DIVERSIFIED 2000 FUTURES FUND L.P. - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED 2000 FUTURES FUND L.P.	Financial_Report.xls
EX-32.2 - SECTION 1350 CERTIFICATION (CERTIFICATION OF CFO AND DIRECTOR) - DIVERSIFIED 2000 FUTURES FUND L.P.	d407533dex322.htm
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - DIVERSIFIED 2000 FUTURES FUND L.P.	d407533dex311.htm
EX-32.1 - SECTION 1350 CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - DIVERSIFIED 2000 FUTURES FUND L.P.	d407533dex321.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF CHIEF FINANCIAL OFFICER AND DIRECTOR - DIVERSIFIED 2000 FUTURES FUND L.P.	d407533dex312.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 September 30, 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 000-32599

DIVERSIFIED 2000 FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4077759
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(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 the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X No

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


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

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

Yes No X

As of October 31, 2012, 32,797.2125 Limited Partnership Redeemable Units were outstanding.

DIVERSIFIED 2000 FUTURES FUND L.P.

FORM 10-Q

INDEX


			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011	3

		Schedules of Investments at September 30, 2012 (unaudited) and December 31, 2011	4 – 5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2012 and 2011 (unaudited)	6

		Notes to Financial Statements (unaudited)	7 – 18

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	19 – 22

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	23 – 30

	Item 4.	Controls and Procedures	31

PART II - Other Information

	Item 1.	Legal Proceedings	32

	Item 1A.	Risk Factors	33

	Item 2.	Unregistered Sales of Equity and Use of Proceeds	34

	Item 5.	Other Information	35

	Item 6.	Exhibits	36 – 37

PART I

Item 1. Financial Statements

Diversified 2000 Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) September 30, 2012		December 31, 2011

Assets:
Investment in Funds, at fair value	$	41,660,937	$	47,740,622
Cash		137,043		149,724

Total assets	$	41,797,980	$	47,890,346

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage fees	$	188,092	$	215,507
Management fees		59,074		66,731
Other		121,049		124,347
Redemptions payable		517,671		234,600

Total liabilities		885,886		641,185

Partners’ Capital:
General Partner, 362.6499 and 441.6499 unit equivalents outstanding at September 30, 2012 and December 31, 2011, respectively		442,270		558,082
Limited Partners, 33,184.1005 and 36,949.8362 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively		40,469,824		46,691,079

Total partners’ capital		40,912,094		47,249,161

Total liabilities and partners’ capital	$	41,797,980	$	47,890,346

Net asset value per unit	$	1,219.55	$	1,263.63

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Schedule of Investments

September 30, 2012

(Unaudited)


	Fair Value		% of Partners’ Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	9,018,001		22.04	%
CMF Graham Capital Master Fund L.P.		6,762,299		16.53
CMF SandRidge Master Fund L.P.		1,906,109		4.66
CMF Eckhardt Master Fund L.P.		8,752,792		21.40
Waypoint Master Fund L.P.		9,840,490		24.05
PGR Master Fund L.P.		5,381,246		13.15

Total investment in Funds, at fair value	$	41,660,937		101.83	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Schedule of Investments

December 31, 2011


	Fair Value		% of Partners’ Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	10,684,071		22.61	%
CMF Graham Capital Master Fund L.P.		7,211,965		15.26
CMF SandRidge Master Fund L.P.		3,100,202		6.56
CMF Eckhardt Master Fund L.P.		8,516,333		18.03
Waypoint Master Fund L.P.		11,149,118		23.60
PGR Master Fund L.P.		7,078,933		14.98

Total investment in Funds, at fair value	$	47,740,622		101.04	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment income:
Interest income from investment in Funds	$	5,310		$	1,581		$	13,963		$	14,766


Expenses:
Brokerage fees including clearing fees		608,668			764,260			1,927,957			2,395,406
Management fees		181,780			228,947			568,295			715,475
Incentive fees		—			172,824			—			172,824
Other		29,915			52,205			157,990			218,974

Total expenses		820,363			1,218,236			2,654,242			3,502,679

Net investment income (loss)		(815,053	)		(1,216,655	)		(2,640,279	)		(3,487,913	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on investment in Funds		(149,531	)		970,227			2,004,244			1,962,746
Change in net unrealized gains (losses) on investment in Funds		721,529			1,264,538			(848,683	)		(56,146	)

Total trading results		571,998			2,234,765			1,155,561			1,906,600

Net income (loss)		(243,055	)		1,018,110			(1,484,718	)		(1,581,313	)
Redemptions - General Partner		(100,389	)		—			(100,389	)		—
Redemptions - Limited Partners		(1,272,581	)		(1,348,254	)		(4,751,960	)		(5,744,207	)

Net increase (decrease) in Partners’ Capital		(1,616,025	)		(330,144	)		(6,337,067	)		(7,325,520	)
Partners’ Capital, beginning of period		42,528,119			52,419,066			47,249,161			59,414,442

Partners’ Capital, end of period	$	40,912,094		$	52,088,922		$	40,912,094		$	52,088,922

Net asset value per unit (33,546.7504 and 38,083.9989 units outstanding at September 30, 2012 and 2011, respectively)	$	1,219.55		$	1,367.74		$	1,219.55		$	1,367.74

Net income (loss) per unit *	$	(7.83	)	$	25.74		$	(44.08	)	$	(38.77	)

Weighted average units outstanding		34,291.9634			38,740.2279			35,502.1467			39,923.0945

*	Based on change in net asset value per unit.

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

1.	General:

Diversified 2000 Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on August 25, 1999 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 Partnership, through its investment in the Funds (as defined in note 5, “Investments in Funds”), are volatile and involve a high degree of market risk.

