Attached files

file filename
EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.Financial_Report.xls
EX-32.1 - EX-32.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.y05045exv32w1.htm
EX-32.2 - EX-32.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.y05045exv32w2.htm
EX-31.1 - EX-31.1 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.y05045exv31w1.htm
EX-31.2 - EX-31.2 - DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.y05045exv31w2.htm
Table of Contents

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 June 30, 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 000-26132
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
 
     
New York
  13-3729162
(State or other jurisdiction of   (I.R.S. Employer
incorporation or organization)
  Identification No.)
c/o Ceres Managed Futures LLC
522 5th Ave - 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  X      No      
 
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
 
             
Large accelerated filer    
  Accelerated filer       Non-accelerated filer X    Smaller reporting company    
 
 
Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of the Exchange Act).
 
Yes           No  X   
 
 
As of July 31, 2011, 14,994.9722 Limited Partnership Redeemable Units were outstanding.


 

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
FORM 10-Q
INDEX
         
        Page
        Number
PART I – Financial Information:    
  Financial Statements:    
 
  Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010   3
 
  Schedules of Investments at June 30, 2011 (unaudited) and December 31, 2010   4 – 5
 
  Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2011 and 2010 (unaudited)   6
 
  Notes to Financial Statements (unaudited)   7 – 17
  Management’s Discussion and Analysis of Financial Condition and Results of Operations   18 – 20
  Quantitative and Qualitative Disclosures about Market Risk   21 – 25
  Controls and Procedures   26
 
       
PART II – Other Information   27 – 31
Exhibits
       
31.1 Certification    
31.2 Certification    
32.1 Certification    
32.2 Certification    
101.INS XBRL Instance Document.    
101.SCH XBRL Taxonomy Extension Schema Document.    
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.    
101.LAB XBRL Taxonomy Extension Label Linkbase Document.    
1010.PRE XBRL Taxonomy Extension Presentation Linkbase Document.    
 EX-31.1
 EX-31.2
 EX-32.1
 EX-32.2
 EX-101 INSTANCE DOCUMENT
 EX-101 SCHEMA DOCUMENT
 EX-101 CALCULATION LINKBASE DOCUMENT
 EX-101 LABELS LINKBASE DOCUMENT
 EX-101 PRESENTATION LINKBASE DOCUMENT
 EX-101 DEFINITION LINKBASE DOCUMENT

2


Table of Contents

PART I
Item 1. Financial Statements
Diversified Multi-Advisor Futures Fund L.P.
Statements of Financial Condition
 
                 
    (Unaudited)
June 30,
    December 31,  
    2011     2010  
Assets:
               
Investment in Funds, at fair value
  $ 27,342,932     $ 29,832,054  
Cash
    131,134       136,060  
 
           
Total assets
  $ 27,474,066     $ 29,968,114  
 
           
 
               
Liabilities and Partners’ Capital:
               
Liabilities:
               
Accrued expenses:
               
Brokerage fees
  $ 125,923     $ 137,353  
Management fees
    42,681       46,551  
Incentive fees
    0       14,797  
Other
    70,808       62,442  
Redemptions payable
    172,491       232,689  
 
           
Total liabilities
    411,903       493,832  
 
           
Partners’ Capital:
               
General Partner, 177.7568 unit equivalents outstanding at June 30, 2011 and December 31, 2010
    314,957       328,847  
Limited Partners, 15,095.7330 and 15,754.4975 Redeemable Units outstanding at June 30, 2011 and December 31, 2010, respectively
    26,747,206       29,145,435  
 
           
Total partners’ capital
    27,062,163       29,474,282  
 
           
Total liabilities and partners’ capital
  $ 27,474,066     $ 29,968,114  
 
           
Net asset value per unit
  $ 1,771.84     $ 1,849.98  
 
           
See accompanying notes to financial statements.

