 redeemable units of limited partnership interest (“Redeemable Units”). The Partnership commenced trading on September 6, 2005. The Partnership privately and continuously offers up to 500,000 Redeemable Units to qualified investors. There is no maximum number of 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 September 30, 2011, all trading decisions for the Partnership are made by the Advisor (defined below).
     On December 1, 2005, the Partnership allocated substantially all of its capital to CMF SandRidge Master Fund L.P. (the “Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,410.6191 units of the Master with cash equal to $14,477,858 and a contribution of open commodity futures and option contracts with a fair value of $(16,018). The Master was formed in order to permit commodity pools managed now or in the future by SandRidge Capital, L.P. (“SandRidge” or the “Advisor”) using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. In addition, the Advisor is a special limited partner (the “Special Limited Partner”) of the Partnership. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of the Master. The Master’s commodity broker is CGM. The General Partner and SandRidge believe that trading through this master/feeder structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected.
     The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2011.
     At September 30, 2011 and December 31, 2010, the Partnership owned approximately 97.4% and 76.1%, respectively, of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.
     The General Partner and each limited partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, 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 adjustment, necessary for a fair statement of the Partnership’s financial condition at September 30, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three and nine months ended September 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

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
     Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
     The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2011 and 2010 are presented below:
CMF SandRidge Master Fund L.P.
Statements of Financial Condition
                 
    (Unaudited)        
    September 30,     December 31,  
    2011     2010  
Assets:
               
Equity in trading account:
               
Cash
  $ 316,532,537     $ 508,243,783  
Cash margin
    6,348,211       71,084,284  
Options purchased, at fair value (cost $1,674,280 and $3,846,540 at September 30, 2011 and December 31, 2010, respectively)
    3,401,767       2,303,244  
 
           
Total assets
  $ 326,282,515     $ 581,631,311  
 
           
Liabilities and Partners’ Capital:
               
Liabilities:
               
Net unrealized depreciation on open futures and exchange-cleared swap contracts
  $ 12,572,819     $ 52,768,215  
Options premium received, at fair value (premium $0 and $45,000 at September 30, 2011 and December 31, 2010, respectively)
    0       24,250  
Accrued expenses:
               
Professional fees
    69,439       103,589  
 
           
Total liabilities
    12,642,258       52,896,054  
 
           
Partners’ Capital:
               
General Partner, 0.0000 unit equivalents at September 30, 2011 and December 31, 2010
    0       0  
Limited Partners, 150,008.7601 and 293,086.2072 units outstanding at September 30, 2011 and December 31, 2010, respectively
    313,640,257       528,735,257  
 
           
Total liabilities and partners’ capital
  $ 326,282,515     $ 581,631,311  
 
           
Net asset value per unit
  $ 2,090.81     $ 1,804.03  
 
           
 
               

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
                         
    Number of             % of Partners’  
    Contracts     Fair Value     Capital  
Futures and Exchange-Cleared Swap Contracts Purchased
                       
Energy
                       
ICE Henry Hub Natural Gas Swap Nov. 11 - Dec. 13
    3,465     $ (11,184,733 )     (3.56 )%
NYMEX Henry Hub Natural Gas Swap Jan. 12 - Oct. 12
    3,776       (15,639,810 )     (4.99 )
NYMEX Henry Hub Natural Gas Mar. 12 - April 12
    1,648       (8,342,691 )     (2.66 )
 
                   
Total futures and exchange-cleared swap contracts purchased
            (35,167,234 )     (11.21 )
 
                   
 
                       
Futures and Exchange-Cleared Swap Contracts Sold
                       
Energy
                       
ICE Henry Hub Natural Gas Swap Jan. 12 - April 12
    1,115       1,325,958       0.42  
NYMEX Henry Hub Natural Gas Swap Nov. 11 - Dec. 13
    5,196       11,196,820       3.57  
NYMEX Henry Hub Natural Gas Nov. 11 - Oct. 12
    1,968       10,071,637       3.21  
 
                   
Total futures and exchange-cleared swap contracts sold
            22,594,415       7.20  
 
                   
 
