Attached files
file | filename |
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EX-32.1 - EX-32.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II | y05252exv32w1.htm |
EX-31.1 - EX-31.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II | y05252exv31w1.htm |
EX-32.2 - EX-32.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II | y05252exv32w2.htm |
EX-31.2 - EX-31.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II | y05252exv31w2.htm |
EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II | Financial_Report.xls |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
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 000-22491
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II
New York | 13-3769020 | |
(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)
522 Fifth Avenue 14th Floor
New York, New York 10036
(212) 296-1999
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed
by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or
for such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes
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 this chapter) during the preceding 12 months
(or for such shorter period that the registrant was required to submit and post such files).
Yes
X No
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
October 31, 2011, 14,779.1492 Limited Partnership Redeemable Units were outstanding.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II
FORM 10-Q
INDEX
Page | |||||||
Number | |||||||
Financial Statements: | |||||||
Statements of
Financial Condition at September 30, 2011 (unaudited) and December 31, 2010 |
3 | ||||||
Condensed Schedules of
Investments at September 30, 2011 (unaudited) and December 31, 2010 |
45 | ||||||
Statements of Income and Expenses and Changes in Partners Capital for the three and nine months ended September 30, 2011 and 2010 (unaudited) |
6 | ||||||
Notes to Financial Statements (unaudited) |
718 | ||||||
Managements Discussion and Analysis of Financial Condition and Results of Operations |
1921 | ||||||
Quantitative and Qualitative Disclosures about Market Risk |
2226 | ||||||
Controls and Procedures | 27 | ||||||
2831 | |||||||
Exhibits Exhibit 31.1 Certification Exhibit 31.2 Certification Exhibit 32.1 Certification Exhibit 32.2 Certification |
101.
INS XBRL Instance Document. |
||||||||
101. SCH XBRL Taxonomy Extension 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 | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
2
Table of Contents
PART I
Item 1. Financial Statements
Diversified Multi-Advisor Futures Fund L.P. II
Statements of Financial Condition
Statements of Financial Condition
(Unaudited) | ||||||||
September 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Investment in Funds, at fair value |
$ | 16,065,095 | $ | 19,030,434 | ||||
Equity in trading account: |
||||||||
Cash |
8,239,449 | 5,731,113 | ||||||
Cash margin |
981,392 | 1,224,258 | ||||||
Net unrealized appreciation on open futures contracts |
198,373 | 240,495 | ||||||
Net
unrealized appreciation on open forward contracts |
41,870 | 0 | ||||||
Total trading equity |
25,526,179 | 26,226,300 | ||||||
Interest receivable |
0 | 463 | ||||||
Total assets |
$ | 25,526,179 | $ | 26,226,763 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage fees |
$ | 127,631 | $ | 131,134 | ||||
Management fees |
42,148 | 43,327 | ||||||
Other |
109,516 | 99,561 | ||||||
Redemptions payable |
167,639 | 203,384 | ||||||
Total liabilities |
446,934 | 477,406 | ||||||
Partners Capital: |
||||||||
General
Partner, 196.3844 unit equivalents at September 30, 2011 and December 31, 2010 |
324,938 | 311,546 | ||||||
Limited
Partners, 14,960.8722 and 16,034.8072 Redeemable Units outstanding at
September 30, 2011 and December 31, 2010, respectively |
24,754,307 | 25,437,811 | ||||||
Total partners capital |
25,079,245 | 25,749,357 | ||||||
Total liabilities and partners capital |
$ | 25,526,179 | $ | 26,226,763 | ||||
Net asset value per unit |
$ | 1,654.60 | $ | 1,586.41 | ||||
See accompanying notes to financial statements.
3
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
4 | (963 | ) | (0.00 | )*% | |||||||
Energy |
9 | (18,660 | ) | (0.07 | ) | |||||||
Grains |
4 | (1,166 | ) | (0.00 | )* | |||||||
Indices |
3 | (1,275 | ) | (0.01 | ) | |||||||
Interest Rates Non-U.S. |
163 | 1,319 | 0.01 | |||||||||
Interest Rates U.S. |
130 | 2,244 | 0.01 | |||||||||
Livestock |
6 | 4,590 | 0.02 | |||||||||
Softs |
3 | (4,486 | ) | (0.02 | ) | |||||||
Total futures contracts purchased |
(18,397 | ) | (0.06 | ) | ||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
60 | 99,378 | 0.40 | |||||||||
Energy |
10 | 17,950 | 0.07 | |||||||||
Grains |
10 | 40,348 | 0.16 | |||||||||
Indices |
26 | 20,579 | 0.08 | |||||||||
Interest Rates Non-U.S. |
1 | 156 | 0.00 | * | ||||||||
Metals |
8 | 28,378 | 0.11 | |||||||||
Softs |
6 | 9,981 | 0.04 | |||||||||
Total futures contracts sold |
216,770 | 0.86 | ||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Metals |
234 | 3,910,675 | 15.59 | |||||||||
Total unrealized appreciation on open forward contracts |
3,910,675 | 15.59 | ||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Metals |
220 | (3,868,805 | ) | (15.42 | ) | |||||||
Total unrealized depreciation on open forward contracts |
(3,868,805 | ) | (15.42 | ) | ||||||||
Investment in Funds |
||||||||||||
CMF Willowbridge Argo Master Fund L.P. |
3,321,096 | 13.24 | ||||||||||
CMF Graham Capital Master Fund L.P. |
4,156,805 | 16.57 | ||||||||||
CMF Eckhardt Master Fund L.P. |
5,823,342 | 23.22 | ||||||||||
CMF SandRidge Master Fund L.P. |
2,763,852 | 11.02 | ||||||||||
Total Investment in Funds |
16,065,095 | 64.05 | ||||||||||
Net fair value |
$ | 16,305,338 | 65.02 | % | ||||||||
* | Due to rounding. |
See accompanying notes to financial statements.
4
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Condensed Schedule of Investments
December 31, 2010
Condensed Schedule of Investments
December 31, 2010
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
79 | $ | 206,190 | 0.80 | % | |||||||
Energy |
3 | 5,317 | 0.02 | |||||||||
Grains |
8 | 14,281 | 0.05 | |||||||||
Livestock |
1 | 280 | 0.00 | * | ||||||||
Indices |
194 | (36,833 | ) | (0.14 | ) | |||||||
Interest Rates Non-U.S. |
81 | 19,565 | 0.08 | |||||||||
Interest Rates U.S. |
69 | 45,789 | 0.18 | |||||||||
Metals |
4 | 35,295 | 0.14 | |||||||||
Softs |
1 | 525 | 0.00 | * | ||||||||
Total futures contracts purchased |
290,409 | 1.13 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
30 | (47,113 | ) | (0.19 | ) | |||||||
Energy |
1 | (2,251 | ) | (0.01 | ) | |||||||
Indices |
1 | (550 | ) | (0.00 | )* | |||||||
Total futures contracts sold |
(49,914 | ) | (0.20 | ) | ||||||||
Investment in Funds |
||||||||||||
CMF Willowbridge Argo Master Fund L.P. |
4,427,857 | 17.20 | ||||||||||
CMF Graham Capital Master Fund L.P. |
5,410,815 | 21.01 | ||||||||||
CMF Eckhardt Master Fund L.P. |
5,913,996 | 22.97 | ||||||||||
CMF SandRidge Master Fund L.P. |
3,277,766 | 12.73 | ||||||||||
Total investment in Funds |
19,030,434 | 73.91 | ||||||||||
Net fair value |
$ | 19,270,929 | 74.84 | % | ||||||||
* | Due to rounding. |
See accompanying notes to financial statements.
