Attached files
file | filename |
---|---|
EX-32.2 - EX-32.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv32w2.htm |
EX-31.2 - EX-31.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv31w2.htm |
EX-31.1 - EX-31.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv31w1.htm |
EX-32.1 - EX-32.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv32w1.htm |
EX-3.2(C) - EX-3.2(C) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv3w2xcy.htm |
EX-3.2(B) - EX-3.2(B) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv3w2xby.htm |
EX-3.2(E) - EX-3.2(E) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv3w2xey.htm |
EX-3.2(D) - EX-3.2(D) - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. | y02416exv3w2xdy.htm |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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, 2009
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or
15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period
from to
Commission File Number 000-26132
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York
|
13-3729162 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization)
|
Identification No.) |
c/o Ceres Managed Futures LLC
55 East 59th Street - 10th Floor
New York, New York 10022
(Address of principal executive offices) (Zip Code)
(212) 599-2011
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically
and posted on its corporate Web site, if any, every Interactive Data File
required to be submitted and posted pursuant to Rule 405 of Regulation S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter
period that the registrant was required to submit and post such files).
Yes 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, 2009, 18,377.1918 Limited Partnership
Redeemable Units were outstanding.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
FORM 10-Q
INDEX
FORM 10-Q
INDEX
3.2(b)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated October 1, 1999 | |
3.2(c)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated May 21, 2003 | |
3.2(d)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated September 21, 2005 | |
3.2(e)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated September 19, 2008 | |
31.1
|
Certification | |
31.2
|
Certification | |
32.1
|
Certification | |
32.2
|
Certification |
2
Table of Contents
PART I
Item 1.
Financial Statements
Diversified Multi-Advisor Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
Statements of Financial Condition
(Unaudited)
September 30, | December 31, | |||||||
2009 | 2008 | |||||||
Assets: |
||||||||
Investment in Partnerships, at fair value |
$ | 36,059,404 | $ | 49,607,769 | ||||
Cash |
95,476 | 69,501 | ||||||
Total assets |
36,154,880 | 49,677,270 | ||||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage commissions |
$ | 165,710 | $ | 227,687 | ||||
Management fees |
55,510 | 76,444 | ||||||
Incentive fees |
29,522 | 189,867 | ||||||
Other |
30,556 | 41,882 | ||||||
Redemptions payable |
236,254 | 850,367 | ||||||
Total liabilities |
517,552 | 1,386,247 | ||||||
Partners Capital: |
||||||||
General Partner, 280.4039 and 835.3289
Unit equivalents outstanding at September 30, 2009 and December 31, 2008, respectively |
527,958 | 1,695,634 | ||||||
Limited
Partners, 18,646.8877 and
22,954.4913 Redeemable Units of Limited Partnership Interest outstanding at September 30, 2009 and December 31, 2008, respectively |
35,109,370 | 46,595,389 | ||||||
Total partners capital |
35,637,328 | 48,291,023 | ||||||
Total liabilities and partners capital |
$ | 36,154,880 | $ | 49,677,270 | ||||
See accompanying notes to financial statements.
3
Table of Contents
Diversified Multi-Advisor Futures Fund L.P.
Schedule of Investments
September 30, 2009
(Unaudited)
Schedule of Investments
September 30, 2009
(Unaudited)
% of Partners |
||||||||
Fair Value | Capital | |||||||
Investment in Partnerships
|
||||||||
CMF Winton Master L.P.
|
$ | 10,649,739 | 29.88 | % | ||||
CMF Willowbridge Argo Master Fund L.P.
|
6,870,288 | 19.28 | ||||||
CMF Graham Capital Master Fund L.P.
|
9,802,011 | 27.51 | ||||||
CMF Eckhardt Master Fund L.P.
|
5,750,030 | 16.13 | ||||||
CMF Sandridge Master Fund L.P.
|
2,987,336 | 8.38 | ||||||
Total investment in Partnerships, at fair value
|
$ | 36,059,404 | 101.18 | % | ||||
See accompanying notes to financial statements.
4
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2008
(Unaudited)
Schedule of Investments
December 31, 2008
(Unaudited)
% of Partners |
||||||||
Fair Value | Capital | |||||||
Investment In Partnerships
|
||||||||
CMF Winton Master L.P.
|
$ | 14,224,843 | 29.46 | % | ||||
CMF Campbell Master Fund L.P.
|
7,115,212 | 14.73 | ||||||
CMF Willowbridge Argo Master Fund L.P.
|
10,673,321 | 22.10 | ||||||
CMF Graham Capital Master Fund L.P.
|
11,227,169 | 23.25 | ||||||
CMF Eckhardt Master L.P.
|
6,367,224 | 13.19 | ||||||
Total investment in Partnerships, at fair value
|
$ | 49,607,769 | 102.73 | % | ||||
See
accompanying notes to financial statements.
5
Table of Contents
Diversified Multi-Advisor Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Income: |
||||||||||||||||
Net gains (losses) on trading of commodity interests and
investment in Partnerships: |
||||||||||||||||
Net realized gains (losses) on investment in Partnerships |
$ | (713,810 | ) | $ | 339,946 | $ | (1,381,253 | ) | $ | 8,285,268 | ||||||
Change in net unrealized gains (losses) on investment
in Partnerships |
1,496,308 | (2,290,875 | ) | 445,861 | (1,013,508 | ) | ||||||||||
Gain (loss) from trading, net |
782,498 | (1,950,929 | ) | (935,392 | ) | 7,271,760 | ||||||||||
Interest income from investment in Partnerships |
8,010 | 144,913 | 26,361 | 493,275 | ||||||||||||
Total income (loss) |
790,508 | (1,806,016 | ) | (909,031 | ) | 7,765,035 | ||||||||||
Expenses: |
||||||||||||||||
Brokerage commissions including clearing fees |
529,367 | 691,785 | 1,759,736 | 2,129,882 | ||||||||||||
Management fees |
169,474 | 224,407 | 572,410 | 684,846 | ||||||||||||
Incentive fees |
21,941 | 27,300 | 29,522 | 742,124 | ||||||||||||
Other |
33,853 | 30,519 | 147,495 | 102,253 | ||||||||||||
Total expenses |
754,635 | 974,011 | 2,509,163 | 3,659,105 | ||||||||||||
Net income (loss) |
35,873 | (2,780,027 | ) | (3,418,194 | ) | 4,105,930 | ||||||||||
Additions-General Partner |
| | | 1,000,000 | ||||||||||||
Redemptions-General Partner |
| | (1,037,738 | ) | | |||||||||||
Redemptions-Limited Partners |
(2,029,923 | ) | (1,324,214 | ) | (8,197,763 | ) | (4,685,935 | ) | ||||||||
Net increase (decrease) in Partners Capital |
(1,994,050 | ) | (4,104,241 | ) | (12,653,695 | ) | 419,995 | |||||||||
Partners Capital, beginning of period |
37,631,378 | 51,921,873 | 48,291,023 | 47,397,637 | ||||||||||||
Partners Capital, end of period |
$ | 35,637,328 | $ | 47,817,632 | $ | 35,637,328 | $ | 47,817,632 | ||||||||
Net Asset Value per Unit
(18,927.2916 and 25,224.6678 Units outstanding
at September 30, 2009 and 2008, respectively) |
$ | 1,882.85 | $ | 1,895.67 | $ | 1,882.85 | $ | 1,895.67 | ||||||||
Net income (loss) per Redeemable Unit of Limited
Partnership
Interest and General Partner Unit equivalent |
$ | 3.66 | $ | (106.63 | ) | $ | (147.05 | ) | $ | 153.78 | ||||||
Weighted average units outstanding |
19,646.7281 | 25,713.0649 | 21,414.5412 | 26,190.0561 | ||||||||||||
See accompanying notes to financial statements.