3


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Schedule of Investments
June 30, 2011
(Unaudited)
 
                 
            % of Partners’  
    Fair Value     Capital  
 
Investment in Funds
               
CMF Winton Master L.P.
  $ 6,698,039       24.75 %
CMF Willowbridge Argo Master Fund L.P.
    4,167,905       15.40  
CMF Graham Capital Master Fund L.P.
    6,420,549       23.73  
CMF Eckhardt Master L.P.
    8,151,628       30.12  
CMF SandRidge Master Fund L.P.
    1,904,811       7.04  
 
           
Total investment in Funds, at fair value
  $ 27,342,932       101.04 %
 
           
See accompanying notes to financial statements.

4


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2010
 
                 
          % of Partners’
 
    Fair Value     Capital  
 
Investment In Funds
               
CMF Winton Master L.P. 
  $ 7,374,266       25.02 %
CMF Willowbridge Argo Master Fund L.P. 
    4,848,305       16.45  
CMF Graham Capital Master Fund L.P. 
    7,284,623       24.71  
CMF Eckhardt Master L.P. 
    8,178,642       27.75  
CMF SandRidge Master Fund L.P. 
    2,146,218       7.28  
                 
Total investment in Funds, at fair value
  $ 29,832,054       101.21 %
                 
See accompanying notes to financial statements.

5


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
                                 
    Three Months Ended     Six Months Ended  
    June 30,     June 30,  
    2011     2010     2011     2010  
Investment Income:
                               
Interest income from investment in Funds
  $ 1,055     $ 7,317     $ 6,682     $ 11,001  
 
                       
 
                               
Expenses:
                               
Brokerage fees including clearing fees
    428,303       428,788       855,400       874,091  
Management fees
    136,431       136,553       273,441       279,145  
Other
    55,440       88,516       95,153       132,252  
 
                       
Total expenses
    620,174       653,857       1,223,994       1,285,488  
 
                       
Net investment income (loss)
    (619,119 )     (646,540 )     (1,217,312 )     (1,274,487 )
 
                       
 
                               
Trading Results:
                               
Net gains (losses) on trading of commodity interests and investment in Funds:
                               
Net realized gains (losses) on investments in Funds
    475,696       688,103     1,535,287       (458,794 )
Change in net unrealized gains (losses) gains on investment in Funds
    (742,058 )     (268,244     (1,494,691 )     64,961  
 
                       
Total trading results from investment in Funds
    (266,362     419,859     40,596       (393,833 )
 
                       
Net income (loss)
    (885,481 )     (226,681 )     (1,176,716 )     (1,668,320 )
Redemptions-General Partner
    0       0     0       (175,000 )
Redemptions-Limited Partners
    (734,555 )     (947,455 )     (1,235,403 )     (2,656,418 )
 
                       
Net increase (decrease) in Partners’ Capital
    (1,620,036 )     (1,174,136 )     (2,412,119 )     (4,499,738 )
Partners’ Capital, beginning of period
    28,682,199       29,913,530       29,474,282       33,239,132  
 
                       
Partners’ Capital, end of period
  $ 27,062,163     $ 28,739,394     $ 27,062,163     $ 28,739,394  
 
                       
Net asset value per unit (15,273.4898 and 16,685.3742 units outstanding at June 30, 2011 and 2010, respectively)
  $ 1,771.84     $ 1,722.43     $ 1,771.84     $ 1,722.43  
 
                       
Net income (loss) per unit *
  $ (59.73 )   $ (13.54 )   $ (78.14 )   $ (90.74 )
 
                       
Weighted average units outstanding
    15,490.6555       17,037.9165       15,665.1499       17,513.4555  
 
                       
 
*   Based on change in net asset value per unit.
See accompanying notes to financial statements.

6


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
1.   General:
Diversified Multi-Advisor Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on August 13, 1993 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Funds, (as defined in Note 5 “Investment in Funds”), are volatile and involve a high degree of market risk. The Partnership commenced trading operations on January 12, 1994. The Partnership was authorized to sell up to 300,000 redeemable units of limited partnership interest (“Redeemable Units”) during its initial offering period. The Partnership no longer offers Redeemable Units for sale.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup 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 June 30, 2011, all trading decisions are made for the Partnership by Willowbridge Associates, Inc. (“Willowbridge”), Winton Capital Management Limited (“Winton”), Graham Capital Management, L.P. (“Graham”), Eckhardt Trading Company (“Eckhardt”) and SandRidge Capital L.P. (“SandRidge”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors indirectly through investments in the Funds.
The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, 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 June 30, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 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 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.