Between January 31, 2000 (commencement of the initial offering period) and May 30, 2000, 16,045 redeemable units of limited partnership interest (“Redeemable Units”) and 162 general partner unit equivalents were sold at $1,000 per unit. The proceeds of the initial offering were held in an escrow account until May 31, 2000, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell up to 150,000 Redeemable Units during its initial offering period. As of November 25, 2002, the Partnership was authorized to sell an additional 40,000 Redeemable Units. 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. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“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 Inc.

As of September 30, 2012, all trading decisions are made for the Partnership by Aspect Capital Limited (“Aspect”), Graham Capital Management L.P. (“Graham”), Eckhardt Trading Company (“Eckhardt”), SandRidge Capital L.P. (“SandRidge”), Waypoint Capital Management LLC (“Waypoint”) and PGR Capital LLP (“PGR”) (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 shall be 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 September 30, 2012 and December 31, 2011 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 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.

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2.	Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2012 and 2011 were as follows:


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses)*	$	(1.81	)	$	37.42		$	(24.06	)	$	(11.35	)
Interest income		0.16			0.04			0.40			0.37
Expenses**		(6.18	)		(11.72	)		(20.42	)		(27.79	)

Increase (decrease) for period		(7.83	)		25.74			(44.08	)		(38.77	)
Net asset value per unit, beginning of period		1,227.38			1,342.00			1,263.63			1,406.51

Net asset value per unit, end of period	$	1,219.55		$	1,367.74		$	1,219.55		$	1,367.74

*	Includes brokerage fees.

**	Excludes brokerage fees.


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011*****			2012			2011*****
Ratios to average net assets: ***
Net investment income (loss)		(7.7	)%		(8.1	)%		(7.9	)%		(8.3	)%
Incentive fees		0.0	%		0.3	%		0.0	%		0.3	%

Net investment loss before incentive fees ****		(7.7	)%		(7.8	)%		(7.9	)%		(8.0	)%

Operating expenses		7.7	%		7.9	%		8.0	%		8.1	%
Incentive fees		0.0	%		0.3	%		0.0	%		0.3	%

Total expenses		7.7	%		8.2	%		8.0	%		8.4	%

Total return:
Total return before incentive fees		(0.6	)%		2.3	%		(3.5	)%		(2.4	)%
Incentive fees		0.0	%		(0.4	)%		0.0	%		(0.4	)%

Total return after incentive fees		(0.6	)%		1.9	%		(3.5	)%		(2.8	)%

***	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.

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

3.	Trading Activities:

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

The customer agreements between the Partnership and CGM and each of the Funds and CGM give 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 Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swaps and 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 Funds are held for trading purposes.

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.

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

4.	Fair Value Measurements:

Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), held by 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 the Financial Accounting Standards Board’s (“FASB”) 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.

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 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 funds reflects its proportional interest in the funds. As of and for the periods ended September 30, 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 nine months ended September 30, 2012.


	September 30, 2012		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	$	41,660,937	$	—	$	41,660,937	$	—

Net fair value	$	41,660,937	$	—	$	41,660,937	$	—


	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	$	47,740,622	$	—	$	47,740,622	$	—

Net fair value	$	47,740,622	$	—	$	47,740,622	$	—

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

5.	Investments in Funds:

On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 43,434.9465 units of Aspect Master with cash equal to $40,490,895, and a contribution of open commodity futures and forward contracts with a fair value of $2,944,052. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect 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 Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 41,952.2380 units of Graham Master with cash equal to $41,952,238. Graham Master was formed in order to permit accounts managed now or in the future by Graham using the K4D - 15V program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2007, 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 7,659.0734 units of SandRidge Master with cash equal to $9,635,703. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure should promote efficiency and economy in the trading process.

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 10,000.0000 units of Eckhardt Master with cash equal to $10,000,000. Eckhardt Master was formed in order to permit accounts managed now or in the future by Eckhardt using its Standard Program-Higher Leveraged, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is the also 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 March 1, 2010, the assets allocated to Waypoint for trading were invested in Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 5,975.7506 units of Waypoint Master with cash of $5,975,751. Waypoint Master was formed in order to permit accounts managed now or in the future by Waypoint using its Diversified Futures Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to PGR for trading were invested in PGR Master Fund L.P. (“PGR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 5,000.0000 units of PGR Master with cash equal to $5,000,000. PGR Master was formed in order to permit accounts managed now or in the future by PGR using its Mayfair Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process.

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended September 30, 2012.

Aspect Master’s, Graham Master’s, SandRidge Master’s, Eckhardt Master’s, Waypoint Master’s and PGR Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and option 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 Fund at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

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

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

At September 30, 2012, the Partnership owned approximately 6.4% of Aspect Master, 7.3% of Graham Master, 0.6% of SandRidge Master, 42.1% of Eckhardt Master, 31.4% of Waypoint Master and 13.1% of PGR Master. At December 31, 2011, the Partnership owned approximately 6.5% of Aspect Master, 5.7% of Graham Master, 1.0% of SandRidge Master, 41.5% of Eckhardt Master, 28.4% of Waypoint Master and 15.7% of PGR Master. It is Aspect’s, Graham’s, SandRidge’s, Eckhardt’s, Waypoint’s and PGR’s intention to continue to invest the assets allocated to each by the Partnership in Aspect Master, Graham Master, SandRidge Master, Eckhardt Master, Waypoint Master and PGR Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

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


	September 30, 2012
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	142,664,482	$	1,335,013	$	141,329,469
Graham Master		95,924,800		3,450,230		92,474,570
SandRidge Master		311,313,835		16,909,222		294,404,613
Eckhardt Master		20,974,138		155,310		20,818,828
Waypoint Master		31,382,544		52,873		31,329,671
PGR Master		41,607,425		458,160		41,149,265

Total	$	643,867,224	$	22,360,808	$	621,506,416


	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	163,744,655	$	39,491	$	163,705,164
Graham Master		127,567,600		44,426		127,523,174
SandRidge Master		303,638,504		7,192,752		296,445,752
Eckhardt Master		20,578,273		71,694		20,506,579
Waypoint Master		39,260,567		68,237		39,192,330
PGR Master		45,105,430		68,484		45,036,946