6
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
1. | General: |
Diversified Multi-Advisor Futures Fund L.P., (formerly Smith
Barney Diversified Futures Fund L.P.) (the
Partnership) is a limited partnership that was organized
under the partnership laws of the State of New York on
August 13, 1993 to engage, directly or indirectly, in the
speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates,
livestock, lumber, metals and softs.
The commodity interests that are traded by
the Funds, (as defined in Note 5 Investment in Partnerships)
are volatile and involve a high degree of market
risk. The Partnership commenced trading operations on
January 12, 1994.
As of September 30, 2009, all trading decisions are made for the
Partnership by
Willowbridge Associates, Inc.
(Willowbridge), Winton Capital Management Limited
(Winton), Graham Capital Management L.P.
(Graham), Eckhardt Trading Company
(Eckhardt) and Sandridge Capital LP,
(Sandridge)
(each an Advisor and
collectively, the Advisors).
Campbell & Company, Inc. was terminated as of May 31, 2009.
Sandridge was added as an advisor to the Partnership on June 1, 2009. Each Advisor is allocated a portion of the Partnerships assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors indirectly through investments in master 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 their initial capital contribution and profits, if any, net of distributions.
The accompanying financial statements are unaudited but, in the
opinion of management, include all adjustments, consisting only
of normal recurring adjustments, necessary for a fair statement
of the Partnerships financial condition at September 30,
2009 and December 31, 2008, and the results of its
operations and changes in partners capital for
the three and nine months ended September 30,
2009 and 2008.
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 Partnerships annual report on
Form 10-K
filed with the Securities and Exchange Commission (the
SEC) for the year ended December 31, 2008.
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (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.
In making these estimates and assumptions, management has considered
the effects, if any, of events occurring after the date of the
Partnerships Statements of Financial Condition through November
16, 2009,
which is the date the financial statements were issued.
As a result, actual results could differ from these estimates.
On July 1, 2009, the
Financial Accounting Standards Board (FASB) issued Statement of Financial
Accounting Standards (SFAS) No. 168, The FASB Accounting Standards Codification and the
Hierarchy of Generally Accepted Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105-10, Generally Accepted Accounting Principles (ASC 105-10)
(the Codification). ASC 105-10 established the exclusive authoritative reference for U.S. GAAP for use in
financial statements except for SEC rules and interpretive releases, which are also authoritative GAAP for SEC registrants.
The Codification supersedes all existing non-SEC accounting and reporting standards. Codification became the single
source of authoritative accounting principles generally accepted in the United States and applies to all financial
statements issued after September 15, 2009.
The Partnership is not required to provide a Statement of Cash Flows
as permitted by ASC 230-10 Statement of Cash Flows
(formerly, FAS No. 102, Statement of Cash Flows Exemption of
Certain Enterprises and Classification of Cash Flows from Certain
Securities Acquired for Resale).
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.
Certain prior period amounts have been reclassified to conform to current year presentation.
7
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
2. | Financial Highlights: |
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the three and nine months ended
September 30, 2009 and 2008 were as follows:
Three Months Ended |
Nine Months Ended |
|||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Net realized and unrealized gains (losses)* |
$ | 14.70 | $ | (101.28 | ) | $ | (113.15 | ) | $ | 193.03 | ||||||
Interest
income |
0.41 | 5.63 | 1.24 | 18.72 | ||||||||||||
Expenses** |
(11.45 | ) | (10.98 | ) | (35.14 | ) | (57.97 | ) | ||||||||
Increase
(decrease) for the period |
3.66 | (106.63 | ) | (147.05 | ) | 153.78 | ||||||||||
Net Asset
Value per Redeemable Unit, beginning of period |
1,879.19 | 2,002.30 | 2,029.90 | 1,741.89 | ||||||||||||
Net Asset
Value per Redeemable Unit, end of period |
$ | 1,882.85 | $ | 1,895.67 | $ | 1,882.85 | $ | 1,895.67 | ||||||||
* | Includes brokerage commissions. | |
** | Excludes brokerage commissions. |
Ratios to
average net assets:*** |
||||||||||||||||
Net investment income (loss) before
incentive fees**** |
(7.9 | )% | (6.5 | )% | (8.1 | )% | (6.6 | )% | ||||||||
Operating expense |
8.0 | % | 7.7 | % | 8.2 | % | 7.9 | % | ||||||||
Incentive fees |
0.1 | % | 0.1 | % | 0.1 | % | 1.5 | % | ||||||||
Total expenses |
8.1 | % | 7.8 | % | 8.3 | % | 9.4 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
0.3 | % | (5.3 | )% | (7.2 | )% | 10.5 | % | ||||||||
Incentive fees |
(0.1 | )% | 0.0 | %***** | 0.0 | %***** | (1.7 | )% | ||||||||
Total return after incentive fees |
0.2 | % | (5.3 | )% | (7.2 | )% | 8.8 | % | ||||||||
*** | Annualized (other than incentive fees). | |
**** | Interest income less total expenses. | |
***** | Due to rounding. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the period. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
3. | Trading Activities: |
The Partnership was formed for the purpose of trading contracts
in a variety of commodity interests, including derivative
financial instruments and derivative commodity instruments. The
Partnerships investments are in other partnerships which
trade these instruments. The results of the Partnerships
trading activities are resulting from its investment in other
partnerships as shown in the Statements of Income and Expenses
and Changes in Partners Capital.
The customer agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses
on open futures and forward contracts. The Partnership nets, for financial reporting
purposes, the unrealized gains and losses on open futures and forward contracts on the
Statements of Financial Condition as the criteria under ASC
210-20, Balance Sheet (formerly, FIN No. 39, Offsetting of
Amounts Related
to Certain Contracts) have been met.
8
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
Brokerage commissions are calculated as a percentage of the
Partnerships adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions.
The Partnership adopted ASC 815-10, Derivatives and Hedging (formerly, FAS
No. 161, Disclosures about Derivative Instruments and Hedging
Activities) as of January 1, 2009 which requires
qualitative disclosures about objectives and strategies for using derivatives, quantitative
disclosures about fair value amounts of and gains and losses on derivative instruments, and
disclosures about credit-risk-related contingent features in
derivative agreements. ASC 815-10 only
expands the disclosure requirements for derivative instruments and related hedging activities and
has no impact on the Statements of Financial Condition or Statements
of Income and Expenses and Changes in
Partners Capital.
4. | Fair Value Measurements: |
Investments. All commodity interests (including derivative financial instruments and derivative commodity
instruments), through its investment in other partnerships, are held for trading purposes. The
commodity interests are recorded on trade date and open contracts are recorded at fair value (as
described below) at the measurement date. Investments in commodity interests denominated in foreign
currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement
date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on
open contracts are included as a component of equity in trading account on the Statements of
Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from
the preceding period are reported in the Statements of Income and
Expenses and Changes in Partners Capital.
Fair Value Measurements. The Partnership and
the Funds (as defined in Note 5 Investment in Partnerships) adopted ASC 820-10 Fair Value Measurements
and Disclosures
(formerly, FAS No. 157, Fair Value Measurements)
as of January 1, 2008 which
defines fair value 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.
ASC 820-10 establishes a framework for measuring fair value
and expands disclosures regarding fair value measurements in
accordance with GAAP. 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. The Partnership
and the Funds did not apply the deferral allowed by ASC 820-10, for
nonfinancial assets and nonfinancial liabilities measured at
fair value on a nonrecurring basis.
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 (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 from observable inputs (Level 2). Investments in
partnerships (other commodity pools) where there are no other
rights or obligations inherent within the ownership interest
held by the Partnership are priced based on the end of the day
net asset value (Level 2). The value of the
Partnerships investments in partnerships reflects its
proportional interest in the partnerships. As of and for the periods ended September 30, 2009 and December 31, 2008, the Funds did not hold any derivative
instruments that are priced at fair value using unobservable
inputs through the application of managements assumptions
and internal valuation pricing models (Level 3).
