WESTPORT FUTURES FUND L.P. - FORM 10-Q

Attached files

file	filename
EXCEL - IDEA: XBRL DOCUMENT - WESTPORT FUTURES FUND L.P.	Financial_Report.xls
EX-32.2 - SECTION 1350 CERTIFICATION (CERTIFICATION OF CHIEF FINANCIAL OFFICER) - WESTPORT FUTURES FUND L.P.	d336122dex322.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF CHIEF FINANCIAL OFFICER - WESTPORT FUTURES FUND L.P.	d336122dex312.htm
EX-32.1 - SECTION 1350 CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - WESTPORT FUTURES FUND L.P.	d336122dex321.htm
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - WESTPORT FUTURES FUND L.P.	d336122dex311.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 000-24111

WESTPORT JWH FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-3939393

(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Ave — 14^th 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, 33,655.8618 Limited Partnership Redeemable Units were outstanding.

WESTPORT JWH 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

		Condensed 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 including the Financial Statements of JWH Master Fund LLC (unaudited)		7 – 26

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		27 – 29

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		30 – 32

	Item 4.	Controls and Procedures		33

PART II — Other Information				34 – 37

Exhibits

EX-31.1

EX-31.2

EX-32.1

EX-32.2

EX-101 INSTANCE DOCUMENT

EX-101 SCHEMA DOCUMENT

EX-101 CALCULATION LINKBASE DOCUMENT

EX-101 LABELS LINKBASE DOCUMENT

EX-101 PRESENTATION LINKBASE DOCUMENT

EX-101 DEFINITION LINKBASE DOCUMENT

PART I

Item 1. Financial Statements

Westport JWH Futures Fund L.P.

Statements of Financial Condition


	(Unaudited)
	March 31,		December 31,
	2012		2011
Assets:
Investment in JWH Master, at fair value	$	40,588,612	$	49,319,514
Equity in trading account:
Cash		6,861,728		6,385,471
Cash margin		813,220		1,021,675
Net unrealized appreciation on open futures contracts		54,025		176,403
Net unrealized appreciation on open forward contracts		—		28,388

Total trading equity		48,317,585		56,931,451
Interest receivable		289		—

Total assets	$	48,317,874	$	56,931,451


Liabilities and Partners’ Capital
Liabilities:
Net unrealized depreciation on open forward contracts	$	19,422	$	—
Accrued expenses:
Brokerage fees		211,306		249,075
Management fees		79,828		94,205
Other		190,338		159,142
Redemptions payable		1,447,173		847,822

Total liabilities		1,948,067		1,350,244


Partners’ Capital:
General Partner, 400.0879 unit equivalents outstanding at March 31, 2012 and December 31, 2011		513,617		606,621
Limited Partners, 35,720.3263 and 36,257.5397 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively		45,856,190		54,974,586

Total partners’ capital		46,369,807		55,581,207

Total liabilities and partners’ capital	$	48,317,874	$	56,931,451

Net asset value per unit	$	1,283.76	$	1,516.22

See accompanying notes to financial statements.

Westport JWH Futures Fund L.P.

Condensed Schedule of Investments

March 31, 2012

(Unaudited)


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		28	$	3,100			0.01	%
Energy		18		(51,296	)		(0.11	)
Grains		9		34,428			0.07
Indices		33		60,363			0.13
Interest Rates U.S.		33		2,925			0.00	*
Interest Rates Non-U.S.		39		9,159			0.02
Metals		4		(5,240	)		(0.01	)
Softs		16		(11,345	)		(0.02	)

Total futures contracts purchased				42,094			0.09


Futures Contracts Sold
Currencies		39		(59,231	)		(0.13	)
Energy		26		23,400			0.05
Grains		15		(10,888	)		(0.02	)
Interest Rates U.S.		1		250			0.00	*
Interest Rates Non-U.S.		3		(8,993	)		(0.02	)
Livestock		9		21,620			0.05
Softs		9		45,773			0.10

Total futures contracts sold				11,931			0.03


Unrealized Appreciation on Open Forward Contracts
Metals		8		21,728			0.05

Net unrealized appreciation on open forward contracts				21,728			0.05


Unrealized Depreciation on Open Forward Contracts
Metals		8		(41,150	)		(0.09	)

Net unrealized depreciation on open forward contracts				(41,150	)		(0.09	)


Investment in JWH Master				40,588,612			87.53

Net fair value			$	40,623,215			87.61	%

*	Due to rounding.

See accompanying notes to financial statements.