Total	$	699,895,029	$	7,485,084	$	692,409,945

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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


	For the three months ended September 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(56,443	)	$	(3,873,903	)	$	(3,930,346	)
Graham Master		(76,849	)		1,524,964			1,448,115
SandRidge Master		(212,727	)		(19,078,252	)		(19,290,979	)
Eckhardt Master		(28,830	)		1,967,793			1,938,963
Waypoint Master		(33,044	)		(451,172	)		(484,216	)
PGR Master		(28,037	)		615,526			587,489

Total	$	(435,930	)	$	(19,295,044	)	$	(19,730,974	)


	For the nine months ended September 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(178,209	)	$	(5,359,870	)	$	(5,538,079	)
Graham Master		(337,956	)		566,270			228,314
SandRidge Master		(592,387	)		29,005,472			28,413,085
Eckhardt Master		(118,720	)		3,074,933			2,956,213
Waypoint Master		(120,412	)		2,339,558			2,219,146
PGR Master		(97,360	)		(6,275,503	)		(6,372,863	)

Total	$	(1,445,044	)	$	23,350,860		$	21,905,816


	For the three months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(41,821	)	$	17,484,618		$	17,442,797
Graham Master		(213,853	)		(7,001,386	)		(7,215,239	)
SandRidge Master		(153,758	)		18,193,702			18,039,944
Eckhardt Master		(36,609	)		(2,067,641	)		(2,104,250	)
Waypoint Master		(42,646	)		5,476,730			5,434,084
PGR Master		(26,811	)		2,066,599			2,039,788

Total	$	(515,498	)	$	34,152,622		$	33,637,124


	For the nine months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(120,427	)	$	15,053,518		$	14,933,091
Graham Master		(596,969	)		(15,857,052	)		(16,454,021	)
SandRidge Master		(584,251	)		48,322,928			47,738,677
Eckhardt Master		(153,299	)		(2,439,928	)		(2,593,227	)
Waypoint Master		(156,111	)		4,716,133			4,560,022
PGR Master		(80,503	)		2,550,365			2,469,862

Total	$	(1,691,560	)	$	52,345,964		$	50,654,404

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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


	September 30, 2012					For the three months ended September 30, 2012
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment		Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective		Permitted
Aspect Master		22.04	%	$	9,018,001	$	(242,115	)	$	3,095	$	1,730	$	(246,940	)		Commodity Portfolio		Monthly
Graham Master		16.53	%		6,762,299		79,279			4,682		1,669		72,928			Commodity Portfolio		Monthly
SandRidge Master		4.66	%		1,906,109		(90,917	)		1,161		549		(92,627	)		Energy Portfolio		Monthly
Eckhardt Master		21.40	%		8,752,792		832,889			7,545		5,683		819,661			Commodity Portfolio		Monthly
Waypoint Master		24.05	%		9,840,490		(109,971	)		6,779		4,543		(121,293	)		Commodity Portfolio		Monthly
PGR Master		13.15	%		5,381,246		108,143			3,299		2,054		102,790			Commodity Portfolio		Monthly

Total				$	41,660,937	$	577,308		$	26,561	$	16,228	$	534,519


	September 30, 2012					For the nine months ended September 30, 2012
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment		Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective		Permitted
Aspect Master		22.04	%	$	9,018,001	$	(333,301	)	$	8,904	$	5,965	$	(348,170	)		Commodity Portfolio		Monthly
Graham Master		16.53	%		6,762,299		(6,998	)		19,530		3,681		(30,209	)		Commodity Portfolio		Monthly
SandRidge Master		4.66	%		1,906,109		386,813			3,575		1,803		381,435			Energy Portfolio		Monthly
Eckhardt Master		21.40	%		8,752,792		1,291,250			31,788		20,712		1,238,750			Commodity Portfolio		Monthly
Waypoint Master		24.05	%		9,840,490		685,135			24,165		14,201		646,769			Commodity Portfolio		Monthly
PGR Master		13.15	%		5,381,246		(853,375	)		11,740		6,730		(871,845	)		Commodity Portfolio		Monthly

Total				$	41,660,937	$	1,169,524		$	99,702	$	53,092	$	1,016,730


	December 31, 2011					For the three months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment		Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective		Permitted
Aspect Master		22.61	%	$	10,684,071	$	1,126,336		$	2,420	$	613	$	1,123,303			Commodity Portfolio		Monthly
Graham Master		15.26	%		7,211,965		(397,462	)		11,068		1,291		(409,821	)		Commodity Portfolio		Monthly
SandRidge Master		6.56	%		3,100,202		271,402			1,261		1,159		268,982			Energy Portfolio		Monthly
Eckhardt Master		18.03	%		8,516,333		(857,344	)		9,381		6,099		(872,824	)		Commodity Portfolio		Monthly
Waypoint Master		23.60	%		11,149,118		1,630,077			9,381		4,052		1,616,644			Commodity Portfolio		Monthly
PGR Master		14.98	%		7,078,933		463,337			2,446		3,698		457,193			Commodity Portfolio		Monthly

Total				$	47,740,622	$	2,236,346		$	35,957	$	16,912	$	2,183,477


	December 31, 2011					For the nine months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment		Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective		Permitted
Aspect Master		22.61	%	$	10,684,071	$	985,073		$	7,635	$	3,046	$	974,392			Commodity Portfolio		Monthly
Graham Master		15.26	%		7,211,965		(808,772	)		32,925		3,524		(845,221	)		Commodity Portfolio		Monthly
SandRidge Master		6.56	%		3,100,202		773,147			6,593		3,655		762,899			Energy Portfolio		Monthly
Eckhardt Master		18.03	%		8,516,333		(1,006,795	)		45,271		20,896		(1,072,962	)		Commodity Portfolio		Monthly
Waypoint Master		23.60	%		11,149,118		1,373,894			37,027		15,912		1,320,955			Commodity Portfolio		Monthly
PGR Master		14.98	%		7,078,933		604,819			6,746		15,221		582,852			Commodity Portfolio		Monthly

Total				$	47,740,622	$	1,921,366		$	136,197	$	62,254	$	1,722,915

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 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, swaps 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 swaps and certain forward and option contracts. Specific market movements of commodities of futures contracts underlying an option cannot accurately 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 that at any given time approximately 10.8% to 38.0% of the Funds’ contracts are traded over the counter.