Quoted Prices in |
||||||||||||||||
Active Markets |
Significant Other |
Significant |
||||||||||||||
for Identical |
Observable Inputs |
Unobservable |
||||||||||||||
September 30, 2009 | Assets (Level 1) |
(Level 2)
|
Inputs (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Investment in Partnerships
|
$ | 36,059,404 | $ | | $ | 36,059,404 | $ | | ||||||||
Total fair value
|
$ | 36,059,404 | $ | | $ | 36,059,404 | $ | | ||||||||
Quoted Prices in |
||||||||||||||||
Active Markets |
Significant Other |
Significant |
||||||||||||||
for Identical |
Observable Inputs |
Unobservable |
||||||||||||||
December 31, 2008 | Assets (Level 1) |
(Level 2)
|
Inputs (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Investment in Partnerships
|
$ | 49,607,769 | $ | | $ | 49,607,769 | $ | | ||||||||
Total fair value
|
$ | 49,607,769 | $ | | $ | 49,607,769 | $ | | ||||||||
9
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
5. | Investment in Partnerships: |
On November 1, 2004, the assets allocated to Winton for
trading were invested in CMF Winton Master L.P. (Winton Master) a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased
15,054.1946 Units of Winton Master with cash of $14,251,586, and
a contribution of open commodity futures and forward contracts
with a fair value of $802,609. Winton Master was formed in order
to permit commodity pools managed now or in the future by Winton
using its Diversified Program, a proprietary systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Winton Master. Individual and pooled accounts currently managed
by Winton, including the Partnership, are permitted to be
limited partners of Winton Master. The General Partner and
Winton believe that trading through this structure should
promote efficiency and economy in the trading process.
On January 1, 2005, the assets allocated to Campbell for
trading were invested in CMF Campbell Master Fund L.P.
(Campbell Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 19,621.1422 Units of Campbell Master with
cash of $19,428,630, and a contribution of open commodity
futures and forward contracts with a fair value of $192,512.
Campbell Master was formed in order to permit commodity pools
managed now or in the future by Campbell using its Financials
Metals and Energy (FME) Portfolio, a proprietary systematic trading system, to invest
together in one trading vehicle. The Partnership fully redeemed its investment in Campbell Master on May 31, 2009 for cash equal to $2,818,836.
On July 1, 2005, the assets allocated to Willowbridge for
trading were invested in CMF Willowbridge Argo Master
Fund L.P. (Willowbridge Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 12,259.3490 Units of
Willowbridge Master with cash of $11,118,119, and a contribution
of open commodity futures and forward contracts with a fair
value of $1,141,230. Willowbridge Master was formed in order to
permit commodity pools managed now or in the future by
Willowbridge using its Argo Trading Program, a proprietary systematic trading system, to invest together
in one trading vehicle. The General Partner is also the general
partner of Willowbridge Master. Individual and pooled accounts
currently managed by Willowbridge, including the Partnership,
are permitted to be limited partners of Willowbridge Master. The
General Partner and Willowbridge believe that trading through
this structure should promote efficiency and economy in the
trading process.
On April 1, 2006, the assets allocated to Graham for
trading were invested in CMF Graham Capital Master
Fund L.P. (Graham Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 14,741.1555 Units of Graham
Master with cash of $14,741,156. Graham Master was formed in
order to permit accounts managed now and in the future by Graham
using its K4D-12.5 Program, a proprietary systematic trading
system, to invest
together in one trading vehicle. The General Partner is also the
general partner of Graham Master. Individual and pooled accounts
currently managed by Graham, including the Partnership, are
permitted to be limited partners of Graham Master. The General
Partner and Graham believe that trading through this structure
promotes efficiency and economy in the trading process.
On April 1, 2008, the assets allocated to Eckhardt for
trading were invested in CMF Eckhardt Master Fund L.P.
(Eckhardt Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 7,000.0000 Units of Eckhardt Master with
cash of $7,000,000. Eckhardt Master was formed in order to
permit commodity pools managed now or in the future by Eckhardt
using its Standard Program, a proprietary systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Eckhardt Master. Individual and pooled accounts currently
managed by Eckhardt, including the Partnership, are permitted to
be limited partners of Eckhardt Master. The General Partner and
Eckhardt believe that trading through this structure should
promote efficiency and economy in the trading process.
10
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
On June 1, 2009, the assets allocated to Sandridge for trading were invested in CMF
Sandridge Master Fund L.P. (Sandridge Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 1,370.9885 Units of
Sandridge Master with cash of $2,818,836. Sandridge was formed in order to permit accounts managed
now and in the future by Sandridge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of Sandridge Master. Individual and pooled
accounts currently managed by Sandridge, including the Partnership, are permitted to be limited
partners of Sandridge Master. The General Partner and Sandridge believe that trading through this
structure promotes efficiency and economy in the trading process.
The
General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended September 30, 2009.
Winton Masters, Willowbridge
Masters, Graham Masters, Eckhardt Masters and
Sandridge Masters
(collectively, the Funds), trading of futures,
forwards and options contracts, if applicable, on commodities is
done primarily on United States of America commodity exchanges
and foreign commodity exchanges. The Funds engage in such
trading through commodity brokerage accounts maintained with CGM.
A Limited Partner may withdraw all or part of their capital
contribution and undistributed profits, if any, from the Funds
in multiples of the Net Asset Value per Redeemable Unit of
Limited Partnership Interest as of the end of any day (the
Redemption Date) after a request for redemption
has been made to the General Partner 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 inform
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 CGMs direct
brokerage commission are charged at the Partnership level.
As of September 30, 2009 the Partnership owned approximately
2.0%, 2.9%, 5.8%, 31.1% and 0.5% of Winton Master, Willowbridge
Master, Graham Master, Eckhardt Master and Sandridge Master respectively. At
December 31, 2008 the Partnership owned approximately 2.6%, 5.6%, 3.6%,
5.0% and 31.0% of Winton Master, Campbell Master, Willowbridge Master,
Graham Master and Eckhardt Master, respectively. It is Wintons,
Willowbridges, Grahams,
Eckhardts and Sandridges intention to continue to invest the assets
allocated to each by the Partnership in Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and Sandridge 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.
11
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
Summarized information reflecting the total assets, liabilities
and capital for the Funds is shown in the following tables.
September 30, 2009 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Winton Master |
$ | 524,755,608 | $ | 442,584 | $ | 524,313,024 | ||||||
Willowbridge Master |
238,192,320 | 30,172 | 238,162,148 | |||||||||
Graham Master |
168,037,387 | 14,694 | 168,022,693 | |||||||||
Eckhardt Master |
18,505,502 | 41,281 | 18,464,221 | |||||||||
Sandridge Master |
621,430,942 | 752,175 | 620,678,767 | |||||||||
Total |
$ | 1,570,921,759 | $ | 1,280,906 | $ | 1,569,640,853 | ||||||
December 31, 2008 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Winton Master |
$ | 548,586,877 | $ | 835,334 | $ | 547,751,543 | ||||||
Campbell Master |
127,587,225 | 112,263 | 127,474,962 | |||||||||
Willowbridge Master |
297,439,763 | 19,759 | 297,420,004 | |||||||||
Graham Master |
227,483,547 | 2,992,605 | 224,490,942 | |||||||||
Eckhardt Master |
20,544,954 | 15,519 | 20,529,435 | |||||||||
Total |
$ | 1,221,642,366 | $ | 3,975,480 | $ | 1,217,666,886 | ||||||
12
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
Summarized information reflecting the net gain (loss) from trading, total
income (loss) and net income (loss) for the Funds are shown in the following
tables.