Westport JWH Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2011


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		6	$	(4,660	)		(0.01	)%
Interest Rates U.S.		24		27,266			0.05
Interest Rates Non-U.S.		48		92,019			0.17
Livestock		9		(5,400	)		(0.01	)
Metals		4		(61,160	)		(0.11	)

Total futures contracts purchased				48,065			0.09

Futures Contracts Sold
Currencies		61		(39,413	)		(0.07	)
Energy		34		158,416			0.28
Grains		25		(41,261	)		(0.07	)
Indices		26		479			0.00	*
Interest Rates U.S.		15		(938	)		(0.00	)*
Metals		2		(1,775	)		(0.00	)*
Softs		22		52,830			0.09

Total futures contracts sold				128,338			0.23

Unrealized Appreciation on Open Forward Contracts
Metals		14		28,388			0.05

Net unrealized appreciation on open forward contracts				28,388			0.05

Investment in JWH Master				49,319,514			88.73

Net fair value			$	49,524,305			89.10	%

*	Due to rounding.

See accompanying notes to financial statements.

Westport JWH 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	$	598		$	1,728
Interest income from investment in JWH Master		3,419			11,357

Total investment income		4,017			13,085

Expenses:
Brokerage fees including clearing fees		677,718			937,645
Management fees		245,959			341,672
Incentive fees		—			612
Other expenses		86,406			117,134

Total expenses		1,010,083			1,397,063

Net investment income (loss)		(1,006,066	)		(1,383,978	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in JWH Master
Net realized gains (losses) on closed contracts		363,362			329,298
Net realized gains (losses) on investment in JWH Master		(5,660,232	)		3,553,144
Change in net unrealized gains (losses) on open contracts		(170,188	)		(120,910	)
Change in net unrealized gains (losses) on investment in JWH Master		(2,254,670	)		(38,313	)

Total trading results		(7,721,728	)		3,723,219

Net income (loss)		(8,727,794	)		2,339,241
Subscriptions-Limited Partners		2,005,000			2,081,872
Redemptions-Limited Partners		(2,488,606	)		(1,883,984	)

Net increase (decrease) in Partners’ Capital		(9,211,400	)		2,537,129
Partners’ Capital, beginning of period		55,581,207			64,695,711

Partners’ Capital, end of period	$	46,369,807		$	67,232,840


Net asset value per unit (36,120.4142 and 37,287.2984 units outstanding at March 31, 2012 and 2011, respectively)	$	1,283.76		$	1,803.10


Net income (loss) per unit*	$	(232.46	)	$	62.05


Weighted average units outstanding		37,446.7878			37,786.4854

*	Based on change in net asset value per unit.

See accompanying notes to financial statements.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

1. General:

Westport JWH Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 21, 1997 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, commodity options, forward contracts and any other rights or interest pertaining there to including interest in commodity pools. The sectors traded include energy, currencies, grains, U.S. and non-U.S. interest rates, indices, softs, livestock and metals. The Partnership commenced trading on August 1, 1997. The commodity interests that are traded by the Partnership, directly, and through its investment in JWH Master Fund LLC (“JWH Master”), are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and selling agent 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 for the Partnership are made by John W. Henry & Company, Inc. (the “Advisor”).

The General Partner and each limited partner of the Partnership 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.

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.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

2. Financial Highlights:

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


	Three Months Ended
	March 31,
	2012			2011
Net realized and unrealized gains (losses) *	$	(223.70	)	$	73.87
Interest income		0.11			0.36
Expenses **		(8.87	)		(12.18	)

Increase (decrease) for the period		(232.46	)		62.05
Net asset value per unit, beginning of period		1,516.22			1,741.05

Net asset value per unit, end of period	$	1,283.76		$	1,803.10

* 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)		(8.1	)%		(8.4	)%
Incentive fees		—	%		—	%******

Net investment income (loss) before incentive fees*****		(8.1	)%		(8.4	)%


Operating expenses		8.1	%		8.5	%
Incentive fees		—	%		—	%******

Total expenses		8.1	%		8.5	%


Total return:
Total return before incentive fees		(15.3	)%		3.6	%
Incentive fees		—	%		—	%******

Total return after incentive fees		(15.3	)%		3.6	%

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

****	Annualized (other than incentive fees.)

*****

Interest income less total expenses.

******

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.

Westport JWH 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 results of the Partnership’s trading activities are shown in the Statements of Income and Expenses.

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

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership, during the three months ended March 31, 2012 and 2011 were 289 and 289, respectively. The monthly average number of metal forward contracts traded directly by the Partnership, during the three months ended March 31, 2012 and 2011 were 29 and 19, respectively.

The monthly average number of futures contracts traded by JWH Master, during the three months ended March 31, 2012 and 2011 were 1,703 and 2,197, respectively.

