UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

 

FORM 10-Q

 

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

 

OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended March 31, 2011

 

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

 

OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from            to           

 

Commission File Number 0-50271

 

ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

 

 

c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036

(Address of principal executive offices) (Zip Code)

 

(212) 296-1999

 

(Registrant’s telephone number, including area code)

 

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

 

Yes X  No  

 

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

 

Yes    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):

 

 

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

 

Yes    No X

 

As of April 30, 2011, 443,501.9109 Limited Partnership Redeemable Units were outstanding.

ORION FUTURES FUND L.P.

 

FORM 10-Q

 

INDEX

 

Orion Futures Fund L.P.
Statements of Financial Condition

 

 

See accompanying notes to financial statements.

4

		Notional ($)/								% of Partners’
		Number of Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			520			$	953,808				0.08	%
Energy			407				1,063,222				0.09
Grains			1,143				2,154,944				0.18
Interest Rates U.S.			380				35,017				0.00	*
Interest Rates Non-U.S.			238				8,350				0.00	*
Livestock			111				95,380				0.01
Metals			390				3,589,090				0.31
Softs			518				2,648,939				0.23
Total futures contracts purchased							10,548,750				0.90
Futures Contracts Sold
Currencies			95				26,292				0.00	*
Grains			240				(123,200	)			(0.01	)
Interest Rates U.S.			12				(6,375	)			(0.00	)*
Interest Rates Non-U.S.			95				102,828				0.01
Metals			1,428				(15,796,063	)			(1.35	)
Total futures contracts sold							(15,796,518	)			(1.35	)
Unrealized Appreciation on Open Forward Contracts
Metals			3,976				67,511,368				5.77
Total unrealized appreciation on open forward contracts							67,511,368				5.77
Unrealized Depreciation on Open Forward Contracts
Currencies		$	75,375				(313	)			0.00	*
Metals			3,256				(54,420,487	)			(4.65	)
Total unrealized depreciation on open forward contracts							(54,420,800	)			(4.65	)
Options Purchased
Calls
Grains			200				55,000				0.00	*
Metals			225				5,280,173				0.45
Total options purchased							5,335,173				0.45
Options Premium Received
Calls
Metals			60				(14,130	)			(0.00	)*
Total options premium received							(14,130	)			(0.00	)*
Investment in Funds
AAA Master Fund LLC							283,238,250				24.22
CMF Willowbridge Argo Master Fund LP							151,432,714				12.95
CMF Winton Master Fund LP							547,233,447				46.79
Total investment in Funds							981,904,411				83.96
Net fair value						$	995,068,254				85.08	%

*		Due to rounding

5

		Three Months Ended
		March 31,
		2011				2010
Investment Income:
Interest income		$	47,003			$	19,766
Interest income from investment in Funds			235,141				105,278
Total investment income			282,144				125,044
Expenses:
Brokerage commissions including clearing fees			3,338,174				2,911,184
Management fees			5,376,649				3,995,438
Administrative fees			1,524,583				1,105,189
Incentive fees			2,135,984				—
Other			198,286				216,107
Total expenses			12,573,676				8,227,918
Net investment income (loss)			(12,291,532	)			(8,102,874	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts			22,354,572				(5,450,799	)
Net realized gains (losses) on investment in Funds			48,153,657				(24,124,263	)
Change in net unrealized gains (losses) on open contracts			(22,044,795	)			(1,060,115	)
Change in net unrealized gains (losses) on investment in Funds			(21,382,030	)			21,263,303
Total trading results			27,081,404				(9,371,874	)
Net income (loss)			14,789,872				(17,474,748	)
Subscriptions — Limited Partners			82,092,942				154,179,330
Subscriptions — General Partner			—				1,700,000
Redemptions — Limited Partners			(40,036,581	)			(26,689,096	)
Net increase (decrease) in Partners’ Capital			56,846,233				111,715,486
Partners’ Capital, beginning of period			1,169,565,735				815,786,554
Partners’ Capital, end of period		$	1,226,411,968			$	927,502,040
Net asset value per unit (439,915.9780 and 351,840.1684 units outstanding at March 31, 2011 and 2010, respectively)		$	2,787.83			$	2,636.15
Net income (loss) per unit*		$	33.44			$	(57.03	)
Weighted average units outstanding			438,843.1977				336,758.0883

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

 

Orion Futures Fund L.P. (the “Partnership”), is a limited partnership organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership and the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

 

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. As of March 31, 2011, all trading decisions for the partnership are made by the Advisors (defined below).