For the three months ended September 30, 2009 | ||||||||||||
Gain (Loss) from | Total Income | |||||||||||
Trading, net | (Loss) | Net Income (Loss) | ||||||||||
Winton Master |
$ | 7,322,348 | $ | 7,447,037 | $ | 7,339,274 | ||||||
Willowbridge Master |
(20,085,700 | ) | (20,026,877 | ) | (20,139,642 | ) | ||||||
Graham Master |
14,413,920 | 14,449,688 | 14,240,193 | |||||||||
Eckhardt Master |
893,553 | 897,568 | 858,478 | |||||||||
SandRidge Master |
34,131,288 | 34,264,993 | 34,047,914 | |||||||||
Total |
$ | 36,675,409 | $ | 37,032,409 | $ | 36,346,217 | ||||||
For the nine months ended September 30, 2009 | ||||||||||||
Gain (Loss) from | Total Income | |||||||||||
Trading, net | (Loss) | Net Income (Loss) | ||||||||||
Winton Master |
$ | (29,310,166 | ) | $ | (28,936,214 | ) | $ | (29,217,064 | ) | |||
Campbell Master |
(2,611,292 | ) | (2,551,214 | ) | (2,628,145 | ) | ||||||
Willowbridge Master |
(23,802,080 | ) | (23,622,469 | ) | (23,895,630 | ) | ||||||
Graham Master |
10,826,683 | 10,942,253 | 10,429,707 | |||||||||
Eckhardt Master |
117,273 | 129,528 | 38,338 | |||||||||
SandRidge Master |
106,906,561 | 107,255,829 | 106,581,046 | |||||||||
Total |
$ | 62,126,979 | $ | 63,217,713 | $ | 61,308,252 | ||||||
For the three months ended September 30, 2008 | ||||||||||||
Gain (Loss) from | Total Income | |||||||||||
Trading, net | (Loss) | Net Income (Loss) | ||||||||||
Winton Master |
$ | (39,233,959 | ) | $ | (37,573,727 | ) | $ | (37,692,795 | ) | |||
Campbell Master |
(4,786,916 | ) | (4,320,336 | ) | (4,356,671 | ) | ||||||
Willowbridge Master |
8,930,938 | 9,817,051 | 9,686,363 | |||||||||
Graham Master |
(8,833,929 | ) | (8,216,506 | ) | (8,473,481 | ) | ||||||
Eckhardt Master |
(1,688,169 | ) | (1,616,809 | ) | (1,641,549 | ) | ||||||
Total |
$ | (45,612,035 | ) | $ | (41,910,327 | ) | $ | (42,478,133 | ) | |||
For the nine months ended September 30, 2008 | ||||||||||||
Gain (Loss) from | Total Income | |||||||||||
Trading, net | (Loss) | Net Income (Loss) | ||||||||||
Winton Master |
$ | 59,111,379 | $ | 64,841,142 | $ | 64,405,072 | ||||||
Campbell Master |
7,436,006 | 9,289,461 | 9,163,431 | |||||||||
Willowbridge Master |
87,588,256 | 90,440,613 | 90,089,941 | |||||||||
Graham Master |
29,103,729 | 31,236,297 | 30,332,774 | |||||||||
Eckhardt Master |
432,317 | 575,667 | 500,679 | |||||||||
Total |
$ | 183,671,687 | $ | 196,383,180 | $ | 194,491,897 | ||||||
Summarized information reflecting the Partnerships
investment in, and the operations of the Funds is shown in the
following tables.
September 30, 2009 | For the three months ended September 30, 2009 | |||||||||||||||||||||||||||||||
% of |
Net |
|||||||||||||||||||||||||||||||
Partnerships |
Fair |
Income |
Expenses |
Income |
Investment |
Redemptions |
||||||||||||||||||||||||||
Investment
|
Net Assets | Value | (Loss) | Commissions | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Winton Master |
29.88 | % | $ | 10,649,739 | 141,122 | 2,104 | 186 | 138,832 | Commodity Portfolio |
Monthly | ||||||||||||||||||||||
Willowbridge Master |
19.28 | % | 6,870,288 | (658,676 | ) | 2,857 | 574 | (662,107 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Graham Master |
27.51 | % | 9,802,011 | 854,818 | 11,841 | 593 | 842,384 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Eckhardt Master |
16.13 | % | 5,750,030 | 281,686 | 5,689 | 6,625 | 269,372 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Sandridge Master |
8.38 | % | 2,987,336 | 171,558 | 892 | 182 | 170,484 | Energy Portfolio |
Monthly | |||||||||||||||||||||||
Total |
$ | 36,059,404 | $ | 790,508 | $ | 23,383 | $ | 8,160 | $ | 758,965 | ||||||||||||||||||||||
13
Table of Contents
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
September 30, 2009 | For the nine months ended September 30, 2009 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Investment | Net Assets | Value | (Loss) | Commissions | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Winton Master |
29.88 | % | $ | 10,649,739 | $ | (690,409 | ) | $ | 5,730 | $ | 626 | $ | (696,765 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Campbell Master |
| | (276,892 | ) | 1,271 | 1,050 | (279,213 | ) | Financials Metals & Energy Portfolio |
Monthly | ||||||||||||||||||||||
Willowbridge Master |
19.28 | % | 6,870,288 | (823,821 | ) | 7,403 | 1,259 | (832,483 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Graham Master |
27.51 | % | 9,802,011 | 613,694 | 28,701 | 1,570 | 583,423 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Eckhardt Master |
16.13 | % | 5,750,030 | 39,151 | 10,162 | 18,521 | 10,468 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Sandridge Master |
8.38 | % | 2,987,336 | 229,246 | 1,106 | 246 | 227,894 | Energy Portfolio |
Monthly | |||||||||||||||||||||||
Total |
$ | 36,059,404 | $ | (909,031 | ) | $ | 54,373 | $ | 23,272 | $ | (986,676 | ) | ||||||||||||||||||||
December 31, 2008 | For the three months ended September 30, 2008 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Investment | Net Assets | Value | (Loss) | Commissions | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Winton Master |
29.46 | % | $ | 14,224,843 | $ | (1,044,817 | ) | $ | 3,004 | $ | 254 | $ | (1,048,075 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Campbell Master |
14.73 | % | 7,115,212 | (223,623 | ) | 1,453 | 433 | (225,509 | ) | Financials Metals & Energy Portfolio |
Monthly | |||||||||||||||||||||
Willowbridge Master |
22.10 | % | 10,673,321 | 334,452 | 4,513 | 345 | 329,594 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Graham Master |
23.25 | % | 11,227,169 | (382,236 | ) | 11,811 | 311 | (394,358 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Eckhardt Master |
13.19 | % | 6,367,224 | (489,792 | ) | 3,623 | 3,872 | (497,287 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Total |
$ | 49,607,769 | $ | (1,806,016 | ) | $ | 24,404 | $ | 5,215 | $ | (1,835,635 | ) | ||||||||||||||||||||
December 31, 2008 | For the nine months ended September 30, 2008 | |||||||||||||||||||||||||||||||
% of | Net | |||||||||||||||||||||||||||||||
Partnerships | Fair | Income | Expenses | Income | Investment | Redemptions | ||||||||||||||||||||||||||
Investment | Net Assets | Value | (Loss) | Commissions | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Winton Master |
29.46 | % | $ | 14,224,843 | $ | 2,138,275 | $ | 12,309 | $ | 772 | $ | 2,125,194 | Commodity Portfolio |
Monthly | ||||||||||||||||||
Campbell Master |
14.73 | % | 7,115,212 | 408,868 | 4,986 | 1,275 | 402,607 | Financials Metals & Energy Portfolio |
Monthly | |||||||||||||||||||||||
Willowbridge Master |
22.10 | % | 10,673,321 | 3,494,691 | 12,619 | 1,065 | 3,481,007 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Graham Master |
23.25 | % | 11,227,169 | 1,557,973 | 42,843 | 1,144 | 1,513,986 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Eckhardt Master |
13.19 | % | 6,367,224 | 165,228 | 6,275 | 15,968 | 142,985 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Total |
$ | 49,607,769 | $ | 7,765,035 | $ | 79,032 | $ | 20,224 | $ | 7,665,779 | ||||||||||||||||||||||
14
Table of Contents
Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
6. | Financial Instrument Risks: |
In the normal course of its business, the Partnership, through
its investments in the Funds, is a party to financial instruments
with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These
financial instruments may include forwards, futures and options,
whose values are based upon an underlying asset, index, or
reference rate, and generally represent future commitments to
exchange currencies or cash balances, to purchase or sell other
financial instruments on 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 option contracts. OTC contracts
are negotiated between contracting parties and include forwards
and certain option contracts. Each of these instruments is subject to
various risks similar to those 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.