                       
Options Purchased
                       
Puts
                       
Energy
    1,292       3,401,767       1.09  
 
                   
Total options purchased
            3,401,767       1.09  
 
                   
 
                       
Net fair value
          $ (9,171,052 )     (2.92 )%
 
                   

7


Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
Condensed Schedule of Investments
December 31, 2010
                         
    Number of             % of Partners’  
    Contracts     Fair Value     Capital  
Futures and Exchange-Cleared Swap Contracts Purchased
                       
Energy
                       
ICE Henry Hub Natural Gas Swap Mar. 11 - Dec. 14
    39,104     $ (34,520,010 )     (6.52 )%
NYMEX Henry Hub Natural Gas Swap Mar. 11 - Dec. 14
    19,716       (65,069,790 )     (12.31 )
NYMEX Henry Hub Natural Gas Oct. 11 - Apr. 12
    1,381       (204,317 )     (0.04 )
NYMEX Henry Hub Penultimate Apr. 11
    308       216,370       0.04  
 
                   
Total futures and exchange-cleared swap contracts purchased
            (99,577,747 )     (18.83 )
 
                   
Futures and Exchange-Cleared Swap Contracts Sold
                       
Energy
                       
ICE Henry Hub Natural Gas Swap Apr. 11
    13,080       17,903,400       3.39  
NYMEX Henry Hub Natural Gas Swap Feb. 11 - Dec. 13
    14,996       35,275,930       6.67  
NYMEX Henry Hub Natural Gas Feb. 11 - Jan. 12
    10,765       (6,369,798 )     (1.21 )
 
                   
Total futures and exchange-cleared swap contracts sold
            46,809,532       8.85  
 
                   
Options Purchased
                       
Puts
                       
Energy
    4,228       2,303,244       0.44  
 
                   
Total options purchased
            2,303,244       0.44  
 
                   
Options Premium Received
                       
Puts
                       
Energy
    50       (24,250 )     (0.01 )
 
                   
Total options premium received
            (24,250 )     (0.01 )
 
                   
Net fair value
          $ (50,489,221 )     (9.55 )%
 
                   

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Investment Income:
                               
Interest income
  $ 9,041     $ 165,057     $ 105,844     $ 434,888  
 
                       
Expenses:
                               
Clearing fees
    84,438       358,867       445,645       1,115,028  
Professional fees
    78,361       105,988       244,450       269,830  
 
                       
Total expenses
    162,799       464,855       690,095       1,384,858  
 
                       
Net investment income (loss)
    (153,758 )     (299,798 )     (584,251 )     (949,970 )
 
                       
Trading results:
                               
Net gains (losses) on trading of commodity interests:
                               
Net realized gains (losses) on closed contracts
    9,589,655       (30,452,125 )     4,877,499       (93,310,838 )
Change in net unrealized gains (losses) on open contracts
    8,604,047       (12,482,832 )     43,445,429       (33,807,709 )
 
                       
Total trading results
    18,193,702       (42,934,957 )     48,322,928       (127,118,547 )
 
                       
Net income (loss)
    18,039,944       (43,234,755 )     47,738,677       (128,068,517 )
Subscriptions — Limited Partners
    1,219,776       26,467,000       9,315,882       191,075,500  
Redemptions — Limited Partners
    (23,653,593 )     (66,297,605 )     (272,043,715 )     (152,206,632 )
Distribution of interest income to feeder funds
    (9,041 )     (165,057 )     (105,844 )     (434,888 )
 
                       
Net increase (decrease) in Partners’ capital
    (4,402,914 )     (83,230,417 )     (215,095,000 )     (89,634,537 )
Partners’ Capital, beginning of period
    318,043,171       678,505,373       528,735,257       684,909,493  
 
                       
Partners’ Capital, end of period
  $ 313,640,257     $ 595,274,956     $ 313,640,257     $ 595,274,956  
 
                       
Net asset value per unit (150,008.7601 and 326,111.0440 units outstanding at September 30, 2011 and 2010, respectively)
  $ 2,090.81     $ 1,825.38     $ 2,090.81     $ 1,825.38  
 
                       
Net income (loss) per unit*
  $ 117.17     $ (130.16 )   $ 287.27     $ (374.85 )
 
                       
Weighted average units outstanding
    157,297.3395       341,894.4623       201,795.0028       341,821.0612  
 
                       
 
*   Based on change in net asset value per unit.

