DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.	Financial_Report.xls
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.	d336154dex311.htm
EX-32.2 - SECTION 1350 CERTIFICATION (CERTIFICATION OF CHIEF FINANCIAL OFFICER) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.	d336154dex322.htm
EX-32.1 - SECTION 1350 CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.	d336154dex321.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF CHIEF FINANCIAL OFFICER - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.	d336154dex312.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2012

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 000-26132

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-3729162
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Ceres Managed Futures LLC

522 5th Ave—14th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X No

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

Yes X No

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


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

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

Yes No X

As of April 30, 2012, 13,531.7530 Limited Partnership Redeemable Units were outstanding.

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.

FORM 10-Q

INDEX


		Page Number
PART I – Financial Information:
Item 1.	Financial Statements:
	Statements of Financial Condition at March 31, 2012 (unaudited) and December 31, 2011	3
	Schedules of Investments at March 31, 2012 (unaudited) and December 31, 2011	4 – 5
	Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)	6
	Notes to Financial Statements (unaudited)	7 – 17
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18 – 20
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	21 – 27
Item 4.	Controls and Procedures	28

PART II – Other Information		29 – 33
Exhibits
31.1 Certification
31.2 Certification
32.1 Certification
32.2 Certification
101.INS XBRL Instance Document.
101.SCH XBRL Taxonomy Extension Schema Document.
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB XBRL Taxonomy Extension Label Linkbase Document.
1010.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

PART I

Item 1. Financial Statements

Diversified Multi-Advisor Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) March 31, 2012		December 31, 2011

Assets:
Investment in Funds, at fair value	$	22,910,010	$	23,867,820
Cash		176,388		152,571

Total assets	$	23,086,398	$	24,020,391

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage fees	$	105,813	$	110,093
Management fees		35,478		36,790
Incentive fees		8,075		—
Other		116,395		90,567
Redemptions payable		596,499		257,831

Total liabilities		862,260		495,281

Partners’ Capital:
General Partner, 177.7568 unit equivalents outstanding at March 31, 2012 and December 31, 2011		286,196		291,459
Limited Partners, 13,625.7088 and 14,169.8681 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively		21,937,942		23,233,651

Total partners’ capital		22,224,138		23,525,110

Total liabilities and partners’ capital	$	23,086,398	$	24,020,391

Net asset value per unit	$	1,610.04	$	1,639.65

See accompanying notes to financial statements.

Diversified Multi-Advisor Futures Fund L.P.

Schedule of Investments

March 31, 2012

(Unaudited)


	Fair Value		% of Partners’ Capital
Investment in Funds
CMF Winton Master L.P.	$	6,331,193		28.49	%
CMF Willowbridge Argo Master Fund L.P.		3,940,335		17.73
CMF Graham Capital Master Fund L.P.		5,397,486		24.29
CMF Eckhardt Master Fund L.P.		6,426,384		28.92
CMF SandRidge Master Fund L.P.		814,612		3.66

Total investment in Funds, at fair value	$	22,910,010		103.09	%

See accompanying notes to financial statements.

Diversified Multi-Advisor Futures Fund L.P.

Schedule of Investments

December 31, 2011


	Fair Value		% of Partners’ Capital
Investment in Funds
CMF Winton Master L.P.	$	7,005,510		29.78	%
CMF Willowbridge Argo Master Fund L.P.		4,332,534		18.42
CMF Graham Capital Master Fund L.P.		5,385,866		22.89
CMF Eckhardt Master Fund L.P.		6,676,098		28.38
CMF SandRidge Master Fund L.P.		467,812		1.99

Total investment in Funds, at fair value	$	23,867,820		101.46	%

See accompanying notes to financial statements.