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

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The following tables indicate the Partnership’s gross fair values of derivative instruments of futures and forward contracts traded directly by the Partnership as separate assets and liabilities as of March 31, 2012, and December 31, 2011.


Assets	March 31, 2012
Futures Contracts	March 31, 2012
Currencies	$	7,388
Energy		23,400
Grains		34,428
Indices		81,484
Interest Rates U.S.		5,675
Interest Rates Non-U.S.		9,159
Livestock		21,620
Softs		45,773

Total unrealized appreciation on open futures contracts	$	228,927


Liabilities
Futures Contracts
Currencies	$	(63,519	)
Energy		(51,296	)
Grains		(10,888	)
Indices		(21,121	)
Interest Rates U.S.		(2,500	)
Interest Rates Non-U.S.		(8,993	)
Metals		(5,240	)
Softs		(11,345	)

Total unrealized depreciation on open futures contracts	$	(174,902	)

Net unrealized appreciation on open futures contracts	$	54,025	*


Assets
Forward Contracts
Metals	$	21,728

Total unrealized appreciation on open forward contracts	$	21,728


Liabilities
Forward Contracts
Metals	$	(41,150	)

Total unrealized depreciation on open forward contracts	$	(41,150	)

Net unrealized depreciation on open forward contracts	$	(19,422	)**

^*	This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

^**	This amount is in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)


	December 31, 2011
Assets
Futures Contracts
Currencies	$	13,437
Energy		165,786
Indices		13,946
Interest Rates U.S.		27,266
Interest Rates Non-U.S.		93,581
Softs		52,830

Total unrealized appreciation on open futures contracts	$	366,846


Liabilities
Futures Contracts
Currencies	$	(52,850	)
Energy		(12,030	)
Grains		(41,261	)
Indices		(13,467	)
Interest Rates U.S.		(938	)
Interest Rates Non-U.S.		(1,562	)
Livestock		(5,400	)
Metals		(62,935	)

Total unrealized depreciation on open futures contracts	$	(190,443	)

Net unrealized appreciation on open futures contracts	$	176,403	*


Assets
Forward Contracts
Metals	$	28,388

Net unrealized appreciation on open forward contracts	$	28,388	**

*	This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

**	This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.

The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2012, and 2011.


	Three Months Ended March 31,
Sector	2012			2011
Currencies	$	(141,428	)	$	(225,127	)
Energy		306,069			158,772
Grains		6,021			37,191
Indices		175,146			(132,736	)
Interest Rates U.S.		(79,522	)		(55,537	)
Interest Rates Non-U.S.		3,404			21,746
Livestock		21,170			24,250
Metals		(89,673	)		3,665
Softs		(8,013	)		376,164

Total	$	193,174	***	$	208,388	***

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

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

4. Fair Value Measurements:

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

Partnership’s and JWH Master’s Fair Value Measurements. Fair Value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s and JWH Master’s 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 Level 2 assets and liabilities.

The Partnership and JWH Master 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 by 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.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The Partnership and JWH Master consider prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in JWH Master (or other commodity pools) with no rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value of JWH Master (Level 2). The value of the Partnership’s investment in JWH Master reflects its proportional interest in JWH Master. As of and for the periods ended March 31, 2012, and December 31, 2011, the Partnership and JWH Master 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.


			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	March 31, 2012		(Level 1)		(Level 2)		(Level 3)
Assets
Futures	$	228,927	$	228,927	$	—	$	—
Forwards		21,728		21,728		—		—
Investment in JWH Master		40,588,612		—		40,588,612		—

Total assets	$	40,839,267	$	250,655	$	40,588,612	$	—


Liabilities
Futures	$	174,902	$	174,902	$	—	$	—
Forwards		41,150		41,150		—		—

Total liabilities	$	216,052	$	216,052	$	—	$	—

Net fair value	$	40,623,215	$	34,603	$	40,588,612	$	—


			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	December 31, 2011		(Level 1)		(Level 2)		(Level 3)
Assets
Forwards	$	28,388	$	28,388	$	—	$	—
Futures		366,846		366,846		—		—
Investment in JWH Master		49,319,514		—		49,319,514		—

Total assets	$	49,714,748	$	395,234	$	49,319,514		—


Liabilities
Futures	$	190,443	$	190,443	$	—	$	—

Total liabilities		190,443		190,443		—		—

Net fair value	$	49,524,305	$	204,791	$	49,319,514	$	—

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

5. Investment in JWH Master:

The Advisor trades a portion of the assets allocated to the Advisor directly, in accordance with the systematic JWH Diversified Plus Program. On January 2, 2008, 80% of the assets allocated to the Advisor for trading were invested in JWH Master, a limited liability company organized under the laws of the State of New York. The Partnership purchased 29,209.3894 units of JWH Master (each, a “Unit of Member Interest”) with cash equal to $39,540,753. JWH Master was formed in order to permit accounts managed by the Advisor using the JWH Global Analytics Program (the “Global Analytics Program”), a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is the managing member of the JWH Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be non-managing members of JWH Master. The General Partner and the Advisor believe that trading through this structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in JWH Master are approximately the same and redemptions rights are not affected.