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
2. Financial Highlights:
     Changes in the net asset value per unit for the three and nine months ended September 30, 2011 and 2010 were as follows:
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Net realized and unrealized gains (losses) allocated from Master*
  $ 66.60     $ (106.82 )   $ 159.69     $ (315.28 )
Interest income allocated from Master
    0.04       0.36       0.34       0.93  
Expenses and allocation to Special Limited Partner**
    (9.48 )     (8.58 )     (26.90 )     (29.10 )
 
                       
Increase (decrease) for the period
    57.16       (115.04 )     133.13       (343.45 )
Net asset value per unit, beginning of period
    1,343.06       1,417.32       1,267.09       1,645.73  
 
                       
Net asset value per unit, end of period
  $ 1,400.22     $ 1,302.28     $ 1,400.22     $ 1,302.28  
 
                       
 
*   Includes Partnership brokerage fees and clearing fees allocated from Master.
 
**   Excludes Partnership brokerage fees and clearing fees allocated from Master and includes allocation to Special Limited Partner, if any.
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Ratios to average net assets:***
                               
Net investment income (loss) before allocation to Special Limited Partner****
    (6.6 )%     (6.5 )%     (6.7 )%     (6.6 )%
 
                       
 
Operating expenses
    6.7 %     6.6 %     6.8 %     6.7 %
Allocation to Special Limited Partner
    %     %     %     %
 
                       
Total expenses and allocation to Special Limited Partner
    6.7 %     6.6 %     6.8 %     6.7 %
 
                       
 
                               
Total return:
                               
Total return before allocation to Special Limited Partner
    4.3 %     (8.1 )%     10.5 %     (20.9 )%
Allocation to Special Limited Partner
    %     %     %     %
 
                       
Total return after allocation to Special Limited Partner
    4.3 %     (8.1 )%     10.5 %     (20.9 )%
 
                       
 
***   Annualized (except for allocation to Special Limited Partner, if applicable).
 
****   Interest income allocated from Master less total expenses.
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.

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Table of Contents

Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Financial Highlights of the Master:
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Net realized and unrealized gains (losses)*
  $ 117.62     $ (130.35 )   $ 288.15     $ (375.32 )
Interest income
    0.06       0.49       0.49       1.28  
Expenses **
    (0.51 )     (0.30 )     (1.37 )     (0.81 )
 
                       
Increase (decrease) for the period
    117.17       (130.16 )     287.27       (374.85 )
Distribution of interest income to feeder funds
    (0.06 )     (0.49 )     (0.49 )     (1.28 )
Net asset value per unit, beginning of period
    1,973.70       1,956.03       1,804.03       2,201.51  
 
                       
Net asset value per unit, end of period
  $ 2,090.81     $ 1,825.38     $ 2,090.81     $ 1,825.38  
 
                       
 
*   Includes clearing fees.
 
**   Excludes clearing fees.
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Ratios to average net assets:***
                               
Net investment income (loss) ****
    (0.2 )%     (0.2 )%     (0.2 )%     (0.2 )%
 
                       
Operating expenses
    0.2 %     0.3 %     0.2 %     0.3 %
 
                       
Total return
    5.9 %     (6.7 )%     15.9 %     (17.1 )%
 
                       
 
***   Annualized.
 
****   Interest income less total expenses.
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.

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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
3. Trading Activities:
     The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master feeder” structure. The Partnership’s pro-rata share of the results of the Master’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 Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap contracts on the Statements of Financial Condition.
     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.
      All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures and exchange cleared swap contracts traded during the three months ended September 30, 2011 and 2010, were 20,308 and 152,307, respectively. The monthly average number of futures and exchange-cleared swap contracts traded during the nine months ended September 30, 2011 and 2010, were 44,108 and 176,126, respectively. The monthly average number of options contracts traded during the three months ended September 30, 2011 and 2010, were 3,920 and 2,101, respectively. The monthly average number of options contracts traded during the nine months ended September 30, 2011 and 2010, were 4,698 and 1,762, respectively.
     The following tables indicate the gross fair values of derivative instruments of futures, exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2011 and December 31, 2010.
         