5
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||||||||
Investment Income: |
||||||||||||||||||||||||||||||||||||||
Interest income |
$ | 246 | $ | 2,220 | $ | 1,895 | $ | 5,717 | ||||||||||||||||||||||||||||||
Interest income from investment in Funds |
497 | 4,907 | 4,766 | 12,224 | ||||||||||||||||||||||||||||||||||
Total
investment income (loss) |
743 | 7,127 | 6,661 | 17,941 | ||||||||||||||||||||||||||||||||||
Expenses: |
||||||||||||||||||||||||||||||||||||||
Brokerage fees including clearing fees |
423,947 | 463,389 | 1,304,442 | 1,493,257 | ||||||||||||||||||||||||||||||||||
Management fees |
126,876 | 131,073 | 384,835 | 425,711 | ||||||||||||||||||||||||||||||||||
Other |
49,067 | 147,147 | 152,812 | 274,000 | ||||||||||||||||||||||||||||||||||
Total expenses |
599,890 | 741,609 | 1,842,089 | 2,192,968 | ||||||||||||||||||||||||||||||||||
Net investment income (loss) |
(599,147 | ) | (734,482 | ) | (1,835,428 | ) | (2,175,027 | ) | ||||||||||||||||||||||||||||||
Trading
Results: |
||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading of commodity interests and investment in Funds: |
||||||||||||||||||||||||||||||||||||||
Net realized gains (losses) on closed contracts |
1,958,521 | (1,068,605 | ) | 3,056,780 | (847,067 | ) | ||||||||||||||||||||||||||||||||
Net realized gains (losses) on investment in Funds |
(437,251 | ) | (24,362 | ) | 588,835 | (1,009,700 | ) | |||||||||||||||||||||||||||||||
Change in net unrealized gains (losses) on open contracts |
263,874 | 194,195 | (252 | ) | 326,100 | |||||||||||||||||||||||||||||||||
Change in net unrealized gains (losses) on investments in Funds |
133,765 | 398,362 | (705,835 | ) | 275,844 | |||||||||||||||||||||||||||||||||
Total trading results |
1,918,909 | (500,410 | ) | 2,939,528 | (1,254,823 | ) | ||||||||||||||||||||||||||||||||
Net income (loss) |
1,319,762 | (1,234,892 | ) | 1,104,100 | (3,429,850 | ) | ||||||||||||||||||||||||||||||||
Redemptions General Partner |
0 | 0 | 0 | (125,000 | ) | |||||||||||||||||||||||||||||||||
Redemptions Limited Partners |
(470,713 | ) | (1,024,168 | ) | (1,774,212 | ) | (2,887,814 | ) | ||||||||||||||||||||||||||||||
Net increase (decrease) in Partners Capital |
849,049 | (2,259,060 | ) | (670,112 | ) | (6,442,664 | ) | |||||||||||||||||||||||||||||||
Partners Capital, beginning of period |
24,230,196 | 27,741,077 | 25,749,357 | 31,924,681 | ||||||||||||||||||||||||||||||||||
Partners Capital, end of period |
$ | 25,079,245 | $ | 25,482,017 | $ | 25,079,245 | $ | 25,482,017 | ||||||||||||||||||||||||||||||
Net asset
value per unit (15,157.2566 and 16,625.5144 units outstanding at
September 30, 2011 and 2010, respectively) |
$ | 1,654.60 | $ | 1,532.71 | $ | 1,654.60 | $ | 1,532.71 | ||||||||||||||||||||||||||||||
Net income (loss) per unit* |
$ | 85.51 | $ | (71.46 | ) | $ | 68.19 | $ | (191.86 | ) | ||||||||||||||||||||||||||||
Weighted average units outstanding |
15,359.9945 | 17,059.9374 | 15,715.7358 | 17,700.5055 | ||||||||||||||||||||||||||||||||||
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
6
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
1. General:
Diversified Multi-Advisor Futures Fund L.P. II (the Partnership) is a limited partnership
organized on May 10, 1994 under the partnership laws of the State of New York 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, metals, softs, livestock and U.S. and non-U.S. interest rates.
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. The
Partnership was authorized to sell up to 100,000 redeemable units of limited partnership interest
(Redeemable Units) during its initial offering period. The Partnership no longer offers
Redeemable Units for sale.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner
(the General Partner) and commodity pool operator of the Partnership. The General Partner is
wholly owned by Morgan Stanley Smith Barney Holdings LLC (MSSB Holdings). Morgan Stanley,
indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings.
Citigroup Global Markets Inc. (CGM), the commodity broker for the
Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (Citigroup),
indirectly through various subsidiaries, wholly owns CGM. Prior to
July 31, 2009, the date as of
which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial
Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner
of which is Citigroup.
As of September 30, 2011, all trading decisions are made for the Partnership by Capital Fund
Management S.A. (CFM), Graham Capital Management L.P. (Graham), Willowbridge Associates Inc.
(Willowbridge), Eckhardt Trading Company (Eckhardt) and SandRidge Capital L.P. (SandRidge)
(each an Advisor and collectively, the Advisors), each of which is a registered commodity
trading advisor. Each Advisor is allocated a portion of the Partnerships assets to manage. The
Partnership invests the portion of its assets allocated to CFM directly, whereas 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 initial
capital contribution and profits, if any, net of distributions.
The
accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include
all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of
the Partnerships financial condition at 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 Partnerships annual
report on Form 10-K filed with the Securities and Exchange Commission (the SEC) for the year
ended December 31, 2010.
The preparation of financial statements and accompanying notes in conformity with accounting
principles generally accepted in the United States of America (GAAP) requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities, income and
expenses, and related 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.
7
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
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) * |
$ | 96.92 | $ | (55.56 | ) | $ | 101.91 | $ | (153.13 | ) | ||||||
Interest income |
0.05 | 0.42 | 0.41 | 1.01 | ||||||||||||
Expenses ** |
(11.46 | ) | (16.32 | ) | (34.13 | ) | (39.74 | ) | ||||||||
Increase
(decrease) for the period |
85.51 | (71.46 | ) | 68.19 | (191.86 | ) | ||||||||||
Net asset
value per unit, beginning of period |
1,569.09 | 1,604.17 | 1,586.41 | 1,724.57 | ||||||||||||
Net asset
value per unit, end of period |
$ | 1,654.60 | $ | 1,532.71 | $ | 1,654.60 | $ | 1,532.71 | ||||||||
* | Includes brokerage fees. | |
** | Excludes brokerage fees. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to Average Net Assets:*** |
||||||||||||||||
Net investment income (loss) before incentive fees**** |
(9.5 | )% | (11.1 | )% | (9.6 | )% | (10.2 | )% | ||||||||
Operating
expenses |
9.5 | % | 11.2 | % | 9.7 | % | 10.3 | % | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total expenses |
9.5 | % | 11.2 | % | 9.7 | % | 10.3 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
5.4 | % | (4.5 | )% | 4.3 | % | (11.1 | )% | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total return after incentive fees |
5.4 | % | (4.5 | )% | 4.3 | % | (11.1 | )% | ||||||||
*** | Annualized (other than incentive fees). | |
**** | 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.
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity
interests, including derivative financial instruments and derivative commodity instruments.
The results of the Partnerships 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 give the Partnership and the Funds, respectively, 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 on 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 September 30, 2011 and 2010 were 641 and 570,
respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine
months ended September 30, 2011 and 2010 were 719 and 692, respectively. The monthly average number of metals
forward contracts traded directly by the Partnership during the three and nine months ended September 30, 2011
were 459 and 260, respectively. There were no metals forward contracts traded directly by the Partnership during
the three and nine months ended September 30, 2010.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are
8
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
affected by trading performance and redemptions.
The following tables indicate the gross fair values of derivative instruments of futures
and forward contracts traded directly by the Partnership as separate
assets and liabilities as of September 30,
2011 and December 31, 2010.
