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EX-31.1 - EX-31.1 - CERES TACTICAL SYSTEMATIC L.P. | y03597exv31w1.htm |
EX-31.2 - EX-31.2 - CERES TACTICAL SYSTEMATIC L.P. | y03597exv31w2.htm |
EX-32.1 - EX-32.1 - CERES TACTICAL SYSTEMATIC L.P. | y03597exv32w1.htm |
EX-32.2 - EX-32.2 - CERES TACTICAL SYSTEMATIC L.P. | y03597exv32w2.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K/A
Amendment
No. 1 to Form 10-K
(X) ANNUAL REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the fiscal year ended December 31, 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 000-50718
TACTICAL DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 13-4224248 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) |
c/o Ceres Managed Futures LLC
55 East 59 Street 10th Floor
New York, New York 10022
55 East 59 Street 10th Floor
New York, New York 10022
(Address and Zip Code of principal executive offices)
(212) 559-2011
(Registrants telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
Redeemable Units of Limited Partnership Interest | ||
Securities registered pursuant to Section 12(g) of the Act: | (Title of Class) |
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of
the Securities Act.
Yes o No þ
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or
Section 15(d) of the Act.
Yes o No þ
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 þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site,
if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T
during the preceding 12 months (or for such shorter period that the registrant was required to submit and post
such files). Yes o No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is
not contained herein, and will not be contained, to the best of registrants knowledge, in
definitive proxy or information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this form 10-K þ.
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 o | Accelerated filer o | Non-accelerated filer þ | Smaller reporting company o | |||
(Do not check if a 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 o No þ
Limited Partnership Redeemable Units with an aggregate value of $754,873,306 were outstanding and held
by non-affiliates as of the last business day of the registrants most recently completed second
calendar month.
As of February 28, 2010, 650,344.5868 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
[None]
Explanatory Note
This Amendment No. 1 on Form 10-K/A (Amendment No. 1) amends the Annual Report for Tactical
Diversified Futures Fund L.P. filed on Form 10-K for the year ended December 31, 2009, as initially
filed with the Securities and Exchange Commission (the SEC) on March 31, 2010 (the Original
Report). This Amendment No. 1 amends Part II, Item 7: Managements Discussion and Analysis of
Financial Condition and Results of Operations to include disclosure that was inadvertently omitted
from the Original Report. This Amendment No. 1 does not alter any part of the content of the
Original Report, except for the changes and additional information provided herein. This Amendment
No. 1 otherwise describes conditions as of the date of the Original Report and has not been updated
to disclose events that may have occurred at a later date.
Item 7. | Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Overview
The Partnership aims to achieve substantial capital appreciation and permit investors to
diversify a traditionally structured stock and bond portfolio. The Partnership attempts to
accomplish its objectives through speculative trading in U.S. and international markets for
currencies, interest rates, stock indices, agricultural and energy products and precious and base
metals directly, or through investments in the Funds. The Partnership may employ futures, swaps,
options on futures, and forward contracts in those markets.
The General Partner manages all business of the Partnership/Funds. The General Partner has
delegated its responsibility for the investment of the Partnerships assets to the Advisors. The
General Partner employs a team of approximately 20 professionals whose primary emphasis is on
attempting to maintain quality control among the Advisors to the partnerships operated or managed
by the General Partner. A full-time staff of due diligence professionals use state-of-the-art
technology and on-site evaluations to monitor new and existing futures money managers. The
accounting and operations staff provide processing of trading activity and reporting to limited
partners and regulatory authorities. In selecting the Advisors for the Partnership, the General
Partner considered past performance, trading style, volatility of markets traded and fee
requirements.
Responsibilities of the General Partner include:
| due diligence examinations of the Advisors; | ||
| selection, appointment and termination of the Advisors; | ||
| negotiation of the management agreements; and | ||
| monitoring the activity of the Advisors. |
In addition, the General Partner prepares the books and records and provides the
administrative and compliance services that are required by law or regulation from time to time in
connection with the operation of the Partnership. These services include the preparation of required
books and records and reports to limited partners, government agencies and regulators; computation
of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner
communications; and preparation of offering documents and sales literature.
The General Partner seeks the best prices and services available in its commodity futures
brokerage transactions.
1
The programs traded by each Advisor on behalf of the Partnership are: Drury Diversified
Trend-Following Program, Graham K4D-12.5 Program (K4D), JWH Global Analytics Program,
Aspect Diversified Program, CFM Discus Program, Winton Diversified Program, AAA Energy
Program Futures and Swaps (Energy), Willowbridge Argo Trading System (Argo) and SandRidge
Energy Program. As of December 31, 2009, the Partnerships assets were allocated among the
Advisors in the following approximate percentages: Drury 11%, Graham 11%, JWH 5%, Aspect 13%, CFM
19%, Winton 12%, AAA 10%, Willowbridge 9% and SandRidge 10%. The General Partner may modify or terminate the allocation of assets among trading
advisors at any time and may allocate assets to additional advisors at any time.