    September 30, 2011  
Assets
       
Futures and Exchange-Cleared Swap Contracts
       
Energy
  $ 22,594,415  
 
     
Total unrealized appreciation on open futures and exchange-cleared swap contracts
  $ 22,594,415  
 
     
Liabilities
       
Futures and Exchange-Cleared Swap Contracts  
       
Energy
  $ (35,167,234 )
 
     
Total unrealized depreciation on open futures and exchange-cleared swap contracts
  $ (35,167,234 )
 
     
Net unrealized depreciation on open futures and exchange-cleared swap contracts
  $ (12,572,819 )*
 
     
 
*  This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.
 
Assets
       
Options Purchased
       
Energy
  $ 3,401,767  
 
     
Total options purchased
  $ 3,401,767 **
 
     
 
**   This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.

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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
         
    December 31, 2010  
Assets
       
Futures and Exchange-Cleared Swap Contracts
       
Energy
  $ 69,685,031  
 
     
Total unrealized appreciation on open futures and exchange-cleared swap contracts
  $ 69,685,031  
 
     
Liabilities
       
Futures and Exchange-Cleared Swap Contracts
       
Energy
  $ (122,453,246 )
 
     
Total unrealized depreciation on open futures and exchange-cleared swap contracts
  $ (122,453,246 )
 
     
Net unrealized depreciation on open futures and exchange-cleared swap contracts
  $ (52,768,215 )*
 
     
 
*  This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.
 
Assets
       
Options Purchased
       
Energy
  $ 2,303,244  
 
     
Total options purchased
  $ 2,303,244 **
 
     
Liabilities
       
Options Premium Received
       
Energy
  $ (24,250 )
 
     
Total options premium received
  $ (24,250 )***
 
     
 
**   This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.
 
***   This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.
     The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2011 and 2010.
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
Sector   2011     2010     2011     2010  
Energy
  $ 18,193,702     $ (42,934,957 )   $ 48,322,928     $ (127,118,547 )
 
                       
Total
  $ 18,193,702 ****   $ (42,934,957 )****   $ 48,322,928 ****   $ (127,118,547 )****
 
                       
 
****   This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partner’s Capital.
4. Fair Value Measurements:
     Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2010.
     Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
      GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets.

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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
     The Partnership will separately present purchases, subscriptions, 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 values its investment in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
                                 
            Quoted Prices in             Significant  
            Active Markets for     Significant Other     Unobservable  
            Identical Assets     Observable Inputs     Inputs  
    September 30, 2011     (Level 1)     (Level 2)     (Level 3)  
Assets
                               
Investment in Master
  $ 305,405,765     $     $ 305,405,765     $  
 
                       
Net fair value
  $ 305,405,765     $     $ 305,405,765     $  
 
                       
                                 
            Quoted Prices in             Significant  
            Active Markets for     Significant Other     Unobservable  
            Identical Assets     Observable Inputs     Inputs  
    December 31, 2010     (Level 1)     (Level 2)     (Level 3)  
Assets
                               
Investment in Master
  $ 402,350,613     $     $ 402,350,613     $  
 
                       
Net fair value
  $ 402,350,613     $     $ 402,350,613     $  
 
                       
     Master’s Investments. All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Master’s 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 Master’s Statements of Income and Expenses and Changes in Partners’ Capital.
Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
      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, the Master’s Level 1 assets and liabilities are actively traded.
     The Master 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 Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2011 and December 31, 2010, the Master did not hold any derivative instruments for which market quotations are not readily available and were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
                                 
            Quoted Prices in     Significant Other     Significant  
            Active Markets for     Observable     Unobservable  
            Identical Assets     Inputs     Inputs  
    September 30, 2011     (Level 1)     (Level 2)     (Level 3)  
Assets
                               
Futures and Exchange-Cleared Swaps
  $ 22,594,415     $ 22,594,415     $     $  
Options purchased
    3,401,767       3,401,767              
 