September 30, 2011 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 99,397 | ||
Energy |
17,950 | |||
Grains |
40,633 | |||
Indices |
20,887 | |||
Interest Rates U.S. |
18,648 | |||
Interest Rates Non-U.S. |
29,955 | |||
Livestock |
4,590 | |||
Metals |
28,378 | |||
Softs |
10,187 | |||
Total unrealized appreciation on open futures contracts |
$ | 270,625 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (983 | ) | |
Energy |
(18,660 | ) | ||
Grains |
(1,451 | ) | ||
Indices |
(1,582 | ) | ||
Interest Rates U.S. |
(16,405 | ) | ||
Interest Rates Non-U.S. |
(28,480 | ) | ||
Softs |
(4,691 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (72,252 | ) | |
Net unrealized appreciation on open futures contracts |
$ | 198,373 | * | |
September 30, 2011 | ||||
Assets |
||||
Forward Contracts |
||||
Metals |
$ | 3,910,675 | ||
Total unrealized appreciation on open forwards contracts |
$ | 3,910,675 | ||
Liabilities |
||||
Forward Contracts |
||||
Metals |
$ | (3,868,805 | ) | |
Total unrealized depreciation on open forwards contracts |
$ | (3,868,805 | ) | |
Net unrealized appreciation on open forwards contracts |
$ | 41,870 | ** | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. | |
** | This amount is in Net unrealized appreciation on open forward contracts on the Statements of Financial Condition. |
9
Table of Contents
December 31, 2010 | ||||
Assets |
||||
Futures
Contracts |
||||
Currencies |
$ | 206,190 | ||
Energy |
5,317 | |||
Grains |
14,281 | |||
Indices |
19,159 | |||
Interest Rates U.S. |
45,789 | |||
Interest Rates Non-U.S. |
22,310 | |||
Livestock |
280 | |||
Metals |
35,295 | |||
Softs |
525 | |||
Total unrealized appreciation on open futures contracts |
$ | 349,146 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (47,113 | ) | |
Energy |
(2,251 | ) | ||
Indices |
(56,542 | ) | ||
Interest Rates Non-U.S. |
(2,745 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (108,651 | ) | |
Net unrealized appreciation on open futures contracts |
$ | 240,495 | * | |
| This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. |
10
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
The
following tables indicate the trading gains and losses, by market sector, on derivative
instruments traded directly by the Partnership for the three and nine months ended September 30, 2011 and 2010.
Three Months Ended | Three Months Ended | Nine Months Ended | Nine Months Ended | |||||||||||||
September 30, 2011 | September 30, 2010 | September 30, 2011 | September 30, 2010 | |||||||||||||
Sector | Gain (loss) from trading | Gain (loss) from trading | Gain (loss) from trading | Gain (loss) from trading | ||||||||||||
Currencies |
$ | 67,006 | $ | (446,024 | ) | $ | 327,356 | $ | (248,068 | ) | ||||||
Energy |
(110,643 | ) | (9,928 | ) | (134,814 | ) | (373,104 | ) | ||||||||
Grains |
43,246 | 46,759 | 89,164 | (10,623 | ) | |||||||||||
Indices |
997,697 | (436,279 | ) | 1,527,727 | (628,010 | ) | ||||||||||
Interest Rates U.S. |
277,614 | (37,854 | ) | 807,578 | 240,126 | |||||||||||
Interest Rates Non-U.S. |
733,376 | (86,074 | ) | 281,254 | 547,595 | |||||||||||
Livestock |
(14,120 | ) | (3,460 | ) | (34,950 | ) | (25,785 | ) | ||||||||
Softs |
9,819 | 45,013 | (55,677 | ) | 27,057 | |||||||||||
Metals |
218,400 | 53,437 | 248,890 | (50,155 | ) | |||||||||||
Total |
$ | 2,222,395 | *** | $ | (874,410) | *** | $ | 3,056,528 | *** | $ | (520,967) | *** | ||||
*** | This amount is in Total trading results on the Statements of Income and Expenses and Changes in Partners Capital. |
4. Fair Value Measurements:
Partnerships
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.
Partnerships
and the Funds Fair Value Measurements.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability
in an orderly transaction between market participants at the
measurement date under current market conditions.
The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for
identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable
inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its
entirety falls shall be determined based on the lowest level input that is significant to the fair value
measurement in its entirety. Management has concluded that based on available information in the marketplace,
the Partnerships 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
Partnerships and the Funds Level 2 assets and liabilities.
The Partnership and
the Funds will separately present purchases, sales, issuances and
settlements in their reconciliation of
Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis),
and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used
to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy
as required 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 Partnerships investments in the Funds reflects its proportional interest in the Funds. As of and
for the periods ended September 30, 2011 and December 31, 2010, the Partnership and the Funds did not
hold any derivative instruments that were priced at fair value using unobservable inputs through the
application of managements assumptions and internal valuation pricing models (Level 3).
11
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Quoted Prices in | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical sets | Observable Inputs | Inputs | ||||||||||||||
9/30/2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Funds |
$ | 16,065,095 | $ | | $ | 16,065,095 | $ | | ||||||||
Futures |
270,625 | 270,625 | | | ||||||||||||
Forwards |
3,910,675 | 3,910,675 | | | ||||||||||||
Total Assets |
20,246,395 | 4,181,300 | 16,065,095 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
72,252 | 72,252 | | | ||||||||||||
Forwards |
3,868,805 | 3,868,805 | | | ||||||||||||
Total Liabilities |
3,941,057 | 3,941,057 | | | ||||||||||||
Net fair value |
$ | 16,305,338 | $ | 240,243 | $ | 16,065,095 | $ | | ||||||||
Quoted Prices in | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical Assets | Observable Inputs | Inputs | ||||||||||||||
12/31/2010* | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Funds |
$ | 19,030,434 | $ | | $ | 19,030,434 | $ | | ||||||||
Futures |
349,146 | 349,146 | | | ||||||||||||
Total Assets |
19,379,580 | 349,146 | 19,030,434 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
108,651 | 108,651 | | | ||||||||||||
Net fair value |
$ | 19,270,929 | $ | 240,495 | $ | 19,030,434 | $ | | ||||||||
* | The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation. |
5. Investment in Funds:
The assets allocated to CFM for trading are invested directly pursuant to CFMs Discus (1.5x
Leverage) Program, a proprietary, systematic trading system.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in 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 10,980.9796 units of
Willowbridge Master with cash equal to $9,895,326 and a contribution of open commodity futures and
forward positions with a fair value of $1,085,654. Willowbridge Master was formed in order to
permit commodity pools managed now or in the future by Willowbridge
using its 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 April 1, 2006, the assets allocated to Graham for trading were invested in 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 11,192.9908 units of Graham Master with
cash equal to $11,192,991. Graham Master was formed in order to permit commodity pools managed now or in
the future by Graham using its K4D-15V Program, a proprietary, systematic trading system, 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 April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt
Master Fund L.P. (Eckhardt Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 7,000.0000 units of
Eckhardt Master with cash equal to
$7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or
in the future by Eckhardt using its Standard Program, a proprietary, systematic trading
system, to invest together in one
12
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
trading vehicle. The General Partner is also the general partner
of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the
Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and
Eckhardt believe that trading through this structure should promote efficiency and economy in the
trading process.
On
June 1, 2009, the assets allocated to SandRidge for trading were 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 2,086.0213 units of SandRidge
Master with cash equal to $4,288,986. SandRidge Master was formed in order to permit commodity pools
managed now or in the future by SandRidge 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 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 General Partner is not aware of any material changes to the trading programs discussed
above during the fiscal quarter ended September 30, 2011.
Willowbridge Masters, Graham Masters, Eckhardt Masters and SandRidge Masters
(collectively, the Funds) and the Partnerships trading of futures, forwards, swaps and options contracts, if
applicable, on commodities is done primarily on U.S. and foreign commodity
exchanges. The Funds and the Partnership engage in such trading through a commodity brokerage account maintained with
CGM.