Diversified Multi-Advisor Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended March 31,
	2012			2011
Investment Income:
Interest income	$	1,886		$	5,627


Expenses:
Brokerage fees including clearing fees		344,844			427,097
Management fees		108,661			137,010
Incentive fees		8,075			—
Other expenses		46,647			39,713

Total expenses		508,227			603,820

Net investment income (loss)		(506,341	)		(598,193	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on investments in Funds		431,891			1,059,591
Change in net unrealized gains (losses) on investment in Funds		(343,489	)		(752,633	)

Total trading results from investment in Funds		88,402			306,958

Net income (loss)		(417,939	)		(291,235	)
Redemptions-Limited Partners		(883,033	)		(500,848	)

Net increase (decrease) in Partners’ Capital		(1,300,972	)		(792,083	)
Partners’ Capital, beginning of period		23,525,110			29,474,282

Partners’ Capital, end of period	$	22,224,138		$	28,682,199

Net asset value per unit (13,803.4656 and 15,659.8556 units outstanding at March 31, 2012 and 2011, respectively)	$	1,610.04		$	1,831.57

Net income (loss) per unit *	$	(29.61	)	$	(18.41	)

Weighted average units outstanding		14,267.9534			15,839.6443

*	Based on change in net asset value per unit.

See accompanying notes to unaudited financial statements.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

1. General:

Diversified Multi-Advisor Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on August 13, 1993 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Funds, (as defined in Note 5 “Investment in Funds”), are volatile and involve a high degree of market risk. The Partnership commenced trading operations on January 12, 1994. The Partnership was authorized to sell up to 300,000 redeemable units of limited partnership interest (“Redeemable Units”) during its initial offering period. The Partnership no longer offers Redeemable Units for sale.

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

As of March 31, 2012, all trading decisions are made for the Partnership by Willowbridge Associates, Inc. (“Willowbridge”), Winton Capital Management Limited (“Winton”), Graham Capital Management, L.P. (“Graham”), Eckhardt Trading Company (“Eckhardt”) and SandRidge Capital L.P. (“SandRidge”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors indirectly through investments in the Funds.

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

2. Financial Highlights:

Changes in the net asset value per unit for the three months ended March 31, 2012 and 2011 were as follows:

		000000000			000000000
	Three Months Ended March 31,
	2012			2011
Net realized and unrealized gains (losses)*	$	(18.29	)	$	(7.59	)
Interest income		0.13			0.35
Expenses**		(11.45	)		(11.17	)

Increase (decrease) for the period		(29.61	)		(18.41	)
Net asset value per unit, beginning of period		1,639.65			1,849.98

Net asset value per unit, end of period	$	1,610.04		$	1,831.57

*	Includes brokerage fees and clearing fees.

**	Excludes brokerage fees and clearing fees.


	Three Months Ended March 31,
	2012			2011*****
Ratios to average net assets:***
Net Investment Income (loss)		(8.6	)%		(8.3	)%
Incentive fees		0.0	%******		—	%

Net investment income (loss) before incentive fees****		(8.6	)%		(8.3	)%

Operating expenses		8.7	%		8.4	%
Incentive fees		0.0	%******		—	%

Total expenses		8.7	%		8.4	%

Total return:
Total return before incentive fees		(1.8	)%		(1.0	)%
Incentive fees		(0.0	)%******		—	%

Total return after incentive fees		(1.8	)%		(1.0	)%

***	Annualized (other than incentive fees).

****	Interest income less total expenses.

*****

The ratios are shown net and gross of incentive fees to conform to current period presentation.

******

Due to rounding.

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

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

3. Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership’s investments are in other funds which trade these instruments. The results of the Partnership’s trading activities from its investment in the Funds are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreements between the Partnership/Funds and CGM gives the Partnership and the Funds the legal right to net unrealized gains and losses on open futures and exchange-cleared swaps and open forward contracts. The Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swaps and on open forward contracts on the Funds’ Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) C 210 - 20, “Balance Sheet”, have been met.

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.

4. Fair Value Measurements:

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

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

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

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

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) with no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). There were no transfers of assets and liabilities between Level 1 and Level 2 during the quarter ended March 31, 2012.