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 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 positions 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 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 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’ Investments. All commodity interests held by the Partnership (including derivative financial instruments and derivative commodity instruments), through its 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.

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 were 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 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 funds reflects its proportional interest in the funds. As of and for the periods ended September 30, 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 nine months ended September 30, 2012.

Diversified 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 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 income (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 2000 Futures Fund L.P.

Notes to Financial Statements

September 30, 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 2009 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.

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. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. 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 comparison 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. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership/Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2012.

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

For the nine months ended September 30, 2012, Partnership capital decreased 13.4% from $47,249,161 to $40,912,094. This decrease was attributable to redemptions of 3,765.7357 Redeemable Units resulting in an outflow of $4,751,960, and the redemption of 79.0000 General Partner units equivalents totaling 100,389, coupled with the net loss of $1,484,718. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions 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 the Funds 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 trading gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the third quarter of 2012, the Partnership’s net asset value per unit decreased 0.6% from $1,227.38 to $1,219.55 as compared to an increase of 1.9% in the third quarter of 2011. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the third quarter of 2012 of $571,998. Gains were primarily attributable to the Funds trading in currencies, grains, indices and U.S. interest rates and were partially offset by losses in energy, livestock, metals, softs and non-U.S interest rates. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the third quarter of 2011 of $2,234,765. Gains were primarily attributable to the Funds trading in metals, U.S. and non-U.S. interest rates and were partially offset by losses in currencies, energy, grains, indices, livestock and softs.

The most significant losses were incurred within the energy sector, primarily during July and September, from short positions in natural gas futures as prices climbed higher on forecasts of hotter-than-normal weather that may erode a natural gas stockpile surplus. Elsewhere, losses were incurred from short positions in crude oil and its related products as prices advanced on rising concern that instability in the Middle East will disrupt supplies from a region responsible for about one-third of world production. Within the soft commodities sector, losses were incurred throughout the majority of the quarter from short positions in coffee futures as prices rose on speculation that supplies will tighten in South America, the world’s top coffee producing region. Within the metals sector, losses were experienced primarily during August, from short positions in silver futures as prices moved higher on speculation governments from China to the U.S. may take additional steps to spur economic growth. Losses were also recorded in this sector from short positions in platinum futures as prices rose amid concern continued labor-related violence at mines in South Africa will curb supplies. Within the global interest rate markets, losses were incurred primarily during August and September from long positions in European and U.S. fixed income futures as prices declined as the European Central Bank announced details of a plan to buy sovereign bonds of highly-indebted euro-region nations, dimming the allure of “refuge” assets. Meanwhile, prices of European and U.S. fixed income futures continued to decline amid demand for riskier assets after the U.S. Federal Reserve said it will buy mortgage-back securities and keep interest rates “exceptionally low” to spur the economy. A portion of the Partnership’s losses during the quarter was offset by gains experienced within the currency sector primarily during July and September due to long positions in the British pound, Indian rupee, and Mexican peso versus the U.S. dollar after the U.S. dollar declined amid the U.S. Federal Reserve announcement of bond buying to bolster the economy in a program of quantitative easing that tends to debase the currency. Within the stock indices sector, gains were experienced primarily during August and September from long positions in U.S. equity index futures as prices moved higher, sending the Standard & Poor’s 500 Index to the highest level since 2007, as the U.S. Federal Reserve’s plan to buy mortgage securities fueled demand for “riskier” assets. European equity index futures prices also advanced as an unexpected decline in Chinese manufacturing boosted speculation China will announce further stimulus. Gains were also experienced in the agricultural markets, primarily during July, from long positions in soybean futures as prices reached the highest level since July 2008 as a heat wave and drought in the U.S. Midwest threatened to limit output. Additional gains were experienced from long positions in wheat futures.

During the Partnership’s nine months ended September 30, 2012, the net asset value per unit decreased 3.5% from $1,263.63 to $1,219.55 as compared to a decrease of 2.8% in the same period of 2011. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the nine months ended September 30, 2012 of $1,155,561. Gains were primarily attributable to the Funds trading in energy, and U.S. and non-U.S. interest rates and were partially offset by losses in currencies, grains, indices, livestock metals and softs. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the nine months ended September 30, 2011 of $1,906,600. Gains were primarily attributable to the Funds trading in energy, metals, U.S. and non-U.S. interest rates and were partially offset by losses in currencies, grains, indices, livestock and softs.

