SAGE FUND LP - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - SAGE FUND LP	Financial_Report.xls
EX-32.01 - CERTIFICATION OF CEO PURSUANT TO SECTION 906 - SAGE FUND LP	v312363_ex32-01.htm
EX-32.02 - CERTIFICATION OF CFO PURSUANT TO SECTION 906 - SAGE FUND LP	v312363_ex32-02.htm
EX-31.02 - CERTIFICATION OF CFO PURSUANT TO SECTION 302 - SAGE FUND LP	v312363_ex31-02.htm
EX-31.01 - CERTIFICATION OF CEO PURSUANT TO SECTION 302 - SAGE FUND LP	v312363_ex31-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2012

Commission file number: 000-53639

SAGE FUND LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1937296

c/o Steben & Company, Inc.

2099 Gaither Road, Suite 200

Rockville, Maryland 20850

(240) 631-7600

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 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 definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	¨	Accelerated filer	¨
Non-accelerated filer	¨	Smaller Reporting Company	x

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

Yes ¨ No x

Part I: Financial Information

Item 1. Financial Statements

Sage Fund Limited Partnership

Statements of Financial Condition

March 31, 2012 (Unaudited) and December 31, 2011 (Audited)

	March 31,		December 31,
	2012		2011
Assets
Equity in broker trading accounts
Cash	$	11,872,959	$	11,212,458
Net unrealized gain on open futures contracts		759,637		2,804,082
Interest receivable		543		720
Total equity in broker trading accounts		12,633,139		14,017,260
Cash and cash equivalents		333,312		1,790,492
Investments in securities, at fair value		28,628,396		32,329,643
Certificates of deposit, at fair value		4,027,002		3,602,740
General Partner 1% allocation receivable		11,307		248,763
Total assets	$	45,633,156	$	51,988,898
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fee payable	$	37,847	$	43,046
Commissions and other trading fees payable on open contracts		8,772		7,869
Cash Manager fees payable		11,752		13,033
General Partner management fee payable		41,681		47,429
Selling Agent fees payable - General Partner		113,674		129,353
Administrative expenses payable - General Partner		28,477		32,403
Redemptions payable		2,168,146		1,406,594
Subscriptions received in advance		46,214		131,216
Total liabilities		2,456,563		1,810,943
Partners’ Capital (Net Asset Value)
Class A Interests – 23,460.0248 units and 26,635.2051 units outstanding at March 31, 2012 and December 31, 2011, respectively		43,176,593		50,177,955
Total liabilities and partners' capital (net asset value)	$	45,633,156	$	51,988,898

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

Sage Fund Limited Partnership

Condensed Schedule of Investments

March 31, 2012

(Unaudited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
Investments in Securities
U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield¹
$	250,000	5/31/12	U.S. Treasury Note	4.75	%	$	255,859		0.59	%
	600,000	6/15/12	U.S. Treasury Note	1.88	%		605,459		1.40	%
	100,000	8/31/12	U.S. Treasury Note	0.38	%		100,123		0.23	%
	175,000	9/30/12	U.S. Treasury Note	0.38	%		175,187		0.41	%
	225,000	10/31/12	U.S. Treasury Note	3.88	%		233,472		0.54	%
	350,000	11/15/12	U.S. Treasury Note	1.38	%		354,414		0.82	%
	115,000	1/15/13	U.S. Treasury Note	1.38	%		116,388		0.27	%
	300,000	2/15/13	U.S. Treasury Note	1.38	%		303,533		0.70	%
	300,000	3/31/13	U.S. Treasury Note	2.50	%		306,770		0.71	%
	400,000	4/15/13	U.S. Treasury Note	1.75	%		409,501		0.95	%
	250,000	9/30/13	U.S. Treasury Note	0.13	%		249,366		0.58	%
	300,000	11/15/13	U.S. Treasury Note	0.50	%		301,471		0.70	%
	300,000	12/31/13	U.S. Treasury Note	0.13	%		299,063		0.69	%
Total U.S. Treasury securities (cost: $3,736,674)							3,710,606		8.59	%

U.S. Government Sponsored Enterprise Notes
	Face Value	Maturity Date	Name	Yield¹
$	250,000	6/20/12	Federal Home Loan Bank	1.88	%		252,249		0.58	%
	250,000	6/27/12	Federal Home Loan Bank	0.25	%		250,222		0.58	%
	300,000	7/25/12	Federal Home Loan Bank	0.25	%		300,279		0.70	%
	31,250	8/10/12	Federal Home Loan Bank	0.35	%		31,302		0.07	%
	600,000	8/22/12	Federal Home Loan Bank	1.75	%		604,867		1.40	%
	200,000	10/5/12	Federal Home Loan Bank	0.31	%		200,305		0.46	%
	200,000	1/16/13	Federal Home Loan Bank	1.50	%		202,616		0.47	%
	400,000	1/9/13	Federal Home Loan Mortgage Corp.	1.38	%		404,822		0.94	%
	200,000	7/30/12	Federal National Mortgage Assoc.	1.13	%		201,020		0.47	%
Total U.S. government sponsored enterprise notes (cost: $2,463,166)							2,447,682		5.67	%

Foreign Government Sponsored Enterprise Notes
	Face Value	Maturity Date	Name	Yield¹
$	250,000	6/11/12	Soc. de Financement de l'Economie Fr.	2.25	%		252,352		0.58	%
Total foreign government sponsored enterprise notes (cost: $254,731)							252,352		0.58	%
Total government sponsored enterprise notes (cost: $2,717,897)							2,700,034		6.25	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	150,000	4/20/12	BMW US Capital, LLC	0.31	%		149,975		0.35	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
U.S. Commercial Paper (continued)
	Face Value	Maturity Date	Name	Yield¹
Banks
$	200,000	4/30/12	Barclays US Funding LLC	0.15	%	$	199,976		0.46	%
	150,000	4/26/12	HSBC USA Inc.	0.24	%		149,975		0.35	%
	200,000	6/26/12	The Bank of Tokyo-Mitsubishi UFJ (NY)	0.36	%		199,828		0.46	%
	200,000	4/11/12	Union Bank, National Association	0.25	%		199,986		0.46	%
Beverages
	250,000	4/11/12	Bacardi Corporation	0.45	%		249,969		0.58	%
Computers
	250,000	4/9/12	Hewlett-Packard Company	0.44	%		249,976		0.58	%
Diversified Financial Services
	160,000	5/3/12	Caterpillar Financial Services Corporation	0.12	%		159,983		0.37	%
	200,000	4/16/12	ING (U.S.) Funding LLC	0.30	%		199,985		0.46	%
	250,000	4/19/12	Louis Dreyfus Commodities LLC	0.20	%		249,975		0.58	%
	200,000	4/4/12	Rabobank USA Financial Corporation	0.46	%		199,999		0.46	%
Energy
	250,000	4/5/12	NextEra Energy Capital Holdings, Inc.	0.42	%		249,988		0.58	%
	250,000	4/11/12	The Southern Company	0.20	%		249,986		0.58	%
Insurance
	150,000	5/11/12	Metlife Funding, Inc.	0.15	%		149,975		0.36	%
Mining
	200,000	4/23/12	BHP Billiton Finance (USA) Limited	0.13	%		199,984		0.46	%
Total U.S. commercial paper (cost: $3,058,818)							3,059,560		7.09	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Banks
$	200,000	6/1/12	Oversea-Chinese Banking Corp.	0.30	%		199,898		0.46	%
	200,000	4/25/12	The Bank of Nova Scotia	0.12	%		199,984		0.46	%
Energy
	250,000	5/14/12	BP Capital Markets P.L.C.	0.18	%		249,946		0.58	%
	250,000	4/3/12	GDF Suez	0.22	%		249,997		0.58	%
Government Sponsored Enterprise
	250,000	4/17/12	Corporacion Andina de Fomento	0.29	%		249,968		0.58	%
Total foreign commercial paper (cost: $1,149,535)							1,149,793		2.66	%