	March 31, 2012		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	22,910,010	$	—	$	22,910,010	$	—

Net fair value	$	22,910,010	$	—	$	22,910,010	$	—


	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	23,867,820	$	—	$	23,867,820	$	—

Net fair value	$	23,867,820	$	—	$	23,867,820	$	—

5. Investment in Funds:

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 15,054.1946 units of Winton Master with cash equal to $14,251,586, and a contribution of open commodity futures and forward contracts with a fair value of $802,609. Winton Master was formed in order to permit commodity pools managed now or in the future by Winton using its Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures and forward contracts with a fair value of $1,141,230. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by Willowbridge using its Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,741.1555 units of Graham Master with cash equal to $14,741,156. Graham Master was formed in order to permit accounts managed now and in the future by Graham using its K4D-15V Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure promotes efficiency and economy in the trading process.

On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash equal to $7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2009, the assets allocated to SandRidge for trading were invested in CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash equal to $2,818,836. SandRidge was formed in order to permit accounts managed now and in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure promotes efficiency and economy in the trading process.

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended March 31, 2012.

Winton Master’s, Willowbridge Master’s, Graham Master’s, Eckhardt Master’s and SandRidge Master’s (collectively, the “Funds”), trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner of the Funds may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner of the Funds at least three business days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

As of March 31, 2012, the Partnership owned approximately 0.8%, 9.7%, 4.3%, 32.0% and 0.2% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. As of December 31, 2011, the Partnership owned approximately 0.9%, 7.4%, 4.2%, 32.6% and 0.2% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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


	March 31, 2012
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	820,063,704	$	3,108,679	$	816,955,025
Willowbridge Master		40,497,338		58,093		40,439,245
Graham Master		126,414,592		815,596		125,598,996
Eckhardt Master		20,210,407		108,458		20,101,949
SandRidge Master		336,627,273		114,501		336,512,772

Total	$	1,343,813,314	$	4,205,327	$	1,339,607,987


	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	822,377,909	$	104,133	$	822,273,776
Willowbridge Master		58,685,838		62,005		58,623,833
Graham Master		127,567,600		44,426		127,523,174
Eckhardt Master		20,578,273		71,694		20,506,579
SandRidge Master		303,638,504		7,192,752		296,445,752

Total	$	1,332,848,124	$	7,475,010	$	1,325,373,114

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) for the Funds is shown in the following tables.

		0000000000			0000000000			0000000000
	For the three months ended March 31, 2012
	Net Investment Income (loss)			Total trading results			Net Income (Loss)
Winton Master	$	(150,144	)	$	(6,587,082	)	$	(6,737,226	)
Willowbridge Master		(24,293	)		(2,080,068	)		(2,104,361	)
Graham Master		(154,873	)		3,061,669			2,906,796
Eckhardt Master		(50,920	)		245,610			194,690
SandRidge Master		(232,244	)		49,569,214			49,336,970

Total	$	(612,474	)	$	44,209,343		$	43,596,869

		,0000000000			,0000000000			,0000000000
	For the three months ended March 31, 2011
	Net Investment Income (loss)			Total trading results			Net Income (Loss)
Winton Master	$	46,285		$	22,234,532		$	22,280,817
Willowbridge Master		(25,559	)		6,874,935			6,849,376
Graham Master		(146,256	)		(1,070,720	)		(1,216,976	)
Eckhardt Master		(54,656	)		(273,717	)		(328,373	)
SandRidge Master		(250,105	)		15,043,073			14,792,968

Total	$	(430,291	)	$	42,808,103		$	42,377,812

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds is shown in the following tables.