Drury Capital, Inc.
Drury trades its Diversified Trend-Following Program on behalf of Drury Master. The
Diversified Trend-Following program is systematic and technical. Drury may exercise judgment
regarding liquidity issues. Systematic traders rely primarily on trading programs or models that
generate trading signals. The systems utilized to generate trading signals are changed from time to
time (although generally infrequently), but the trading instructions generated by the system being
used are followed without significant additional analysis or interpretation.
The Diversified Trend-Following Program is built on elements of trend-following and
diversification. The program emphasizes diversification by trading metals, agricultural products,
foreign exchange, stock indices, energy products, financial instruments and tropical products
(softs).
The Diversified Trend-Following Program trades 30 portfolio instruments and is generally
positioned in 18 of these instruments on average. Positions can be short as well as long. The
Diversified Trend-Following Program has no market or sector bias, as Drury believes that each
instrument can produce long-term profits through the application of independent technical analysis
and risk management.
Graham Capital Management, L.P.
Graham trades its K4D program on behalf of Graham Master. As of December 31, 2009, the K4D program consisted of the Global Diversified Program and the K4
Program. The Global Diversified Program employs a systematic strategy that utilizes multiple
computerized trading models and offers broad diversification across various global markets. The K4
Program employs a systematic strategy that utilizes a mathematical model to identify certain price
patterns that indicate a high probability that a significant directional move will occur.
Graham trades actively in both U.S. and foreign markets, primarily in futures contracts,
forward contracts, spot contracts and associated derivative instruments such as options and swaps.
Graham engages in exchange for physical transactions, which involve the exchange of a futures
position for the underlying physical commodity without making an open competitive trade on an
exchange. Graham at times will trade certain instruments, such as forward foreign currency
contracts, as a substitute for futures or options traded on futures exchanges.
Grahams
trading systems are systematic and rely primarily on technical rather than fundamental information as
the basis for their trading decisions. Grahams systems are based on the expectation that they can
over time successfully anticipate market events using quantitative mathematical models to determine
their trading activities, as opposed to attempting properly to forecast price trends using
subjective analysis of supply and demand.
John W. Henry & Company, Inc.
JWH trades its JWH Global Analytics Program on behalf of the Partnership, a systematic trading program. Since the firms
inception, the JWH investment philosophy has been based on the premise that market prices, rather
than market fundamentals, are the key aggregators of information necessary to make investment
decisions and that market prices, which may at first seem random, are actually related through time
in complex, but discernable ways.
Global Analytics invests in both long- and short-term price movements. The program invests in
a broad spectrum of worldwide financial and non-financial markets, including interest rate,
non-U.S. stock index, currency, metals, energy and agricultural contracts. GlobalAnalytics uses
JWHs five phase investment style (a position is maintained, long or short, in a market at all
times) and JWHs three phase investment style (positions are taken when trends are identified, but
the program may take a neutral stance or liquidate open positions in non-trending markets).
2
Willowbridge Associates Inc.
Willowbridge trades its Select Investment Program using the Argo Trading System on behalf of
Willowbridge Master. Argo is a computerized systematic trading system that relies on technical information. It is not a trend-following
system, but does follow a trend when the opportunity arises. Argo uses the concepts of pattern
recognition, support/resistance levels and counter trend liquidations in making trading decisions.
Argo determines, on a daily basis, whether to be long, short or flat the various commodities in its
portfolio.
Pattern recognition, support/resistance levels and counter-trend liquidations are defined as
follows:
Pattern recognition is the ability to identify patterns that appear to have acted as
precursors of price advances or declines in the past.
A support level is a previous lowa price level under the current market price at which point
buying interest is expected to be sufficiently strong to overcome selling pressure.
A resistance level is a previous higha price level over the current market price at which
point selling pressure is expected to overcome buying pressure and a price advance is expected to
be turned back.
A counter-trend liquidation is the closing out of a position after a significant price move on
the assumption that the market is due for a correction.
Aspect Capital Limited.
Aspect trades its Diversified Program on behalf of Aspect Master. The Diversified Program is a
systematic global futures trading program. Its goal is the generation of significant long-term
capital growth independent of stock and bond market returns. This program continuously monitors
price movements in a wide range of global financial, currency and commodity markets, searching for
profit opportunities over periods ranging from a few hours to several months.
Aspect has designed the Diversified Program to have broad market diversification (subject to
liquidity constraints). Aspects quantitative resources are sufficient to enable it to design and
implement a broadly diversified portfolio with a significant allocation to numerous different
markets.