A limited partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples of the net asset value per Redeemable Unit as of the
end of any day (the Redemption Date) after a request for redemption has been made to the general
partner at least 3 days in advance of the Redemption Date. The units are classified as a liability
when the limited partner elects to redeem and informs the Funds.
Management and incentive fees are charged at the Partnership level. All exchange, clearing,
user, give-up, floor brokerage and National Futures Association
fees (collectively the clearing fees) are borne by the
Partnership directly and through its investment in the Funds. All other fees including CGMs direct
brokerage fees are charged at the Partnership level.
As
of September 30, 2011, the Partnership owned approximately 4.4%, 2.9%, 26.0% and 0.9%, of
Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. As of
December 31, 2010, the Partnership owned approximately 2.1%,
3.2%, 25.0% and 0.6%, of Willowbridge
Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. It is the Partnerships
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 the investment in
the Funds are approximately the same and redemption rights are not affected.
Summarized information reflecting the total assets, liabilities and capital of the Funds is
shown in the following tables.
September 30, 2011 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Willowbridge Master |
$ | 76,174,792 | $ | 57,397 | $ | 76,117,395 | ||||||
Graham Master |
143,001,399 | 43,258 | 142,958,141 | |||||||||
Eckhardt Master |
22,513,093 | 91,543 | 22,421,550 | |||||||||
SandRidge Master |
326,282,515 | 12,642,258 | 313,640,257 | |||||||||
Total |
$ | 567,971,799 | $ | 12,834,456 | $ | 555,137,343 | ||||||
December 31, 2010 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Willowbridge Master |
$ | 216,360,362 | $ | 61,729 | $ | 216,298,633 | ||||||
Graham Master |
168,973,503 | 48,832 | 168,924,671 | |||||||||
Eckhardt Master |
23,748,773 | 62,448 | 23,686,325 | |||||||||
SandRidge Master |
581,631,311 | 52,896,054 | 528,735,257 | |||||||||
Total |
$ | 990,713,949 | $ | 53,069,063 | $ | 937,644,886 | ||||||
13
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Summarized
information reflecting the net investment income (loss), total
trading results and
net income (loss) for the Funds is shown in the following tables.
For the three months ended September 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Willowbridge Master |
$ | (26,164 | ) | $ | 6,231,581 | $ | 6,205,417 | |||||
Graham Master |
(213,853 | ) | (7,001,386 | ) | (7,215,239 | ) | ||||||
Eckhardt Master |
(36,609 | ) | (2,067,641 | ) | (2,104,250 | ) | ||||||
SandRidge Master |
(153,758 | ) | 18,193,702 | 18,039,944 | ||||||||
Total |
$ | (430,384 | ) | $ | 15,356,256 | $ | 14,925,872 | |||||
For the three months ended September 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Willowbridge Master |
$ | (28,204 | ) | $ | (2,263,514 | ) | $ | (2,291,718 | ) | |||
Graham Master |
(93,915 | ) | 5,920,237 | 5,826,322 | ||||||||
Eckhardt Master |
(39,324 | ) | 1,602,450 | 1,563,126 | ||||||||
SandRidge Master |
(299,798 | ) | (42,934,957 | ) | (43,234,755 | ) | ||||||
Total |
$ | (461,241 | ) | $ | (37,675,784 | ) | $ | (38,137,025 | ) | |||
For the nine months ended September 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Willowbridge Master |
$ | (96,550 | ) | $ | 21,510,516 | $ | 21,413,966 | |||||
Graham Master |
(596,969 | ) | (15,857,052 | ) | (16,454,021 | ) | ||||||
Eckhardt Master |
(153,299 | ) | (2,439,928 | ) | (2,593,227 | ) | ||||||
SandRidge Master |
(584,251 | ) | 48,322,928 | 47,738,677 | ||||||||
Total |
$ | (1,431,069 | ) | $ | 51,536,464 | $ | 50,105,395 | |||||
For the nine months ended September 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Willowbridge Master |
$ | (146,867 | ) | $ | (36,147,175 | ) | $ | (36,294,042 | ) | |||
Graham Master |
(329,266 | ) | 2,934,755 | 2,605,489 | ||||||||
Eckhardt Master |
(116,247 | ) | 2,257,063 | 2,140,816 | ||||||||
SandRidge Master |
(949,970 | ) | (127,118,547 | ) | (128,068,517 | ) | ||||||
Total |
$ | (1,542,350 | ) | $ | (158,073,904 | ) | $ | (159,616,254 | ) | |||
14
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Summarized information reflecting the Partnerships investment in, and the operations of, the
Funds is shown in the following tables.
September 30, 2011 | For the three months ended September 30, 2011 | |||||||||||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) |
Objective
|
Permitted
|
||||||||||||||||||||
Willowbridge Master |
13.24 | % | 3,321,096 | 271,471 | 593 | 642 | 270,236 | Commodity Portfolio | Monthly | |||||||||||||||||||
Graham Master |
16.57 | % | 4,156,805 | (206,360 | ) | 5,753 | 672 | (212,785 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Eckhardt Master |
23.22 | % | 5,823,342 | (536,763 | ) | 5,878 | 3,822 | (546,463 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
SandRidge Master |
11.02 | % | 2,763,852 | 168,663 | 782 | 723 | 167,158 | Energy Portfolio | Monthly | |||||||||||||||||||
Total |
$ | 16,065,095 | $ | (302,989 | ) | $ | 13,006 | $ | 5,859 | $ | (321,854 | ) | ||||||||||||||||
September 30, 2011 | For the nine months ended September 30, 2011 | |||||||||||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Funds | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) |
Objective
|
Permitted
|
||||||||||||||||||||
Willowbridge Master |
13.24 | % | 3,321,096 | 488,261 | 2,424 | 1,719 | 484,118 | Commodity Portfolio | Monthly | |||||||||||||||||||
Graham Master |
16.57 | % | 4,156,805 | (427,651 | ) | 16,757 | 1,749 | (446,157 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
Eckhardt Master |
23.22 | % | 5,823,342 | (623,331 | ) | 28,365 | 13,083 | (664,779 | ) | Commodity Portfolio | Monthly | |||||||||||||||||
SandRidge Master |
11.02 | % | 2,763,852 | 450,487 | 3,747 | 2,130 | 444,610 | Energy Portfolio | Monthly | |||||||||||||||||||
Total |
$ | 16,065,095 | $ | (112,234 | ) | $ | 51,293 | $ | 18,681 | $ | (182,208 | ) | ||||||||||||||||
December 31, 2010 | For the three months ended September 30, 2010 | |||||||||||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Fund | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) |
Objective
|
Permitted
|
||||||||||||||||||||
Willowbridge Master |
17.20 | % | $ | 4,427,857 | $ | (39,447 | ) | $ | 1,314 | $ | 442 | $ | (41,203 | ) | Commodity Portfolio | Monthly | ||||||||||||
Graham Master |
21.01 | % | 5,410,815 | 199,233 | 4,417 | 433 | 194,383 | Commodity Portfolio | Monthly | |||||||||||||||||||
Eckhardt Master |
22.97 | % | 5,913,996 | 462,311 | 7,556 | 5,081 | 449,674 | Commodity Portfolio | Monthly | |||||||||||||||||||
SandRidge Master |
12.73 | % | 3,277,766 | (243,190 | ) | 2,027 | 600 | (245,817 | ) | Energy Program | Monthly | |||||||||||||||||
Total |
$ | 19,030,434 | $ | 378,907 | $ | 15,314 | $ | 6,556 | $ | 357,037 | ||||||||||||||||||
December 31, 2010 | For the nine months ended September 30, 2010 | |||||||||||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||
Fund | Net Assets | Value | (Loss) | Brokerage Fees | Other | (Loss) |
Objective
|
Permitted
|
||||||||||||||||||||
Willowbridge Master |
17.20 | % | $ | 4,427,857 | $ | (703,205 | ) | $ | 4,702 | $ | 1,223 | $ | (709,130 | ) | Commodity Portfolio | Monthly | ||||||||||||
Graham Master |
21.01 | % | 5,410,815 | 27,227 | 13,631 | 3,365 | 10,231 | Commodity Portfolio | Monthly | |||||||||||||||||||
Eckhardt Master |
22.97 | % | 5,913,996 | 658,404 | 21,121 | 15,288 | 621,995 | Commodity Portfolio | Monthly | |||||||||||||||||||
SandRidge Master |
12.73 | % | 3,277,766 | (704,058 | ) | 6,332 | 1,543 | (711,933 | ) | Energy Program | Monthly | |||||||||||||||||
Total |
$ | 19,030,434 | $ | (721,632 | ) | $ | 45,786 | $ | 21,419 | $ | (788,837 | ) | ||||||||||||||||
15
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
6. 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 at specific terms at specified future dates, or, in the case of derivative
commodity instruments, to have a reasonable possibility to be settled in cash, through physical
delivery or with another financial instrument. These instruments may be traded on an exchange or
over-the-counter (OTC). Exchange-traded instruments are standardized and include futures and
certain forwards and option contracts. OTC contracts are negotiated between contracting parties and
include certain forwards and option contracts. 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 Partnerships 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/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 Partnerships/Funds risk of loss in the event of
a counterparty default is typically limited to the amounts recognized in the Statements of
Financial Condition and is not represented by the contract or notional amounts of the instruments. The
Partnerships/Funds risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and
losses and other assets and liabilities with such counterparties upon the occurrence of certain
events. The Partnership/Funds have credit risk and concentration risk
as CGM or a CGM affiliate is the sole counterparty or
broker with respect to the Partnerships/Funds assets. Credit risk with
respect to exchange-traded instruments is reduced to the extent that through CGM, the
Partnerships/Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and
then bear the risk of unfavorable changes in the price of the contract underlying the option.