	March 31, 2012					For the three months ended March 31, 2012										Investment Objective		Redemptions Permitted
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)
									Expenses
Investment									Brokerage Fees		Other
Winton Master		28.49	%	$	6,331,193	$	(43,904	)	$	1,639	$	187	$	(45,730	)		Commodity Portfolio		Monthly
Willowbridge Master		17.73	%		3,940,335		(196,310	)		902		1,635		(198,847	)		Commodity Portfolio		Monthly
Graham Master		24.29	%		5,397,486		129,682			6,399		644		122,639			Commodity Portfolio		Monthly
Eckhardt Master		28.92	%		6,426,384		84,082			11,179		5,808		67,095			Commodity Portfolio		Monthly
SandRidge Master		3.66	%		814,612		116,738			360		142		116,236			Energy Portfolio		Monthly

Total				$	22,910,010	$	90,288		$	20,479	$	8,416	$	61,393


	December 31, 2011					For the three months ended March 31, 2011										Investment Objective	Redemptions Permitted
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)
									Expenses
Investment									Brokerage Fees		Other
Winton Master		29.78	%	$	7,005,510	$	171,402		$	961	$	231	$	170,210		Commodity Portfolio	Monthly
Willowbridge Master		18.42	%		4,332,534		195,511			1,011		743		193,757		Commodity Portfolio	Monthly
Graham Master		22.89	%		5,385,866		(41,844	)		6,680		971		(49,495	)	Commodity Portfolio	Monthly
Eckhardt Master		28.38	%		6,676,098		(98,597	)		13,867		5,747		(118,211	)	Commodity Portfolio	Monthly
SandRidge Master		1.99	%		467,812		86,113			1,238		417		84,458		Energy Portfolio	Monthly

Total				$	23,867,820	$	312,585		$	23,757	$	8,109	$	280,719

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investments in the Funds, is a party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include forward and certain option contracts. Specific market movements of commodities of futures contracts underlying an option cannot be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates at any given time approximately 4% to 12% of its contracts are traded OTC.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

Market risk is the potential for changes in the value of the financial instruments traded by the Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s/Funds’ assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Funds do not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

7. Critical Accounting Policies

Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

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

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) with no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).

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

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Funds. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Options. The Funds may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Diversified Multi-Advisor Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events. The General Partner of the Partnership evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

Net Income (Loss) per unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “ Financial Highlights”.

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investments in the Funds and cash. The Funds’ only assets are their equity in trading accounts, consisting of cash and cash equivalents, net unrealized appreciation on open futures and exchange-cleared swaps contracts, net unrealized appreciation on forward contracts, commodity options, if applicable, and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investments in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2012.

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

For the three months ended March 31, 2012, Partnership capital decreased 5.5% from $23,525,110 to $22,224,138. This decrease was attributable to a net loss from operations of $417,939 coupled with the redemptions of 544.1593 Redeemable Units totaling $883,033. Future redemptions could impact the amount of funds available for investment in the Funds in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s/Funds’ significant accounting policies are described in detail in Note 7 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s first quarter of 2012, the net asset value per unit decreased 1.8% from $1,639.65 to $1,610.04 as compared to a decrease of 1.0% in the first quarter of 2011. The Partnership experienced a net trading gain, through its investments in the Funds, before brokerage fees and related fees in the first quarter of 2012 of $88,402. Gains were primarily attributable to the trading by the Funds of commodity futures in energy, livestock and indices and were partially offset by losses in currencies, grains, U.S. and non-U.S. interest rates, metals and softs. The Partnership experienced a net trading gain, through its investments in the Funds before brokerage fees and related fees in the first quarter of 2011 of $306,958. Gains were primarily attributable to the trading by the Funds of commodity futures in energy, livestock, metals, indices and softs and were partially offset by losses in currencies, grains, U.S. and non-U.S. interest rates.