7


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
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.
2. Financial Highlights:
Changes in the net asset value per unit for the three and six months ended June 30, 2011 and 2010 were as follows:
                               
    Three-Months Ended   Six-Months Ended  
    June 30,   June 30,  
    2011     2010   2011     2010  
Net realized and unrealized gains (losses)*
  $ (47.57 )   $ (0.75 ) $ (55.16 )   $ (67.80 )
Interest income
    0.07       0.43     0.42       0.64  
Expenses**
    (12.23 )     (13.22 )   (23.40 )     (23.58 )
 
                     
Increase (decrease) for the period
    (59.73 )     (13.54 )   (78.14 )     (90.74 )
Net asset value per unit, beginning of period
    1,831.57       1,735.97     1,849.98       1,813.17  
 
                     
Net asset value per unit, end of period
  $ 1,771.84     $ 1,722.43   $ 1,771.84     $ 1,722.43  
 
                     
 
                     
 
*          Includes brokerage fees.
**        Excludes brokerage fees.
    Three-Months Ended   Six-Months Ended  
    June 30,   June 30,  
    2011     2010   2011     2010  
Ratios to average net assets:***
                             
Net investment income (loss) before incentive fees****
    (8.7 )%     (8.8 )%   (8.5 )%     (8.5 )%
 
                     
Operating expenses
    8.7 %     8.9 %   8.5 %     8.6 %
Incentive fees
    %     %   %     %
 
                     
Total expenses
    8.7 %     8.9 %   8.5 %     8.6 %
 
                     
Total return:
                             
Total return before incentive fees
    (3.3 )%     (0.8 )%   (4.2 )%     (5.0 )%
Incentive fees
    %     %   %     %
 
                     
Total return after incentive fees
    (3.3 )%     (0.8 )%   (4.2 )%     (5.0 )%
 
                     
 
***   Annualized (other than incentive fees).
 
****   Interest income less total expenses.
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

8


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
3.   Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership’s investments are in other funds which trade these instruments. The results of the Partnership’s trading activities are resulting from its investment in other funds as shown in the Statements of Income and Expenses.
The customer agreements between the Partnership/Funds and CGM gives the Partnership and the Funds the legal right to net unrealized gains and losses on open futures and exchange cleared swaps and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and exchange cleared swaps and on open forward contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Funds are held for trading purposes.
Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions.
4.   Fair Value Measurements:
Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), through its investment in other funds, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Funds’ Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Funds’ Statements of Income and Expenses and Changes in Partners’ Capital.
Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Funds’ Level 1 assets and liabilities are actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. 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.
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.

9


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
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 June 30, 2011 and December 31, 2010, 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).
                                 
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    June 30, 2011     Assets (Level 1)    
(Level 2)
    Inputs (Level 3)  
Assets
                               
Investment in Funds
  $ 27,342,932     $     $ 27,342,932     $  
 
                       
Net fair value
  $ 27,342,932     $     $ 27,342,932     $  
 
                       
                                 
 
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    December 31, 2010     Assets (Level 1)    
(Level 2)
    Inputs (Level 3)  
Assets
                               
Investment in Funds
  $ 29,832,054     $     $ 29,832,054     $  
 
                       
Net fair value
  $ 29,832,054     $     $ 29,832,054     $  
 
                       
5.   Investment in Funds:
On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”) a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 15,054.1946 units of Winton Master with cash equal to $14,251,586, and a contribution of open commodity futures and forward contracts with a fair value of $802,609. Winton Master was formed in order to permit commodity pools managed now or in the future by Winton using its Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures and forward contracts with a fair value of $1,141,230. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by Willowbridge using its Argo Trading 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 currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

