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10-K - FORM 10-K - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567d10k.htm
EX-10.6B - LETTER EXTENDING MANAGEMENT AGREEMENT WITH GRAHAM CAPITAL MANAGEMENT L.P. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex106b.htm
EX-10.7A - AMENDED AND RESTATED MANAGEMENT AGREEMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex107a.htm
EX-10.7B - LETTER EXTENDING MANAGEMENT AGREEMENT WITH CAPITAL FUND MANAGEMENT FOR 2011 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex107b.htm
EX-10.4B - LETTER EXTENDING MANAGEMENT AGREEMENT WITH WILLOWBRIDGE ASSOCIATES INC. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex104b.htm
EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIFinancial_Report.xls
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR3.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR2.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR6.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR8.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR4.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR5.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR1.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR9.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR7.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR12.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR15.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR13.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR10.htm
EX-99.4 - FINANCIAL STATEMENTS OF CMF ECKHARDT MASTER FUND L.P. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex994.htm
EX-99.3 - FINANCIAL STATEMENTS OF CMF SANDRIDGE MASTER L.P. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex993.htm
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF PRESIDENT AND DIRECTOR - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex311.htm
EX-99.2 - FINANCIAL STATEMENTS OF CMF GRAHAM CAPITAL MASTER FUND L.P. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex992.htm
EX-32.1 - SECTION 1350 CERTIFICATION OF PRESIDENT AND DIRECTOR - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex321.htm
EX-32.2 - SECTION 1350 CERTIFICATION OF CHIEF FINANCIAL OFFICER - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex322.htm
EX-99.1 - FINANCIAL STATEMENTS OF CMF WILLOWBRIDGE AGRO MASTER FUND - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex991.htm
EX-10.8B - LETTER EXTENDING MANAGEMENT AGREEMENT WITH ECKHARDT TRADING COMPANY - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex108b.htm
EX-10.9B - LETTER EXTENDING MANAGEMENT AGREEMENT WITH SANDRIDGE CAPITAL, L.P. - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex109b.htm
XML - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IIR14.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF CHIEF FINANCIAL OFFICER - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. IId293567dex312.htm
v2.4.0.6
Trading Activities
12 Months Ended
Dec. 31, 2011
Trading Activities [Abstract]  
Trading Activities
4. 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 interests. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses.

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, exchange-cleared swaps and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures, exchange-cleared swaps and on open forward contracts on the Statements of Financial Condition as the criteria under ASC 210-20, Balance Sheet have been met.

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 for the years ended December 31, 2011 and 2010 were 702 and 631, respectively. The monthly average number of metals forward contracts traded directly by the Partnership for the year ended December 31, 2011 was 307. There were no metals forward contracts traded directly by the Partnership for the year ended December 31, 2010.

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

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 December 31, 2011 and 2010.

 

         
    December 31, 2011  

Assets

       

Futures Contracts

       

Currencies

  $ 102,414  

Energy

    3,746  

Grains

    10,099  

Indices

    26,205  

Interest Rates U.S.

    8,484  

Interest Rates Non-U.S.

    94,587  

Metals

    4,658  

Softs

    9,138  
   

 

 

 

Total unrealized appreciation on open futures contracts

  $ 259,331  
   

 

 

 

Liabilities

       

Futures Contracts

       

Currencies

  $ (4,775

Energy

    (12,985

Grains

    (34,493

Indices

    (1,492

Interest Rates U.S.

    (7,284

Interest Rates Non-U.S.

    (23,839

Livestock

    (1,010

Metals

    (3,218

Softs

    (6,847
   

 

 

 

Total unrealized depreciation on open futures contracts

  $ (95,943
   

 

 

 

Net unrealized appreciation on open futures contracts

  $ 163,388
   

 

 

 

Assets

       

Forward Contracts

       

Metals

    653,331  
   

 

 

 

Total unrealized appreciation on open forward contracts

  $ 653,331  
   

 

 

 

Liabilities

       

Forward Contracts

       

Metals

    (557,622
   

 

 

 

Total unrealized depreciation on open forward contracts

  $ (557,622
   

 

 

 

Net unrealized appreciation on open forward contracts

  $ 95,709 ** 
   

 

 

 

 

* This amount is included 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.

 

         
    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.

The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the years ended December 31, 2011, 2010 and 2009.

 

                         

Sector

  December 31, 2011
Gain  (loss) from trading
    December 31, 2010
Gain  (loss) from trading
    December 31, 2009
Gain  (loss) from trading
 

Currencies

  $ (41,970   $ (204,265   $ 534,378  

Energy

    (1,401     (308,068     (1,129,076

Grains

    95,017       6,402       (17,021

Indices

    1,418,641       (957,047     1,917,690  

Interest Rates U.S.

    962,344       199,881       329,328  

Interest Rates Non-U.S.

    555,821       420,292       (94,185

Livestock

    (51,190     (29,395     (2,700

Metals

    187,560       69,063       26,515  

Softs

    (65,892     53,269       (17,475
   

 

 

   

 

 

   

 

 

 

Total

  $ 3,058,930 ***    $ (749,868 )***    $ 1,547,454 *** 
   

 

 

   

 

 

   

 

 

 

 

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