Total commercial paper (cost: $4,208,353)							4,209,353		9.75	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Aerospace
$	200,000	4/1/12	McDonnell Douglas Corporation	9.75	%	$	209,846		0.49	%
Banks
	350,000	1/30/14	Bank of America Corporation	1.97	%		344,830		0.80	%
	200,000	7/27/12	BB&T Corporation	3.85	%		203,489		0.47	%
	550,000	4/1/14	Citigroup Inc.	1.51	%		542,476		1.26	%
	550,000	1/14/14	Credit Suisse AG	1.53	%		549,222		1.27	%
	250,000	10/30/12	GMAC Inc.	1.75	%		254,051		0.59	%
	550,000	5/2/14	JPMorgan Chase & Co.	1.22	%		551,223		1.28	%
	550,000	1/9/14	Morgan Stanley	0.88	%		524,164		1.21	%
	250,000	11/1/12	The Bank of New York Mellon	4.95	%		261,579		0.61	%
	400,000	2/7/14	The Goldman Sachs Group, Inc.	1.53	%		393,689		0.91	%
	309,000	5/1/13	Wachovia Corporation	5.50	%		331,600		0.77	%
Beverages
	50,000	7/14/14	Anheuser-Busch InBev Worldwide Inc.	0.93	%		50,175		0.11	%
	380,000	8/15/13	Coca-Cola Enterprises, Inc.	5.00	%		403,887		0.94	%
Chemical
	200,000	11/15/12	Praxair, Inc.	1.75	%		202,939		0.47	%
Computers
	550,000	4/1/14	Dell Inc.	1.18	%		554,538		1.28	%
	275,000	5/30/14	Hewlett-Packard Company	0.89	%		272,046		0.63	%
	50,000	9/19/14	Hewlett-Packard Company	2.02	%		50,406		0.11	%
Diversified Financial Services
	250,000	6/29/12	American Honda Finance Corporation	0.57	%		249,942		0.58	%
	200,000	5/24/13	BlackRock, Inc.	0.79	%		200,854		0.47	%
	200,000	4/5/13	Caterpillar Financial Services Corporation	2.00	%		205,136		0.48	%
	55,000	4/1/14	Caterpillar Financial Services Corporation	0.87	%		55,368		0.12	%
	250,000	1/8/13	General Electric Capital Corporation	2.80	%		255,857		0.59	%
	550,000	1/15/14	HSBC Finance Corporation (USA)	0.82	%		535,430		1.24	%
	275,000	10/1/12	John Deere Capital Corporation	5.25	%		288,949		0.67	%
	400,000	7/16/12	Massmutual Global Funding II	3.63	%		406,217		0.94	%
	200,000	10/12/12	Toyota Motor Credit Corporation	0.78	%		200,625		0.46	%
	150,000	1/14/13	Toyota Motor Credit Corporation	0.78	%		150,527		0.35	%
	275,000	2/17/15	Toyota Motor Credit Corporation	1.00	%		275,273		0.64	%
Energy
	275,000	10/15/12	ConocoPhillips	4.75	%		287,248		0.67	%
Food
	200,000	9/15/12	Cargill, Incorporated	5.60	%		204,589		0.47	%
Healthcare
	290,000	3/1/14	Roche Holdings, Inc.	5.00	%		313,796		0.73	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

								% of
								Partners'
								Capital (Net Asset
			Description			Fair Value		Value)
U.S. Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Insurance
$	200,000	2/11/13	Berkshire Hathaway Inc.	0.94	%	$	201,247		0.47	%
	200,000	1/11/13	Metropolitan Life Global Funding I	2.50	%		203,194		0.47	%
	250,000	8/22/12	New York Life Global Funding	0.54	%		250,124		0.58	%
	250,000	12/14/12	New York Life Global Funding	2.25	%		254,578		0.59	%
	200,000	4/15/13	Pacific Life Global Funding	5.15	%		213,253		0.49	%
	200,000	6/25/12	Pricoa Global Funding I	4.63	%		204,222		0.47	%
	125,000	6/15/12	The Travelers Companies, Inc.	5.38	%		128,192		0.30	%
Manufacturing
	410,000	6/21/13	Danaher Corporation	0.72	%		411,193		0.95	%
Media
	150,000	12/1/14	The Walt Disney Company	0.88	%		151,102		0.35	%
Pharmaceutical
	200,000	3/15/13	Pfizer Inc.	5.50	%		210,133		0.49	%
Retail
	500,000	7/18/14	Target Corporation	0.73	%		502,165		1.16	%
Steel
	100,000	12/1/12	Nucor Corporation	5.00	%		104,422		0.24	%
Telecommunication
	225,000	2/13/15	AT&T Inc.	0.88	%		223,931		0.52	%
	140,000	3/14/14	Cisco Systems, Inc.	0.72	%		140,762		0.33	%
	330,000	3/28/14	Verizon Communications Inc.	1.08	%		332,765		0.77	%
Transportation
	350,000	1/15/13	United Parcel Service, Inc.	4.50	%		364,491		0.84	%
Total U.S. corporate notes (cost: $13,372,761)							13,225,745		30.63	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	550,000	4/1/14	Volkswagen International Finance N.V.	1.19	%		549,989		1.27	%
Banks
	200,000	6/28/13	Bank of Montreal	2.13	%		204,471		0.47	%
	550,000	1/10/14	BNP Paribas	1.48	%		540,464		1.25	%
	250,000	6/29/12	Commonwealth Bank of Australia	0.67	%		249,892		0.58	%
	275,000	4/14/14	Danske Bank A/S	1.62	%		271,322		0.63	%
	250,000	1/18/13	HSBC Bank PLC	0.96	%		250,518		0.58	%
	550,000	3/15/13	ING Bank N.V.	1.52	%		550,584		1.28	%
	250,000	6/17/13	KfW Bankengruppe	0.25	%		249,928		0.58	%
	250,000	6/15/12	National Australia Bank Limited	0.67	%		250,076		0.58	%
	350,000	2/4/13	Rabobank Nederland	0.68	%		350,300		0.81	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

								% of Partners'
								Capital (Net Asset
			Description			Fair Value		Value)
Foreign Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Banks (continued)
$	200,000	5/11/12	The Royal Bank of Scotland	2.63	%	$	202,383		0.47	%
	270,000	7/26/13	The Toronto-Dominion Bank	0.74	%		271,140		0.63	%
	100,000	12/14/12	Westpac Banking Corporation	1.90	%		101,442		0.23	%
Energy
	175,000	3/25/13	Shell International Finance B.V.	1.88	%		177,680		0.41	%
Pharmaceutical
	250,000	3/28/13	Sanofi	0.67	%		250,941		0.58	%
	260,000	3/28/14	Sanofi	0.78	%		261,383		0.61	%
	50,000	3/21/14	Teva Pharmaceutical Finance III BV	0.97	%		50,145		0.12	%
Total foreign corporate notes (cost: $4,807,446)							4,782,658		11.08	%
Total corporate notes (cost: $18,180,207)							18,008,403		41.71	%

Total investments in securities (cost: $28,843,131)						$	28,628,396		66.30	%

U.S. Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	200,000	6/15/12	Barclays Bank PLC (NY)	0.33	%	$	200,044		0.46	%
	250,000	11/5/12	Canadian Imperial Bank of Commerce (NY)	0.73	%		250,602		0.58	%
	250,000	5/7/12	Mizuho Corporate Bank, Ltd. (NY)	0.42	%		250,200		0.58	%
	250,000	5/8/12	Nordea Bank Finland (NY)	0.40	%		250,970		0.58	%
	200,000	11/13/12	Nordea Bank Finland (NY)	0.71	%		199,987		0.46	%
	250,000	3/1/13	PNC Bank	0.59	%		250,187		0.58	%
	250,000	8/9/12	Standard Chartered Bank	0.72	%		250,378		0.58	%
	200,000	6/11/12	The Bank of Nova Scotia (NY)	0.67	%		200,224		0.46	%
	250,000	9/10/12	The Bank of Tokyo-Mitsubishi UFJ (NY)	0.52	%		250,060		0.58	%
	250,000	9/7/12	The Norinchukin Bank (NY)	0.55	%		250,028		0.58	%
	350,000	4/25/12	UBS AG (NY)	0.55	%		351,888		0.82	%
	500,000	5/3/12	Westpac Banking Corporation (NY)	0.40	%		501,945		1.17	%
Charity
	220,000	4/4/12	The Salvation Army	0.30	%		220,332		0.51	%
Total U.S. certificates of deposit (cost: $3,420,430)							3,426,845		7.94	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