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

JWH Master’s trading of futures and forward contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. JWH Master engages in such trading through commodity brokerage accounts maintained by CGM.

A non-managing member may withdraw all or part of its redeemable capital contributions and undistributed profits, if any, from JWH Master in multiples of the net asset value per Unit of Member Interest as of the end of any day (the “Redemption Date”), after a request for redemption has been made to the managing member at least three days in advance of the Redemption Date. The Unit of Member Interest is classified as a liability when the non-managing member elects to redeem and informs JWH Master.

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

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

At March 31, 2012, the Partnership owned approximately 88.8% of JWH Master. At December 31, 2011, the Partnership owned approximately 88.7% of JWH Master. The Partnership intends to continue to invest a portion of its assets in JWH Master. The performance of the Partnership is directly affected by the performance of JWH Master.

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Members’ Capital for the three months ended March 31, 2012 and 2011 are presented below:

JWH Master Fund LLC

Statements of Financial Condition


	(Unaudited) March 31,		December 31,
	2012		2011
Assets:
Equity in trading account:
Cash	$	38,751,389	$	43,003,090
Cash margin		7,311,764		10,415,335
Net unrealized appreciation on open futures contracts		—		2,255,526

Total assets	$	46,063,153	$	55,673,951

Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	286,173	$	—
Accrued expenses:
Professional fees		64,063		73,280

Total liabilities		350,236		73,280


Members’ Capital:
Members’ Capital, 17,086.4724 and 17,428.5973 units outstanding at March 31, 2012 and December 31, 2011, respectively		45,712,917		55,600,671

Total liabilities and members’ capital	$	46,063,153	$	55,673,951

Net asset value per unit	$	2,675.39	$	3,190.20

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

JWH Master Fund LLC

Condensed Schedule of Investments

March 31, 2012

(Unaudited)


	Number of Contracts		Fair Value			% of Members’ Capital
Futures Contracts Purchased
Currencies		137	$	42,444			0.09	%
Energy		225		(395,433	)		(0.86	)
Grains		148		777,750			1.70
Indices		78		264,030			0.58
Interest Rates Non-U.S.		267		106,429			0.23
Softs		297		(94,639	)		(0.21	)

Total futures contracts purchased				700,581			1.53


Futures Contracts Sold
Currencies		188		(285,525	)		(0.62	)
Energy		46		41,400			0.09
Grains		228		(304,738	)		(0.67	)
Interest Rates U.S.		195		(217,578	)		(0.48	)
Interest Rates Non-U.S.		8		(43,748	)		(0.10	)
Metals		171		(144,590	)		(0.31	)
Softs		50		(31,975	)		(0.07	)

Total futures contracts sold				(986,754	)		(2.16	)


Net fair value			$	(286,173	)		(0.63	)%

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

JWH Master Fund LLC

Condensed Schedule of Investments

December 31, 2011


	Number of Contracts		Fair Value			% of Members’ Capital
Futures Contracts Purchased
Grains		39	$	(688	)		(0.00	)%*
Interest Rates U.S.		272		249,655			0.45
Interest Rates Non-U.S.		325		506,564			0.91

Total futures contracts purchased				755,531			1.36

Futures Contracts Sold
Currencies		339		(132,556	)		(0.24	)
Energy		212		104,106			0.19
Grains		38		(102,125	)		(0.18	)
Indices		44		63,495			0.11
Interest Rates U.S.		138		(8,475	)		(0.02	)
Metals		236		1,315,470			2.36
Softs		588		260,080			0.47

Total futures contracts sold				1,499,995			2.69

Net fair value			$	2,255,526			4.05	%

*	Due to rounding.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

JWH Master Fund LLC

Statements of Income and Expenses and Changes in Members’ Capital

(Unaudited)


	Three Months Ended
	March 31,
	2012			2011
Investment Income:
Interest income	$	3,976		$	15,166

Total investment income		3,976			15,166

Expenses:
Clearing fees		26,629			23,123
Professional fees		15,503			42,224

Total expenses		42,132			65,347

Net investment income (loss)		(38,156	)		(50,181	)


Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(6,416,090	)		4,502,223
Change in net unrealized gains (losses) on open contracts		(2,541,699	)		(47,862	)

Total trading results		(8,957,789	)		4,454,361

Net income (loss)		(8,995,945	)		4,404,180
Subscriptions		1,914,000			1,765,498
Redemptions		(2,801,833	)		(2,169,307	)
Distribution of interest income to feeder funds		(3,976	)		(15,166	)

Net increase (decrease) in Members’ Capital		(9,887,754	)		3,985,205
Members’ capital, beginning of period		55,600,671			71,991,640

Members’ capital, end of period	$	45,712,917		$	75,976,845

Net asset value per unit (17,086.4724 and 21,130.9323 units outstanding at March 31, 2012 and 2011, respectively)	$	2,675.39		$	3,595.53

Net income (loss) per unit*	$	(514.58	)	$	207.46

Weighted average units outstanding		17,680.9732			21,396.2349

*	Based on change in net asset value per unit.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

JWH Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, JWH Master did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers that derive fair values from those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.


				Quoted Prices in
				Active Markets			Significant Other		Significant
				for Identical			Observable Inputs		Unobservable
	March 31, 2012			Assets (Level 1)			(Level 2)		Inputs (Level 3)
Assets
Futures	$	1,269,134		$	1,269,134		$	—	$	—

Total assets		1,269,134			1,269,134			—		—


Liabilities
Futures		1,555,307			1,555,307			—		—

Total Liabilities		1,555,307			1,555,307			—		—

Net fair value	$	(286,173	)	$	(286,173	)	$	—	$	—


				Quoted Prices in
				Active Markets			Significant Other		Significant
				for Identical			Observable Inputs		Unobservable
	December 31, 2011			Assets (Level 1)			(Level 2)		Inputs (Level 3)
Assets
Futures	$	3,003,214		$	3,003,214		$	—	$	—

Total assets		3,003,214			3,003,214			—		—


Liabilities
Futures		747,688			747,688			—		—

Total liabilities		747,688			747,688			—		—

Net fair value	$	2,255,526		$	2,255,526		$	—	$	—

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Financial Highlights of JWH Master:

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


	Three Months Ended
	March 31,
	2012			2011
Net realized and unrealized gains (losses)*	$	(513.91	)	$	208.73
Interest income		0.23			0.72
Expenses**		(0.90	)		(1.99	)

Increase (decrease) for the period		(514.58	)		207.46
Distributions of interest income to feeder funds		(0.23	)		(0.72	)
Net asset value per unit, beginning of period		3,190.20			3,388.79

Net asset value per unit, end of period	$	2,675.39		$	3,595.53

*	Includes clearing fees.

**	Excludes clearing fees.


	Three Months Ended
	March 31,
	2012			2011
Ratios to average net assets:***
Net investment income (loss)****		(0.3	)%		(0.3	)%

Operating expenses		0.3	%		0.4	%

Total return		(16.1	)%		6.1	%

***	Annualized.

****	Interest income less total expenses.

The above ratios may vary for individual investors based on the timing of capital transactions during the period.

Additionally, these ratios are calculated for the non-managing member class using the non-managing member’s share of income, expenses and average net assets.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The following tables indicate JWH Master’s gross fair values of derivative instruments of futures contracts as separate assets and liabilities as of March 31, 2012, and December 31, 2011.


	March 31,
	2012
Assets
Futures Contracts
Currencies	$	44,563
Energy		41,400
Grains		777,749
Indices		289,679
Interest Rates U.S.		2,344
Interest Rates Non-U.S.		106,429
Softs		6,970

Total unrealized appreciation on open futures contracts	$	1,269,134


Liabilities
Futures Contracts
Currencies	$	(287,644	)
Energy		(395,433	)
Grains		(304,737	)
Indices		(25,649	)
Interest Rates U.S.		(219,922	)
Interest Rates Non-U.S.		(43,748	)
Metals		(144,590	)
Softs		(133,584	)

Total unrealized depreciation on open futures contracts	$	(1,555,307	)

Net unrealized depreciation on open futures contracts	$	(286,173	)*

*	This amount is in “Net unrealized depreciation on open futures contracts” on JWH Master’s Statements of Financial Condition.