Aspects Diversified Program trades over 100 markets in the seven major sectors: currencies,
energy, metals, stock indices, bonds, agricultural commodities and interest rates implementing
momentum strategies. Aspect is constantly examining new liquid and uncorrelated markets to
incorporate in the program with the aim of improving its reward/risk ratio and capacity. Aspect has
no market or sector preferences, believing that allowing for liquidity effects, equal profitability
can be achieved in the long-term in all markets. The key factors in determining the asset
allocation are correlation and liquidity. Correlations are analyzed at the sector, sub-sector,
economic block and market levels to design a portfolio which is highly diversified.
Capital Fund Management S.A.
CFM trades its Discus Program on behalf of the Partnership. The Discus Program is a
multi-strategy, 100% statistical and systematic program that seeks to identify prevailing market
conditions and adopt the most efficient trading strategy for those conditions. The strategy at
times follows medium to long term trends, and at other times establishes short term positions in
the direction of or opposite a trend.
CFM has designed the Discus Program to trade a diversified portfolio of approximately 50
futures and forward contracts among the following sectors: short, medium and long term interest
rates, stock indices, currencies and commodities.
Winton Capital Management Limited.
Winton trades its Diversified Program on behalf of Winton Master. The Diversified Program
trades approximately 95 futures and forward contracts on United States and non- United States
exchanges and markets.
Winton employs a fully systematic, computerized, technical, trend-following trading system developed by
its principals. This system tracks the daily price movements from these markets around the world,
and carries out certain computations to determine each day how long
3
or short the portfolio should be in an attempt to maximize profit within a certain range of
risk. If rising prices in a particular market are anticipated, a long position will be established
in that market; if prices in a particular market are expected to fall, a short position in that
market will be established.
Technical analysis refers to analysis based on data intrinsic to a market, such as price and
volume. In contrast, fundamental analysis relies on factors external to a market, such as supply
and demand. The Diversified Program employs no fundamental factors.
A trend-following system is one that attempts to take advantage of the observable tendency of
the markets to trend, and to tend to make exaggerated movements in both upward and downward
directions as a result of such trends. These exaggerated movements are largely explained as a
result of the influence of crowd psychology or the herd instinct among market participants.
A trend-following system does not anticipate a trend. In fact, trend-following systems are
frequently unprofitable for long periods of time in particular markets or market groups, and
occasionally they are unprofitable for periods of more than a year. However, the principals believe
that such an approach will, in the long term, be profitable.
Trade selection is not subject to intervention by Wintons principals and therefore is not
subject to the influences of individual judgment. As a mechanical trading system, the Winton model
embodies all the expert knowledge required to analyze market data and direct trades, thus
eliminating the risk of basing a trading program on one indispensable person. Equally as important
is the fact that mechanical systems can be tested in simulation for long periods of time and the
models empirical characteristics can be measured.
The systems output is rigorously adhered to in trading the portfolio and intentionally no
importance is given to any external or fundamental factors. While it may be seen as unwise to
ignore information of obvious value, such as that pertaining to political or economic developments,
Winton believes that the disadvantage of this approach is far outweighed by the advantage of the
discipline that rigorous adherence to such a system instills. Winton believes that significant
profits may be realized by the Winton system by holding on to positions for much longer than
conventional wisdom would dictate. Winton believes that a trader who pays attention to day-to-day
events could be distracted from the chance of fully capitalizing on such trends.
The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts.
Forward markets include major currencies and precious and base metals, the latter two categories
being traded on the London Metal Exchange. Winton seeks out new opportunities to add additional
markets to the portfolio, with the goal of increasing the portfolios diversification.
Winton believes that taking positions in a variety of unrelated markets will, over time,
decrease system volatility. By employing a sophisticated and systematic method for placing orders
in a wide array of markets, Winton believes that profits can be realized over time.
AAA Capital Management Adviors, Ltd.
AAA trades its Energy Program on behalf of AAA Master, and thereby the Partnerships, assets
in accordance with its Energy Program Futures and Swaps, a discretionary trading program.
AAA Master currently trades energy futures contracts and options on energy futures contracts
on domestic and international exchanges, as well as the Goldman Sachs Commodity Index (an index
future comprised of energy and other products) traded on the Chicago Mercantile Exchange. AAA
Master also currently engages in swap transactions involving crude oil and other energy related
products. References herein to energy and energy related products include all of the foregoing.
AAA generally bases its trading decisions on fundamental factors, namely supply and demand
for a particular group or type of commodity. AAA attempts to buy undervalued commodities and sell
overvalued commodities, often but not always simultaneously. AAA uses options to attempt either to
reduce or define risks.
AAA is aware of price trends but does not trade upon trends. AAA often takes profits in
positions with specific trends even though that trend may still be intact or perhaps even strong.
AAA occasionally establishes positions that are countertrend.
Effective risk management is a crucial aspect of AAAs trading program. Account size,
expectation, volatility of the market traded and the nature of other positions taken are all
factors in determining the amount of equity committed to each trade. AAA Master is AAAs largest
account.
4
SandRidge Capital, L.P.