The most significant losses were recorded within the global interest rate sector during February and March from long positions in U.S., European, Japanese, and Australian fixed-income futures. During February, prices fell amid optimism that Greece would receive a second bailout, thereby diminishing demand for the relative “safety” of government bonds. Meanwhile, prices fell further during March after the U.S. Federal Reserve upwardly revised their U.S. economic outlook. Losses were experienced within the currency markets throughout the majority of the quarter. In January, short positions in the British pound, euro, and Swiss franc versus the U.S. dollar resulted in losses as the value of these currencies reversed higher against the U.S. dollar. During March, long positions in the Canadian dollar and Mexican peso versus the U.S. dollar resulted in losses as the value of these commodity-linked currencies fell against the U.S. dollar after concern over earnings in China reduced demand for higher-yielding currency assets. Within the metals markets, losses were recorded throughout the majority of the quarter from short positions aluminum and zinc futures as prices advanced on speculation metals demand will be supported by economic expansion in the U.S. and an easing credit policy in China. Elsewhere, losses were experienced from long positions in silver futures as prices declined on speculation that the U.S. Federal Reserve will refrain from offering additional stimulus as the economy recovers, eroding demand for the precious metal. Additional losses were incurred within the agricultural complex, primarily during January, from short positions in cocoa futures as prices advanced on concern supplies from the Ivory Coast may weaken. Meanwhile, losses were incurred from long positions in corn futures as prices declined on speculation that rising U.S. ethanol stockpiles will slow demand for the grain, boosting supply.

A portion of the Partnership’s losses for the quarter was offset by gains experienced within the energy sector from short positions in natural gas futures as prices dropped throughout the majority of the quarter amid ample inventories and mild weather across the U.S. Additional gains were experienced during February from long futures positions in RBOB (unleaded) gasoline and Brent crude as prices increased on concerns over inventory levels and rising tensions in the Middle East. Within the global stock index sector, gains were achieved throughout the majority of the quarter from long positions in U.S., European, and Pacific Rim equity index futures as prices were buoyed higher by better-than-expected economic reports in these regions. Prices also rose after China cut banks’ reserve requirements to fuel lending and the U.S. Federal Reserve Board raised its assessment of the U.S. economy.

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

Interest income on 80% of the average daily equity maintained in cash in the Funds’ brokerage accounts was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3 month U.S. Treasury bills maturing in 30 days. Interest income from investment in the Funds for the three months ended March 31, 2012 decreased by $3,741, as compared to the corresponding period in 2011. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three months ended March 31, 2012 as compared to the corresponding period in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership/Funds nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the last day of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees and clearing fees for the three months ended March 31, 2012 decreased by $82,253, as compared to the corresponding period in 2011. The decrease in brokerage fees is due to lower average net assets during the three months ended March 31, 2012 as compared to the corresponding period in 2011.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of the month and are affected by trading performance and redemptions. Management fees for the three months ended March 31, 2012 decreased by $28,349, as compared to the corresponding period in 2011. The decrease in management fees is due to lower average net assets during the three months ended March 31, 2012 as compared to the corresponding period in 2011.

Incentive fees are based on the new trading profits generated by each Advisor at the end of the quarter as defined in the management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three months ended March 31, 2012 resulted in incentive fees of $8,075. There were no incentive fees earned for the three months ended March 31, 2011. An Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership among the trading advisors, the General Partner considers each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the trading advisors and may allocate assets to additional advisors at any time.

As of March 31, 2012 and December 31, 2011, the Partnership’s assets were allocated among the trading Advisors in the following approximate percentages:


Advisor	March 31, 2012			December 31, 2011
Winton Capital Management Limited		28	%		30	%
Willowbridge Associates Inc.		18	%		18	%
Graham Capital Management L.P		23	%		23	%
Eckhardt Trading Company		29	%		28	%
SandRidge Capital L.P.		2	%		1	%

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

The limited partners will not be liable for losses exceeding the current net asset value of their investment.

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

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

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts, over which they have been granted limited authority to make trading decisions. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership indirectly, through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by each Fund separately. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011. The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2012. As of March 31, 2012, the Partnership’s total capitalization was $22,224,138.

March 31, 2012


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	600,764		2.70	%
Energy		391,731		1.76	%
Grains		112,955		0.51	%
Indices		660,977		2.98	%
Interest Rates U.S.		91,684		0.41	%
Interest Rates Non-U.S.		526,601		2.37	%
Livestock		6,364		0.03	%
Lumber		156		0.00	%*
Metals		177,517		0.80	%
Softs		103,910		0.47	%

Total	$	2,672,659		12.03	%

*	Due to rounding.