									% of Partners'
									Capital (Net Asset
			Description			Fair Value			Value)
Foreign Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	250,000	6/19/12	Swedbank Sparbanken Svenge AB	0.53	%	$	250,073			0.58	%
Government Sponsored Enterprise
	350,000	5/25/12	Caisse Amortissement de la Dette Socia	0.54	%		350,084			0.81	%
Total foreign certificates of deposit (cost: $599,959)							600,157			1.39	%

Total certificates of deposit (cost: $4,020,389)						$	4,027,002			9.33	%

Open Futures Contracts
	Long U.S. Futures Contracts
			Agricultural commodities			$	(119,428	)		(0.28	)%
			Currencies				(21,545	)		(0.05	)%
			Energy				28,210			0.07	%
			Equity indices				27,065			0.06	%
			Interest rate instruments				(15,188	)		(0.04	)%
			Metals				(228,015	)		(0.53	)%
Net unrealized loss on open long U.S. futures contracts							(328,901	)		(0.77	)%

Short U.S. Futures Contracts
			Agricultural commodities				178,996			0.41	%
			Currencies				(8,556	)		(0.02	)%
			Energy				321,580			0.74	%
			Equity indices				(700	)		(0.00	)%
			Interest rate instruments				(9,780	)		(0.02	)%
			Metals				103,025			0.24	%
Net unrealized gain on open short U.S. futures contracts							584,565			1.35	%

Total U.S. futures contracts - net unrealized gain on open U.S. futures contracts							255,664			0.58	%

Long Foreign Futures Contracts
			Agricultural commodities²				516,518			1.20	%
			Currencies				39,098			0.09	%
			Energy				225,159			0.52	%
			Equity indices				(16,707	)		(0.04	)%
			Interest rate instruments				156,042			0.36	%
			Metals				22,284			0.05	%
Net unrealized gain on open long foreign futures contracts							942,394			2.18	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

					% of Partners'
					Capital (Net Asset
	Description	Fair Value			Value)
Short Foreign Futures Contracts
	Agricultural commodities	$	(70,758	)		(0.16	)%
	Currencies		(249,672	)		(0.58	)%
	Energy		(11,380	)		(0.03	)%
	Equity indices		22,291			0.05	%
	Interest rate instruments		(13,761	)		(0.03	)%
	Metals		(115,141	)		(0.27	)%
Net unrealized loss on open short foreign futures contracts			(438,421	)		(1.02	)%

Total foreign futures contracts - net unrealized gain on open foreign futures contracts			503,973			1.16	%

Net unrealized gain on open futures contracts		$	759,637			1.74	%

¹Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

²No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

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

Sage Fund Limited Partnership

Condensed Schedule of Investments

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
Investments in Securities
U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield¹
$	225,000	3/8/12	U.S. Treasury Bill	0.20	%	$	224,993		0.45	%
	75,000	2/29/12	U.S. Treasury Note	0.88	%		75,323		0.15	%
	250,000	5/31/12	U.S. Treasury Note	4.75	%		255,824		0.51	%
	825,000	6/15/12	U.S. Treasury Note	1.88	%		832,458		1.66	%
	75,000	8/31/12	U.S. Treasury Note	0.38	%		75,228		0.15	%
	300,000	9/30/12	U.S. Treasury Note	0.38	%		300,861		0.60	%
	225,000	10/31/12	U.S. Treasury Note	3.88	%		233,413		0.47	%
	250,000	11/15/12	U.S. Treasury Note	1.38	%		253,112		0.50	%
	115,000	1/15/13	U.S. Treasury Note	1.38	%		117,159		0.23	%
	300,000	2/15/13	U.S. Treasury Note	1.38	%		305,554		0.61	%
Total U.S. Treasury securities (cost: $2,693,658)							2,673,925		5.33	%

U.S. Government Sponsored Enterprise Notes
	Face Value	Maturity Date	Name	Yield¹
$	250,000	6/20/12	Federal Home Loan Bank	1.88	%		252,130		0.50	%
	250,000	6/27/12	Federal Home Loan Bank	0.25	%		250,098		0.50	%
	300,000	7/25/12	Federal Home Loan Bank	0.25	%		300,457		0.60	%
	250,000	8/10/12	Federal Home Loan Bank	0.35	%		250,183		0.50	%
	600,000	8/22/12	Federal Home Loan Bank	1.75	%		609,527		1.21	%
	200,000	10/5/12	Federal Home Loan Bank	0.31	%		200,147		0.40	%
	200,000	1/16/13	Federal Home Loan Bank	1.50	%		203,858		0.41	%
	400,000	1/9/13	Federal Home Loan Mortgage Corp.	1.38	%		407,242		0.81	%
	200,000	9/30/13	Federal Home Loan Mortgage Corp.	0.55	%		200,114		0.40	%
	200,000	7/30/12	Federal National Mortgage Assoc.	1.13	%		202,018		0.40	%
Total U.S. government sponsored enterprise notes (cost: $2,881,896)							2,875,774		5.73	%