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 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 not represented by the contract or notional amounts of the instruments. The Funds
risk of loss is reduced through the use of legally enforceable master netting agreements with
counterparties that permit the Funds to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of certain events. The Funds have credit
risk and concentration risk as the sole counterparty or broker with respect to the Funds assets is
CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the
extent that through CGM, the 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 as described in
ASC 460-10 Guarantees (formerly, FAS No. 45, Guarantors Accounting and Disclosure Requirements for Guarantees).
The General Partner monitors and controls 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 are subject. These monitoring systems
allow the General Partner to statistically analyze actual
trading results with risk-adjusted performance indicators and
correlation statistics. In addition, on-line 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 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.
15
Table of Contents
Item 2. | Managements 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 investment 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, through its investments in the Funds. While
substantial losses could lead to a material decrease in
liquidity, no such losses occurred during the third quarter of
2009.
The Partnerships capital consists of the capital
contributions of the partners as increased or decreased by income
(loss) from its investment in the Funds, expenses, interest income,
redemptions of Redeemable Units and distributions of profits, if
any.
For the nine months ended September 30, 2009, Partners
Capital decreased 26.2% from $48,291,023 to $35,637,328. This
decrease was attributable to a net loss from operations of
$3,418,194 coupled with the redemption of 4,307.6036 Redeemable Units of
Limited Partnership Interest totaling $8,197,763
and 554.9250 General Partner Unit equivalents totaling $1,037,738. Future
redemptions could impact the amount of funds available for
investment in the Funds in subsequent periods.
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.
Statement of Cash Flows. The Partnership is not required to provide a Statement of Cash Flows as
permitted by ASC 230-10.
Investments. All commodity interests (including derivative financial instruments and derivative
commodity instruments), through its investment in other partnerships, are held for trading
purposes. The commodity interests are recorded on trade date and open contracts are recorded at
fair value (as described below) at the measurement date. Investments in commodity interests
denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing
at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized
gains or losses on open contracts are included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains
or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in
Partners Capital.
Fair Value Measurements. The Partnership and the Funds adopted
ASC 820-10 as of January 1, 2008 which defines fair
value 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. The Partnership and the
Funds did not apply the deferral allowed by
ASC 820-10 for nonfinancial assets and nonfinancial liabilities measured at fair value
on a nonrecurring basis.
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 (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 from
observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no
other rights or obligations inherent within the ownership interest held by the Partnership are
priced based on the end of the day net asset value (Level 2). The value of the Partnerships
investments in partnerships reflects its proportional interest in the
partnerships. As of and for the period ended September 30,
2009, the Funds did not hold any derivative instruments that are priced at fair value using
unobservable inputs through the application of managements assumptions and internal valuation
pricing models (Level 3).
Futures Contracts. The Funds trade futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery can not occur (such as
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.
Because 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, credit exposure is limited.
Realized gains (losses) and changes in unrealized gains (losses)
on futures contracts are included in the Statements of Income
and Expenses and Changes in Partners Capital.
16
Table of Contents
Forward Foreign Currency Contracts. 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. 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. Realized gains (losses) and changes in
unrealized gains (losses) on 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 Partnership does not isolate that portion of the results of operations arising from the effect of
changes in foreign exchange rates on investments from fluctuations from changes in market prices of
investments held. Such fluctuations are included in net gain (loss) on investments in the Statements
of Income and Expenses and Changes in Partners Capital.
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of Aluminum, Copper, Lead,
Nickel, Tin or Zinc. LME contracts traded by the Funds are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Funds each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Funds. A contract is
considered offset when all long positions have been matched with
short positions. 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. Because 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, credit exposure is
limited. Realized gains (losses) and changes in 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 over-the-counter, 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.
Realized gains (losses) and changes in unrealized gains (losses)
on options contracts are included in the Statements of Income
and Expenses and Changes in Partners Capital.
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Partnerships income and
expenses.
In 2007, the Partnership adopted ASC 740-10 Income Taxes
(formerly, FAS No. 48, Accounting for Uncertainty in Income Taxes). ASC 740-10 provides guidance for how
uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. ASC 740-10
requires the evaluation of tax positions taken or expected to be
taken in the course of preparing the Partnerships tax
returns to determine whether the tax positions are
more-likely-than-not of being 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 has
continued to evaluate the application of ASC 740-10 and has
concluded that the adoption of ASC 740-10 had no impact on the
operations of the Partnership for the nine months ended
September 30, 2009 and that no provision for income tax is
required in the Partnerships financial statements.
The following are the major tax jurisdictions for the
Partnership and the earliest tax year subject to examination:
United States 2005.
Recent Accounting Pronouncements. In 2009, the Partnership adopted ASC 820-10-65 Fair
Value Measurements (formerly, FAS No. 157-4, Determining Fair Value When the Volume
and Level of Activity for the Asset or Liability Have Significantly Decreased and
Identifying Transactions That Are Not Orderly). ASC 820-10-65
reaffirms that fair value is
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.
ASC 820-10-65 also reaffirms the need to use judgment in determining if a formerly active market has
become inactive and in determining fair values when the market has become inactive. The application
of ASC 820-10-65 is required for interim and annual reporting periods ending after June 15, 2009.
Management has concluded that based on available information in the marketplace, there has not been a decrease in the volume
and level of activity in the Partnerships Level 2 assets and liabilities. The
adoption of ASC 820-10-65 had no effect on the Partnerships Financial Statements.
Subsequent Events. In 2009, the Partnership adopted ASC 855-10 Subsequent Events (formerly, FAS No. 165, Subsequent Events). The objective of ASC 855-10 is to
establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.
17
Table of Contents
Results
of Operations
During the Partnerships third quarter of 2009, the Net Asset Value per Redeemable Unit
increased 0.2% from $1,879.19 to $1,882.85 as compared to a decrease of 5.3% in the third quarter
of 2008. The Partnership experienced a net trading gain, through its investments in the Funds, before
brokerage commissions and related fees in the third quarter of 2009 of $782,498. Gains were
primarily attributable to the trading by the Funds of commodity futures in currencies, grains, U.S. and non-U.S.
interest rates, metals, softs, and indices and were offset by losses in energy and livestock.
The Partnership experienced a net trading loss, through its investments in the Funds, before brokerage commissions and related fees in the third quarter
of 2008 of $1,950,929. Losses were primarily attributable to the trading by the Funds of commodity futures in energy, grains,
non-U.S. interest rates, livestock, metals and softs and were partially offset by gains in currencies, U.S. interest rates, indices and lumber.
Markets around the world rose again in the third quarter of 2009. Economic activity in the U.S.
further stabilized with many important sectors of the economy demonstrating marked improvements
over the depressed levels reached earlier this year. The overall economy continued to face
headwinds with employment further contracting, albeit at a much slower pace. Consumer confidence
has bounced off record lows but remains well below historical averages. The Partnership realized
gains for the quarter, primarily in equity indices, metals, and soft commodities.
The majority of the profits were earned on the back of the equity rally. The combination of strong
growth news, benign inflation data and accommodative monetary policy stances from key central banks
has continued to support the price action in risky assets. Gains were also recorded in metals,
primarily in copper and gold, as prices established firm bullish trends that began in early 2009.
The Partnership capitalized on these trends and registered strong gains. In soft commodities,
profits were realized primarily from trading sugar as prices rallied to a 28-year high in August on
a weaker-than-normal monsoon season which has had a negative impact on the crop in India. In
addition, the harvest in Brazil, the worlds largest producer, has been delayed by excessive
rainfall.