Written options expose the Funds to potentially unlimited liability;
for purchased options, the risk
of loss is limited to the premiums paid. Certain written put options permit cash settlement and do
not require the option holder to own the reference asset. The Funds do not consider these contracts
to be guarantees.
The General Partner monitors and attempts to control the Partnerships/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, on-line 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 Partnerships/Funds business, these instruments may not be held to maturity.
16
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
7. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Partnerships
and the Funds Investments. All commodity interests 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.
Partnerships and the Funds Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement date under current
market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from
unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on the lowest level input that is significant to
the fair value measurement in its entirety. Management has concluded that based on available information
in the marketplace, the Partnerships 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 Partnerships 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 Partnerships investments in the Funds reflects its proportional interest in
the Funds. As of and for the periods ended September 30, 2011 and
December 31, 2010, the
Partnership and the Funds did not hold any derivative instruments
that were priced at fair value
using unobservable inputs through the application of managements assumptions and internal
valuation pricing models (Level 3).
Futures
Contracts. The 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.
Forward
Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the
Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an
agreed-upon price on an agreed future date. Forward 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.
17
Table of Contents
Diversified Multi-Advisor Futures Fund L.P. II
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
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 Partnership/Funds are cash settled based on prompt dates
published by the LME. Payments (variation margin) may be made or received by the Partnership/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 Partnership/Funds record a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and the value at the
time it was closed. Transactions in LME contracts require participants to make both initial margin
deposits of cash or other assets and variation margin deposits, through the broker, directly with
the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses and Changes in Partners Capital.
Options. The Funds may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Funds write an option, the premium
received is recorded as a liability in the Statements of Financial Condition and marked to market
daily. When the Funds purchase an option, the premium paid is recorded as an asset in the
Statements of Financial Condition and marked to market daily. Net realized gains (losses) and
changes in net unrealized gains (losses) on options contracts are included in the Statements of
Income and Expenses and Changes in Partners Capital.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on its share of the Partnerships income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements and requires the evaluation of tax
positions taken or expected to be taken in the course of preparing the Partnerships financial
statements to determine whether the tax positions are more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to
meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the
current year. The General Partner concluded that no provision for income tax is required of or
disclosure in the Partnerships financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. Generally, the 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 FASBs intent about the application of existing fair value
measurement requirements and other amendments change a particular principle or requirement for
measuring fair value or for disclosing information about fair value measurements. The ASU is
effective for annual and interim periods beginning after December 15, 2011 for public entities.
This new guidance is not expected to have a material impact on the Partnerships/Funds 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.
18
Table of Contents
Item 2.
Managements Discussion and Analysis of Financial Condition and Results of
Operations.
Liquidity and Capital Resources
The
Partnership does not engage in sales of goods or services. The Partnerships assets are
its (i) investment in Funds, (ii) equity in its trading account, consisting of cash and cash
equivalents, net unrealized appreciation on open futures
contracts and open forward 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 third quarter of 2011.
The Partnerships 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 nine months ended September 30, 2011, Partnership capital decreased 2.6% from
$25,749,357 to $25,079,245. This decrease was attributable to the redemptions of 1,073.9350
Redeemable Units resulting in an outflow of $1,774,212, which was partially offset with a net
income from operations of $1,104,100. Future redemptions could impact the amount of funds available
for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in
conformity with GAAP requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and disclosures
of contingent assets and liabilities at the date of the financial statements and the reported
amounts of income and expense during the reporting period. Management believes that the estimates utilized
in preparing the financial statements are reasonable. Actual results could differ from those estimates.
The Partnerships significant accounting policies are described in detail in Note 7 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with changes in fair
value reported as a component of net realized gains (losses) and
change in net unrealized gains (losses) in the Statements
of Income and Expenses and Changes in Partners Capital.
19
Table of Contents
Results of Operations
During the Partnerships third quarter of 2011, the net asset value per unit increased 5.4%
from $1,569.09 to $1,654.60 as compared to a decrease of 4.5% in the third quarter of 2010. The
Partnership experienced a net trading gain (comprised of net realized gains (losses) on closed
positions and investment in Funds and change in net unrealized gains (losses) on open positions and
investment in Funds) before brokerage fees and related fees in the third quarter of 2011 of
$1,918,909. Gains were primarily attributable to the Partnerships and the Funds trading of commodity futures
in indices, metals, U.S. and non-U.S. interest rates and were partially
offset by losses in currencies, energy, grains, livestock and softs.
The Partnership
experienced a net trading loss before brokerage fees and related fees in the third quarter of 2010
of $500,410. Losses were primarily attributable to the Partnerships and the Funds trading of
commodity futures in currencies, energy, non-U.S interest rates, livestock and indices and were
partially offset by gains in grains, U.S interest rates, metals and softs.
The most significant
gains were experienced within the global interest rate sector due to long positions in European, U.S., and Australian
fixed income futures as prices advanced higher throughout the majority of the quarter due to concern about the
European sovereign debt crisis and a faltering global economy. Within the global stock index sector, gains were
recorded primarily during August from short positions in European equity index futures as prices declined amid
Standard & Poors downgrade of the United States sovereign credit rating, worse-than-expected economic reports,
and concern about the European sovereign debt crisis. Within the metals complex, gains were recorded primarily
during July and August from long positions in gold futures after prices reached a record high as escalating concern
that the global economy is slowing boosted demand for the precious metal. A portion of the Partnerships gains for
the quarter was offset by losses incurred within the currency markets, primarily during August, from long positions in
the Australian dollar and Canadian dollar versus the U.S. dollar as the value of the U.S. dollar was boosted higher
against these currencies by safe haven demand following central bank intervention in the Japanese yen and amid
concerns related to the European debt crisis. Within the energy sector, losses were incurred primarily during August
from long positions in crude oil and its related products at the beginning of the month as prices fell on concern
energy demand may falter amid slowing economic growth in the U.S. and a deepening debt crisis in Europe. Within
the agricultural complex, losses were incurred primarily during July from long positions in soybean futures as prices
declined on speculation that Europes sovereign debt crisis may hinder the global economy, reducing demand for the
grain. Further losses were recorded within this sector during September from long positions in coffee futures as
prices fell amid stable stockpiles before harvesting begins in Central America and Colombia.