Foreign Government Sponsored Enterprise Notes
	Face Value	Maturity Date	Name	Yield¹
$	200,000	1/23/12	African Development Bank	1.88	%		201,791		0.40	%
	200,000	3/21/12	European Investment Bank	4.63	%		204,235		0.41	%
	250,000	6/11/12	Soc. de Financement de l'Economie Fr.	2.25	%		251,279		0.50	%
Total foreign government sponsored enterprise notes (cost: $667,015)							657,305		1.31	%
Total government sponsored enterprise notes (cost: $3,548,911)							3,533,079		7.04	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	250,000	1/9/12	BMW US Capital, LLC	0.38	%		249,979		0.50	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
U.S. Commercial Paper (continued)
	Face Value	Maturity Date	Name	Yield¹
Banks
$	200,000	2/15/12	Credit Suisse (USA), Inc.	0.45	%	$	199,888		0.40	%
	150,000	1/27/12	HSBC USA Inc.	0.20	%		149,966		0.30	%
	200,000	2/6/12	Union Bank NA	0.18	%		199,964		0.40	%
Beverages
	250,000	2/2/12	Anheuser-Busch InBev Worldwide, Inc.	0.25	%		249,944		0.50	%
Charity
	240,000	1/25/12	The Salvation Army	0.10	%		239,984		0.48	%
Diversifed Financial Services
	200,000	1/18/12	American Honda Finance Corporation	0.17	%		199,984		0.40	%
	140,000	3/5/12	Caterpillar Financial Services Corporation	0.20	%		139,950		0.28	%
	200,000	2/27/12	ING (U.S.) Funding LLC	0.35	%		199,889		0.40	%
	150,000	1/19/12	National Rural Utilities Cooperative	0.07	%		149,995		0.30	%
	200,000	1/6/12	Nordea Inv. Mgmt North America, Inc.	0.32	%		199,991		0.40	%
	150,000	1/9/12	PACCAR Financial Corp.	0.08	%		149,997		0.30	%
	250,000	2/15/12	Private Export Funding Corporation	0.11	%		249,966		0.50	%
	151,000	1/13/12	River Fuel Trust 1	0.40	%		150,980		0.30	%
Energy
	250,000	1/12/12	Oglethorpe Power Corp.	0.17	%		249,987		0.50	%
	250,000	1/3/12	Pacific Gas and Electric Company	0.40	%		249,994		0.50	%
	250,000	1/11/12	The Southern Company	0.17	%		249,988		0.50	%
Insurance
	190,000	1/10/12	Metlife Funding, Inc.	0.09	%		189,996		0.38	%
Manufacturing
	250,000	1/5/12	Kellogg Company	0.19	%		249,995		0.50	%
Mining
	200,000	1/24/12	BHP Billiton Finance (USA)	0.13	%		199,983		0.40	%
Total U.S. commercial paper (cost: $4,119,677)							4,120,420		8.24	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Banks
$	190,000	1/25/12	The Bank of Tokyo-Mitsubishi UFJ, Ltd.	0.29	%		189,963		0.38	%
	200,000	3/8/12	Oversea-Chinese Banking Corporation Ltd	0.53	%		199,803		0.40	%
Energy
	250,000	2/1/12	GDF Suez	0.19	%		249,959		0.50	%
Total foreign commercial paper (cost: $639,550)							639,725		1.28	%
Total commercial paper (cost: $4,759,227)							4,760,145		9.52	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Aerospace
$	200,000	4/1/12	McDonnell Douglas	9.75	%	$	209,286		0.42	%
Agricultural
	200,000	8/13/12	Archer-Daniels-Midland	0.61	%		200,488		0.40	%
	200,000	9/15/12	Cargill	5.60	%		209,344		0.42	%
	Face Value	Maturity Date	Name	Yield¹
Banks
	550,000	1/30/14	Bank of America Corporation	1.85	%		498,327		0.99	%
	200,000	7/27/12	BB&T Corporation	3.85	%		206,557		0.41	%
	550,000	4/1/14	Citigroup Inc.	1.30	%		520,101		1.04	%
	550,000	1/14/14	Credit Suisse AG (NY)	1.36	%		533,957		1.06	%
	100,000	1/15/12	Credit Suisse (USA), Inc.	6.50	%		103,179		0.21	%
	250,000	10/30/12	GMAC Inc.	1.75	%		253,966		0.51	%
	550,000	5/2/14	JPMorgan Chase & Co.	1.30	%		534,104		1.06	%
	275,000	4/29/13	Morgan Stanley	1.41	%		259,838		0.52	%
	550,000	1/9/14	Morgan Stanley	0.69	%		498,486		0.99	%
	250,000	11/1/12	The Bank of New York Mellon	4.95	%		261,274		0.52	%
	175,000	1/15/12	The Goldman Sachs Group, Inc.	6.60	%		180,555		0.36	%
	640,000	2/7/14	The Goldman Sachs Group, Inc.	1.44	%		599,631		1.20	%
	109,000	10/23/12	Wells Fargo & Company	5.25	%		113,904		0.23	%
	200,000	1/31/13	Wells Fargo & Company	4.38	%		210,370		0.42	%
Beverages
	50,000	7/14/14	Anheuser-Busch InBev Worldwide Inc.	0.76	%		49,842		0.10	%
	125,000	3/1/12	Coca-Cola Enterprises, Inc.	3.75	%		127,117		0.25	%
	380,000	8/15/13	Coca-Cola Enterprises, Inc.	5.00	%		411,323		0.82	%
Chemicals
	200,000	11/15/12	Praxair, Inc.	1.75	%		202,153		0.40	%
Computers
	550,000	4/1/14	Dell Inc.	0.97	%		554,627		1.11	%
	250,000	3/1/12	Hewlett-Packard Company	0.64	%		250,024		0.50	%
	275,000	5/30/14	Hewlett-Packard Company	0.92	%		266,109		0.53	%
	50,000	9/19/14	Hewlett-Packard Company	2.11	%		49,793		0.10	%
Consumer Products
	150,000	2/15/12	Kimberly-Clark Corporation	5.63	%		153,999		0.31	%
Diversified Financial Services
	250,000	6/29/12	American Honda Finance Corporation	0.68	%		249,940		0.50	%
	200,000	5/24/13	BlackRock, Inc.	0.81	%		200,049		0.40	%
	200,000	4/5/13	Caterpillar Financial Services Corporation	2.00	%		204,450		0.41	%
	55,000	4/1/14	Caterpillar Financial Services Corporation	0.66	%		55,022		0.11	%
	250,000	1/8/13	General Electric Capital Corporation	2.80	%		258,114		0.51	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)

U.S. Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Diversified Financial Services (continued)
$	550,000	1/15/14	HSBC Finance Corporation	0.65	%	$	507,421		1.01	%
	300,000	3/15/12	John Deere Capital Corporation	7.00	%		310,267		0.62	%
	275,000	10/1/12	John Deere Capital Corporation	5.25	%		288,190		0.57	%
	400,000	7/16/12	Massmutual Global Funding II	3.63	%		412,687		0.82	%
	250,000	2/15/12	Principal Life Global Funding I	6.25	%		257,380		0.51	%
	200,000	10/12/12	Toyota Motor Credit Corporation	0.59	%		200,339		0.40	%
Energy
	275,000	10/15/12	ConocoPhillips	4.75	%		285,969		0.57	%
Healthcare
	290,000	3/1/14	Roche Holdings, Inc.	5.00	%		318,556		0.63	%
Insurance
	200,000	2/11/13	Berkshire Hathaway Inc.	0.88	%		200,914		0.40	%
	200,000	1/11/13	Metropolitan Life Global Funding I	2.50	%		204,784		0.41	%
	250,000	8/22/12	New York Life Global Funding	0.54	%		250,101		0.50	%
	250,000	12/14/12	New York Life Global Funding	2.25	%		253,581		0.51	%
	200,000	4/15/13	Pacific Life Global Funding	5.15	%		211,079		0.42	%
	200,000	6/25/12	Pricoa Global Funding I	4.63	%		203,339		0.41	%
	125,000	6/15/12	The Travelers Companies, Inc.	5.38	%		127,710		0.25	%
Manufacturing
	410,000	6/21/13	Danaher Corporation	0.82	%		410,700		0.82	%
Mining
	200,000	3/29/12	BHP Billiton Finance (USA)	5.13	%		204,825		0.41	%
Media
	150,000	12/1/14	The Walt Disney Company	0.88	%		150,808		0.30	%
Pharmaceuticals
	200,000	3/15/13	Pfizer Inc.	5.50	%		214,659		0.43	%
Retail
	500,000	7/18/14	Target Corporation	0.57	%		500,573		1.00	%
Steel
	100,000	12/1/12	Nucor Corporation	5.00	%		104,019		0.21	%
Telecommunications
	140,000	3/14/14	Cisco Systems, Inc.	0.79	%		139,953		0.28	%
	330,000	3/28/14	Verizon Communications Inc.	1.18	%		329,622		0.66	%
Transportation
	150,000	1/15/13	United Parcel Service, Inc.	4.50	%		159,292		0.32	%
Total U.S. corporate notes (cost: $15,045,153)							14,672,697		29.27	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
								(Net Asset
			Description			Fair Value		Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	550,000	4/1/14	Volkswagen International Finance N.V.	0.98	%	$	540,367		1.08	%
Banks
	550,000	1/10/14	BNP Paribas	1.29	%		508,863		1.01	%
	250,000	6/29/12	Commonwealth Bank of Australia	0.78	%		249,803		0.50	%
	550,000	3/17/14	Commonwealth Bank of Australia	1.29	%		541,445		1.08	%
	275,000	4/14/14	Danske Bank A/S	1.45	%		265,934		0.53	%
	250,000	8/3/12	HSBC Bank PLC	0.88	%		250,519		0.50	%
	250,000	1/18/13	HSBC Bank PLC	0.80	%		249,489		0.50	%
	300,000	1/13/12	ING Bank N.V.	1.03	%		300,655		0.60	%
	550,000	3/15/13	ING Bank N.V.	1.60	%		537,605		1.07	%
	250,000	6/17/13	KfW Bankengruppe	0.29	%		249,908		0.50	%
	250,000	6/15/12	National Australia Bank Limited	0.75	%		250,128		0.50	%
	350,000	2/4/13	Rabobank Nederland	0.58	%		350,232		0.70	%
	350,000	12/12/12	Royal Bank of Canada	0.69	%		350,494		0.70	%
	200,000	5/11/12	The Royal Bank of Scotland	2.63	%		202,009		0.40	%
	270,000	7/26/13	The Toronto-Dominion Bank	0.60	%		269,910		0.54	%
	100,000	12/14/12	Westpac Banking Corporation	1.90	%		101,010		0.20	%
Energy
	525,000	3/10/12	BP Capital Markets P.L.C.	3.13	%		532,472		1.06	%
	175,000	3/25/13	Shell International Finance B.V.	1.88	%		179,136		0.36	%
Pharmaceuticals
	250,000	3/28/13	Sanofi	0.77	%		250,259		0.50	%
	260,000	3/28/14	Sanofi	0.88	%		259,661		0.52	%
	50,000	3/21/14	Teva Pharmaceutical Finance III BV	1.07	%		49,726		0.10	%
Telecommunications
	200,000	2/27/12	Vodafone Group Public Limited Company	0.79	%		200,172		0.40	%
Total foreign corporate notes (cost: $6,796,172)							6,689,797		13.35	%
Total corporate notes (cost: $21,841,325)							21,362,494		42.62	%