In the energy sector, losses were captured as the markets remained in contango. Natural gas
demonstrated a strong bearish trend but the trend seemed to be reversing late in the quarter. Crude
oil and heating oil remained mostly trend-less and volatile, thus contributing to losses.
During the Partnerships nine months ended September 30, 2009, the Net Asset Value per Redeemable
Unit decreased 7.2% from $2,029.90 to $1,882.85 as compared to an increase of 8.8% for the nine
months ended September 30, 2008. The Partnership experienced a net trading loss, through its investments
in the Funds, before brokerage commissions and related fees in the nine months ended September 30, 2009 of $935,392. Losses were primarily
attributable to the trading by the Funds of commodity futures in currencies, energy, grains, U.S. and
non-U.S. interest rates, lumber and livestock and were partially offset by gains in
metals, softs and indices. The Partnership experienced a net trading gain, through its investments in
the Funds, before brokerage commissions and related fees in the nine months ended September 30, 2008 of $7,271,760. Gains were primarily attributable
to the trading by the Funds of commodity futures in currencies, energy, grains, U.S. and non-U.S.
interest rates, indices livestock, lumber and metals and were partially offset by losses in softs.
Commodity futures markets are highly volatile. The potential for
broad and rapid price fluctuations increases the risks involved
in commodity trading, but also increases the possibility of
profit. The profitability of the Funds depends on the
existence of major price trends and the ability of the Advisors
to correctly identify those price trends. Price trends are
influenced by, among other things, changing supply and demand
relationships, weather, governmental, agricultural, commercial
and trade programs and policies, national and international
political and economic events and changes in interest rates. To
the extent that market trends exist and the Advisors are able to
identify them, the Funds expect to increase capital
through operations.
CGM will pay monthly interest to the Partnership on its
applicable share of 80% of the average daily equity maintained
in cash in the Funds brokerage account at a
30-day
U.S. Treasury bill rate determined by CGM
and/or will
place all of the Funds assets in
90-day
Treasury bills. The Partnership will receive 80% of its
applicable share of the interest earned on the Treasury bills
through its investments in other partnerships. Twenty percent of
any interest earned on Treasury bills purchased may be retained by
CGM and/or credited to the General Partner. Interest income from investment in Partnerships for the three and nine months ended September 30, 2009 decreased
by $136,903 and $466,914, respectively, as compared to the corresponding periods in 2008. The decrease in interest income is
primarily due to lower U.S. Treasury Bill rates for the Partnership during the three and nine months ended
September 30, 2009 as compared to the corresponding periods in 2008.
Brokerage commissions are calculated as a percentage of the
Partnerships net asset value as of the last day of each
month and are affected by trading performance and redemptions.
Accordingly, they must be compared in relation to the
fluctuations in the monthly net asset values. Brokerage
commissions and fees for the three and nine months ended
September 30, 2009 decreased by $162,418 and $370,146, respectively, as compared to the corresponding
periods in 2008. The decrease in brokerage commissions is due to
lower average net assets during the three and nine months ended
September 30, 2009 as compared to the corresponding periods in
2008.
Management
fees are calculated as a percentage of the Partnerships adjusted net asset value as of the end of the month and are affected by
trading performance and redemptions. Management fees for the three and nine months ended September 30, 2009 decreased by $54,933 and
$112,436, respectively, as compared to the corresponding periods in 2008. The decrease in management fees is due to lower average net assets
during the three and nine months ended September 30, 2009 as compared to the corresponding periods in 2008.
Incentive fees are based on the new trading profits generated by
each Advisor at the end of the quarter as defined in the
advisory agreements between the Partnership, the General Partner
and each Advisor.
Trading performance for the
three and nine months ended September 30, 2009 resulted in
incentive fees of $21,941 and $29,522, respectively. Trading performance for the three and nine months ended September 30, 2008 resulted in incentive fees of $27,300 and $742,124, respectively.
In allocating the assets of the Partnership among the trading advisors, the General
Partner considers 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.
18
Table of Contents
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
All of the Partnerships assets are subject to the risk of
trading loss through its investments in the Funds. The Funds are
speculative commodity pools. The market sensitive instruments
held by the Funds are acquired for speculative trading purposes,
and all or substantially all of the Funds assets are
subject to the risk of trading loss. Unlike an operating
company, the risk of market sensitive instruments is integral,
not incidental, to the Funds main lines of business.
The risk to the Limited Partners that have purchased interests in the Partnership
is limited to the amount of their capital contributions to the Partnership and
their share of the Partnerships assets and undistributed profits.
This limited liability is a consequence of the organization of the Partnership as a
limited partnership under applicable law.
Market movements result in frequent changes in the fair value of
the Funds open positions and, consequently in their
earnings and cash flow. The Funds market risks are
influenced by a wide variety of factors, including the level and
volatility of interest rates, exchange rates, equity price
levels, the fair value of financial instruments and contracts,
the diversification effects of the Funds open positions
and the liquidity of the market in which they trade.
The Funds rapidly acquire and liquidate both long and short
positions in a wide range of different markets. Consequently, it
is not possible to predict how a particular future market
scenario will affect performance, and the Funds past
performances are not necessarily indicative of their future
results.
Value at Risk is a measure of the maximum amount which the Funds
could reasonably be expected to lose in a given market sector.
However, the inherent uncertainty of the Funds speculative
trading and the recurrence in the markets traded by the Funds of
market movements far exceeding expectations could result in
actual trading or non-trading losses far beyond the indicated
Value at Risk or the Funds experiences to date (i.e.,
risk of ruin). In light of the foregoing as well as
the risks and uncertainties intrinsic to all future projections,
the inclusion of the quantification in this section should not
be considered to constitute any assurance or representation that
the Funds losses in any market sector will be limited to
Value at Risk or by the Funds attempts to manage their
market risks.
Exchange maintenance margin requirements have been used by the
Funds as the measure of their Value at Risk. Maintenance margin
requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of
any given contract in 95%-99% of any
one-day
interval. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin
includes a credit risk component, which is not relevant to Value
at Risk.
19
Table of Contents
The following tables indicates the trading Value at Risk
associated with the Partnerships investments in the Funds
by market category as of September 30, 2009 and the highest,
lowest and average value during the three months ended
September 30, 2009. 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
Partnerships Annual Report on
Form 10-K
for the year ended December 31, 2008.