                       
Total assets
    25,996,182       25,996,182              
 
                       
Liabilities
                               
Futures and Exchange-Cleared Swaps
  $ 35,167,234     $ 35,167,234     $     $  
 
                       
Total liabilities
    35,167,234       35,167,234              
 
                       
Total fair value
  $ (9,171,052 )   $ (9,171,052 )   $     $  
 
                       
                                 
            Quoted Prices in     Significant Other     Significant  
            Active Markets for     Observable     Unobservable  
            Identical Assets     Inputs     Inputs  
    December 31, 2010*     (Level 1)     (Level 2)     (Level 3)  
Assets
                               
Futures and Exchange-Cleared Swaps
  $ 69,685,031     $ 69,685,031     $     $  
Options purchased
    2,303,244       2,303,244              
 
                       
Total assets
    71,988,275       71,988,275              
 
                       
Liabilities
                               
Futures and Exchange-Cleared Swaps
  $ 122,453,246     $ 122,453,246     $     $  
Options premium received
    24,250       24,250              
 
                       
Total liabilities
    122,477,496       122,477,496              
 
                       
Total fair value
  $ (50,489,221 )   $ (50,489,221 )   $     $  
 
                       
 
*   The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation.
5. Financial Instrument Risks:
     In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, 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 at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures, swaps and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. 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 New York law.
     Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Master is 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/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with

15


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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s/Master’s counterparty is an exchange or clearing organization.
     The Advisor will concentrate the Partnership’s/Master’s trading in energy related markets. Concentration in a limited number of commodity interests may subject the Partnership’s/Master’s account to greater volatility than if a more diversified portfolio of contracts was traded on behalf of the Partnership/Master.
     As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Master 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 Master does not consider these contracts to be guarantees.
     The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps and options contracts by sector, margin requirements, gain and loss transactions and collateral positions.
     The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.
6. 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 Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s financial statements as of December 31, 2010.
     Partnership’s and Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.
     GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and the level of activity in the Partnership’s Level 2 assets and liabilities.
     The Partnership and the Master 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 values its investment in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
     The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2011 and December 31, 2010, the Master did not hold any derivative instruments for which market quotations are not readily available and were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
     Futures Contracts. The Master trades futures contracts and exchange-cleared swaps. Exchange-cleared swaps are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled

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Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records 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 Master’s Statements of Income and Expenses and Changes in Partners’ Capital.
     Options. The Master 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 Master writes an option, the premium received is recorded as a liability in the Master’s Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Master’s Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.
     Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.
     GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.
     The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2008 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 has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
     Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s financial statements.
     In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership is currently evaluating the impact that this proposed update would have on the financial statements.
     Net Income (loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Liquidity and Capital Resources
     The Partnership does not engage in sales of goods or services. The Partnership’s only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. Because of the low margin deposits normally required in futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2011.
     The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.
      For the nine months ended September 30, 2011, the Partnership’s capital decreased 20.4% from $378,107,253 to $300,824,843. This decrease was attributable to the redemption of 90,403.4308 Redeemable Units totaling $115,664,903 and 411.9909 General Partner unit equivalents totaling $525,000, which was partially offset by the subscriptions of 7,250.1259 Redeemable Units totaling $9,315,802, coupled with a net income from operations of $29,591,691. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.
     The Master’s capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on futures trading, interest income, expenses, redemptions of units and distributions of profits, if any.
      For the nine months ended September 30, 2011, the Master’s capital decreased 40.7% from $528,735,257 to $313,640,257. This decrease was attributable to the redemption of 148,105.2323 units totaling $272,043,715 and distribution of interest income to feeder funds totaling $105,844, which was partially offset by the subscriptions of 5,027.7852 units totaling $9,315,882, coupled with a net income from operations of $47,738,677. Future redemptions can impact the amount of funds available for investments in commodity 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 6 of the Financial Statements.
     The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