Total investments in securities (cost: $32,843,121)						$	32,329,643		64.51	%

U.S. Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	250,000	11/5/12	Canadian Imperial Bank of Commerce NY	0.64	%	$	250,239		0.50	%
	500,000	4/4/12	Deutsche Bank Aktiengesellschaft NY	0.45	%		501,218		1.00	%
	250,000	5/8/12	Nordea Bank Finland PLC NY	0.40	%		250,456		0.50	%
	200,000	11/13/12	Nordea Bank Finland PLC NY	0.65	%		199,168		0.40	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

								% of
								Partners'
								Capital
			Description			Fair Value		(Net Asset Value)

U.S. Certificates of Deposit (continued)
	Face Value	Maturity Date	Name	Yield¹
Banks (continued)
$	250,000	3/1/13	PNC Bank	0.63	%	$	248,172		0.49	%
	250,000	2/3/12	The Shizuoka Bank, Ltd. NY	0.49	%		250,234		0.50	%
	350,000	4/25/12	UBS AG USA	0.55	%		351,170		0.70	%
Total U.S. certificates of deposit (cost: $2,049,630)							2,050,657		4.09	%

Foreign Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	250,000	1/17/12	The Bank of Nova Scotia	0.32	%		250,600		0.50	%
	200,000	6/11/12	The Bank of Nova Scotia	0.74	%		200,115		0.40	%
	250,000	1/17/12	The Bank of Tokyo-Mitsubishi UFJ, Ltd.	0.36	%		250,442		0.50	%
	500,000	5/3/12	Westpac Banking Corporation	0.40	%		501,339		1.00	%
Government Sponsored Enterprise
	350,000	5/25/12	Caisse Amortissement de la Dette Socia	0.43	%		349,587		0.70	%
Total foreign certificates of deposit (cost: $1,550,550)							1,552,083		3.10	%

Total certificates of deposit (cost: $3,600,180)						$	3,602,740		7.19	%

Open Futures Contracts
	Long U.S. Futures Contracts
		Agricultural commodities	$	16,888		0.03	%
		Currencies		3,502		0.01	%
		Energy		(65,917	)	(0.13	)%
		Equity indices		12,697		0.03	%
		Interest rate instruments		54,689		0.11	%
		Metals		(306,086	)	(0.61	)%
Net unrealized loss on open long U.S. futures contracts				(284,227	)	(0.56	)%

Short U.S. Futures Contracts
		Agricultural commodities		95,886		0.19	%
		Currencies		95,107		0.19	%
		Energy
		Natural gas (86 contracts, Feb '12 - Oct '12)		848,200		1.69	%
		Other		31,293		0.06	%
		Equity indices		3,552		0.01	%
		Interest rate instruments		(24,350	)	(0.05	)%
		Metals		252,249		0.50	%
Net unrealized gain on open short U.S. futures contracts				1,301,937		2.59	%

Total U.S. futures contracts - net unrealized gain on open U.S. futures contracts				1,017,710		2.03	%

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

Sage Fund Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2011

(Audited)

					% of
					Partners'
					Capital
					(Net Asset
	Description	Fair Value			Value)
Long Foreign Futures Contracts
	Agricultural commodities	$	82,910			0.17	%
	Currencies		(21,637	)		(0.04	)%
	Energy		6,598			0.01	%
	Equity indices		35,931			0.07	%
	Interest rate instruments²		648,438			1.29	%
	Metals		(128,177	)		(0.26	)%
Net unrealized gain on open long foreign futures contracts			624,063			1.24	%


Short Foreign Futures Contracts
	Agricultural commodities		241,998			0.48	%
	Currencies²		733,774			1.46	%
	Energy		33			0.00	%
	Equity indices		(2,077	)		(0.00	)%
	Interest rate instruments		17,332			0.03	%
	Metals		171,249			0.34	%
Net unrealized gain on open short foreign futures contracts			1,162,309			2.31	%

Total foreign futures contracts - net unrealized gain on open foreign futures contracts			1,786,372			3.55	%

Net unrealized gain on open futures contracts		$	2,804,082			5.58	%

¹Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

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

Sage Fund Limited Partnership

Statements of Operations

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Three Months Ended March 31,
	2012			2011
Trading Loss from Futures Trading
Net realized gain (loss)	$	1,306,488		$	(6,726,654	)
Net change in unrealized loss		(2,044,445	)		(4,472,850	)
Brokerage commissions and trading expenses		(25,910	)		(74,903	)
Net loss from futures trading		(763,867	)		(11,274,407	)

Income
Interest income		138,886			64,482
Net realized and change in unrealized gain on securities and certificates of deposit		206,085			—
Total income		344,971			64,482
Expenses
Trading Advisor management fee		119,946			176,179
Cash Manager fees		9,011			—
Selling Agent fees – General Partner		360,401			527,725
Administrative expenses – General Partner		269,902			300,735
General Partner management fee		132,147			193,499
General Partner 1% allocation		(11,307	)		(122,395	)
Total expenses		880,100			1,075,743
Administrative expenses waived		(179,618	)		(168,515	)
Net total expenses		700,482			907,228
Net investment loss		(355,511	)		(842,746	)
Net Loss	$	(1,119,378	)	$	(12,117,153	)

	Three Months Ended March 31,
	2012			2011
Decrease in net asset value per Unit	$	(43.47	)	$	(422.26	)

Net loss per Unit
(based on weighted average number of units outstanding during the period)	$	(44.40	)	$	(428.33	)

Weighted average number of Units outstanding		25,211.3500			28,289.4984

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

Sage Fund Limited Partnership

Statements of Cash Flows

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Three Months Ended March 31,
	2012			2011
Cash flows from operating activities
Net loss	$	(1,119,378	)	$	(12,117,153	)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities
Net change in unrealized loss from futures trading		2,044,445			4,472,850
Purchases of securities and certificates of deposit		(15,498,184	)		—
Proceeds from disposition of securities and certificates of deposit		18,981,254			—
Net realized and change in unrealized gain on securities and certificates of deposit		(206,085	)		—
Changes in
Interest receivable		177			5,265
General Partner 1% allocation receivable/payable		237,456			(178,927	)
Trading Advisor management fee payable		(5,199	)		(8,717	)
Trading Advisor incentive fee payable		—			(1,684	)
Commissions and other trading fees payable on open contracts		903			(4,827	)
Cash Manager fees payable		(1,281	)		—
General Partner management fee payable		(5,748	)		(9,210	)
Selling Agent fees payable – General Partner		(15,679	)		(25,117	)
Administrative expenses payable – General Partner		(3,926	)		(6,761	)
Net cash provided by (used in) operating activities		4,408,755			(7,874,281	)

Cash flows from financing activities
Subscriptions		168,289			2,292,864
Subscriptions received in advance		46,214			2,072,303
Redemptions		(5,419,937	)		(1,191,198	)
Net cash provided by (used in) financing activities		(5,205,434	)		3,173,969

Net decrease in cash and cash equivalents		(796,679	)		(4,700,312	)
Cash and cash equivalents, beginning of period		13,002,950			73,864,700
Cash and cash equivalents, end of period	$	12,206,271		$	69,164,388

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	11,872,959		$	14,069,734
Cash and cash equivalents		333,312			55,094,654
Total end of period cash and cash equivalents	$	12,206,271		$	69,164,388

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	1,406,594		$	424,209
Prior period subscriptions received in advance	$	131,216		$	1,141,953

Supplemental schedule of non-cash financing activities
Redemptions payable	$	2,168,146		$	765,009