The most significant losses were incurred within the metals sector, primarily during August, from short positions in silver futures as prices advanced on speculation governments from China to the U.S. may take additional steps to spur economic growth. Losses were also recorded from short positions in platinum futures as prices rose amid concern continued labor-related violence at mines in South Africa will curb supplies. Within the currency sector, losses were incurred primarily during June from short positions in the British pound versus the U.S. dollar as the value of the British pound advanced as European Union leaders eased terms on loans to Spanish banks, taking a step towards resolving the region’s debt crisis. Additional losses in this sector were incurred from short positions in the Canadian dollar versus the U.S. dollar. Within the agricultural sector, losses were incurred primarily during May from long positions in soybean futures as prices declined, experiencing the largest monthly drop since September, as rain and cool weather in some U.S. growing areas boosted prospects for recently planted soybean crops. Losses were also experienced in the agricultural sector during September from long positions in corn futures as prices fell on speculation that U.S. Midwest rain during August limited crop damage caused by the severe drought in June and July in the U.S. Within the soft commodities sector, losses were incurred primarily during June from short positions in sugar futures as prices advanced as commodity prices rallied on Europe’s plans to bolster its economy and stem the debt crisis. Sugar futures prices continued to move higher on signs that rains will hamper crops in Brazil, the world’s top producer of sugar. Within the global stock indices, losses were experienced primarily during April and May due to short futures positions in Pacific Rim and European equity index futures as prices rose on speculation the Chinese government will ease monetary policy and global central banks will take action to bolster economies amid Europe’s sovereign debt crisis. A portion of the Partnership’s losses during the first nine months of the year was offset by gains achieved within the global interest rate sector, primarily during April and May, from long positions in European, U.S., and Australian fixed-income futures as prices advanced amid increasing concern Europe’s debt crisis is worsening, purring demand for the relative “safety” of government debt. Additional profits from long positions in this sector were recorded during July. Gains were also experienced in the energy sector, primarily during February and March, from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S.

Commodity futures markets are highly volatile. Broad and rapid price fluctuations increase the risks involved in commodity trading, but also increase the possibility for profit or loss. 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 Partnership’s allocable portion of the average daily equity maintained in cash in the Funds’ brokerage 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 from investment in the Funds for the three months ended September 30, 2012 increased by $3,729 as compared to the corresponding period in 2011. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three months ended September 30, 2012, as compared to the corresponding period in 2011. Interest income from investment in the Funds for the nine months ended September 30, 2012 decreased by $803 as compared to the corresponding period in 2011. The decrease of interest income is primarily due to lower average net assets during the nine months ended September 30, 2012. 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 nor CGM has control.

Brokerage fees are calculated on the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance and redemptions. Brokerage fees for the three and nine months ended September 30, 2012 decreased by $155,592 and $467,449, respectively, as compared to the corresponding periods in 2011. The decrease in brokerage fees is primarily due to a decrease in average net assets during the three and nine months ended September 30, 2012, as compared to the corresponding periods in 2011.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three and nine months ended September 30, 2012 decreased by $47,167 and $147,180, respectively, as compared to the corresponding periods in 2011. The decrease in management fees is primarily due to a decrease in average net assets during the three and nine months ended September 30, 2012, as compared to the corresponding periods in 2011.

Incentive fees are based on the new trading profits generated by each Advisor as defined in the management agreement among the Partnership, the General Partner and each Advisor and are payable annually. There were no incentive fees earned for the three and nine months ended September 30, 2012. Trading performance for the three and nine months ended September 30, 2011 resulted in an incentive fee accrual of $172,824.

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 September 30, 2012 and June 30, 2012, the Partnership’s assets were allocated among the trading Advisors in the following approximate percentages.


Advisor	September 30, 2012			June 30, 2012
Aspect Capital Limited		22	%		22	%
Graham Capital Management L.P.		16	%		16	%
SandRidge Capital Management L.P		5	%		4	%
Eckhardt Trading Company		21	%		20	%
Waypoint Capital Management LLC		23	%		23	%
PGR Capital LLP		13	%		15	%

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 them 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 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 Funds’ open positions and, consequently, in their earnings and cash balances. The Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects of the Funds’ open contracts and the liquidity of the markets 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 performance is 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’ 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 Funds’ losses in any market sector will be limited to Value at Risk or by the Funds’ attempts to manage its market risk.

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 tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2012 and December 31, 2011. As of September 30, 2012, the Partnership’s total capitalization was $40,912,094.

September 30, 2012


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	4,437,753		10.85	%
Energy		575,972		1.41	%
Grains		212,429		0.52	%
Indices		1,547,880		3.78	%
Interest Rates U.S.		415,741		1.01	%
Interest Rates Non-U.S.		1,058,281		2.59	%
Livestock		12,367		0.03	%
Metals		432,291		1.06	%
Softs		164,225		0.40	%

Total	$	8,856,939		21.65	%

As of December 31, 2011, the Partnership’s total capitalization was $47,249,161.

December 31, 2011


	Value at Risk		% of Total Capitalization
Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	1,226,446		2.60	%
Energy		416,314		0.88	%
Grains		234,357		0.50	%
Indices		606,159		1.28	%
Interest Rates U.S.		483,829		1.02	%
Interest Rates Non-U.S.		1,311,683		2.78	%
Livestock		6,858		0.01	%
Lumber		488		0.00	%*
Metals		286,993		0.61	%
Softs		173,921		0.37	%

Total	$	4,747,048		10.05	%

*	Due to rounding.

The following tables indicate the trading Value at Risk associated with the Partnership’s investments in the Funds by market category as of September 30, 2012 and December 31, 2011, and the highest, lowest and average value during the three months ended September 30, 2012 and for 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 September 30, 2012, Aspect Master’s total capitalization was $141,329,469. The Partnership owned approximately 6.4% of Aspect Master. As of September 30, 2012, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

September 30, 2012


						Three Months Ended September 30, 2012
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	11,095,458		7.85	%	$	11,095,458	$	8,035,101	$	9,819,027
Energy		746,920		0.53	%		1,050,723		614,998		855,480
Grains		740,696		0.52	%		937,803		483,900		718,861
Indices		3,614,980		2.56	%		3,692,898		1,403,855		2,704,840
Interest Rates U.S.		904,075		0.64	%		1,104,825		899,025		976,867
Interest Rates Non-U.S.		2,841,330		2.01	%		4,285,846		2,594,956		3,676,543
Livestock		153,900		0.11	%		203,750		116,250		155,967
Metals		2,028,515		1.43	%		3,472,258		1,769,619		2,645,136
Softs		788,550		0.56	%		847,554		336,425		653,386