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Results of Operations
     During the Partnership’s third quarter of 2011, the net asset value per unit increased 4.3% from $1,343.06 to $1,400.22 as compared to a decrease of 8.1% in the third quarter of 2010. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the third quarter of 2011 of $17,659,940. Gains were primarily from the Master Fund’s trading of commodity futures and options in NYMEX Natural Gas and was partially offset by ICE Natural Gas. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the third quarter of 2010 of $31,528,963. Losses were primarily attributable to the trading of futures and options in NYMEX Natural Gas and ICE Natural Gas.
     The Partnership profited in July as gains were recorded from short futures positions in the front-end of the natural gas curve given a series of bearish Energy Information Administration (“EIA”) storage injection reports. Further gains were recorded by the Partnership during August as short futures positions in the front-end of the natural gas curve continued to profit as prices declined amid increased supply throughout the United States, despite warmer than normal temperatures in the Southeast and Southwest part of the country. Natural gas prices in the front-end of the curve declined from approximately $4.500 in July to $3.853 in August. Finally, the Partnership recorded additional profits as short futures positions in the front-end of the natural gas curve continued to profit from a price decline. Natural gas prices in the front-end of the curve fell in September from $4.097 to $3.666 towards the end of the month.
     During the nine months ended September 30, 2011 the net asset value per unit increased 10.5% from $1,267.09 to $1,400.22 as compared to a decrease of 20.9% during the nine months ended September 30, 2010. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees for the nine months ended September 30, 2011 of $45,328,872. Gains were primarily attributable to the trading of commodity futures and options in NYMEX Natural Gas and was partially offset by ICE Natural Gas. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees for the nine months ended September 30, 2010 of $90,369,805. Losses were primarily attributable to the trading of futures and options in NYMEX Natural Gas and ICE Natural Gas.
     Several significant price movements within the natural gas market, throughout the first half of the year helped to increase price volatility. In addition, an abnormally colder winter in the mid-continent and West Coast of the United States, as well as a very warm spring, helped to generate intermittent volatility within the natural gas market, as there were several short-term demand spikes due to the unpredictability of the weather. Bearish positioning in the front-end of the natural gas curve during May and June generated the largest gains for the Partnership. May saw a sharp reversal in natural gas prices as the spot price fell from a high of $4.739 to a low of $4.111 in the front-end of the natural gas curve as weather patterns normalized and remained relatively mild across the United States, which helped the Partnership generate positive returns. June saw similar patterns as those in May albeit with warmer weather. Bearish positioning in the front-end of the natural gas curve were able to generate significant profits during June as prices traded lower intra-month to $4.671 after a disappointing demand number was released. Prices eventually fell to $4.150 later in June due to significant selling pressure. Further gains were recorded as short futures positions in the front-end of the natural gas curve profited from price declines during the third quarter. Bearish storage injection numbers from the EIA helped natural gas prices lower during this time period, thus the Partnership profited from short natural gas futures positions. A portion of these gains was offset by losses in March as short futures positions in the front-end of the natural gas curve incurred losses as prices rose amidst a very cold end to winter throughout the United States.
     Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership (and the Master) depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership (and the Master) expects to increase capital through operations.
     Interest income on 80% of the Partnership’s daily average equity allocated to it by the Master was earned at a 30-day Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income allocated from the Master for the three and nine months ended September 30, 2011 decreased by $112,169 and $220,547, respectively, as compared to the corresponding periods in 2010. The decrease in interest income is due to lower average net assets and lower U.S. Treasury bill rates during the three and nine months ended September 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 Master account and upon interest rates over which the Partnership, the Master and CGM have no control.
     Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and nine months ended September 30, 2011 decreased by $1,253,172 and $4,594,904, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average net assets during the three and nine months ended September 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. Management fees for the three and nine months ended September 30, 2011 decreased by $666,731 and $2,443,372, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