 

As of March 31, 2011, all trading decisions are made by Willowbridge Associates Inc. (“Willowbridge”), Winton Capital Management Limited (“Winton”) and AAA Capital Management Advisors, Ltd. (“AAA”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor.

 

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

 

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K, as amended, filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

 

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

 

 

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

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

 

Changes in the net asset value per unit for the three months ended March 31, 2011 and 2010 were as follows:

		Three Months Ended
		March 31,
		2011				2010
Net realized and unrealized gains (losses) *		$	53.85			$	(41.60	)
Interest income			0.65				0.37
Expenses **			(21.06	)			(15.80	)
Increase (decrease) for the period			33.44				(57.03	)
Net asset value per unit, beginning of period			2,754.39				2,693.18
Net asset value per unit, end of period		$	2,787.83			$	2,636.15

		Three Months Ended
		March 31,
		2011				2010
Ratios to Average Net Assets:***
Net investment income(loss) before incentive fees****			(3.4	)%			(3.8	)%
Operating expenses			3.6	%			3.9	%
Incentive fees			0.2	%			—	%
Total expenses			3.8	%			3.9	%
Total return:
Total return before incentive fees			1.4	%			(2.1	)%
Incentive fees			(0.2	)%			—	%
Total return after incentive fees			1.2	%			(2.1	)%

 

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.

 

 

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

 

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds, respectively the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition.

 

All of the commodity interests owned by the Partnership and the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 4,969 and 3,242, respectively. The monthly average number of metal forward contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 9,217 and 1,427, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 342 and 20, respectively. The monthly average notional value of currency forward contracts, held directly by the Partnership, during the three months ended March 31, 2011 and 2010 were $16,830,166 and $2,594,293, respectively.

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

Brokerage commissions are based on the number of trades executed by the Advisors and the Funds.

 

The following tables indicate the gross fair values of derivative instruments of futures, forward and options contracts traded directly by the Partnership as separate assets and liabilities as of March 31, 2011 and December 31, 2010.

		March 31, 2011
Assets
Futures Contracts
Currencies		$	1,432,311
Energy			1,726,557
Grains			368,011
Interest Rates Non-U.S.			291,614
Livestock			97,940
Metals			4,294,490
Softs			189,992
Total unrealized appreciation on open futures contracts		$	8,400,915
Liabilities
Futures Contracts
Currencies		$	(90,537	)
Energy			(9,240	)
Grains			(549,895	)
Indices			(1,300	)
Interest Rates U.S.			(5,750	)
Interest Rates Non-U.S.			(52,130	)
Metals			(504,260	)
Softs			(161,796	)
Total unrealized depreciation on open futures contracts		$	(1,374,908	)
Net unrealized appreciation on open futures contracts		$	7,026,007	*

 

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

		March 31, 2011
Assets
Forward Contracts
Metals		$	28,178,645
Total unrealized appreciation on open forward contracts		$	28,178,645
Liabilities
Forward Contracts
Metals		$	(46,439,323	)
Total unrealized depreciation on open forward contracts		$	(46,439,323	)
Net unrealized depreciation on open forward contracts		$	(18,260,678)	**

 

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

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

		March 31, 2011
Assets
Options Purchased
Metals		$	2,550,776
Options Purchased		$	2,550,776	***

 

***		This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

 

 

 

 

 

 

 

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

The following tables indicate the Partnership’s trading results, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2011 and 2010.

		Three Months Ended				Three Months Ended
		March 31, 2011				March 31, 2010
Sector		Total trading results				Total trading results
Currencies		$	(1,402,868	)		$	470,724
Energy			3,530,419				(3,230,788	)
Grains			(2,466,349	)			(324,613	)
Indices			(30,618	)			—
Interest Rates U.S.			(1,997,411	)			(1,953,819	)
Interest Rates Non-U.S.			(15,903	)			109,962
Livestock			(85,180	)			(420	)
Metals			2,327,456				(3,520,884	)
Softs			450,231				1,938,924
Total		$	309,777			$	(6,510,914	)

 

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

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

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

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

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

The Partnership and the Funds consider prices for exchange-traded commodity futures, forward and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward, swaps and certain options contracts for which market quotations are not readily available, are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

 

 

*    The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation based on new fair value guidance.