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

Sage Fund Limited Partnership

Statements of Changes in Partners’ Capital (Net Asset Value)

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Units			Amount
Three Months Ended March 31, 2012
Balance at December 31, 2011		26,635.2051		$	50,177,955
Net loss					(1,119,378	)
Subscriptions		160.1191			299,505
Redemptions		(3,335.2994	)		(6,181,489	)
Balance at March 31, 2012		23,460.0248		$	43,176,593

Three Months Ended March 31, 2011
Balance at December 31, 2010		27,991.7912		$	76,476,459
Net loss					(12,117,153	)
Subscriptions		1,329.6685			3,434,817
Redemptions		(634.5111	)		(1,531,998	)
Balance at March 31, 2011		28,686.9486		$	66,262,125

	Net Asset Value
	Per Unit

March 31, 2012	$	1,840.43
December 31, 2011		1,883.90
March 31, 2011		2,309.84
December 31, 2010		2,732.10

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

Sage Fund Limited Partnership

Notes to Financial Statements

(Unaudited)

Organization and Summary of Significant Accounting Policies

Description of the Fund

Sage Fund Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced operations on August 2, 1995. The Fund issues Class A units of limited partner interests (“Units”), which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Second Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

The Fund uses a commodity trading advisor to engage in the speculative trading of futures contracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund primarily trades futures contracts within six major market sectors: interest rates instruments, equity indices, energy, currencies, metals and agricultural commodities.

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of its futures broker.

Steben & Company, Inc. (“General Partner”), is the general partner of the Fund and a Maryland corporation registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.

Altis Partners (Jersey) Ltd. (“Trading Advisor”) is the sole trading advisor for the Fund. The Trading Advisor uses the Altis Global Futures Portfolio (“Trading Program”), a proprietary, systematic trading system that deploys multiple trading strategies utilizing derivatives that seek to identify and exploit directional moves in market behavior to a broad and diversified range of global markets.

Significant Accounting Policies

Accounting Principles

The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).

Use of Estimates

Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Revenue Recognition

Futures contracts, investments in securities and certificates of deposit are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis.

Fair Value of Financial Instruments

Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The levels of the fair value hierarchy are described below:

§ Level 1 –

Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments using Level 1 inputs include exchange-traded derivatives, money market funds and U.S. Treasury securities.

	§ Level 2 –	Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments using Level 2 inputs include certificates of deposit, commercial paper, corporate notes and U.S. and foreign government sponsored enterprise notes.

§ Level 3 –

Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments valued using Level 3 inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended March 31, 2012 and 2011, there were no such transfers between levels.

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

The investments in money market funds, included in cash and cash equivalents in the statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted prices for identical assets and are classified within Level 1.

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes and U.S. and foreign government sponsored enterprise notes are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes and U.S. and foreign government sponsored enterprise notes are classified within Level 2.

Cash and Cash Equivalents

Cash and cash equivalents may include cash, money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

Brokerage Commissions and Trading Expenses

Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through March 31, 2012. With few exceptions, the Fund is no longer subject to U.S. or state and local income tax examinations by tax authorities for years before 2008.

Foreign Currency Transactions

The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.

Reclassification

Certain reclassifications have been made in the 2011 financial statements and notes to conform to the 2012 presentation, without affecting previously reported partners’ capital (net asset value).

Recently Issued Accounting Pronouncement

In November 2011, the Financial Accounting Standards Board (“FASB”) issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for the Fund’s annual and interim periods beginning January 1, 2013. When effective, the Fund will provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the financial position or results of operations.

Fair Value Disclosures

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

At March 31, 2012
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	759,637	$	—	$	759,637
Cash and cash equivalents:
Money market fund		766,395		—		766,395
Investments in securities:
U.S. Treasury securities*		3,710,606		—		3,710,606
U.S. government sponsored enterprise notes*		—		2,447,682		2,447,682
Foreign government sponsored enterprise notes*		—		252,352		252,352
Commercial paper*		—		4,209,353		4,209,353
Corporate notes*		—		18,008,403		18,008,403
Certificates of deposit*		—		4,027,002		4,027,002
Total	$	5,236,638	$	28,944,792	$	34,181,430

*See the condensed schedule of investments for further description.

At December 31, 2011
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	2,804,082	$	—	$	2,804,082
Cash and cash equivalents:
Money market fund		1,273,215		—		1,273,215
Investments in securities:
U.S. Treasury securities*		2,673,925		—		2,673,925
U.S. government sponsored enterprise notes*		—		2,875,774		2,875,774
Foreign government sponsored enterprise notes*		—		657,305		657,305
Commercial paper*		—		4,760,145		4,760,145
Corporate notes*		—		21,362,494		21,362,494
Certificates of deposit*		—		3,602,740		3,602,740
Total	$	6,751,222	$	33,258,458	$	40,009,680

*See the condensed schedule of investments for further description.

There were no Level 3 holdings at March 31, 2012 or December 31, 2011, or during the periods then ended.

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of future contracts, none of which are designated as hedging instruments. At March 31, 2012 and December 31, 2011, the Fund’s derivative contracts had the following impact on the statements of financial condition:

March 31, 2012	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Equity in broker trading accounts
Net unrealized gain on open futures contracts
Agricultural commodities	$	1,206,984	$	(701,656	)	$	505,328
Currencies		130,115		(370,790	)		(240,675	)
Energy		678,272		(114,703	)		563,569
Equity indices		102,256		(70,307	)		31,949
Interest rate instruments		347,284		(229,971	)		117,313
Metals		270,077		(487,924	)		(217,847	)
Net unrealized gain on open futures contracts	$	2,734,988	$	(1,975,351	)	$	759,637

At March 31, 2012, there were 3,611 open futures contracts.

December 31, 2011	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Assets		Liabilities			Net
Equity in broker trading accounts
Net unrealized gain on open futures contracts
Agricultural commodities	$	877,385	$	(439,703	)	$	437,682
Currencies		913,098		(102,352	)		810,746
Energy		1,001,783		(181,576	)		820,207
Equity indices		85,793		(35,690	)		50,103
Interest rate instruments		798,597		(102,488	)		696,109
Metals		691,877		(702,642	)		(10,765	)
Net unrealized gain on open futures contracts	$	4,368,533	$	(1,564,451	)	$	2,804,082

At December 31, 2011, there were 3,334 open futures contracts.

For the three months ended March 31, 2012 and 2011, the Fund’s derivative contracts had the following impact on the statements of operations:

	2012						2011
				Net change						Net change
	Net realized			in unrealized			Net realized			in unrealized
Types of Exposure	gain (loss)			loss			gain (loss)			loss
Futures contracts
Agricultural commodities	$	(300,940	)	$	67,646		$	621,966		$	(1,460,354	)
Currencies		822,133			(1,051,421	)		(4,353,919	)		(2,540,637	)
Energy		1,546,334			(256,638	)		(417,824	)		514,454
Equity indices		686,618			(18,154	)		(1,400,137	)		(273,974	)
Interest rate instruments		(308,192	)		(578,796	)		(453,410	)		135,621
Metals		(1,140,968	)		(207,082	)		(699,678	)		(847,960	)
Total futures contracts	$	1,304,985		$	(2,044,445	)	$	(6,703,002	)	$	(4,472,850	)

For the three months ended March 31, 2012 and 2011, the number of futures contracts closed was 4,842 and 14,894, respectively.

General Partner

At March 31, 2012 and December 31, 2011, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund.

The General Partner earns the following compensation:

General Partner management fee – the Fund incurs a monthly fee equal to 1/12^th of 1.1% of the Fund’s month-end net asset value, payable in arrears.

Selling Agent fees – the Fund incurs a monthly fee equal to 1/12^th of 3% of the Fund’s month-end net asset value, payable in arrears. The General Partner, in turn, pays selling agent fees to the respective selling agents. If selling agent fees are not paid to the selling agents, or if the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations.