As of December 31, 2011, the Partnership’s total capitalization was $23,525,110.

December 31, 2011


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	742,291		3.16	%
Energy		201,599		0.86	%
Grains		122,245		0.52	%
Indices		264,489		1.12	%
Interest Rates U.S.		271,332		1.15	%
Interest Rates Non-U.S.		465,449		1.98	%
Livestock		2,817		0.01	%
Metals		245,117		1.04	%
Softs		104,913		0.45	%

Total	$	2,420,252		10.29	%

The following tables indicate the trading Value at Risk associated with the Partnership’s investments in the Funds by market category as of March 31, 2012 and December 31, 2011 and the highest, lowest and average value during the three months ended March 31, 2012 and during the twelve months ended December 31, 2011. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

As of March 31, 2012, Winton Master’s total capitalization was $816,955,025, and the Partnership owned approximately 0.8% of Winton Master. As of March 31, 2012, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	32,770,243		4.01	%	$	34,270,494	$	8,078,809	$	30,155,496
Energy		10,850,962		1.33	%		11,050,143		2,085,790		8,719,757
Grains		2,361,564		0.29	%		4,371,245		1,505,551		3,030,813
Indices		23,591,477		2.89	%		30,512,453		8,217,059		23,631,762
Interest Rates U.S.		3,822,340		0.47	%		10,629,550		539,209		6,638,528
Interest Rates Non-U.S.		11,844,253		1.44	%		21,596,400		3,615,228		14,305,649
Livestock		451,200		0.06	%		451,200		44,375		401,100
Lumber		19,500		0.00	%**		21,000		1,500		13,000
Metals		6,863,837		0.84	%		9,553,925		6,413,729		7,630,585
Softs		1,859,527		0.23	%		2,551,922		463,289		1,919,370

Total	$	94,434,903		11.56	%

*	Average of month-end Values at Risk.

**	Due to rounding.

As of December 31, 2011, Winton Master’s total capitalization was $822,273,776. The Partnership owned approximately 0.9% of Winton Master. As of December 31, 2011, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	19,312,483		2.35	%	$	19,312,483	$	6,398,762	$	12,470,587
Energy		1,525,274		0.19	%		4,524,046		1,245,529		2,842,674
Grains		2,535,708		0.31	%		4,371,245		540,481		2,326,464
Indices		6,526,149		0.79	%		17,629,694		3,776,392		10,297,535
Interest Rates U.S.		5,466,250		0.67	%		8,976,950		539,209		4,614,681
Interest Rates Non-U.S.		12,924,419		1.57	%		15,134,879		2,448,536		8,402,040
Livestock		262,550		0.03	%		340,400		42,650		213,377
Metals		6,253,557		0.76	%		7,869,347		3,994,864		5,990,862
Softs		1,583,804		0.19	%		2,456,982		329,218		1,207,483

Total	$	56,390,194		6.86	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, Willowbridge Master’s total capitalization was $40,439,245. The Partnership owned approximately 9.7% of Willowbridge Master. As of March 31, 2012, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	212,979		0.53	%	$	3,114,825	$	212,979	$	543,573
Energy		187,480		0.46	%		3,518,500		187,480		414,493
Grains		204,250		0.51	%		2,109,250		49,500		158,833
Interest Rates U.S.		31,875		0.08	%		1,213,250		31,875		193,892
Livestock		25,200		0.06	%		76,000		13,200		17,200
Softs		215,000		0.53	%		2,629,700		37,700		177,433

Total	$	876,784		2.17	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Willowbridge Master’s total capitalization was $58,623,833. The Partnership owned approximately 7.4% of Willowbridge Master. As of December 31, 2011, Willowbridge Master’s Value at Risk for its assets (including the Portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,519,874		2.60	%	$	3,114,825	$	191,750	$	1,146,326
Energy		283,500		0.48	%		4,681,000		144,000		1,513,100
Interest Rates U.S.		285,900		0.49	%		1,654,100		108,350		417,625
Interest Rates Non-U.S.		813,981		1.39	%		2,784,138		382,835		972,513
Metals		1,350,000		2.30	%		4,137,702		272,000		1,716,030
Softs		481,250		0.82	%		3,503,200		112,000		1,050,396