Total	$	22,914,424		16.21	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Aspect Master’s total capitalization was $163,705,164. The Partnership owned approximately 6.5% of Aspect Master. As of December 31, 2011, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

December 31, 2011


	Value at Risk		% of Total Capitalization			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	$	2,807,437		1.71	%	$	9,705,808	$	1,688,702	$	5,538,957
Energy		1,507,645		0.92	%		2,078,345		854,247		1,329,387
Grains		593,449		0.36	%		738,173		102,816		421,438
Indices		1,940,895		1.19	%		3,093,179		914,885		1,992,336
Interest Rates U.S.		999,225		0.61	%		2,289,150		83,863		1,060,327
Interest Rates Non-U.S.		6,012,060		3.67	%		6,742,007		699,901		4,253,781
Livestock		58,360		0.04	%		131,900		4,785		63,524
Lumber		7,500		0.00	%**		9,000		1,300		6,483
Metals		1,645,692		1.01	%		1,857,539		649,748		1,226,695
Softs		697,143		0.43	%		891,860		324,467		526,580

Total	$	16,269,406		9.94	%

*	Annual average of month-end Value at Risk.

**	Due to rounding.

As of September 30, 2012, Graham Master’s total capitalization was $92,474,570. The Partnership owned approximately 7.3% of Graham Master. As of September 30, 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:

September 30, 2012


	Value at Risk		% of Total Capitalization			Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,567,494		2.78	%	$	4,733,601	$	2,153,005	$	3,523,033
Energy		1,048,265		1.13	%		1,446,040		328,716		958,017
Grains		736,750		0.80	%		1,199,925		694,650		863,867
Indices		5,066,164		5.48	%		5,399,465		3,650,988		4,751,021
Interest Rates U.S.		1,287,925		1.39	%		1,827,200		1,011,300		1,466,600
Interest Rates Non-U.S.		3,253,133		3.52	%		3,871,167		2,704,921		3,450,631
Livestock		10,800		0.01	%		35,175		8,550		17,642
Metals		949,025		1.03	%		2,984,515		661,356		1,897,484
Softs		705,600		0.76	%		970,701		454,083		717,721

Total	$	15,625,156		16.90	%

*	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 5.7% 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


	Value at Risk		% of Total Capitalization			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 Value at Risk.

As of September 30, 2012, SandRidge Master’s total capitalization was $294,404,613. The Partnership owned approximately 0.6% of SandRidge Master. As of September 30, 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:

September 30, 2012


	Value at Risk		% of Total Capitalization			Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	21,675,334		7.36	%	$	21,675,334	$	12,624,778	$	16,720,061

Total	$	21,675,334		7.36	%

*	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 1.0% 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


	Value at Risk		% of Total Capitalization			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 Value at Risk.

As of September 30, 2012, Eckhardt Master’s total capitalization was $20,818,828. The Partnership owned approximately 42.1% of Eckhardt Master. As of September 30, 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:

September 30, 2012


	Value at Risk		% of Total Capitalization			Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	922,883		4.43	%	$	1,071,074	$	724,883	$	868,887
Energy		384,300		1.85	%		407,700		133,170		308,657
Grains		183,000		0.88	%		273,678		132,250		198,691
Indices		641,834		3.08	%		674,922		433,616		576,305
Interest Rates U.S.		386,150		1.86	%		551,825		130,300		428,808
Interest Rates Non -U.S.		714,189		3.43	%		719,853		137,819		530,915
Metals		139,887		0.67	%		316,501		83,378		195,621
Softs		56,529		0.27	%		111,543		25,033		67,130

Total	$	3,428,772		16.47	%

*	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 41.5%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


	Value at Risk		% of Total Capitalization			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
Indices		49,666		0.24	%		1,132,389		5,600		466,488
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

Total	$	1,728,099		8.43	%

*	Annual average of month-end Value at Risk.

As of September 30, 2012, Waypoint Master’s total capitalization was $31,329,671. The Partnership owned approximately 31.4% of Waypoint Master. As of September 30, 2012, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

September 30, 2012


	Value at Risk		% of Total Capitalization			Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	9,796,551		31.27	%	$	9,805,183	$	801,893	$	5,059,039
Energy		108,000		0.34	%		108,000		15,277		86,833
Indices		1,095,273		3.50	%		1,111,107		84,388		608,173
Interest Rates U.S.		30,800		0.10	%		537,550		30,800		175,308
Interest Rates Non-U.S.		73,820		0.24	%		961,765		42,234		450,284
Metals		476,500		1.52	%		476,500		16,200		235,333
Softs		44,550		0.14	%		71,500		32,200		61,117

Total	$	11,625,494		37.11	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Waypoint Master’s total capitalization was $39,192,330. The Partnership owned approximately 28.4% of Waypoint Master. As of December 31, 2011, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

December 31, 2011


	Value at Risk		% of Total Capitalization			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	$	1,465,318		3.74	%	$	10,317,436	$	325,222	$	5,419,330
Energy		47,250		0.12	%		195,000		12,250		73,156
Grains		181,500		0.46	%		221,500		15,000		94,143
Indices		84,070		0.21	%		1,861,926		19,012		596,211
Interest Rates U.S.		339,700		0.87	%		591,250		26,000		244,963
Interest Rates Non-U.S.		1,096,807		2.80	%		1,537,795		55,028		713,282
Metals		137,000		0.35	%		245,750		17,000		151,548
Softs		108,000		0.28	%		353,250		14,700		75,763

Total	$	3,459,645		8.83	%

* Annual average of month-end Values at Risk.