Trading Advisor and Cash Managers

The Fund has an agreement with the Trading Advisor, pursuant to which the Fund incurs a management fee, payable monthly to the Trading Advisor in arrears, equal to 1/12th of 1% of allocated net assets (as defined in the advisory agreement) and an incentive fee, payable quarterly in arrears, equal to 25% of net new trading profits (as defined in the advisory agreement).

Effective April 2011, the Fund engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.

Deposits with Brokers

To meet margin requirements, the Fund deposits funds with its futures broker, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with the broker. At March 31, 2012 and December 31, 2011, the Fund had margin requirements of $4,962,894 and $6,284,545, respectively.

Administrative Expenses

The Fund reimburses the General Partner for actual monthly administrative expenses paid to various third-party service providers, including the General Partner, up to 1/12^th of 0.75% of the Fund’s month-end net asset value, payable in arrears. Administrative expenses include accounting, audit, legal, salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund; such as, salaries and commissions of General Partner marketing personnel, administrative employee salaries and related costs. Pursuant to the terms of the Partnership Agreement, administrative expenses that exceed 1% of the average month-end net asset value are the responsibility of the General Partner.

For the three months ended March 31, 2012 and 2011, actual administrative expenses exceeded the 1% administrative expense limitation of average month-end net asset value of the Fund by $149,523 and $124,442, respectively. Such amounts were included in administrative expenses waived in the statements of operations.

Additionally, during the three months ended March 31, 2012 and 2011, the General Partner voluntarily waived $30,095 and $44,073, respectively, of administrative expenses of the Fund. Such amounts were included in administrative expenses waived in the statements of operations.

At March 31, 2012 and December 31, 2011, $28,477 and $32,403, respectively, were payable to the General Partner for expenses incurred on behalf of the fund and not waived by the General Partner. Such amounts are presented as administrative expenses payable – General Partner in the statements of financial condition.

Subscriptions, Distributions and Redemptions

Generally, investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000. Units are sold at the net asset value per Unit as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At March 31, 2012 and December 31, 2011, the Fund received advance subscriptions of $46,214 and $131,216, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to month-end.

The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner and in certain circumstances, restrictions in the Partnership Agreement.

The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or self-regulatory organization regulations.

Trading Activities and Related Risks

The Fund engages in the speculative trading of futures contracts in the U.S. and internationally. Trading futures contracts exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Purchase and sale of futures contracts requires margin deposits with futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro-rata share of segregated funds available. It is possible that the recovered amount could be less than the total cash and other property deposited. The Fund utilizes Newedge USA, LLC as its futures broker.

For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short.

In addition to market risk, upon entering into commodity interest contracts there is a credit risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures and options on futures contracts traded in the U.S. and on most non-U.S. futures exchanges is the clearinghouse associated with such exchanges. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Prior to April 2011, the Fund used UBS Financial Services, Inc. as its cash management securities broker for the investment of some excess margin amounts into fixed income instruments.

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The limited partners bear the risk of loss only to the extent of the fair value of their respective investments and, in specific circumstances, distributions and redemptions received.

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at March 31, 2012.

													% of
			Gov't										Partners'
	U.S.		Sponsored										Capital
	Treasury		Enterprise		Commercial		Corporate		Certificates				(Net Asset
Country or Region	Securities		Notes		Paper		Notes		of Deposit		Total		Value)
United States	$	3,710,606	$	2,447,682	$	3,059,560	$	13,225,745	$	3,426,845	$	25,870,438		59.92	%
France		-		252,352		249,997		1,052,788		350,084		1,905,221		4.41	%
Netherlands		-		-		-		1,628,553		-		1,628,553		3.77	%
Great Britain		-		-		249,946		452,901		-		702,847		1.63	%
Canada		-		-		199,984		475,611		-		675,595		1.56	%
Australia		-		-		-		601,410		-		601,410		1.39	%
Denmark		-		-		-		271,322		-		271,322		0.63	%
Sweden		-		-		-		-		250,073		250,073		0.58	%
South America multi-national		-		-		249,968		-		-		249,968		0.58	%
Germany		-		-		-		249,928		-		249,928		0.58	%
Singapore		-		-		199,898		-		-		199,898		0.46	%
Netherland Antilles		-		-		-		50,145		-		50,145		0.12	%
Total	$	3,710,606	$	2,700,034	$	4,209,353	$	18,008,403	$	4,027,002	$	32,655,398		75.63	%

The following table presents the exposure at December 31, 2011.

													% of
			Gov't										Partners'
	U.S.		Sponsored										Capital
	Treasury		Enterprise		Commercial		Corporate		Certificates				(Net Asset
Country or Region	Securities		Notes		Paper		Notes		of Deposit		Total		Value)
United States	$	2,673,925	$	2,875,774	$	4,120,420	$	14,672,697	$	2,050,657	$	26,393,473		52.68	%
Netherlands		-		-		-		1,907,995		-		1,907,995		3.80	%
France		-		251,279		249,959		1,018,783		349,587		1,869,608		3.73	%
Australia		-		-		-		1,142,386		501,339		1,643,725		3.28	%
Great Britain		-		-		-		1,434,661		-		1,434,661		2.86	%
Canada		-		-		-		620,404		450,715		1,071,119		2.13	%
Japan		-		-		189,963		-		250,442		440,405		0.88	%
Sweden		-		-		-		265,934		-		265,934		0.53	%
Germany		-		-		-		249,908		-		249,908		0.50	%
Europe multi-national		-		204,235		-		-		-		204,235		0.41	%
Africa multi-national		-		201,791		-		-		-		201,791		0.40	%
Singapore		-		-		199,803		-		-		199,803		0.40	%
Netherland Antilles		-		-		-		49,726		-		49,726		0.10	%
Total	$	2,673,925	$	3,533,079	$	4,760,145	$	21,362,494	$	3,602,740	$	35,932,383		71.70	%

10.

Indemnifications

In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications.

11.

Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, at March 31, 2012, the statements of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2012 and 2011, and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2012, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2012 and 2011. The results of operations for the three months ended March 31, 2012 and 2011 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

12.

Financial Highlights

The following information presents per unit operating performance data and other financial ratios for the three months ended March 31, 2012 and 2011, assuming the unit was outstanding throughout the entire period:

	2012			2011
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	1,883.90		$	2,732.10
Loss from operations
Loss from trading ⁽¹⁾		(29.37	)		(392.47	)
Net investment loss ⁽¹⁾		(14.10	)		(29.79	)
Total loss from operations		(43.47	)		(422.26	)

Net asset value per Unit at end of period	$	1,840.43		$	2,309.84

Total return ⁽⁵⁾		(2.31	)%		(15.46	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3) (4)}		6.07	%		5.77	%
General Partner 1% allocation ⁽⁵⁾		(0.02	)%		(0.17	)%
Total expenses		6.05	%		5.60	%

Net investment loss ^{(2) (3) (4) (6)}		(3.13	)%		(5.41	)%

Total returns are calculated based on the change in value of a Unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.

⁽¹⁾ The net investment loss per Unit is calculated by dividing the net investment loss by the average number of Units outstanding during the period. Loss from trading is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per Unit information. Such balancing amount may differ from the calculation of loss from trading per Unit due to the timing of trading gains and losses during the period relative to the number of Units outstanding.

⁽²⁾ All of the ratios under Other Financial Ratios for Units are computed net of voluntary and involuntary waivers of administrative expenses. For the three months ended March 31, 2012 and 2011, the ratios are net of (1.53)% and 0.94%, respectively, of average net asset value relating to the waivers of administrative expenses. Both the nature and the amounts of the waivers are more fully explained in Note 7.

⁽³⁾ The net investment loss includes interest income and excludes net realized and net change in unrealized gain (loss) from trading activities as shown in the statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net loss from trading in the statements of operations. The resulting amount is divided by the average net asset value for the period.

⁽⁴⁾ Ratios have been annualized.

⁽⁵⁾ Ratios have not been annualized.

⁽⁶⁾ Ratio excludes General Partner 1% allocation.

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

Liquidity

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

Capital Resources

The Fund intends to raise additional capital only through the sale of Units, and does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investments in futures contracts, forward currency contracts and other financial instruments in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future capital inflows and outflows related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.