20
Table of Contents
During the Partnerships nine months ended September 30, 2011, the net asset value per unit
increased 4.3% from $1,586.41 to $1,654.60 as compared to a decrease of 11.1% during the nine
months ended September 30, 2010. The Partnership experienced a net trading gain (comprised of net
realized gains (losses) on closed positions and investment in Funds and change in net unrealized
gains (losses) on open positions and investment in Funds) before brokerage fees and related fees
during the nine months ended September 30, 2011 of $2,939,528. Gains were primarily attributable to the Partnerships and the Funds
trading of commodity futures in U.S. and non-U.S. interest rates, indices, metals and softs and were partially offset by losses in currencies, energy, grains and livestock. The Partnership experienced a net trading loss before brokerage fees and
related fees during the nine months ended September 30, 2010 of $1,254,823. Losses were primarily
attributable to the Partnerships and the Funds trading of commodity futures in currencies,
energy, grains, indices, livestock and metals, and were partially offset by gains in non-U.S. and
U.S. interest rates and softs.
The most
significant gains were experienced within the global interest rate sector due to long positions in U.S., European, and
Australian fixed income futures as prices advanced higher throughout the majority of the third quarter due to concern
about the European sovereign debt crisis and a faltering global economy. Within the global stock index markets, gains
were experienced primarily during January and February, largely in U.S. equity index futures, as prices were supported
higher amid positive economic reports. Further gains were recorded within this sector during August from short
positions in European equity index futures as prices decline amid Standard & Poors downgrade of the Unites States
sovereign credit rating, worse-than-expected economic reports, and concern about the European sovereign debt crisis.
Within the metals complex, gains were recorded primarily during July and August from long positions in gold futures
after prices reached a record high as escalating concern that the global economy is slowing boosted demand for the
precious metal. A portion of the Partnerships gains during the first nine months of the year was offset by losses
incurred within the agricultural complex, primarily during July and September, from long futures positions in corn and
soybeans as prices declined on speculation that Europes sovereign debt crisis may hinder the global economy,
reducing demand for the grains. Within the currency sector, losses were recorded primarily during May, from long
positions in the British pound versus the U.S. dollar as the value of the British pound moved lower against the U.S.
dollar after Standard & Poors downgraded Greeces credit rating, prompting concern that the European sovereign
debt crisis may escalate. Additional losses were recorded during August from long positions in the Australian dollar
and Canadian dollar versus the U.S. dollar as the value of these commodity currencies moved lower in tandem with
declining commodity prices. Within the energy complex, losses were incurred primarily during May from long futures
positions in crude oil and its related products as prices moved lower after signs the global economic recovery is
slowing spurred concern that energy demand may weaken.
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 Partnerships daily average equity allocated to it by the Master
was earned at a 30-day U.S. 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 for the
three and nine months ended September 30, 2011 decreased by
$6,384 and $11,280, respectively, as
compared to the corresponding periods in 2010. The decrease in interest income is due to lower average daily equity 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 Partnerships account and upon interest rates over which neither the
Partnership nor CGM has control.
Brokerage fees are calculated as a percentage of the Partnerships net asset value as of the
last day of each month and are affected by trading performance and redemptions. Accordingly, they
must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees
for the three and nine months ended September 30, 2011 decreased by $39,442 and $188,815,
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 on the portion of the Partnerships net asset value allocated
to each Advisor at the end of the month and are affected by trading performance and redemptions.
Management fees for the three and nine months ended September 30, 2011 decreased by $4,197 and
$40,876, 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.
Incentive fees are based on the new trading profits generated by each Advisor as defined in
the advisory agreement among the Partnership, the General Partner and each Advisor. There were no
incentive fees for the three and nine months ended September 30, 2011 and 2010, respectively. The
Advisor will not be paid incentive fees until the Advisor recovers the 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 each advisors 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.
21
Table of Contents
Item 3.
Quantitative and Qualitative Disclosures about Market Risk
The Partnership and the Funds are speculative commodity pools. The market sensitive
instruments held by the Partnership and the Funds are acquired for speculative trading purposes,
and all or substantially all of the Partnerships and the Funds assets are subject to the risk of
trading loss. Unlike an operating company, the risk of market sensitive instruments is integral,
not incidental, to the Partnerships and the Funds 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
assets and undistributed profits. This limited liability is a result of the organization of
the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of the Partnerships and the
Funds open positions and, consequently, in their earnings and cash balances. The Partnerships and
the 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 Partnerships and the Funds open
contracts and the liquidity of the markets in which they trade.
The Partnership and the Funds rapidly acquire and liquidate both long and short positions in a
wide range of different markets. Consequently, it is not possible to predict how a particular
future market scenario will affect performance, and the Partnerships and the Funds past
performance is not necessarily indicative of their future results.
Value at Risk is a measure of the maximum amount which the Partnership and the Funds could
reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the
Partnerships and the Funds speculative trading and the recurrence in the markets traded by the
Partnership and the Funds of market movements far exceeding expectations could result in actual
trading or non-trading losses far beyond the indicated Value at Risk or the Partnerships and the
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
Partnerships and the Funds losses in any market sector will be limited to Value at Risk or by the
Partnerships and the Funds attempts to manage their market risk.
Exchange maintenance margin requirements have been used by the Partnership and the Funds 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 risk
sensitive instruments. With the exception of CFM, the advisors currently trade the
Partnerships assets indirectly in master fund managed accounts over which they have been granted
limited authority to make trading decisions. CFM directly trades a managed account in the
Partnerships name. The first two trading Value at Risk tables reflect the market sensitive instruments
held by the Partnership directly and through its investment in the
Funds as of September 30, 2011 and December 31, 2010. 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 Partnerships name traded by CFM) and indirectly by each Fund
separately.
There have been no material changes in the trading Value at Risk information previously disclosed in the Partnerships Annual Report on Form 10-K for the year ended December 31, 2010.
The
following tables indicate the trading Value at Risk associated with the Partnerships open
positions by market category as of September 30, 2011 and December
31, 2010. As of September 30, 2011, the Partnerships total
capitalization was $25,079,245.
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 410,748 | 1.64% | |||||
Energy |
281,185 | 1.12% | ||||||
Grains |
61,502 | 0.25% | ||||||
Indices |
61,212 | 0.24% | ||||||
Interest Rates U.S. |
158,023 | 0.63% | ||||||
Interest Rates Non-U.S. |
223,826 | 0.89% | ||||||
Livestock |
256,586 | 1.02% | ||||||
Metals |
92,416 | 0.37% | ||||||
Softs |
189,735 | 0.76% | ||||||
Total |
$ | 1,735,233 | 6.92% | |||||
As of December 31, 2010, Partnerships total capitalization was $25,749,357.