SandRidge trades the Partnerships assets in accordance with its
Energy Program. SandRidge primarily attempts to achieve the Partnerships objective through the
speculative trading of energy-related commodity interests, including, but not limited to, natural
gas, crude oil, heating oil and gasoline. With the prior approval of the General Partner, SandRidge
may trade in other commodity interests that are now traded, or may be traded in the future, on
exchanges and markets located in the United States and abroad.
SandRidge is a discretionary trader that employs primarily fundamental analysis. Fundamental
analysis examines factors external to the trading market that affect the supply and demand for a
particular group or type of commodity in order to predict future prices. Effective risk management
is an important aspect of SandRidges trading program. An accounts size, volatility of the market
traded and the nature of other positions taken are all factors used in deciding whether to initiate
a position and in determining the amount of equity committed to that position. While SandRidge
relies heavily on fundamental research to develop its overall point of view, it also employs
technical analysis in its trading to help determine entry and exit points. Technical analysis
includes moving averages, index rolls and Stochastic/relative strength indicators. Technical
analysis is based on the theory that the study of the markets themselves provides a means of
anticipating price movements. SandRidge may employ various strategies for phasing an account in and
out of the markets. Entry points are based on a number of price breakout and retracement
indicators. Position exits are based on multiple strategies including trailing stops, target prices
and technical reversals. If SandRidge believes that the markets traded are unstable, SandRidge may
temporarily reduce positions or exit the markets entirely and therefore hold no open positions for
a period of time. SandRidge estimates that, generally, 10% to 15% of the Partnerships assets
allocated to SandRidge will be committed to margin at any one time. The actual amount committed as
such may be substantially more. Trading decisions will require the exercise of judgment by
SandRidge.
SandRidges success depends to a great extent upon the occurrence of market conditions
favorable to its trading strategy. Factors such as lack of major price trends or increased
governmental control of, or participation in, the markets, may reduce SandRidges ability to trade
profitably in the future.
No assurance can be given that the Advisors strategies will be successful or that they will
generate profits for the Partnership.
For the period January 1, 2009 through December 31, 2009, the average
allocation by commodity
market sector for each of the Funds was as follows:
CMF Drury Capital Master Fund L.P.
Currencies |
24.4 | % | ||
Energy |
8.2 | % | ||
Grains |
6.2 | % | ||
Interest Rates Non-U.S. |
11.9 | % | ||
Interest Rates U.S. |
4.5 | % | ||
Metals |
12.6 | % | ||
Softs |
4.6 | % | ||
Stock Indices |
27.6 | % |
CMF Graham Capital Master Fund L.P.
Currencies |
26.1 | % | ||
Energy |
6.8 | % | ||
Grains |
4.0 | % | ||
Interest Rates Non-U.S. |
16.9 | % | ||
Interest Rates U.S. |
6.3 | % | ||
Livestock |
0.4 | % | ||
Metals |
5.2 | % | ||
Softs |
4.5 | % | ||
Stock Indices |
29.8 | % |
John W. Henry & Company, Inc.
Currencies |
23.1 | % | ||
Energy |
15.1 | % | ||
Grains |
12.2 | % | ||
Interest Rates Non-U.S. |
12.4 | % | ||
Interest Rates U.S. |
9.3 | % | ||
Metals |
12.9 | % | ||
Softs |
10.0 | % | ||
Stock Index |
5.0 | % |
CMF Willowbridge Argo Master Fund L.P.
Currencies |
23.4 | % | ||
Energy |
17.8 | % | ||
Grains |
8.3 | % | ||
Interest Rates Non-U.S. |
16.6 | % | ||
Interest Rates U.S. |
9.5 | % | ||
Livestock |
0.4 | % | ||
Metals |
18.1 | % | ||
Softs |
5.9 | % |
CMF Aspect Master Fund L.P.
Currencies |
20.7 | % | ||
Energy |
8.2 | % | ||
Grains |
3.3 | % | ||
Interest Rates Non-U.S. |
28.8 | % | ||
Interest Rates U.S. |
7.7 | % | ||
Livestock |
1.5 | % | ||
Metals |
10.8 | % | ||
Softs |
7.1 | % | ||
Stock Indices |
11.9 | % |
CMF Capital Fund Management Master Fund L.P.
Currencies |
21.2 | % | ||
Energy |
8.1 | % | ||
Grains |
1.8 | % | ||
Interest Rates Non-U.S. |
14.1 | % | ||
Interest Rates U.S. |
12.5 | % | ||
Livestock |
0.2 | % | ||
Metals |
1.5 | % | ||
Softs |
2.3 | % | ||
Stock Indices |
38.3 | % |
CMF Winton Master L.P.