Total	$	4,734,505		8.08	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, Graham Master’s total capitalization was $125,598,996. The Partnership owned approximately 4.3% of Graham Master. As of March 31, 2012, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,932,243		2.33	%	$	14,645,028	$	2,932,243	$	4,034,576
Energy		3,313,986		2.64	%		3,576,694		430,473		2,846,436
Grains		808,031		0.65	%		1,548,650		436,750		904,239
Indices		7,212,315		5.74	%		11,180,261		3,276,704		7,274,223
Interest Rates U.S.		190,045		0.15	%		2,390,488		91,689		1,243,390
Interest Rates Non-U.S.		5,163,732		4.11	%		6,411,562		813,077		5,317,338
Livestock		7,200		0.01	%		63,600		1,200		10,400
Metals		1,595,641		1.27	%		2,278,016		616,825		1,259,297
Softs		946,658		0.75	%		999,000		241,774		739,956

Total	$	22,169,851		17.65	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Graham Master’s total capitalization was $127,523,174. The Partnership owned approximately 4.2% of Graham Master. As of December 31, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	5,181,686		4.06	%	$	14,715,746	$	1,934,690	$	8,500,010
Energy		2,114,289		1.66	%		2,114,289		430,473		1,224,336
Grains		1,611,500		1.27	%		1,783,300		325,891		633,165
Indices		4,513,393		3.54	%		11,180,261		924,448		3,873,039
Interest Rates U.S.		1,636,222		1.28	%		4,564,925		91,689		1,397,376
Interest Rates Non-U.S.		5,486,252		4.30	%		5,647,770		813,077		2,296,485
Livestock		10,800		0.01	%		127,950		2,400		35,984
Metals		2,117,496		1.66	%		2,219,604		616,825		1,237,109
Softs		987,729		0.77	%		987,729		161,005		421,227

Total	$	23,659,367		18.55	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, Eckhardt Master’s total capitalization was $20,101,949. The Partnership owned approximately 32.0% of Eckhardt Master. As of March 31, 2012, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

March 31, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	599,552		2.98	%	$	1,671,011	$	345,179	$	672,001
Energy		383,400		1.91	%		7,866,490		191,724		341,000
Grains		123,453		0.61	%		528,082		5,000		123,971
Indices		506,610		2.52	%		889,841		49,718		380,514
Interest Rates U.S.		155,755		0.78	%		553,700		3,900		260,213
Interest Rates Non -U.S.		655,646		3.26	%		655,646		21,132		436,580
Metals		168,732		0.84	%		618,550		101,978		155,403
Softs		85,850		0.43	%		124,357		29,700		66,283

Total	$	2,678,998		13.33	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Eckhardt Master’s total capitalization was $20,506,579. The Partnership owned approximately 32.6% of Eckhardt Master. As of December 31, 2011, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	731,217		3.57	%	$	1,678,029	$	27,951	$	834,998
Energy		223,190		1.10	%		886,666		6,000		412,832
Grains		97,363		0.47	%		528,082		3,500		144,509
Interest Rates U.S.		405,700		1.98	%		1,698,650		3,900		330,777
Interest Rates Non-U.S.		179,363		0.87	%		1,114,087		9,616		264,205
Softs		41,600		0.20	%		131,208		10,463		66,776
Indices		49,666		0.24	%		1,132,389		5,600		466,488

Total	$	1,728,099		8.43	%

* Annual average of month-end Values at Risk.

As of March 31, 2012, SandRidge Master’s total capitalization was $336,512,772. The Partnership owned approximately 0.2% of SandRidge Master. As of March 31, 2012, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	10,774,354		3.20	%	$	61,733,650	$	2,425,471	$	14,120,025

Total	$	10,774,354		3.20	%

* Average of month-end Values at Risk.