10


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,741.1555 units of Graham Master with cash equal to $14,741,156. Graham Master was formed in order to permit accounts managed now and in the future by Graham using its K4D-15V Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash equal to $7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.
On June 1, 2009, the assets allocated to SandRidge for trading were invested in CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash equal to $2,818,836. SandRidge was formed in order to permit accounts managed now and in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure promotes efficiency and economy in the trading process.
The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended June 30, 2011.
Winton Master’s, Willowbridge Master’s, Graham Master’s, Eckhardt Master’s and SandRidge Master’s (collectively, the “Funds”), 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 engage in such trading through commodity brokerage accounts maintained with CGM.
A limited partner may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least three business days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.
Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.
As of June 30, 2011, the Partnership owned approximately 0.8%, 5.8%, 4.0%, 32.6% and 0.6% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. As of December 31, 2010 the Partnership owned approximately 0.8%, 2.2%, 4.3%, 34.5% and 0.4% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. 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.

11


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Summarized information reflecting the total assets, liabilities and capital for the Funds is shown in the following tables.
                         
    June 30, 2011  
    Total Assets     Total Liabilities     Total Capital  
Winton Master
  $ 839,242,715     $ 3,738,831     $ 835,503,884  
Willowbridge Master
    72,784,784       1,089,263       71,695,521  
Graham Master
    163,117,009       1,643,146       161,473,863  
Eckhardt Master
    25,163,091       125,459       25,037,632  
SandRidge Master
    334,456,876       16,413,705       318,043,171  
                         
Total
  $ 1,434,764,475     $ 23,010,404     $ 1,411,754,071  
                         
 
    December 31, 2010  
    Total Assets     Total Liabilities     Total Capital  
Winton Master
  $ 883,842,483     $ 122,612     $ 883,719,871  
Willowbridge Master
    216,360,362       61,729       216,298,633  
Graham Master
    168,973,503       48,832       168,924,671  
Eckhardt Master
    23,748,773       62,448       23,686,325  
SandRidge Master
    581,631,311       52,896,054       528,735,257  
                         
Total
  $ 1,874,556,432     $ 53,191,675     $ 1,821,364,757  
                         
Summarized information reflecting the net investment income (loss), total trading results and net income (loss) for the Funds is shown in the following tables.
 
    For the three months ended June 30, 2011  
    Net Investment   Total trading   Net Income
    Income (loss)   results   (Loss)
                         
Winton Master
  $ (103,633   $ (11,692,933   $ (11,796,566
Willowbridge Master
    (44,827     8,404,000       8,359,173  
Graham Master
    (236,860 )     (7,784,946 )     (8,021,806 )
Eckhardt Master
    (62,034 )     (98,570 )     (160,604 )
SandRidge Master
    (180,388 )     15,086,153       14,905,765  
                         
Total
  $ (627,742   $ 3,913,704     $ 3,285,962  
                         
 
    For the six months ended June 30, 2011  
    Net Investment   Total trading   Net Income
    Income (loss)     results     (Loss)  
Winton Master
  $ (57,348   $ 10,541,599     $ 10,484,251  
Willowbridge Master
    (70,386 )     15,278,935     15,208,549
Graham Master
    (383,116 )     (8,855,666 )     (9,238,782 )
Eckhardt Master
    (116,690 )     (372,287 )     (488,977 )
SandRidge Master
    (430,493 )     30,129,226     29,698,733
                         
Total
  $ (1,058,033 )   $ 46,721,807   $ 45,663,774
                         
 
             
    For the three months ended June 30, 2010  
    Net Investment     Total trading     Net Income  
    Income (loss)     results     (Loss)  
Winton Master
  $ (13,583 )   $ 22,166,459     $ 22,152,876  
Willowbridge Master
    (51,064 )     (13,357,029 )     (13,408,093 )
Graham Master
    (136,035 )     957,704       821,669  
Eckhardt Master
    (40,138 )     2,073,976       2,033,838  
SandRidge Master
    (388,928 )     (68,950,382 )     (69,339,310 )
 
                 
Total
  $ (629,748 )   $ (57,109,272 )   $ (57,739,020 )
 
                 
 
             
    For the six months ended June 30, 2010  
    Net Investment     Total trading     Net Income  
    Income (loss)     results     (Loss)  
Winton Master
  $ (110,017 )   $ 54,470,081     $ 54,360,064  
Willowbridge Master
    (118,663 )     (33,883,661 )     (34,002,324 )
Graham Master
    (235,351 )     (2,985,482 )     (3,220,833 )
Eckhardt Master
    (76,923 )     654,613       577,690  
SandRidge Master
    (650,172 )     (84,183,590 )     (84,833,762 )
 