Currencies |
26.1 | % | ||
Energy |
4.3 | % | ||
Grains |
5.6 | % | ||
Interest Rates Non-U.S. |
20.5 | % | ||
Interest Rates U.S. |
11.1 | % | ||
Livestock |
0.8 | % | ||
Metals |
9.0 | % | ||
Softs |
3.0 | % | ||
Stock Indices |
19.6 | % |
AAA Master Fund LLC
Energy
|
100.0 | % |
CMF SandRidge Master Fund L.P.
Energy |
100.0 | % |
(a) Liquidity.
The Partnership does not engage in the sales of goods or services. The Partnerships assets
are its (i) investment in partnerships, (ii) equity in its trading account, consisting of cash and
cash equivalents, net unrealized appreciation on open futures contracts, and (iii) interest
receivable. Because of the low margin deposits normally required in commodity futures trading,
relatively small price movements may result in substantial losses to the Partnership. While
substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during
the year ended December 31, 2009.
To minimize this risk relating to low margin deposits, the Partnership follows certain trading
policies, including:
(i) | The Partnership/Funds invests their assets only in commodity interests that the Advisors believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market. | ||
(ii) | An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnerships net assets allocated to that Advisor. | ||
(iii) | The Partnership/Funds may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged. | ||
(iv) | The Partnership/Funds do not employ the trading technique commonly known as pyramiding, in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities. | ||
(v) | The Partnership/Funds do not utilize borrowings other than short-term borrowings if the Partnership/Funds take delivery of any cash commodities. |
5
(vi) | The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership/Funds. The term spread or straddle describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts. | ||
(vii) | The Partnership/Funds will not permit the churning of its commodity trading account. The term churning refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income. |
From January 1, 2009
through December 31, 2009, the Partnerships average margin to equity ratio (i.e., the percentage
of assets on deposit required for margin) was approximately 11.2%. The foregoing margin to equity ratio
takes into account cash held in the Partnerships name, as well as the allocable value of the positions
and cash held on behalf of the Partnership in the name of the Funds.
In the normal course of business, the Partnership and the Funds are parties to financial
instruments with off-balance sheet risk, including derivative financial instruments and derivative
commodity instruments. These financial instruments include forwards, futures, options and swaps,
whose values are based upon an underlying asset, index or reference rate, and generally represent
future commitments to exchange currencies or cash balances, or to purchase or sell other financial
instruments at specified 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 forwards and option contracts. OTC contracts are negotiated between contracting parties and
include swaps and certain forwards and option contracts. Each of these instruments is subject to
various risks similar to those relating to the underlying financial instruments including market
and credit risk. In general, the risks associated with OTC contracts are greater than those
associated with exchange traded instruments because of the greater risk of default by the
counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/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
Partnership/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 Partnerships/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
Partnerships/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 the sole counterparty or
broker with respect to the Partnerships/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
Partnerships/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,
Guarantees (formerly FASB Interpretation No. 45, Guarantors Accounting and Disclosure
Requirements for Guarantees).
The General Partner/managing member monitors and attempts to control the Partnerships/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 Partnership/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, on-line monitoring systems provide account analysis of
futures, forwards and options positions by sector, margin requirements, gain and loss transactions
and collateral positions. (See also Item 8. Financial Statements and Supplementary Data
for further information on financial instrument risk included in the notes to financial
statements.)
Other than the risks inherent in commodity futures and other derivatives trading, the Partnership knows of
no trends, demands, commitments, events or uncertainties which will result in or which are
reasonably likely to result in the Partnerships liquidity increasing or decreasing in any material
way. The Limited Partnership Agreement provides that the General Partner may, in its discretion,
cause the
6
Partnership to cease trading operations and liquidate all open positions under certain
circumstances including a decrease in Net Asset Value per Redeemable Unit to less than $400 as of
the close of business on any trading day.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnerships 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. Gains or losses on trading cannot be
predicted. Market movements in commodities are dependent upon fundamental and technical factors which
the Advisors may or may not be able to identify, such as changing supply and demand relationships,
weather, government, agricultural, commercial and trade programs and policies, national and
international political and economic events and changes in interest rates. Partnership expenses
consist of, among other things, brokerage commissions and advisory fees. The level of
these expenses is dependent upon trading performance and the level of Net
Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon
interest rates over which the Partnership has no control.
No forecast can be made as to the level of redemptions in any given period. A Limited Partner
may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the
last day of any month on 10 days notice to the General Partner. There is no fee charged to Limited
Partners in connection with redemptions.
Redemptions generally are funded out of the Partnerships cash
holdings. For the year ended December 31, 2009, 186,428.5326
Redeemable Units were redeemed totaling $234,571,753 and General Partners redemption representing 2,188.2548 Unit equivalents
totaling $2,681,072. For the year ended December 31, 2008, 207,556.2917 Redeemable Units
were redeemed totaling $239,169,501. For the year ended December 31, 2007, 245,925.1928 Redeemable
Units were redeemed totaling $232,324,170.