Market Sector | Value at Risk | % of Total Capitalization |
||||||
Currencies |
$ | 648,426 | 2.51% | |||||
Energy |
532,001 | 2.06% | ||||||
Grains |
158,953 | 0.63% | ||||||
Indices |
326,903 | 1.27% | ||||||
Interest Rates U.S. |
665,373 | 2.58% | ||||||
Interest Rates Non-U.S. |
250,133 | 0.97% | ||||||
Livestock |
77,288 | 0.30% | ||||||
Metals |
180,045 | 0.70% | ||||||
Softs |
84,111 | 0.33% | ||||||
Total |
$ | 2,923,233 | 11.35% | |||||
22
Table of Contents
The following tables indicate the trading Value at Risk associated with the Partnerships
direct investments and indirect investments in the Funds by market
category as of September 30, 2011 and December 31,2010
and the highest and lowest value at any point and the average value during the three months ended
September 30, 2011 and for the twelve months ended December 31, 2010. All open position trading risk exposures of the Partnership/Funds have been
included in calculating the figures set forth below. There have been no material changes in the
trading Value at Risk information previously disclosed in the Partnerships Annual Report on Form
10-K for the year ended December 31, 2010.
As
of September 30, 2011, the Partnerships total capitalization was $25,079,245. The
Partnerships Value at Risk for the portion of its assets that are traded directly through CFMs
Discus 1.5x Leverage Program 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* | |||||||||||||||
Currencies |
$ | 156,740 | 0.62 | % | $ | 314,950 | $ | 74,200 | 126,935 | |||||||||||
Energy |
50,661 | 0.20 | % | 112,959 | 24,921 | 63,732 | ||||||||||||||
Grains |
25,859 | 0.10 | % | 65,908 | 14,468 | 33,339 | ||||||||||||||
Indices |
92,545 | 0.37 | % | 414,696 | 33,577 | 163,531 | ||||||||||||||
Interest Rates U.S. |
113,200 | 0.45 | % | 220,250 | 7,111 | 152,250 | ||||||||||||||
Interest Rates Non -U.S. |
254,637 | 1.02 | % | 415,063 | 90,809 | 314,604 | ||||||||||||||
Livestock |
7,350 | 0.03 | % | 9,850 | 1,225 | 4,908 | ||||||||||||||
Metals |
146,904 | 0.59 | % | 245,757 | 49,480 | 144,008 | ||||||||||||||
Softs |
22,980 | 0.09 | % | 43,585 | 11,330 | 22,695 | ||||||||||||||
Total |
$ | 870,876 | 3.47 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of December 31, 2010, the Partnerships total capitalization was
$25,749,357. The Partnerships Value at Risk for the portion of its assets that are traded directly
through CFMs Discus 1.5x Program 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 |
$ | 146,900 | 0.57 | % | $ | 500,141 | $ | 27,947 | 147,542 | |||||||||||
Energy |
10,437 | 0.04 | % | 174,316 | 3,750 | 55,610 | ||||||||||||||
Grains |
14,220 | 0.06 | % | 44,329 | 5,130 | 21,009 | ||||||||||||||
Indices |
642,967 | 2.50 | % | 3,274,371 | 65,971 | 498,257 | ||||||||||||||
Interest Rates U.S. |
88,450 | 0.34 | % | 276,200 | 6,486 | 140,566 | ||||||||||||||
Interest Rates Non -U.S. |
73,656 | 0.30 | % | 482,956 | 23,301 | 226,827 | ||||||||||||||
Livestock |
1,000 | 0.00 | %** | 11,300 | 250 | 2,108 | ||||||||||||||
Metals |
21,750 | 0.08 | % | 53,496 | 4,000 | 21,239 | ||||||||||||||
Softs |
4,500 | 0.01 | % | 47,938 | 4,144 | 16,710 | ||||||||||||||
Total |
$ | 1,003,880 | 3.90 | % |
* | Annual average based on month-end Value at Risk. | |
** | Due to rounding |
23
Table of Contents
As of September 30, 2011, Willowbridge Masters total capitalization was $76,117,395. The
Partnership owned approximately 4.4% of Willowbridge Master. As of September 30, 2011, Willowbridge
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Willowbridge for trading) 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* | |||||||||||||||
Currencies |
$ | 892,575 | 1.17 | % | $ | 1,301,924 | $ | 340,600 | $ | 769,674 | ||||||||||
Energy |
1,472,000 | 1.93 | % | 1,576,250 | 160,000 | 1,012,967 | ||||||||||||||
Grains |
448,000 | 0.59 | % | 715,000 | 86,400 | 386,042 | ||||||||||||||
Interest Rates U.S. |
353,152 | 0.46 | % | 416,000 | 312,000 | 372,301 | ||||||||||||||
Interest Rates Non-U.S. |
798,626 | 1.05 | % | 808,237 | 665,905 | 764,771 | ||||||||||||||
Metals |
1,184,000 | 1.56 | % | 1,608,750 | 272,000 | 1,277,583 | ||||||||||||||
Softs |
529,600 | 0.70 | % | 679,500 | 112,000 | 550,933 | ||||||||||||||
Total |
$ | 5,677,953 | 7.46 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of December 31, 2010, Willowbridge Masters total capitalization was $216,298,633. The
Partnership owned approximately 2.1% of Willowbridge Master. As of December 31, 2010, Willowbridge
Masters Value at Risk for its assets (including the portion of the Partnerships 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 based on month-end Value at Risk. |
As of September 30, 2011, Graham Masters total capitalization was $142,958,141. The Partnership
owned approximately 2.9% of Graham Master. As of September 30, 2011, Graham Masters Value at Risk for
its assets (including the portion of the Partnerships assets allocated to Graham for trading) 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* | |||||||||||||||
Currencies |
$ | 4,902,891 | 3.43 | % | $ | 14,715,746 | $ | 4,054,432 | $ | 9,021,925 | ||||||||||
Energy |
1,644,645 | 1.15 | % | 1,710,689 | 805,479 | 1,414,892 | ||||||||||||||
Grains |
517,966 | 0.36 | % | 672,995 | 330,409 | 467,824 | ||||||||||||||
Indices |
1,318,348 | 0.92 | % | 7,570,579 | 1,264,457 | 2,684,660 | ||||||||||||||
Interest Rates U.S. |
489,000 | 0.34 | % | 1,656,700 | 443,080 | 972,817 | ||||||||||||||
Interest Rates Non-U.S. |
2,457,971 | 1.72 | % | 3,388,979 | 1,112,934 | 2,050,874 | ||||||||||||||
Livestock |
67,200 | 0.05 | % | 127,950 | 2,400 | 32,800 | ||||||||||||||
Metals |
1,136,889 | 0.80 | % | 1,714,134 | 955,310 | 1,315,587 | ||||||||||||||
Softs |
307,192 | 0.21 | % | 414,872 | 161,005 | 297,674 | ||||||||||||||
Total |
$ | 12,842,102 | 8.98 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
24
Table of Contents
As of December 31, 2010, Graham Masters total capitalization was $168,924,671. The Partnership
owned approximately 3.2% of Graham Master. As of December 31, 2010, Graham Masters Value at Risk
for its assets (including the portion of the Partnerships 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 based on month-end Value at Risk. |
As of September 30, 2011, Eckhardt Masters total capitalization was $22,421,550. The Partnership
owned approximately 26.0% of Eckhardt Master. As of September 30, 2011, Eckhardt Masters Value at Risk
for its assets (including the portion of the Partnerships assets allocated to Eckhardt for
trading) 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* | |||||||||||||||
Currencies |
$ | 279,040 | 1.24 | % | $ | 1,566,309 | $ | 91,656 | $ | 561,771 | ||||||||||
Energy |
192,008 | 0.86 | % | 640,516 | 6,000 | 386,143 | ||||||||||||||
Grains |
3,500 | 0.02 | % | 301,704 | 3,500 | 135,355 | ||||||||||||||
Interest Rates U.S. |
137,530 | 0.61 | % | 435,400 | 11,000 | 158,427 | ||||||||||||||
Interest Rates Non -U.S. |
16,176 | 0.07 | % | 564,611 | 16,176 | 176,086 | ||||||||||||||
Softs |
40,845 | 0.18 | % | 131,208 | 18,659 | 83,083 | ||||||||||||||
Total |
$ | 669,099 | 2.98 | % | ||||||||||||||||
| Average of month-end Values at Risk. |
As of December 31, 2010, Eckhardt Masters total capitalization was $23,686,325. The
Partnership owned approximately 25.0% of Eckhardt Master. As of December 31, 2010, Eckhardt Masters Value at Risk for its assets (including the portion of the
Partnerships assets allocated to Eckhardt 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 |
$ | 1,025,866 | 4.33 | % | $ | 1,147,164 | $ | 9,175 | $ | 427,400 | ||||||||||
Energy |
248,250 | 1.05 | % | 580,400 | 10,875 | 238,534 | ||||||||||||||
Grains |
348,259 | 1.47 | % | 370,823 | 41,862 | 169,215 | ||||||||||||||
Indices |
610,979 | 2.58 | % | 3,147,442 | 19,055 | 430,625 | ||||||||||||||
Interest Rates U.S. |
3,900 | 0.02 | % | 887,750 | 3,900 | 351,889 | ||||||||||||||
Interest Rates Non -U.S. |
331,533 | 1.40 | % | 852,062 | 63,225 | 352,114 | ||||||||||||||
Metals |
268,184 | 1.13 | % | 365,762 | 26,255 | 198,271 | ||||||||||||||
Softs |
46,300 | 0.19 | % | 146,472 | 10,950 | 70,345 | ||||||||||||||
Total |
$ | 2,883,271 | 12.17 | % | ||||||||||||||||
* | Annual average based on month-end Value at Risk. |
25
Table of Contents
As of September 30, 2011, SandRidge Masters total capitalization was $313,640,257. The