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

 

On September 1, 2001, the assets allocated to AAA for trading were invested in AAA Master Fund LLC, (“AAA Master”), a limited liability company organized under the limited liability company laws of the State of New York. The Partnership purchased 5,173.4381 units of AAA Master with cash equal to $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

 

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 35,389.8399 units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward contracts with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

 

On July 1, 2005, a portion of 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 33,529.1186 units of Willowbridge Master with cash equal to $29,866,194 and a contribution of open commodity futures and forward contracts with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts 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.

 

Additional assets allocated to Willowbridge are not invested in a separate limited partnership established by the General Partner, but are held and traded by Willowbridge directly in separate managed accounts in the Partnership’s name. Willowbridge trades the Partnership’s assets directly, pursuant to its Vulcan Trading System, Consolidated Commodities Technical, Consolidated Commodities Fundamental and MStrategy trading programs.

 

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended March 31, 2011.

 

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

 

A limited partner/non-managing member may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the general partner/managing member at least three days in advance of the Redemption Date. The units are classified as a liability when the limited partner/non-managing member elects to redeem and informs the Funds.

 

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Partnership directly and through its investments in the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

 

At March 31, 2011, the Partnership owned approximately 34.4% of AAA Master, 71.1% of Willowbridge Master and 64.1% of Winton Master. At December 31, 2010, the Partnership owned approximately 28.7% of AAA Master, 70.0% of Willowbridge Master and 61.9% of Winton Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

 

Summarized information reflecting the Total Assets, Liabilities and Capital for the Funds are shown in the following tables.

		March 31, 2011
		Total Assets				Total Liabilities				Total Capital
AAA Master		$	1,298,771,812			$	311,711,140			$	987,060,672
Willowbridge Master			168,695,333				80,498				168,614,835
Winton Master			938,976,048				889,625				938,086,423
Total		$	2,406,443,193			$	312,681,263			$	2,093,761,930

		December 31, 2010
		Total Assets				Total Liabilities				Total Capital
AAA Master		$	1,234,677,140			$	254,307,502			$	980,369,638
Willowbridge Master			216,360,362				61,729				216,298,633
Winton Master			883,842,483				122,612				883,719,871
Total		$	2,334,879,985			$	254,491,843			$	2,080,388,142

 

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

		For the three months ended March 31, 2011
		Net Investment				Total Trading
		Income (loss)				Results				Net Income (Loss)
AAA Master		$	(635,255	)		$	23,936,932			$	23,301,677
Willowbridge Master			(25,559	)			6,874,935				6,849,376
Winton Master			46,285				22,234,532				22,280,817
Total		$	(614,529	)		$	53,046,399			$	52,431,870
		For the three months ended March 31, 2010
		Net Investment				Total Trading
		Income (loss)				Result				Net Income (Loss)
AAA Master		$	(1,020,434	)		$	(32,837,037	)		$	(33,857,471	)
Willowbridge Master			(67,599	)			(20,526,632	)			(20,594,231	)
Winton Master			(96,434	)			32,303,622				32,207,188
Total		$	(1,184,467	)		$	(21,060,047	)		$	(22,244,514	)

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.

		March 31, 2011								For the three months ended March 31, 2011
		% of
		Partnership’s				Fair				Income				Expenses								Net				Investment		Redemption
Investment		Net Assets				Value				(Loss)				Commissions				Other				Income (Loss)				Objective		Permitted
AAA Master			27.96	%		$	339,591,575			$	7,705,865			$	209,582			$	55,847			$	7,440,436			Energy Markets		Monthly
Willowbridge Master			9.77	%			119,838,286				5,006,433				27,220				20,937				4,958,276			Commodity Portfolio		Monthly
Winton Master			49.00	%			600,933,176				14,294,470				80,552				18,825				14,195,093			Commodity Portfolio		Monthly
Total						$	1,060,363,037			$	27,006,768			$	317,354			$	95,609			$	26,593,805
		December 31, 2010								For the three months ended March 31, 2010
		% of
		Partnership’s				Fair				Income				Expenses								Net				Investment		Redemption
Investment		Net Assets				Value				(Loss)				Commissions				Other				Income (Loss)				Objective		Permitted
AAA Master			24.22	%		$	283,238,250			$	(8,094,618	)		$	234,143			$	43,419			$	(8,372,180	)		Energy Markets		Monthly
Willowbridge Master			12.95	%			151,432,714				(12,502,125	)			50,269				12,156				(12,564,550	)		Commodity Portfolio		Monthly
Winton Master			46.79	%			547,233,447				17,841,061				91,278				9,307				17,740,476			Commodity Portfolio		Monthly
Total						$	981,904,411			$	(2,755,682	)		$	375,690			$	64,882			$	(3,196,254	)

 

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

6. Financial Instrument Risks:

 

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 may 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 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, forwards and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and options 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.