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     Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These 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. Administrative fees for the three and nine months ended September 30, 2011 decreased by $166,683 and $610,844, respectively, as compared to the corresponding periods in 2010. The decrease in administrative fees is due to lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.
     Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits generated by the Advisor at the end of the quarter as defined in the advisory agreement among the Partnership, the General Partner and the Advisor. There were no profit share allocations made for the three and nine months ended September 30, 2011 and 2010, respectively. The Advisor will not earn a profit share allocation until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
     In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk
     All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.
     The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
     Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash balances. The Master’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master’s open contracts and the liquidity of the markets in which it trades.
     The Master rapidly acquires and liquidates both long and short positions in a wide range of different market sectors. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master’s past performance is not necessarily indicative of its future results.
     “Value at Risk” is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Master’s losses in any market sector will be limited to Value at Risk or by the Master’s attempts to manage its market risk.
     Exchange maintenance margin requirements have been used by the Master as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
     Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of September 30, 2011 and December 31, 2010, and the highest, lowest and average values during the three months ended September 30, 2011, and during the twelve months ended December 31, 2010. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010. As of September 30, 2011, the Master’s total capitalization was $313,640,257 and the Partnership owned approximately 97.4% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of September 30, 2011 was as follows:
September 30, 2011
                                         
                    Three months ended September 30, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 7,571,027       2.41 %   $ 14,337,593     $ 6,832,784     $ 9,875,067  
 
                                   
Total
  $ 7,571,027       2.41 %                        
 
                                   
 
*   Average of month-end Values at Risk.

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     As of December 31, 2010, the Master’s total capitalization was $528,735,257 and the Partnership owned approximately 76.1% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2010 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*  
Energy
  $ 61,391,255       11.61 %   $ 85,692,107     $ 18,754,664     $ 56,852,448  
 
                                   
Total
  $ 61,391,255       11.61 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.

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Item 4. Controls and Procedures
     The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
     The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
     The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 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 September 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION
Item 1. Legal Proceedings
     The following information supplements and amends 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 Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.
Subprime-Mortgage Related Actions
On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in connection with the SEC’s investigation into the structuring and sale of CDOs. Pursuant to the proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment interest, and a civil penalty of $95 million relating to CGM’s role in the structuring and sale of the Class V Funding III CDO transaction. Additional information relating to this matter is publicly available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).

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Item 1A. Risk Factors
     There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
     For the three months ended September 30, 2011, there were subscriptions of 892.3995 Redeemable Units totaling $1,219,776. 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 defined in Regulation D.
     Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options, swaps and forwards 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      Plans or Programs   
July 1, 2011 - July 31, 2011
    3,577.4651         $ 1,373.12        N/A       N/A   
August 1, 2011 - August 31, 2011
    3,256.4382         $ 1,384.31        N/A       N/A   
September 1, 2011 - September 30, 2011
    2,186.4458         $ 1,400.22        N/A       N/A   
 
    9,020.3491         $ 1,383.73                   
*   Generally, limited partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.
 
**   Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.
Item 3. Defaults Upon Senior Securities — None
Item 4. [Removed and Reserved]
Item 5. Other Information — None

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Item 6. Exhibits
Exhibit
         
3.1
  (a)   Certificate of Limited Partnership dated April 15, 2005 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (c)   Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
 
  (d)   Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
 
       
 
  (e)   Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
 
       
 
  (f)   Certificate of Amendment of the Certificate of Limited Partnership Agreement dated September 2, 2011 (filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).
 
       
3.2
      Third Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on April 27, 2010 and incorporated herein by reference).
 
       
10.1
  (a)   Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, L.P. (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Letter from the General Partner to SandRidge Capital, L.P. extending the Advisory Agreement through June 30, 2011 (filed as Exhibit 10.1(b) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
       
10.2
  (a)   Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.2 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Addendum to the Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.2(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
10.3
      Amended and Restated Agency Agreement between the Partnership, the General Partner and CGM and MSSB (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 3, 2010 and incorporated herein by reference).
 
       
10.4
      Form of Subscription Agreement (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.5
      Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2009 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).
 
       
32.1
      Section 1350 Certification (Certification of President and Director).
 
       
32.2
      Section 1350 Certification (Certification of Chief Financial Officer).
     
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.

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SIGNATURES
     Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
         
BRISTOL ENERGY FUND L.P.
 
 
By:   Ceres Managed Futures LLC
(General Partner)  
 
 
     
By:   /s/ Walter Davis    
  Walter Davis   
  President and Director   
 
Date: November 14, 2011
         
     
By:   /s/ Brian Centner    
  Brian Centner   
  Chief Financial Officer
(Principal Accounting Officer) 
 
 
Date: November 14, 2011

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