As of December 31, 2011, SandRidge Master’s total capitalization was $296,445,752. The Partnership owned approximately 0.2% of SandRidge Master. As of December 31, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	2,666,386		0.90	%	$	61,733,650	$	1,015,817	$	20,188,738

Total	$	2,666,386		0.90	%

*	Annual average of month-end Values at Risk.

Item 4. Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2012 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•

pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•

provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

•

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended March 31, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011. There are no material legal proceedings pending against the Partnership and the General Partner.

Subprime Mortgage-Related Litigation and Other Matters

On March 15, 2012, the United States Court of Appeals for the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals in SEC v. CGMI. Additional information relating to this matter is publicly available in court filings under docket numbers 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.) and 11-5227 (2d Cir.).

Item 1A. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011.

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

The Partnership no longer offers Redeemable Units for sale.

The following chart sets forth the purchases of Redeemable Units by the Partnership.


Period	(a) Total Number of Units Purchased*		(b) Average Price Paid per Unit**		(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs
January 1, 2012 — January 31, 2012		65.3425	$	1,643.32		N/A		N/A
February 1, 2012 — February 29, 2012		108.3296	$	1,653.80		N/A		N/A
March 1, 2012 — March 31, 2012		370.4872	$	1,610.04		N/A		N/A
		544.1593	$	1,622.75

Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption although, to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

**	Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.

Item 3. Defaults Upon Senior Securities — None

Item 4. Mine Safety Disclosures — None

Item 5. Other Information — None

Item 6. Exhibits



3.1		Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).

3.2	(a)	Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York on October 13, 1993 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).

	(b)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(c)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(d)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(e)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(f)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 3.2(f) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference).

	(g)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated April 12, 2010 (filed as Exhibit 3.2(g) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference).

	(h)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated July 2, 2010 (filed as exhibit 3.1 to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

	(i)	Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as exhibit 3.1 to the Form 8-K filed on September 9, 2011 and incorporated herein by reference).

10.1		Customer Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).

10.2		Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).

10.3	(a)	Management Agreement among the Partnership, the General Partner and Willowbridge (filed as an exhibit to the Form 10-K filed on March 29, 2000 and incorporated herein by reference).

	(b)	Letter extending Management Agreement with Willowbridge from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.3(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).



10.4	(a)	Management Agreement among the Partnership, the General Partner and Winton (filed as an exhibit to the Form 10-K filed on March 27, 2002 and incorporated herein by reference).

	(b)	Letter extending Management Agreement with Winton from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.4(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.5	(a)	Management Agreement among the Partnership, the General Partner and Graham (filed as an exhibit to the Form 10-K filed on March 27, 2002 and incorporated herein by reference).

	(b)	Letter extending Management Agreement with Graham from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.5(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.6	(a)	Management Agreement among the Partnership, the General Partner and Eckhardt (filed as an exhibit to the Form 10-Q filed on August 14, 2008 and incorporated herein by reference).

	(b)	Letter extending Management Agreement with Eckhardt from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.6(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.7	(a)	Management Agreement among the Partnership, the General Partner and SandRidge (filed as Exhibit 10.1 to the Form 8-K filed on June 2, 2009 and incorporated herein by reference).

	(b)	Letter extending Management Agreement with SandRidge from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.8		Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

31.1		Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). (filed herein)

31.2		Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer). (filed herein)

32.1		Section 1350 Certification (Certification of President and Director). (filed herein)

32.2		Section 1350 Certification (Certification of Chief Financial Officer). (filed herein)

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

1010.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.


By:		Ceres Managed Futures LLC
		(General Partner)


By:		/s/ Walter Davis
		Walter Davis
		President and Director

Date: May 15, 2012


By:		/s/ Brian Centner
		Brian Centner
		Chief Financial Officer
		(Principal Accounting Officer)

Date: May 15, 2012

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DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. Reports

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. - FORM 10-Q - May 15, 2012

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DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. Reports