 

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 Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.

 

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

 

As both a buyer and seller of options, the Partnership/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 Partnership/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 Partnership/Funds do not consider these contracts to be guarantees.

 

The General Partner/managing member monitors and attempts to control the Partnership’s/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/managing member to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

 

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

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

7. Critical Accounting Policies:

 

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

 

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

 

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

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

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

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 funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)

 

Futures Contracts.  The Partnership and the Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the 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 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. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Partnership and 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 Partnership’s and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on 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 and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners Capital.

 

London Metals Exchange Forward Contracts.  Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. 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. A contract is considered offset when all long positions have been matched with a like number of short portions settling on the same prompt date. When the contract is closed at the prompt date, 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. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

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

 

Brokerage Commissions.  Commission charges to open and close futures and exchange-traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

 

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

 

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

 

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

 

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

 

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

 

 

Liquidity and Capital Resources

 

The Partnership does not engage in sales of goods or services. The Partnership’s assets are its (i) investment in Funds, (ii) equity in its trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures and open forward contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2011.

 

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

 

For the three months ended March 31, 2011, Partnership capital increased 4.9% from $1,169,565,735 to $1,226,411,968. This increase was attributable to the subscription of 29,746.9261 Redeemable Units totaling $82,092,942, coupled with net income from operations of $14,789,872 which was partially offset by the redemptions of 14,450.0468 Redeemable Units totaling $40,036,581. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

 

Critical Accounting Policies

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

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

 

Results of Operations

 

During the Partnership’s first quarter of 2011, the net asset value per unit increased 1.2% from $2,754.39 to $2,787.83 as compared to a decrease of 2.1% in the first quarter of 2010. The Partnership experienced a net trading gain before brokerage commissions and related fees in the first quarter of 2011 of $27,081,404. Gains were primarily attributable to the Partnership’s/Funds’ trading of energy, non-U.S. interest rates, metals, softs and indices and were partially offset by losses in currencies, grains, U.S. interest rates and livestock. The Partnership experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2010 of $9,371,874. Losses were primarily attributable to the Partnership’s/Funds’ trading of grains, energy, U.S. interest rates and metals and were partially offset by currencies, non-U.S. interest rates, livestock, indices and softs.

 

The most significant gains were achieved during February and March, as the Partnership recorded gains due to positions within the metals and energies sectors. Within the metals complex, long futures positions in silver and gold generated gains, as prices of silver futures extended a rally and prices of gold futures approached an all-time high amid mounting unrest in the Middle East, which spurred “safe-haven” demand for precious metals. Gains in energies were experienced due to long futures positions in Brent crude oil and heating oil as prices rose sharply after violence escalated in Libya, prompting concerns that crude supplies might be disrupted.

 

Within the agricultural markets, gains were realized primarily during January and February from long positions in cotton futures as floods in major growing regions diminished supplies while demand continued to grow, driving prices up. Within the global stock index markets, gains were experienced primarily in January and February, due largely to long positions in US equity index futures as positive economic data supported prices higher.

 

A portion of the Partnerships gains were offset by losses incurred within the global interest rate and currencies sectors. Short positions in U.S. and European interest rate futures detracted from performance during the quarter as prices increased amid concern over unrest in the Middle East, which spurred demand for the relative “safety” of government debt.

 

Losses in currencies were recorded in January and as the value of the Australian dollar, Swiss franc, Japanese yen, and Canadian dollar moved lower against the U.S. dollar following stronger-than-expected U.S. factory data and the release of minutes from the latest U.S. Federal Reserve meeting that showed optimism about the U.S. economy.

 

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 Partnership/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 Partnership expects to increase capital through operations.