Results of Operations

The returns for Units for the three months ended March 31, 2012 and 2011 were (2.31)% and (15.46)%, respectively. Past performance is not necessarily indicative of future results. Further analysis of futures trading gains and losses is provided below.

2012

January

In January, markets responded positively to supportive monetary policy from central banks around the world. In the U.S., the Federal Reserve announced that it expected to keep interest rates low through 2014. Meanwhile, in Europe, the European Central Bank was expected to extend its Long-Term Refinancing Operations program by providing additional loans to the region’s banks later this year, beyond the nearly half trillion euros (approximately US$650 billion) already distributed to banks in December. This improved the European credit environment, helping France, Italy and Spain to hold successful bond auctions at reduced yields and allowing them to shrug off Standard & Poor’s sovereign credit downgrades earlier in the month. Positive sentiment fueled by easy monetary policy led to a rally in global equities, industrial commodities, as well as short and medium term interest rate instruments. Among currencies, it also led to a decline in the U.S. dollar, a rebound in the euro, and a surge in commodity currencies.

The Fund realized small gains in currencies (primarily through long positions in the Australian dollar), as well as in equity indices, interest rates and energy. These gains were offset by losses from its short positions in base metals, including tin and aluminum, and from short exposure to precious metals, particularly platinum and silver, resulting in a net loss of 1.31% for the month.

February

In February, markets were driven by continued monetary stimulus from central banks around the world. The European Central Bank extended an additional €529 billion (approximately $700 billion) in low interest 3-year loans to 800 of the region’s banks in the second round of its Long Term Refinancing Operation to shore up the balance sheets of the financial sector in Europe. Since December, the ECB has made over €1 trillion (approximately $1.3 trillion) in loans to Europe’s banking sector. Elsewhere, the Bank of Japan and the Bank of England implemented new rounds of quantitative easing in their respective markets. These actions encouraged a greater risk appetite among investors, driving up global equity indices. Meanwhile, the U.S. saw an improvement in labor market data, prompting a rise in U.S. bond yields. In the Middle East, the threat of oil supply disruptions from rising tensions over Iran’s nuclear program led to a rally in energy prices, with Brent crude prices exceeding $125 per barrel.

The Fund made gains in the energy sector, where it benefited from long positions in both in crude oil and oil-related products. The Fund also profited from its long exposure to equity indices, particularly in Europe and Japan. However, long positions in the fixed income sector caused losses as bonds in the UK and Australia sold off. The Fund also saw moderate declines in the agricultural and metals sectors. Overall, the Fund finished up 0.08% for the month.

March

In March, markets continued to price in a stronger economic growth outlook for the U.S. Following improved labor and consumption data, the Fed raised its forecast from “modest” to “moderate” growth. Investors interpreted this positive language as a signal that further Fed stimulus in the form of bond purchases was not necessary. As a result U.S. long-term bonds sold off sharply. Meanwhile U.S. equities continued to rally, with the S&P 500 enjoying its best quarter since Q3 of 2009. Elsewhere, the attempt by Chinese authorities to limit domestic inflation through a gradual deceleration of economic growth had a negative impact on commodity currencies such as the Australian dollar. In energy markets, crude oil halted its 6 month rise due to softer prospective Chinese demand as well as an expected release of strategic oil reserves by the U.S., UK and France.

The Fund made gains in agricultural commodities such as coffee, and in energy through short positions in natural gas, where a supply glut and unusually warm weather led to continued price declines. However, the Fund suffered losses in fixed income, as bond prices declined mid-month in the U.S., Europe and Japan, hurting long positions. In currencies, long exposure to the weakening Australian dollar also detracted from performance. Overall, the Fund finished with a loss of 1.09% for the month.

2011

January

The Fund finished 7.04% lower this month as losses from foreign currencies, equity indices and metals offset profits from agricultural commodities, energy and interest rate instruments. The most significant losses came from the Fund’s positions in international currencies as several foreign exchange prices reversed direction in response to positive economic news in both the U.S. and Europe. Cross-currency trades in several markets, including the British pound/Japanese yen, euro/Australian dollar, and British pound/ Australian dollar all reversed and moved against the Fund’s positions during the month. In agricultural commodities, rising prices in cotton, corn and sugar contributed additional profits. In other sectors, results were mixed leading to flat performance in metals, interest rate instruments, energy and equity indices.

February

The Fund finished 0.83% lower this month as losses from foreign currencies, interest rate instruments, equity indices and metals offset profits from agricultural commodities and energy. The most significant losses came from the Fund’s positions in international currencies as several foreign exchange prices reversed direction from previous trends in both Europe and Japan. The most significant profits came from the Fund’s positions in energy as tensions in the Middle East, and especially in Libya, pushed oil prices higher benefiting the Funds’ long positions in that sector. In agricultural commodities, rising prices in cotton, corn and sugar contributed additional profits. In other sectors, results were mixed leading to flat performance in metals, interest rate instruments and equity indices. For the year the Fund was down 7.81% and for the last 12 months it was up 1.35%.

March

The Fund finished 8.29% lower this month with losses in agricultural commodities, energy, metals, and currencies offsetting profits from interest rate instruments. The most significant losses came from the agricultural commodities sector where prices in many cases fell sharply early in the month. Corn futures prices fell over 10% moving against the Fund’s long positions. Events in Japan and Libya sent energy prices significantly higher. The higher energy prices benefited the Fund’s long positions in that sector but losses from long positions in natural gas offset those profits leaving a net loss for the sector. The same global events also generated reversals in global stock indices, which went against the Fund’s long positions and generated losses. Although equity prices rebounded later in the month it wasn’t enough to offset the earlier losses. Prices in interest rate instruments were mixed this month with losses offsetting profits in that sector. For the year the Fund was down 15.46% and for the last 12 months it was down 10.51%.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the Trading Advisor was unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner attempts to decrease market risk through maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to subjecting the Fund to market risk, upon entering into futures contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

The Fund invests in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes and certificates of deposit. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.

Significant Accounting Estimates

A summary of the Fund’s significant accounting policies are included in Note 1 to the Financial Statements.

The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures contracts, and fixed income investments. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair value of money market funds is based quoted market prices for identical shares. U.S. Treasury securities, which are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit commercial paper and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Not required.

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2012 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

There has been no change in internal control over financial reporting that occurred during the first quarter of 2011 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Part II: Other Information

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

Not required.

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

There were no sales of unregistered securities of the Fund during the three months ended March 31, 2012. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the first quarter of 2012 were as follows:

	January		February		March		Total

Units redeemed		524.9535		1,632.2826		1,178.0633		3,335.2994
Average net asset value per Unit	$	1,859.28	$	1,860.77	$	1,840.43	$	1,853.35

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1*	Form of Selling Agreement.

3.1*	Certificate of Limited Partnership of Sage Fund Limited Partnership.

3.2*	Second Amended and Restated Limited Partnership Agreement of Sage Fund Limited Partnership.

10.1*	Form of Subscription Agreement.

10.2**	Advisory Agreement by and among the Fund, the General Partner and Altis Partners (Jersey) Limited dated August 8, 2007.
10.3*	Amendment to Advisory Agreement by and among the Fund, the General Partner and Altis Partners (Jersey) Limited dated August 27, 2007.
10.4*	Futures Account Agreement dated January 21, 2001 by and among the Fund, the General Partner and Carr Futures Inc. (subsequently, Newedge USA, LLC).
10.5*	Corporate Cash Account Management Agreement dated September 25, 2007 by and among the Fund, the General Partner and UBS Financial Services, Inc.
31.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002

*Filed with the Registrant’s Form 10 filed on April 27, 2009, and incorporated herein by reference.

**Filed with the Registrant’s Amendment No. 2 Form 10 filed on July 31, 2009, and incorporated herein by reference.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.

Dated May 14, 2012	Sage Fund Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner
		(Principal Executive Officer)

	By:	/s/ Carl A. Serger
	Name:	Carl A. Serger
	Title:	Chief Financial Officer and Director of the General Partner
		(Principal Financial and Accounting Officer)

SAGE FUND LP - FORM 10-Q - May 14, 2012

Attached files

SAGE FUND LP Reports