	December 31, 2011
Assets
Futures Contracts
Currencies	$	80,306
Energy		318,606
Indices		69,731
Interest Rates U.S.		249,655
Interest Rates Non-U.S.		512,801
Metals		1,455,860
Softs		316,255

Total unrealized appreciation on open futures contracts	$	3,003,214


Liabilities
Futures Contracts
Currencies	$	(212,862	)
Energy		(214,500	)
Grains		(102,812	)
Indices		(6,237	)
Interest Rates U.S.		(8,475	)
Interest Rates Non-U.S.		(6,237	)
Metals		(140,390	)
Softs		(56,175	)

Total unrealized depreciation on open futures contracts	$	(747,688	)

Net unrealized appreciation on open futures contracts	$	2,255,526	**

**	This amount is in “Net unrealized appreciation on open futures contracts” on JWH Master’s Statements of Financial Condition.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The following tables indicate JWH Master’s total trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2012, and 2011.


	Three Months Ended March 31,
Sector	2012			2011
Currencies	$	(942,569	)	$	(1,192,848	)
Energy		1,311,299			4,315,497
Grains		(721,338	)		(1,486,900	)
Indices		625,824			(970,965	)
Interest Rates U.S.		(1,159,856	)		(202,807	)
Interest Rates Non-U.S.		(1,201,129	)		(206,321	)
Metals		(5,366,295	)		1,218,895
Softs		(1,503,725	)		2,979,810

Total	$	(8,957,789	)***	$	4,454,361	***

***	This amount is in “Total trading results” on JWH Master’s Statements of Income and Expenses and Changes in Members’ Capital.

6. Financial Instrument Risks:

In the normal course of business, the Partnership and JWH Master are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and option contracts, 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 on specific terms on 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, certain forward and option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain option contracts. Each of these instruments is subject to various risks similar to those relating 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 0.0% to 0.3% of the Partnership’s / JWH Master’s 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 Partnership and JWH Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership and JWH Master are exposed to market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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

The General Partner monitors and attempts to control the Partnership’s and JWH Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership and JWH Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and option 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 Partnership’s and JWH Master’s business, these instruments may not be held to maturity.

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

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

The Partnership and JWH Master consider prices for exchange-traded commodity futures, forward and option contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward and option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in JWH Master or (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investment in JWH Master reflects its proportional interest in JWH Master. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership and JWH Master 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).

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Futures Contracts. The Partnership and JWH Master trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and JWH Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and JWH Master. When the contract is closed, the Partnership and JWH Master 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’/Members’ 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 Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership 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’/Members’ Capital.

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

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner 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 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.

Westport JWH Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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 assets are (i) investment in JWH Master, and (ii) equity in trading account, consisting of cash, cash margin, net unrealized appreciation on open futures contracts and net unrealized appreciation on open forward contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2012.

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

For the three months ended March 31, 2012, Partnership capital decreased 16.6% from $55,581,207 to $46,369,807. This decrease was attributable to a net loss from operations of $8,727,794, coupled with the redemption of 1,913.0836 Redeemable Units totaling $2,488,606, which was partially offset by the subscriptions of 1,375.8702 Redeemable Units totaling $2,005,000. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

JWH Master’s capital consists of the capital contributions of its members increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemption of Units of Member Interest and distributions of profits if any.

For the three months ended March 31, 2012, JWH Master’s capital decreased 17.8% from $55,600,671 to $45,712,917. This decrease was attributable to a net loss from operations of $8,995,945, coupled with the redemption of 964.0106 Units of Member Interest totaling $2,801,833 and distribution of interest income to feeder funds totaling $3,976, which was partially offset by the subscriptions of 621.8857 Units of Member Interest totaling $1,914,000. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

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

The Partnership and JWH Master record all investments at fair value in their 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’/Members’ Capital as applicable.

Results of Operations

During the Partnership’s first quarter of 2012, the net asset value per unit decreased 15.3% from $1,516.22 to $1,283.76 as compared to an increase of 3.6% in the first quarter of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2012 of $7,721,728. Losses were primarily attributable to the Partnership’s and JWH Masters’ trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates, metals and softs, which were partially offset by gains in energy, livestock and indices. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $3,723,219. Gains were primarily attributable to the Partnership’s and JWH Masters’ trading of commodity futures in energy, livestock, metals and softs and were partially offset by losses in currencies, grains, U.S. and non-U.S. interest rates and indices.

The most significant losses were recorded within the metals sector in January from short positions in gold and silver futures as prices advanced as the U.S. Federal Reserve’s pledge to keep U.S. borrowing costs low drove the U.S. dollar down, boosting demand for the precious metals. Additional losses were recorded in this sector during February and March from positions in gold and silver futures. Within the global interest rate sector, losses were incurred during February and March from long positions in U.S., European, and Japanese 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. Within the agricultural sector, losses were incurred primarily during January and February from short positions in sugar futures as prices advanced on concern that supplies will be tighter than forecast because of harvest delays in Brazil, the world’s largest producer of sugar. Elsewhere, losses were incurred throughout the majority of the quarter 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. Losses were also experienced within the currency markets from short positions in the euro, British pound, and Swiss franc versus the U.S. dollar as the value of these currencies reversed higher against the U.S. dollar during January.