For the year ended December 31, 2009, there were additional sales of 51,211.7956 Redeemable
Units totaling $63,653,869. For the year ended December 31, 2008, there were additional sales of
181,317.5434 Redeemable Units totaling $206,908,278 and General Partners contribution representing
902.0630 Unit equivalents totaling $1,000,000. For the year ended December 31, 2007, there were
additional sales of 103,235.6457 Redeemable Units totaling $96,929,000.
(c) Results of Operations.
For the year ended December 31, 2009, the Net Asset Value per Redeemable Unit decreased 6.0%
from $1,290.46 to $1,212.71. For the year ended December 31, 2008, the Net Asset Value per
Redeemable Unit increased 28.2% from $1,006.61 to $1,290.46. For the year ended December 31, 2007,
the Net Asset Value per Redeemable Unit increased 7.6% from $935.79 to $1,006.61.
The Partnership experienced a net trading gain of $19,118,764 before brokerage commissions and
expenses in 2009. Gains were primarily attributed to the Partnerships/Funds trading in livestock, metals and indices and were partially offset by losses in
currencies, energy, grains, U.S. and non-U.S. interest rates, lumber and softs.
2009 was a volatile year for the financial markets. The U.S. stock market entered 2009 reeling
from the financial turmoil of 2008. The results of the sub-prime fallout, bank bailouts, auto
industry bankruptcies, and capitulating economic data overwhelmed not just stock prices, but fueled
extraordinarily high levels of risk aversion. The markets recovery was driven by stability in the
banking sector and a rapid recovery in global markets. By mid-year 2009, the market had hit bottom in March, banks were seeking to return TARP bailout money and other leading indicators were
recovering. The Partnership realized losses due to volatile trends. The volatility was due to sensitivity to news shocks
and contrary economic data.
Losses were realized in trading fixed income instruments. With the economic backdrop of 2009,
yields started to exhibit asymmetric volatility due to extreme uncertainty prevailing in the longer
time horizon. Encouraged by the continuing efforts of the Obama administration to stabilize the
U.S. economy, the markets finally began to recover a degree of risk-taking confidence in March,
resulting in the reversal of many of the trends that had driven returns in late 2008. In
agricultural commodities, losses were realized primarily in corn and wheat. Prices of corn and
wheat both unexpectedly rallied in October as cold, wet weather threatened to delay harvest and
concerns over the acres likely to be seeded for the new crop. Losses were also taken in trading of
currencies, primarily in December as the Japanese Yen reversed sharply on the Japanese
governments dissatisfaction over the high value of the Yen.
7
The Partnership experienced a net trading gain of $325,603,820 before brokerage commissions
and expenses in 2008. Gains were
primarily attributed to the Partnerships/Funds trading in currencies, energy, grains,
indices, lumber, U.S. and non-U.S. interest rates, metals and softs.
In 2008, the liquidity crisis that began in 2007 rapidly spread to all corners of the globe,
significantly pushing down global economic growth and presenting the U.S. economy with the hardest
challenges since the Great Depression. During the year, the worlds credit markets virtually seized
up, commodity prices plunged and most major equity indices declined dramatically, while some of the
largest U.S. financial institutions were under pressure. Faced with unprecedented rapid
deterioration in economic data and outlook, and fearing a snowball adverse effect of the credit
crunch, global central banks reacted with aggressive campaigns of interest rate cuts and
coordinated capital injections. As the markets re-priced the cost of risk, several strong trends
emerged. The Partnership strongly capitalized on the trends and was profitable in all the sectors.
Profits were primarily realized from trading in energy, fixed income and equity indices. The
Partnership realized most of the profits in the energy sector by capturing both the bullish and the
bearish trends. In the earlier part of the year, crude oil pushed towards a historic high of $147
per barrel and in the latter part, the trend suddenly reversed and a strong negative trend emerged
with crude oil dropping to about $32 per barrel. Natural gas also contributed to profits as prices
plunged from $14 to about $5 per MMBtu. The Partnership was also profitable in interest rates as the yield on
short term notes dropped significantly. Short term U.S. Treasury bills were in such high demand due
to flight-to-quality that the yields had dropped below zero during the year. While the 10-year
T-bill yielded on an average between 3.5%-4% for most of the year, the yield dropped to 2% in December.
Non-U.S. interest rates also showed tremendous volatility as the rates dropped precipitously due to
the actions of the central banks. Global equity indices also contributed to the gains as indices
continued to test multi-year lows. As financial institutions continued to write off the assets and
as bankruptcies loomed, investors lost confidence in the equity markets. Futures markets offered
greater flexibility as the SEC temporarily banned short selling in the equity markets.
Interest income on 80% of the average daily equity maintained in cash in the Partnerships (or the
Partnerships allocable portion of a Funds) brokerage account was earned at the monthly
average 30-day U.S. Treasury bill yield. CGM may continue to maintain the Partnerships assets
in cash and/or place up to all of the Partnerships (or a Funds) assets in 90-day Treasury bills
and pay the Partnership 80% of the interest (or the Partnerships allocable share thereof) earned on the Treasury bills purchased.