                 
Total
  $ (1,191,126 )   $ (65,928,039 )   $ (67,119,165 )
 
                 

12


Table of Contents

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds is shown in the following tables.
                                                                 
    June 30, 2011     For the three months ended June 30, 2011              
    % of                                     Net              
    Partnership’s     Fair     Income     Expenses     Income     Investment     Redemptions  
Investment   Net Assets     Value     (Loss)     Commissions     Other     (Loss)     Objective     Permitted  
Winton Master
    24.75 %   $ 6,698,039     $ (100,970   $ 960     $ 135     $ (102,065   Commodity
Portfolio
  Monthly
Willowbridge Master
    15.40 %     4,167,905       45,320       1,299       563       43,458     Commodity
Portfolio
  Monthly
Graham Master
    23.73 %     6,420,549       (272,718 )     9,112       573       (282,403 )   Commodity
Portfolio
  Monthly
Eckhardt Master
    30.12 %     8,151,628       (31,797 )     14,530       5,985       (52,312 )   Commodity
Portfolio
  Monthly
SandRidge Master
    7.04 %     1,904,811       94,858       669       483       93,706     Energy
Portfolio
  Monthly
                             
Total
          $ 27,342,932     $ (265,307   $ 26,570     $ 7,739     $ (299,616                
                             
                                                                 
    June 30, 2011     For the six months ended June 30, 2011              
    % of                                     Net              
    Partnership’s     Fair     Income     Expenses     Income     Investment     Redemptions  
Investment   Net Assets     Value     (Loss)     Commissions     Other     (Loss)     Objective     Permitted  
Winton Master
    24.75 %   $ 6,698,039     $ 70,432     $ 1,921     $ 366     $ 68,145     Commodity
Portfolio
  Monthly
Willowbridge Master
    15.40 %     4,167,905       240,831     2,310       1,306       237,215   Commodity
Portfolio
  Monthly
Graham Master
    23.73 %     6,420,549       (314,562 )     15,792       1,544       (331,898 )   Commodity
Portfolio
  Monthly
Eckhardt Master
    30.12 %     8,151,628       (130,394 )     28,397       11,732       (170,523 )   Commodity
Portfolio
  Monthly
SandRidge Master
    7.04 %     1,904,811       180,971       1,907       900       178,164     Energy
Portfolio
  Monthly
                             
Total
          $ 27,342,932     $ 47,278   $ 50,327     $ 15,848     $ (18,897 )                
                             
 
    December 31, 2010     For the three months ended June 30, 2010    
    % of                                   Net        
    Partnership’s   Fair   Income   Expenses   Income   Investment   Redemptions
Investment   Net Assets   Value   (Loss)   Brokerage Fees   Other   (Loss)   Objective   Permitted
 
Winton Master
    25.02 %   $ 7,374,266     $ 278,074     $ 2,312     $ 447     $ 275,315     Commodity
Portfolio
  Monthly
Willowbridge Master
    16.45 %     4,848,305       (280,508 )     2,028       454       (282,990 )   Commodity
Portfolio
  Monthly
Graham Master
    24.71 %     7,284,623       48,655       5,712       2,641       40,302     Commodity
Portfolio
  Monthly
Eckhardt Master
    27.75 %     8,178,642       626,768       7,867       5,418       613,483     Commodity
Portfolio
  Monthly
SandRidge Master
    7.28 %     2,146,218       (245,813 )     1,757       330       (247,900 )   Energy
Portfolio
  Monthly
                             
Total
          $ 29,832,054     $ 427,176       $19,676     $ 9,290     $ 398,210                  
                             
                                                                 
                                                                 
    December 31, 2010     For the six months ended June 30, 2010    
    % of                                   Net        
    Partnership’s   Fair   Income   Expenses   Income   Investment   Redemptions
Investment   Net Assets   Value   (Loss)   Brokerage Fees   Other   (Loss)   Objective   Permitted
 