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 Pacific Rim and U.S. 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 price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership and JWH Master depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership expects to increase capital through operations.

Interest income on 80% of the daily average equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of JWH Master’s) account was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income for the three months ended March 31, 2012 decreased by $9,068, as compared to the corresponding period in 2011. The decrease in interest income is 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 JWH Masters’ accounts and upon interest rates over which neither the Partnership, JWH Master nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees and clearing fees for the three months ended March 31, 2012 decreased by $259,927, as compared to the corresponding period in 2011. The decrease in brokerage fees and clearing 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 each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2012 decreased by $95,713, 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 the Advisor at the end of the quarter as defined in the advisory agreements among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three months ended March 31, 2012. Trading performance for the three months ended March 31, 2011, resulted in incentive fees of $612.

In allocating the assets of the Partnership to the trading Advisor, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the trading advisor 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 JWH programs in the following approximate percentages:


	March 31, 2012			December 31, 2011
Broadly Diversified Programs
JWH Global Analytics		84	%		90	%
JWH Diversified Plus		16	%		10	%

Item

3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership and JWH Master are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s and JWH Master’s 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 Partnership’s and JWH Master’s main line 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 Partnership’s and JWH Master’s open contracts and, consequently, in their earnings and cash balances. The Partnership’s and JWH Master’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s and JWH Master’s open contracts and the liquidity of the markets in which they trade.

The Partnership and JWH Master rapidly acquire and liquidate both long and short contracts 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 Partnership’s and JWH Master’s past performance is not necessarily indicative of their future results.

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

Exchange maintenance margin requirements have been used by the Partnership and JWH Master 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 sensitive instruments. The first two tables indicate the trading Value at Risk associated with the Partnership’s and JWH Master’s open positions by market category as of March 31, 2012 and December 31, 2011. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by JWH) and indirectly by JWH Master separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2012 and December 31, 2011. As of March 31, 2012, the Partnership’s total capitalization was $46,369,807.

March 31, 2012


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	989,038		2.13	%
Energy		1,219,247		2.63	%
Grains		309,585		0.67	%
Indices		342,329		0.74	%
Interest Rates U.S.		316,581		0.68	%
Interest Rates Non-U.S.		707,528		1.53	%
Livestock		10,800		0.02	%
Metals		1,599,096		3.45	%
Softs		535,205		1.15	%

Total	$	6,029,409		13.00	%

As of December 31, 2011, the Partnership’s total capitalization was $55,581,207.

December 31, 2011


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	1,483,475		2.67	%
Energy		941,508		1.69	%
Grains		128,473		0.23	%
Indices		203,699		0.37	%
Interest Rates U.S.		624,208		1.12	%
Interest Rates Non-U.S.		1,017,493		1.83	%
Livestock		138,860		0.25	%
Metals		2,499,722		4.50	%
Softs		1,220,468		2.20	%

Total	$	8,257,906		14.86	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments through JWH Master by market category as of March 31, 2012, and December 31, 2011, and the highest, lowest and average values at any point during the three months ended March 31, 2012, and the twelve months ended December 31, 2011. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of March 31, 2012, the Partnership’s Value at Risk for the portion of its assets allocated to the Diversified Plus Program that are traded directly by the Advisor, was as follows:

March 31, 2012


						Three months ended March 31, 2012
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	170,320		0.37	%	$	283,500	$	102,570	$	212,823
Energy		144,820		0.31	%		149,420		63,360		119,390
Grains		20,674		0.04	%		85,000		20,674		28,000
Indices		121,388		0.26	%		152,445		35,559		107,094
Interest Rates U.S.		12,885		0.03	%		63,650		7,749		40,928
Interest Rates Non -U.S.		95,593		0.21	%		140,096		55,097		108,080
Livestock		10,800		0.02	%		10,800		8,000		10,800
Metals		30,000		0.07	%		138,181		30,000		31,333
Softs		57,550		0.12	%		135,575		37,600		57,850

Totals	$	664,030		1.43	%

*	Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s Value at Risk for the portion of its assets allocated to the Diversified Plus Program that are traded directly by the Advisor 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	$	219,500		0.39	%	$	247,704	$	40,200	$	150,077
Energy		105,475		0.19	%		168,805		63,360		106,813
Grains		40,750		0.07	%		89,000		20,149		56,227
Indices		94,428		0.17	%		188,613		35,559		125,231
Interest Rates U.S.		54,060		0.10	%		73,300		7,749		47,078
Interest Rates Non -U.S.		138,860		0.25	%		138,860		55,097		103,443
Livestock		10,800		0.02	%		12,000		4,800		7,233
Metals		138,151		0.25	%		138,239		28,494		100,337
Softs		72,800		0.13	%		144,400		29,900		81,172