Twenty percent of the interest earned on Treasury bills
purchased may be retained by CGM and/or credited to the General Partner. Interest income for the three and twelve months ended December 31, 2009 decreased by $262,221 and $8,034,913,
respectively as compared to the corresponding periods in 2008. The
decrease is due to a decrease in the average interest rate over the
corresponding periods. Interest earned by the Partnership will
increase the net asset value of the Partnership. The
amount of interest income earned by the Partnership depends on the average daily equity in the
Partnerships and the Funds accounts and upon interest rates over which neither the Partnership
nor CGM has control.
Brokerage
commissions are calculated on the Partnerships adjusted net asset value on the last day of each
month and are affected by trading performance, additions and redemptions. Brokerage commissions and fees
for the three and twelve months ended December 31, 2009 decreased by $3,026,242 and $3,658,743,
respectively as compared to the corresponding periods in 2008. The decrease in brokerage commissions is
primarily due to a decrease in average net assets during the three and twelve months ended December 31, 2009
as compared to the corresponding periods in 2008.
Management fees
are calculated as a percentage of the Partnerships net asset value as of the end of each month and
are affected by trading performance, additions and redemptions. Management fees for the three and twelve months ended
December 31, 2009 decreased by $1,047,269 and $1,285,729, respectively as compared to the corresponding
periods in 2008. The decrease in management fees is due to a decrease in average net assets during the
three and twelve months ended December 31, 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 management
agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three
and twelve months ended December 31, 2009 resulted in an incentive fees accrual of $643,364 and $6,244,781,
respectively. Trading performance for the three and twelve months ended December 31, 2008 resulted in an
incentive fees accrual of $13,265,101 and $30,928,566, respectively.
The Partnership experienced a net trading gain of $103,467,970 before brokerage commissions
and expenses in 2007. Gains were primarily attributed to the Partnerships/Funds trading in
currencies, energy, grains, indices, lumber, U.S. and non-U.S. interest rates and were partially
offset by losses recognized in the trading of metals and softs.
During 2007,
the Partnership profited from macro-economic developments that stimulated volatility and asset price trends
of a favorable duration to the underlying Advisors trading strategies. Negative developments in the U.S.
mortgage markets and the increasing probability of recession resonated throughout the capital and
commodity markets. A surge in volatility in the global equity markets in February was driven by a
tumble in Chinese stock valuations that curbed sentiment for global risk assets and sparked a material
sell-off in global stock prices. The year would go on to be highlighted by two additional measurable
equity market corrections in the summer and fall. By mid-summer, dislocations in U.S. asset-backed and
mortgage-backed credit markets emerged as the central focal point of global capital markets. The ensuing
re-pricing of credit risk resulted in a flight-to-quality driving a rally in prices of sovereign debt,
especially in the U.S. Treasury markets as the Federal Open Market Committee acted rapidly to stem the
negative implications for growth. As a result of the series of rate cuts and negative economic data, the
U.S. dollar became less attractive and weakened materially against most major currencies during the latter
part of the year. Commodity markets continued to signal inflation, further clouding the economic landscape,
as global demand for most food and raw materials continued to be robust. Prices moved rather erratically at
times.
Profits were
realized in fixed income trading as turbulence in asset backed credit markets became a catalyst for
significant directional moves in yields and strong bias towards price rallies across Treasury curves.
Gains were also generated by substantially rising oil prices, which reached all-time contract highs
due to robust global demand, ongoing geopolitical concerns and increased speculative participation
in the commodity. The Partnership also benefited from persistent trends in the currency sector,
notably in the Japanese Yen, New Zealand Dollar and British Pounds.
Trading gains
were offset slightly by losses related to trading in metals and soft commodities. Periodic sporadic rallies
in the U.S. dollar negatively impacted positions in certain precious metals, which tend to demonstrate
inverse price movements. Prices of industrial metals also moved erratically during most of the year,
mainly due to fluctuating estimates of Chinese and emerging market economic growth resulting in unfavorable
price action for the Advisors. Losses were also experienced in trading soft commodities such as coffee and
cocoa. Excess exports from growers in Africa and Indonesia in the month of August resulted in a surprising
fall in process driven by increased supply.
The net trading gain (or loss) realized from each of the Funds is included on page F-25 under Item
8. Financial Statements and Supplementary Data.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with their expected performance given market conditions and the objectives of
the Partnership. The General Partner continues to monitor the Advisors performance on a daily,
weekly, monthly and annual basis to assure these objectives are met.
Commodity markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also increase the possibility
of profit. The profitability of the Partnership depends on the existence of major price trends and
the ability of the Advisors, other than AAA and SandRidge, 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 Partnership expects to increase capital through
operations.