As of September 30, 2012, PGR Master’s total capitalization was $41,149,265. The Partnership owned approximately 13.1% of PGR Master. As of September 30, 2012, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

September 30, 2012


	Value at Risk		% of Total Capitalization			Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	576,840		1.40	%	$	762,065	$	432,268	$	601,058
Energy		961,005		2.34	%		1,196,135		160,426		728,593
Grains		261,062		0.63	%		358,000		237,500		281,271
Indices		2,538,650		6.17	%		2,560,803		1,081,839		1,858,086
Interest Rates U.S.		699,400		1.70	%		769,700		699,400		723,417
Interest Rates Non -U.S.		2,405,375		5.85	%		3,330,100		2,129,042		2,847,649
Livestock		13,200		0.03	%		15,600		1,200		8,800
Metals		188,350		0.46	%		659,250		152,000		395,750
Softs		186,727		0.45	%		220,726		133,869		178,685

Total	$	7,830,609		19.03	%

*	Average of month-end Values at Risk.

As of December 31, 2011, PGR Master’s total capitalization was $45,036,946. The Partnership owned approximately 15.7% of PGR Master. As of December 31, 2011, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR 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	$	694,855		1.54	%	$	694,855	$	100,205	$	258,300
Energy		348,040		0.77	%		541,391		154,095		291,918
Grains		244,450		0.54	%		252,500		37,750		98,122
Indices		1,529,751		3.40	%		1,529,751		236,424		793,620
Interest Rates U.S.		375,000		0.83	%		398,000		94,750		259,088
Interest Rates Non-U.S.		1,821,829		4.05	%		1,821,829		107,676		771,169
Livestock		22,800		0.05	%		25,200		1,200		9,917
Metals		344,450		0.77	%		414,700		77,258		193,290
Softs		201,285		0.45	%		201,285		61,317		113,562

Total	$	5,582,460		12.40	%

*	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 (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 President 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 President 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 September 30, 2012 and, based on that evaluation, the General Partner’s President 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 President 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 September 30, 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, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

CGM (together with Citigroup Inc. and its other subsidiaries, “Citigroup”) (formerly known as Salomon Smith Barney Inc.) is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM or any of its individual principals and no such actions are currently pending, except as follows.

RMBS Litigation and Other Matters

On May 4, 2012, the district court in FEDERAL HOUSING FINANCE AGENCY v. UBS AMERICAS, INC., ET AL., a parallel case to FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL., and FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL., denied defendants’ motion to dismiss plaintiff’s securities law claims and granted defendants’ motion to dismiss plaintiff’s negligent misrepresentation claims. On June 19, 2012, the district court granted defendants’ motion to certify an interlocutory appeal to the United States Court of Appeals for the Second Circuit from the court’s statutes of repose and limitations rulings.

On May 15, 2012, Woori Bank filed a complaint in the United States District Court for the Southern District of New York against Citigroup alleging actionable misstatements and omissions in connection with Woori Bank’s $95 million investment in five collateralized debt obligations.

On May 18, 2012, the Federal Deposit Insurance Corporation filed (“FDIC”) complaints in the United States District Courts for the Southern District of New York and the Central District of California against various defendants, including Citigroup Global Markets Inc., Citicorp Mortgage Securities Inc., and CitiMortgage Inc., in connection with purchases of residential mortgage-backed securities (“RMBS”) by two failed banks for which the FDIC is acting as receiver.

On June 6, 2012, the court granted in part and denied in part defendants’ motions to dismiss in WESTERN & SOUTHERN LIFE INS. CO., ET AL. v. RESIDENTIAL FUNDING CO., LLC, ET AL.

On June 26, 2012, the court overruled defendants’ demurrer to plaintiff’s amended complaint in FEDERAL HOME LOAN BANK OF CHICAGO v. BANC OF AMERICA SECURITIES, LLC, ET AL.

On July 27, 2012, John Hancock Life Insurance Co. and several affiliated entities filed a complaint in the United States District Court for the District of Minnesota against various defendants, including CGM, asserting disclosure claims arising out of purchases of RMBS.

On August 29, 2012, the United States District Court for the Southern District of New York issued an order preliminarily approving the parties’ settlement in IN RE CITIGROUP INC. SECURITIES LITIGATION, pursuant to which Citigroup has agreed to pay $590 million. A fairness hearing is scheduled for January 15, 2013.

On August 30, 2012, Rentokil-Initial Pension Scheme filed a putative class action complaint against Citigroup on behalf of purchasers of 26 Citigroup offerings of medium term Euro Notes issued between October 12, 2005 and February 25, 2009. The complaint asserts claims under Section 90 of the Financial Services and Markets Act 2000 and includes allegations similar to those asserted in IN RE CITIGROUP INC. BOND LITIGATION.

On October 15, 2012, the United States District Court for the Southern District of New York granted lead plaintiffs’ amended motion for class certification in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL., having previously denied lead plaintiffs’ motion for class certification on January 18, 2011. Plaintiffs in this action allege violations of Sections 11, 12, and 15 of the Securities Act of 1933, as amended, and assert disclosure claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredited Loans, Inc. pursuant or traceable to prospectus materials filed on March 3, 2006 and April 3, 2007. CGM is one of the underwriter defendants.

Other Matters

Citigroup and Citibank, N.A., along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in the multidistrict litigation (MDL) proceeding before Judge Buchwald in the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION. Judge Buchwald has appointed interim lead class counsel for, and consolidated amended complaints have been filed on behalf of, three separate putative classes of plaintiffs: (1) OTC purchasers of derivative instruments tied to USD LIBOR; (2) purchasers of exchange-traded derivative instruments tied to USD LIBOR; and (3) indirect OTC purchasers of U.S. debt securities. Each of these putative classes alleges that the panel bank defendants conspired to suppress USD LIBOR in violation of the Sherman Act and/or the Commodity Exchange Act, thereby causing plaintiffs to suffer losses on the instruments they purchased. Also consolidated into the MDL proceeding are individual civil actions commenced by various Charles Schwab entities that allege that the panel bank defendants conspired to suppress the USD LIBOR rates in violation of the Sherman Act, the Racketeer Influenced and Corrupt Organizations Act, and California state law, causing the Schwab entities to suffer losses on USD LIBOR-linked financial instruments that they owned. Plaintiffs in these actions seek compensatory damages and restitution for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwab and OTC plaintiffs also seek injunctive relief.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of CGM. CGM may establish reserves from time to time in connections with such actions. Additional lawsuits containing claims similar to those described above may be filed in the future.