Totals	$	874,824		1.57	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, JWH Master’s total capitalization was $45,712,917. The Partnership owned approximately 88.8% of JWH Master. The JWH Master’s Value at Risk for its assets (including the portion of the Partnership’s assets that are traded indirectly) was as follows:

March 31, 2012


						Three months ended March 31, 2012
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	921,980		2.02	%	$	1,616,400	$	211,800	$	676,210
Energy		1,209,940		2.65	%		1,264,920		529,580		1,133,158
Grains		325,350		0.71	%		1,186,000		68,250		219,844
Indices		248,807		0.54	%		526,367		61,094		234,544
Interest Rates U.S.		342,000		0.75	%		614,200		74,200		310,492
Interest Rates Non -U.S.		689,116		1.51	%		1,414,147		206,777		749,192
Metals		1,767,000		3.86	%		2,806,000		195,039		1,304,333
Softs		537,900		1.18	%		1,971,480		247,550		394,600

Total	$	6,042,093		13.22	%

*	Average of month-end Values at Risk.

As of December 31, 2011, JWH Master’s total capitalization was $55,600,671. The Partnership owned approximately 88.7% of JWH Master. The JWH Master’s Value at Risk for its assets (including the portion of the Partnership’s assets that are traded indirectly) 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	$	1,425,000		2.56	%	$	1,616,400	$	196,662	$	978,654
Energy		942,540		1.70	%		1,328,648		68,850		757,468
Grains		98,899		0.18	%		1,186,000		98,899		629,229
Indices		147,575		0.27	%		539,176		58,237		263,018
Interest Rates U.S.		597,272		1.07	%		737,200		75,200		433,698
Interest Rates Non -U.S.		1,086,170		1.95	%		1,528,594		321,976		955,659
Metals		2,806,000		5.05	%		2,806,000		175,500		1,396,862
Softs		1,220,200		2.19	%		1,971,480		97,200		1,147,613

Total	$	8,323,656		14.97	%

*	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 (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

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

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of 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

For the three months ended March 31, 2012, there were subscriptions of 1,375.8702 Redeemable Units totaling $2,005,000. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as described in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, forwards and commodity option contracts, and any other rights or interests pertaining thereto including interest in commodity pools.

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


Period	(a) Total Number of Shares (or Units) Purchased*		(b) Average Price Paid per Share (or Unit)**		(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs
January 1, 2012- January 31, 2012		428.0793	$	1,326.71		N/A		N/A
February 1, 2012- February 29, 2012		357.7118	$	1,323.68		N/A		N/A
March 1, 2012- March 31, 2012		1,127.2925	$	1,283.76		N/A		N/A
Total		1,913.0836	$	1,300.83

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

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

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, dated March 21, 1997 (filed as Exhibit A to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).

3.2

Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated March 21, 1997 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).

(a)

Certificate of Amendment of the Certificate of Limited 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(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(b)

Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, effective January 31, 2000 (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 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 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 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 as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference).

(g)

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.2(g) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

(h)

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.2(h) to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

10.1

Form of Customer Agreement between the Partnership and Smith Barney Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).

(a)

Amendment No. 1 to the Customer Agreement, dated March 1, 2000 (filed as Exhibit 10.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.2

Form of Escrow Agreement and Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference).

(a)

Amendment to the Escrow Agreement and Instructions relating to escrow of subscription funds, dated April 8, 1997 (filed as Exhibit 10.2(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.3 (a)

Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company Inc., dated March 1, 2000 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(b)

Amendment No. 1 to the Amended and Restated Management Agreement, dated September 10, 2000 (filed as Exhibit 10.3(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(c)

Letter extending the Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company, Inc. for 2011, dated June 1, 2011 (filed as Exhibit 10.3(b) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.4

Form of Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.5

Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC and Citigroup Global Markets Inc., dated November 11, 2009 (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.6

Joinder Agreement among the General Partner, Citigroup Global Markets Inc., and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference

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

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

32.1 – Section 1350 Certification (Certification of President and Director)

32.2 – Section 1350 Certification (Certification of Chief Financial Officer)

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB XBRL Taxonomy Extension Label Linkbase Document

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document

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.

WESTPORT JWH 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

WESTPORT FUTURES FUND L.P. - FORM 10-Q - May 15, 2012

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WESTPORT FUTURES FUND L.P. Reports

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