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.
(d) Off-Balance
Sheet Arrangements. None.
(e) Contractual
Obligations. None
(f) Operational Risk.
The Partnership is directly exposed to market risk and credit risk, which arise in the normal
course of its business activities. Slightly less direct, but of critical importance, are risks
pertaining to operational and back office support. This is particularly the case in a rapidly
changing and increasingly global environment with increasing transaction volumes and an expansion
in the number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement Risk the risk of financial and opportunity loss and legal liability
attributable to operational problems, such as inaccurate pricing of transactions, untimely trade
execution, clearance and/or settlement, or the inability to process large volumes of transactions.
The Partnership is subject to increased risks with respect to its trading activities in emerging
market securities, where clearance, settlement, and custodial risks are often greater than in more
established markets.
Technological Risk the risk of loss attributable to technological limitations or hardware
failure that constrain the Partnerships ability to gather, process, and communicate information
efficiently and securely, without interruption, to customers within the Partnership, and in the
markets where the Partnership participates.
8
Legal/Documentation Risk the risk of loss attributable to deficiencies in the documentation
of transactions (such as trade
confirmations) and customer relationships (such as master netting agreements) or errors that
result in noncompliance with applicable legal and regulatory requirements.
Financial Control Risk the risk of loss attributable to limitations in financial systems
and controls. Strong financial systems and controls ensure that assets are safeguarded, that
transactions are executed in accordance with managements authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnerships unit holders, creditors, and regulators, is free of material errors.
(g) 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. 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 the date the
financial statements were issued. 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, 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).
Partnerships and the Funds Investments. All commodity interests (including derivative financial
instruments and derivative commodity instruments) are held for trading purposes. The commodity
interests are recorded on trade date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity interests denominated in foreign
currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement
date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on
open contracts are included as a component of equity in trading account on the Statements of
Financial Condition. 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.
Partnerships and the Funds Fair Value Measurements. The Partnership and the Funds adopted ASC
820, 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. The Partnership and the Funds did not apply the deferral allowed by ASC 820 for
nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.
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 (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 years ended December 31, 2009 amd 2008, the
Partnership and 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 Partnership and the Funds trade futures contracts.
Exchange cleared swaps included in futures and 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 Partnership and 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 Partnership and the Funds. When the contract is
closed, the Partnership and 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.
9
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts
where the Funds agrees 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.
The Funds do 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.
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.
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.
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, Income Taxes (formerly, FAS No. 48, Accounting
for Uncertainty in Income Taxes). ASC 740 provides guidance for how uncertain tax positions
should be recognized, measured, presented and disclosed in the financial statements. ASC 740
requires the evaluation of tax positions taken or expected to be taken in the course of preparing
the Partnerships 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 Partnerships financial statements.
The following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States 2006.
Subsequent Events. In 2009, the Partnership adopted ASC 855, Subsequent Events (formerly,
FAS No. 165, Subsequent Events). The objective of ASC 855 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. See Note
9. Subsequent Events on page F-28 under Item 8. Financial
Statements and Supplementary Data.
Recent Accounting Pronouncements. In January 2010, the FASB issued Accounting Standards Update
No. 2010-06 (ASU 2010-06), Improving Disclosures about Fair Value Measurements, which, among
other things, amends ASC 820 to require entities to 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 which clarifies existing disclosure
requirements provided by ASC 820 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. ASU 2010-06 is effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in
the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal
years beginning after December 15, 2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption of ASU 2010-06 will have on the
Partnerships financial statements disclosures.
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC
855 and
the SECs requirements. All of the amendments in this
update are effective upon issuance of this update. Management
has included the provisions of these amendments in the financial statements.
Certain prior period amounts have been reclassified to conform to the current year
presentation.
10
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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, on the
7th
day of June 2010.
TACTICAL DIVERSIFIED FUTURES FUND L.P. | ||||
By:
|
Ceres Managed Futures LLC | |||
(General Partner) | ||||
By:
|
/s/ Walter Davis | |||
Walter Davis President and Director |
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Registrant and in the capacities and on the
date indicated.
/s/ Walter Davis
|
/s/ Shelley Deavitt Ullman | |
Walter Davis
|
Shelley Deavitt Ullman | |
President and Director Ceres Managed Futures LLC |
Director Ceres Managed Futures LLC |
|
/s/ Jennifer Magro
|
/s/ Michael P. McGrath | |
Jennifer Magro
|
Michael P. McGrath | |
Chief
Financial Officer, Secretary and Director (Principal Accounting Officer) Ceres Managed Futures LLC |
Director Ceres Managed Futures LLC |
|
/s/ Raymond Nolte | ||
Raymond Nolte | ||
Director Ceres Managed Futures LLC |
||
Supplemental Information to be Furnished With Reports Filed Pursuant To Section 15(d) of the
Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.
11