As of September 30, 2009, Winton Masters total
capitalization was $524,313,024,
the Partnership owned approximately 2.0% of Winton Master. The
Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in the Winton Master as
of September 30, 2009 was as follows:
September 30,
2009
(Unaudited)
(Unaudited)
Three Months Ended September 30, 2009 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 9,333,591 | 1.78 | % | $ | 10,700,900 | $ | 8,478,938 | $ | 9,504,427 | ||||||||||
Energy |
1,240,349 | 0.24 | % | 2,549,525 | 703,862 | 1,440,952 | ||||||||||||||
Grains |
1,718,287 | 0.33 | % | 1,718,287 | 1,133,559 | 1,432,359 | ||||||||||||||
Interest Rates U.S. |
6,173,010 | 1.18 | % | 6,518,610 | 2,078,339 | 4,522,123 | ||||||||||||||
Interest Rates Non-U.S. |
10,044,891 | 1.92 | % | 11,661,822 | 4,837,528 | 7,726,635 | ||||||||||||||
Livestock |
111,186 | 0.02 | % | 227,651 | 102,533 | 161,785 | ||||||||||||||
Metals |
3,879,776 | 0.74 | % | 3,998,291 | 1,589,099 | 2,918,296 | ||||||||||||||
Softs |
585,138 | 0.11 | % | 1,035,185 | 385,375 | 606,465 | ||||||||||||||
Indices |
10,676,526 | 2.04 | % | 10,676,526 | 1,905,983 | 5,639,298 | ||||||||||||||
Total |
$ | 43,762,754 | 8.36 | % | ||||||||||||||||
* | Average of month-end Values at Risk. | |
20
Table of Contents
As of September 30, 2009, Willowbridge Masters total
capitalization was $238,162,148. The Partnership owned
approximately 2.9% of
Willowbridge Master. The
Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in the Willowbridge Master as
of September 30, 2009 was as follows:
September 30, 2009
(Unaudited)
(Unaudited)
Three Months Ended September 30, 2009 | ||||||||||||||||||||
Value | % of Total | High Value | Low Value | Average Value | ||||||||||||||||
Market Sector | at Risk | Capitalization | at Risk | at Risk | at Risk* | |||||||||||||||
Currencies |
$ | 7,855,650 | 3.30 | % | $ | 14,208,480 | $ | 2,908,305 | $ | 8,695,042 | ||||||||||
Energy |
1,451,588 | 0.61 | % | 13,037,019 | 685,800 | 6,087,536 | ||||||||||||||
Grains |
3,415,500 | 1.44 | % | 3,415,500 | 1,723,410 | 2,429,356 | ||||||||||||||
Interest Rates U.S. |
5,191,560 | 2.18 | % | 9,939,105 | 507,263 | 3,052,277 | ||||||||||||||
Interest Rates Non-U.S. |
10,084,707 | 4.23 | % | 14,168,324 | 455,649 | 7,346,189 | ||||||||||||||
Livestock |
273,240 | 0.12 | % | 410,400 | 133,110 | 209,851 | ||||||||||||||
Metals |
8,083,122 | 3.39 | % | 8,372,754 | 1,909,575 | 5,660,365 | ||||||||||||||
Softs |
1,841,840 | 0.77 | % | 2,445,100 | 981,960 | 1,607,183 | ||||||||||||||
Total |
$ | 38,197,207 | 16.04 | % | ||||||||||||||||
* Average of month-end Values at Risk.
As of September 30, 2009, Graham Masters total
capitalization was
$168,022,693. The Partnership owned approximately 5.8% of Graham
Master. The
Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in the Graham
Master as
of September 30, 2009 was as follows:
September 30, 2009
(Unaudited)
(Unaudited)
Three Months Ended September 30, 2009 | ||||||||||||||||||||
Value | % of Total | High Value | Low Value | Average Value | ||||||||||||||||
Market Sector | at Risk | Capitalization | at Risk | at Risk | at Risk* | |||||||||||||||
Currencies |
$ | 6,395,662 | 3.81 | % | $ | 8,136,447 | $ | 3,040,693 | $ | 5,464,391 | ||||||||||
Energy |
678,527 | 0.41 | % | 1,774,426 | 484,382 | 1,096,708 | ||||||||||||||
Grains |
1,411,794 | 0.84 | % | 1,846,996 | 215,255 | 1,126,000 | ||||||||||||||
Interest Rates U.S. |
2,238,368 | 1.33 | % | 2,365,808 | 87,777 | 682,461 | ||||||||||||||
Interest Rates Non-U.S. |
8,320,518 | 4.95 | % | 8,320,518 | 471,498 | 2,721,058 | ||||||||||||||
Livestock |
36,180 | 0.02 | % | 48,263 | 15,660 | 26,831 | ||||||||||||||
Metals |
1,596,936 | 0.95 | % | 1,806,942 | 488,247 | 1,265,220 | ||||||||||||||
Softs |
1,479,945 | 0.88 | % | 1,479,945 | 511,314 | 883,086 | ||||||||||||||
Indices |
9,707,902 | 5.78 | % | 12,019,804 | 3,419,163 | 8,269,216 | ||||||||||||||
Total |
$ | 31,865,832 | 18.97 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
21
Table of Contents
As of September 30, 2009, Eckhardt Masters total
capitalization
was $18,464,221. The Partnership owned approximately 31.1% of
Eckhardt Master. The
Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in the Eckhardt Master as
of September 30, 2009 was as follows:
September 30, 2009
(Unaudited)
(Unaudited)
Three Months Ended September 30, 2009 | ||||||||||||||||||||
Value | % of Total | High Value | Low Value | Average Value | ||||||||||||||||
Market Sector | at Risk | Capitalization | at Risk | at Risk | at Risk* | |||||||||||||||
Currencies |
$ | 122,663 | 0.66 | % | $ | 1,191,210 | $ | 122,663 | $ | 654,172 | ||||||||||
Energy |
51,156 | 0.28 | % | 442,311 | 50,550 | 190,696 | ||||||||||||||
Grains |
137,399 | 0.74 | % | 138,725 | 62,430 | 102,002 | ||||||||||||||
Interest Rates U.S. |
361,800 | 1.96 | % | 678,443 | 61,560 | 245,751 | ||||||||||||||
Interest Rates Non -U.S. |
142,809 | 0.77 | % | 337,995 | 13,213 | 73,920 | ||||||||||||||
Metals |
495,706 | 2.69 | % | 495,706 | 209,150 | 357,137 | ||||||||||||||
Softs |
251,705 | 1.36 | % | 251,705 | 105,270 | 148,442 | ||||||||||||||
Indices |
706,284 | 3.83 | % | 706,284 | 188,635 | 438,028 | ||||||||||||||
Total |
$ | 2,269,522 | 12.29 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of September 30, 2009, Sandridge Masters total
capitalization
was $620,678,767. The Partnership owned approximately 0.5% of
Sandridge Master. The
Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in the Sandridge Master as
of September 30, 2009 was as follows:
September 30, 2009
(Unaudited)
(Unaudited)
Three Months Ended September 30, 2009 | ||||||||||||||||||||
Value | % of Total | High Value | Low Value | Average Value | ||||||||||||||||
Market Sector | at Risk | Capitalization | at Risk | at Risk | at Risk* | |||||||||||||||
Energy |
$ | 25,720,664 | 4.14 | % | $ | 25,720,664 | $ | 18,754,664 | $ | 24,319,593 | ||||||||||
Total |
$ | 25,720,664 | 4.14 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
22
Table of Contents
Item 4. | Controls and Procedures |
The Partnerships 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 Commissions rules and forms. Disclosed controls and procedures include controls and procedures
designed to ensure that information required to be disclosed by the Partnership in the reports it files
is accumulated and communicated to management,
including the Chief Executive Officer (CEO) and Chief Financial
Officer (CFO) of the General Partner, to allow for timely
decisions regarding required disclosure and appropriate SEC
filings.
Management is responsible for ensuring that there is an adequate
and effective process for establishing, maintaining and
evaluating disclosure controls and procedures for the
Partnerships external disclosures.
The General Partners CEO and CFO have evaluated the
effectiveness of the Partnerships disclosure controls and
procedures (as defined in
Rules 13a-15(e)
and
15d-115(e)
under the Exchange Act) as of September 30, 2009 and, based on
that evaluation, the CEO and CFO have concluded that at that
date the Partnerships disclosure controls and procedures
were effective.
The Partnerships internal control over financial
reporting is a process under the supervision of the General
Partners CEO and CFO to provide reasonable assurance
regarding the reliability of financial reporting and the
preparation of financial statements in accordance with
GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships 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 Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control
over financial reporting process during the fiscal quarter ended
September 30, 2009 that materially affected, or are reasonably
likely to materially affect, the Partnerships internal
control over financial reporting.
23
Table of Contents
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 Partnerships Annual Report on Form 10-K for the fiscal year ended
December 31, 2008, as updated by the Partnerships Quarterly Report on Form 10-Q for the quarters ended
March 31, 2009 and June 30, 2009. There are no material legal proceedings pending against the
Partnership and the General Partner.
Subprime Mortgage-Related Litigation
On August 31, 2009, Asher, et al. v. Citigroup Inc., et al. and Pellegrini v. Citigroup Inc.,
et al. were consolidated with In re Citigroup Inc. Bond Litigation.
On July 27, 2009, Utah Retirement Systems v. Strauss, et al. was filed in the United States
District Court for the Eastern District of New York asserting, among other claims, claims under the
Securities Act of 1933 and Utah state law arising out of an offering of American Home Mortgage
common stock underwritten by CGM.