 

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account at a 30-day U.S. Treasury bill rate determined weekly by CGM. Interest income for the three months ended March 31, 2011 increased by $157,100, as compared to the corresponding period in 2010. The increase in interest income is primarily due to higher U.S. Treasury bill rates for the Partnership during the three months ended March 31, 2011, as compared to the corresponding period in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership nor CGM has control.

 

Brokerage commissions are based on the number of trades executed by the Advisors. Accordingly, they must be compared in relation to the number of trades executed during the period. Brokerage commissions and fees for the three months ended March 31, 2011 increased by $426,990, as compared to the corresponding period in 2010. The increase in brokerage commissions and fees is primarily due to an increase in the number of trades during the three months ended March 31, 2011, as compared to the corresponding period in 2010.

 

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2011 increased by $1,381,211, as compared to the corresponding period in 2010. The increase in management fees is due to higher average adjusted net assets during the three months ended March 31, 2011, as compared to the corresponding period in 2010.

 

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three months ended March 31, 2011 increased by $419,394, as compared to the corresponding period in 2010. The increase in administrative fees is due to higher average adjusted net assets during the three months ended March 31, 2011, as compared to the corresponding period in 2010.

 

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three months ended March 31, 2011 resulted in incentive fees of $2,135,984. There were no incentive fees earned for the three months ended March 31, 2010.

 

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

 

 

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

 

The Partnership/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 Partnership’s/Funds’ past performances are not necessarily indicative of their future results.

 

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

 

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

 

      Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of Willowbridge, the Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. Willowbridge directly trades managed accounts in the Partnership’s name. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by Willowbridge) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.

     The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2011 and December 31, 2010. As of March 31, 2011, the Partnership’s total capitalization was $1,226,411,968.

 

March 31, 2011

 

		Value at				% of Total
Market Sector		Risk				Capitalization
Currencies		$	11,328,622				0.93	%
Energy			27,143,892				2.21	%
Grains			3,804,691				0.31	%
Indices			9,420,727				0.77	%
Interest Rates U.S.			738,877				0.06	%
Interest Rates Non-U.S.			4,439,819				0.36	%
Livestock			1,460,077				0.12	%
Lumber			14,482				0.00	%
Metals			6,659,939				0.54	%
Softs			6,835,466				0.56	%
Total		$	71,846,592				5.86	%

 

* Due to rounding

     As of December 31, 2010, the Partnership’s total capitalization was $1,169,565,735.

December 31, 2010

						% of Total
Market Sector		Value at Risk				Capitalization
Currencies		$	8,784,775				0.75	%
Energy			20,307,536				1.74	%
Grains			5,909,516				0.50	%
Indices			9,896,381				0.85	%
Interest Rates U.S.			1,998,797				0.17	%
Interest Rates Non-U.S.			4,235,023				0.36	%
Livestock			358,716				0.03	%
Lumber			26,863				0.00	%*
Metals			21,262,991				1.82	%
Softs			4,072,438				0.35	%
Total		$	76,853,036				6.57	%

 

* Due to rounding.

 

     The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of March 31, 2011, and December 31, 2010, the highest, lowest and average values at any point during the three months ended March 31, 2011 and for the twelve months ended December 31, 2010. All open positions trading risk exposures have been included in calculating the figures set forth below.

     As of March 31, 2011, the Partnership’s Value at Risk for the portion of its assets that are traded directly by Willowbridge was as follows:

 

     As of December 31, 2010, the Partnership’s Value at Risk for the portion of its assets that are traded directly by Willowbridge was as follows:

December 31, 2010

										Twelve months ended December 31, 2010
		Value at				% of Total				High				Low				Average Value
Market Sector		Risk				Capitalization				Value at Risk				Value at Risk				at Risk*
Currencies		$	1,669,739				0.15	%		$	3,324,728			$	250,058			$	1,570,799
Energy			1,572,750				0.13	%			6,356,500				56,500				2,141,045
Grains			1,994,050				0.17	%			4,029,150				228,250				1,329,487
Interest Rates U.S.			598,250				0.05	%			1,911,600				102,000				691,446
Interest Rates Non-U.S.			719,311				0.06	%			2,737,047				231,820				1,207,028
Livestock			114,300				0.01	%			394,450				8,000				125,388
Metals			14,637,181				1.25	%			15,575,295				260,649				6,248,420
Softs			1,792,700				0.15	%			2,829,825				12,500				1,230,146
Total		$	23,098,281				1.97	%