Item 1A.

Risk Factors.

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012, other than as set forth below.

Speculative position and trading limits may reduce profitability.

The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person may hold or control in particular futures and options on futures. The trading instructions of an advisor may have to be modified, and positions held by the Partnership may have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership by increasing transaction costs to liquidate positions and foregoing potential profits.

In October 2011, the CFTC adopted new rules governing position limits. In September 2012, these rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. It is possible, nevertheless, that these rules may take effect in some form via re-promulgation or a successful appeal by the CFTC of the District Court’s ruling. The vacated rules established position limits on certain futures contracts and any economically equivalent futures, options and swaps.

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 Shares (or Redeemable Units) Purchased*	(b) Average Price Paid per Share (or Redeemable Unit)**	(c) Total Number of Shares (or Redeemable Units) Purchased as Part of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Shares (or Redeemable Units) that May Yet Be Purchased Under the Plans or Programs
July 1, 2012 – July 31, 2012	315.3900	$ 1,270.75	N/A	N/A
August 1, 2012 – August 31, 2012	283.9090	$ 1,247.33	N/A	N/A
September 1, 2012 – September 30, 2012	424.4770	$ 1,219.55	N/A	N/A
	1,023.7760	$ 1,243.03

* 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

The registrant does not have a board of directors. The General Partner is managed by a board of directors.

Effective November 14, 2012, Mr. Damian George was appointed a director of the General Partner.

Damian George, age 45, has been a Director of the General Partner since November 2012. Since June 2012, Mr. George has been the Chief Financial Officer and a principal of the General Partner and is an associate member of the National Futures Association. Since August 2009, Mr. George has been employed by Morgan Stanley Smith Barney LLC, a financial services firm, where his responsibilities include oversight of budgeting, finance and Sarbanes-Oxley testing for the Alternative Investments–Managed Futures group. Since August 2009, Mr. George has been registered as an associated person of Morgan Stanley Smith Barney LLC. From November 2005 through July 2009, Mr. George was employed by Citi Alternative Investments, a division of Citigroup Inc. (“Citigroup”), a financial services firm, which administered Citigroup’s hedge fund and fund of funds business, where he served as Director and was responsible for budgeting, finance and Sarbanes-Oxley testing for the Hedge Fund Management group. From November 2004 through July 2009, Mr. George was registered as an associated person of CGM. Mr. George earned his Bachelor of Science degree in Accounting in May 1989 from Fordham University and his Master of Business Administration degree in International Finance in February 1998 from Fordham University. Mr. George is a Certified Public Accountant.

Item 6.

Exhibits

3.1 Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on September 23, 1999 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 on August 25, 1999 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

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

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

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

(d) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Form 8-K filed on September 2, 2008 and incorporated herein by reference).

(e) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 24, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference).

(f) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(f) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

(g) Certificate of Amendment to 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 3.1 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 Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

10.2 Form of Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a) Form of Letter Amending Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3A to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

10.3 Form of Selling Agreement among the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 1.1 to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

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

10.5 Amended and Restated Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, LP, dated June 30, 2007 (filed as Exhibit 10.1 to the Quarterly Report on Form 10-Q filed on August 14, 2007 and incorporated herein by reference).

(a) Letter from the General Partner extending Advisory Agreement between the General Partner and SandRidge Capital, L.P. for 2011, dated June 1, 2011 (filed as Exhibit 10.5(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.6 Management Agreement among the Partnership, the General Partner and Aspect Capital Limited, dated January 3, 2002 (filed as Exhibit 99 to the Annual Report on Form 10-K filed on March 27, 2003 and incorporated herein by reference).

(a) Letter from the General Partner extending Management with Aspect Capital Limited for 2011, dated June 1, 2011 (filed as Exhibit 10.6(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.7 Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company, dated March 31, 2008 (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2008 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Eckhardt Trading Company for 2011, dated June 1, 2011 (filed as Exhibit 10.7(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.8 Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC, dated February 25, 2010 (filed as Exhibit 10.8 to the Quarterly Report on Form 10-Q filed on May 17, 2010 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Waypoint Capital Management LLC for 2011, dated June 1, 2011 (filed as Exhibit 10.10(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.9 Management Agreement among the Partnership, the General Partner and Graham Capital Management, L.P., dated June 11, 2001 (filed as Exhibit 10 to the Annual Report on Form 10-K filed on March 27, 2002 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Graham Capital Management, L.P. for 2011, dated June 1, 2011 (filed as Exhibit 10.9(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.10 Amended and Restated Management Agreement among the Partnership, the General Partner and PGR Capital LLP, (filed as Exhibit 10.10 to the Quarterly Report on Form 10-Q filed on August 15, 2011 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with PGR Capital LLP for 2011, dated June 1, 2011 (filed as Exhibit 10.11(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

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

Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)

Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director)


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.

101.DEF		XBRL Taxonomy Extension Definition 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 2000 FUTURES FUND L.P.

By:		Ceres Managed Futures LLC
		(General Partner)

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

Date:		November 14, 2012

By:		/s/ Damian George
		Damian George
		Chief Financial Officer and Director
		(Principal Accounting Officer)

Date:		November 14, 2012

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DIVERSIFIED 2000 FUTURES FUND L.P. Reports

DIVERSIFIED 2000 FUTURES FUND L.P. - FORM 10-Q - November 14, 2012

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DIVERSIFIED 2000 FUTURES FUND L.P. Reports