On July 31, 2009, the United States District Court for the Eastern District of New York
entered an order preliminarily approving settlements reached with all defendants (including
Citigroup and CGM) in In Re American Home Mortgage Securities Litigation.
On August 5, 2009, the underwriter defendants, including CGM, moved to dismiss the
consolidated amended complaint in In Re American International Group, Inc. 2008 Securities
Litigation.
Auction Rate SecuritiesRelated Litigation and Other Matters
On July 23, 2009, the Judicial Panel on Multidistrict Litigation issued an order transferring
K-V Pharmaceutical Co. v. CGMI from the United States District Court for the Eastern District of
Missouri to the United States District Court for the Southern District of New York for coordination
with In Re Citigroup Auction Rate Securities Litigation. On August 24, 2009, CGM moved to dismiss
the complaint.
On September 11, 2009, the United States District Court for the Southern District of New York
dismissed without prejudice the complaint in In Re Citigroup Auction Rate Securities Litigation. On
October 15, 2009, lead plaintiff filed a second consolidated amended complaint asserting claims
under Sections 10 and 20 of the Securities Exchange Act of 1934.
On October 2, 2009, the Judicial Panel on Multidistrict Litigation transferred Ocwen Financial
Corp., et al. v. CGMI to the United States District Court for the Southern District of New York for
coordination with In Re Citigroup Auction Rate Securities Litigation.
Other Matters
On September 14, 2009, defendants filed a motion to dismiss the amended complaint in ECA
Acquisitions, Inc., et al. v. MAT Three LLC, et al..
Adelphia Communications Corporation
Trial of the Adelphia Recovery Trusts claims against Citigroup and numerous other defendants
is scheduled to begin in April 2010.
IPO Securities Litigation
In October 2009, the District Court entered an order granting final approval of the
settlement.
Other Matters
Investors in municipal bonds and other instruments affected by the collapse of the credit
markets have sued Citigroup on a variety of theories. On August 10, 2009, certain such investors, a
Norwegian securities firm and seven Norwegian municipalities, filed an actionTerra Securities Asa
Konkursbo, et al. v. Citigroup Inc., et al.in the United States District Court for the Southern
District of New York against Citigroup, CGM and Citigroup Alternative Investments LLC, asserting
claims under Sections 10 and 20 of the Securities Exchange Act of 1934 and state law arising out of
the municipalities investment in certain notes. On October 7, 2009, defendants filed a motion to
dismiss.
24
Table of Contents
Item 1A. | Risk Factors. |
The following disclosure supplements the risk factors set forth under Part I, Item 1A. Risk
Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,
2008 and under Part II, Item 1A. Risk Factors in the Partnerships Quarterly Report on Forms 10-Q
for the quarters ended March 31, 2009 and June 30, 2009.
Speculative position and trading limits may reduce profitability. The Commodity Futures Trading Commission (CFTC) and U.S. exchanges have
established speculative position limits on the maximum net long or net short position 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 and the Funds 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 and the Funds by increasing
transaction costs to liquidate positions and foregoing potential profits.
Regulatory changes could restrict the Partnerships operations. Regulatory changes could adversely
affect the Partnership and the Funds by restricting its markets or activities, limiting its trading
and/or increasing the taxes to which investors are subject. The General Partner is not aware of
any definitive regulatory developments that might adversely affect the Partnership and the Funds;
however, since June 2008, several bills have been proposed in the U.S. Congress in response to
record energy and agricultural prices and the financial crisis. Some of the pending legislation,
if enacted, could impact the manner in which swap contracts are traded and/or settled and limit
trading by speculators (such as the Partnership and the Funds) in futures and OTC
markets. One of the proposals would authorize the CFTC and the Commission to regulate swap
transactions. Other potentially adverse regulatory initiatives could develop suddenly and without
notice.
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
The Partnership no longer offers Redeemable Units at the Net Asset
Value per Redeemable Unit as of the end of each month.
The following chart sets forth the purchases of Redeemable Units
by the Partnership.
(d) Maximum Number |
||||||||||||||||||||
(or Approximate |
||||||||||||||||||||
(c) Total Number of |
Dollar Value) of |
|||||||||||||||||||
Units |
Units |
|||||||||||||||||||
(a) Total |
(b) Average Price |
Purchased as Part |
that May Yet Be |
|||||||||||||||||
Number of |
Paid per |
of Publicly Announced |
Purchased Under the |
|||||||||||||||||
Period | Units Purchased* | Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||
July 1, 2009
July 31, 2009 |
163.3173 | $ | 1,849.97 | N/A | N/A | |||||||||||||||
August 1, 2009
August 31, 2009 |
809.2808 | $ | 1,843.04 | N/A | N/A | |||||||||||||||
September 1, 2009
September 30, 2009 |
125.4769 | $ | 1,882.85 | N/A | N/A | |||||||||||||||
1,098.0750 | $ | 1,848.62 | ||||||||||||||||||
* | Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but, 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 Partnerships 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. | Submission of Matters to a Vote of Security Holders None |
Item 5. | Other Information None |
25
Table of Contents
Item 6. | Exhibits |
1.1
|
Form of Selling Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit 1.1 to the Registration Statement on Form S-1 filed on February 9, 1994). | ||
3.1
|
Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on February 9, 1994). | ||
3.2
|
(a) | Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York on October 13, 1993 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on February 9, 1994). | |
(b) | Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated October 1, 1999 (filed herein). | ||
(c) | Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed herein). | ||
(d) | Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed herein). | ||
(e) | Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed herein). | ||
(f) | Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as an exhibit to the Form 8-K filed on September 30, 2009). | ||
10.1
|
Customer Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on February 9, 1994). | ||
10.2
|
Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on February 9, 1994). | ||
10.3
|
(a) | Management Agreement among the Partnership, the General Partner and Willowbridge Associates, Inc. (filed as an exhibit to the Form 10-K filed on March 29, 2000). | |
(b) | Letter extending Management Agreement with Willowbridge Associates, Inc. for 2008 (filed as Exhibit 10.43 to the Form 10-K filed on March 31, 2009). | ||
10.4 |
(a) | Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (filed as an exhibit to the Form 10-K filed on March 27, 2002). | |
(b) | Letter extending Management Agreement with Winton Capital Management Limited for 2008 (filed as Exhibit 10.43 to the Form 10-K filed on March 31, 2009). | ||
10.5 |
(a) | Management Agreement among the Partnership, the General Partner and Graham Capital Management L.P. (filed as an exhibit to the Form 10-K filed on March 27, 2002). | |
(b) | Letter extending Management Agreement with Graham Capital Management L.P. for 2008 (filed as Exhibit 10.43 to the Form 10-K filed on March 31, 2009). | ||
10.6 |
(a) | Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company (filed as an exhibit to the Form 10-Q filed on August 14, 2008). | |
(b) | Letter extending Management Agreement with Eckhardt Trading Company for 2008 (filed as Exhibit 10.43 to the Form 10-K filed on March 31, 2009). | ||
10.7
|
Management Agreement among the Partnership, the General Partner and SandRidge Capital LP (filed as Exhibit 10.1 to the Form 8-K filed on June 2, 2009). | ||
10.8
|
Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009). | ||
31.1
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). (filed herein) | ||
31.2
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director). (filed herein) | ||
32.1
|
Section 1350 Certification (Certification of President and Director). (filed herein) | ||
32.2
|
Section 1350 Certification (Certification of Chief Financial Officer and Director). (filed herein) |
26
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned thereunto duly authorized.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
By: |
Ceres Managed
Futures LLC
|
(General Partner)
By: |
/s/ Jerry
Pascucci
|
Jerry Pascucci
President and Director
Date: November 16, 2009
By: |
/s/ Jennifer
Magro
|
Jennifer Magro
Chief Financial Officer and Director
(Principal Accounting Officer)
(Principal Accounting Officer)
Date: November 16, 2009
27