Partnership owned approximately 0.9% of SandRidge Master. As of September 30, 2011, SandRidge Masters
Value at Risk for its assets (including the portion of the Partnerships assets allocated to
SandRidge for trading) 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. |
As of December 31, 2010, SandRidge Masters total capitalization was $528,735,257. The
Partnership owned approximately 0.6% of SandRidge Master. As of December 31, 2010, SandRidge Masters Value at Risk for its assets (including the portion of the
Partnerships assets allocated to SandRidge 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* | |||||||||||||||
Energy |
$ | 61,391,255 | 11.61 | % | $ | 85,692,107 | $ | 18,754,664 | $ | 56,852,448 | ||||||||||
Total |
$ | 61,391,255 | 11.61 | % | ||||||||||||||||
* | Annual average based on month-end Value at Risk. |
26
Table of Contents
Item 4. Controls and Procedures
The Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed by the Partnership on the reports that it files or submits under the
Securities Exchange Act of 1934, as amended (the Exchange
Act), is recorded, processed, summarized and
reported within the time periods expected in the SECs rules and forms. Disclosure controls and
procedures include controls and procedures designed to ensure that information required to be
disclosed by the Partnership in the reports it files is accumulated and communicated to management,
including the Chief Executive Officer (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 Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of September 30, 2011 and, based on that evaluation, the General Partners CEO and CFO have
concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in accordance with GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; | ||
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | ||
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process
during the fiscal quarter ended September 30, 2011 that materially affected, or are reasonably likely
to materially affect, the Partnerships internal control over financial reporting.
27
Table of Contents
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 Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnerships 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 SECs 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 CGMs 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.).
28
Table of Contents
Item 1A.
Risk Factors
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk
Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II,
Item 1A. Risk Factors in the Partnerships Quarterly
Report 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
The Partnership no longer offers Redeemable Units for sale.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number | ||||||||||||||||||||||
(c) Total Number | (or Approximate | |||||||||||||||||||||
of Shares (or Units) | Dollar Value) of | |||||||||||||||||||||
Purchased as Part | Shares (or Units) that | |||||||||||||||||||||
(a) Total Number | (b) Average | of Publicly | May Yet Be | |||||||||||||||||||
of Shares | Price Paid per | Announced | Purchased Under the | |||||||||||||||||||
Period | (or Units) Purchased* | Share (or Unit)** | Plans or Programs | Plans or Programs | ||||||||||||||||||
July 1,
2011 July 31, 2011 |
62.9293 | $ | 1,633.75 | N/A | N/A | |||||||||||||||||
August 1,
2011 August 31, 2011 |
120.6671 | $ | 1,659.63 | N/A | N/A | |||||||||||||||||
September 1,
2011 September 30, 2011 |
101.3167 | $ | 1,654.60 | N/A | N/A | |||||||||||||||||
284.9131 | $ | 1,652.13 | ||||||||||||||||||||
* | 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 Partnerships business in connection with effecting redemptions for limited partners. | |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. |
Item 3.
Defaults Upon Senior Securities None
Item 4.
[Removed and Reserved]
Item 5.
Other Information None.
29
Table of Contents
Item 6. Exhibits
Exhibit
3.1(a)
|
Certificate of Limited Partnership dated May 10, 1994 (filed as Exhibit 3.1(a) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(b)
|
Certificate of Amendment of the Certificate of Limited Partnership dated July 31, 1995 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(c)
|
Certificate of Amendment of the Certificate of Limited Partnership dated October 1, 1999 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(d)
|
Certificate of Change of the Certificate of Limited Partnership effective January 31, 2000 (filed as Exhibit 3.1(d) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(e)
|
Certificate of Amendment of the Certificate of Limited Partnership dated May 21, 2003 (filed as Exhibit 3.1(e) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(f)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(f) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(g)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(g) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
(h)
|
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). | |
(i)
|
Certificate of Amendment of the Certificate of Limited Partnership dated April 12, 2010 (filed as Exhibit 3.1(i) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference). | |
(j)
|
Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1 to the Current Report on form 8-K filed on July 2, 2010 and incorporated herein by reference). | |
(k)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference). | |
3.2
|
Limited Partnership Agreement (attached as Exhibit A to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference). | |
10.1
|
Customer Agreement between the Partnership and Smith Barney (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference). | |
10.2
|
Form of Subscription Agreement (attached as Exhibit B to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference). | |
10.3
|
Form of Escrow Agreement (filed as Exhibit 10.3 to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference). | |
10.4(a)
|
Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Annual Report on Form 10-K for the fiscal year ended December 31, 1997 filed on March 30, 1998 and incorporated herein by reference). |
30
Table of Contents
(b)
|
Letter extending Management Agreement with Willowbridge for 2010 (filed as Exhibit 10.4(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2010 filed on March 31, 2011 and incorporated herein by reference). | |
10.6(a)
|
Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.21 to the Annual Report on Form 10-K for the fiscal year ended December 31, 2000 filed on March 29, 2001 and incorporated herein by reference). | |
(b)
|
Letter extending Management Agreement with Graham for 2010 (filed as Exhibit 10.6(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2010 filed on March 31, 2011 and incorporated herein by reference). | |
10.7(a)
|
Management Agreement among the Partnership, the General Partner and CFM (filed as Exhibit 10.24 to the Annual Report on Form 10-K for the fiscal year ended December 31, 2001 filed on March 28, 2002 and incorporated herein by reference). | |
10.8(a)
|
Management Agreement among the Partnership, the General Partner and Eckhardt (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2008 filed on August 14, 2008 and incorporated herein by reference). | |
(b)
|
Letter extending Management Agreement with Eckhardt Trading Company for 2010 (filed as Exhibit 10.8(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2010 filed on March 31, 2011 and incorporated herein by reference). | |
10.9(a)
|
Management Agreement among the Partnership, the General Partner and SandRidge (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on June 2, 2009 and incorporated herein by reference). | |
(b)
|
Letter extending Management Agreement with SandRidge for 2010 (filed as Exhibit 10.9(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2010 filed on March 31, 2011 and incorporated herein by reference). | |
10.10
|
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 for the quarterly period ended June 30, 2009 filed 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. |
31
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly
caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Diversified Multi-Advisor Futures Fund L.P. II |
||||
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