Winton Master
    25.02 %   $ 7,374,266     $ 729,753     $ 4,854     $ 710     $ 724,189     Commodity
Portfolio
  Monthly
Willowbridge Master
    16.45 %     4,848,305       (783,187 )     3,943       908       (788,038 )   Commodity
Portfolio
  Monthly
Graham Master
    24.71 %     7,284,623       (210,527 )     10,788       3,462       (224,777 )   Commodity
Portfolio
  Monthly
Eckhardt Master
    27.75 %     8,178,642       183,889       14,336       10,830       158,723     Commodity
Portfolio
  Monthly
SandRidge Master
    7.28 %     2,146,218       (302,760 )     2,829       619       (306,208 )   Energy
Portfolio
  Monthly
                             
Total
          $ 29,832,054     $ (382,832 )     $36,750     $ 16,529     $ (436,111 )                
                             

13


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
6.   Financial Instrument Risks:
In the normal course of business, the Partnership, through its investments in the Funds, is a party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain option contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
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 result 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 Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Funds do not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of the inception date. However, due to the nature of the Funds’ businesses, these instruments may not be held to maturity.

14


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 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 (including derivative financial instruments and derivative commodity instruments), through its investment in other funds, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Funds’ Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Funds’ Statements of Income and Expenses and Changes in Partners’ Capital.
Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s 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 market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Fund’s 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.
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 June 30, 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).
Futures Contracts. The Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the

15


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Funds. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Changes in Partners’ Capital.
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. 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 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 Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
Options. The Funds may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

16


Table of Contents

Diversified Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. 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. The General Partner of the Partnership evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s 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”.

17


Table of Contents

Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its investments in the Funds and cash. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investments in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the second quarter of 2011.
The Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by net gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2011, Partnership capital decreased 8.2% from $29,474,282 to $27,062,163. This decrease was attributable to a net loss from operations of $1,176,716 coupled with the redemptions of 658.7645 Redeemable Units totaling $1,235,403. Future redemptions could impact the amount of funds available for investment in the Funds 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/Funds’ significant accounting policies are described in detail in Note 7 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

18


Table of Contents

Results of Operations
During the Partnership’s second quarter of 2011, the net asset value per unit decreased 3.3% from $1,831.57 to $1,771.84 as compared to a decrease of 0.8% in the second quarter of 2010. The Partnership experienced a net trading loss, through its investments in the Funds, before brokerage fees and related fees in the second quarter of 2011 of $266,362. Losses were primarily attributable to the trading by the Funds of commodity futures in energy, grains, livestock, metals, and indices and were partially offset by gains in currencies, U.S. and Non-U.S. interest rates and softs. The Partnership experienced a net trading gain, through its investments in the Funds before brokerage fees and related fees in the second quarter of 2010 of $419,859. Gains were primarily attributable to the trading by the Funds of commodity futures in currencies and U.S. and non-U.S. interest rates and were partially offset by losses in energy, grains, livestock, metals, softs and indices.
The most significant losses were incurred within the energy sector, primarily during May and June, due to long futures positions in crude oil and its related products as prices moved lower amid concern energy demand may weaken. Within the global stock index sector, losses were recorded primarily during May and June, from long positions in Pacific Rim, European, and U.S. equity index futures as prices declined on worse-than-expected economic reports and mounting worries over the European debt crisis. Within the agricultural complex, losses were recorded primarily during June from long positions in soybean futures as prices fell on speculation that warm weather would aid U.S. crops. Meanwhile, long positions in corn futures also incurred losses in June as prices declined sharply after the U.S. Department of Agriculture revealed larger-than-expected plantings. Losses were also experienced within the metals markets, primarily during May, due to long positions in silver futures as prices fell sharply from a 31-year high. Further losses were experienced in June due to long positions in aluminum futures as prices fell amid a slowing global economy and a rising U.S. dollar. A portion of the Partnership’s losses during the quarter was offset by gains achieved within the global interest rate sector, primarily during May, from long positions in U.S. fixed-income futures as prices increased following reports that showed the U.S. economy grew less than forecast and U.S. jobless claims unexpectedly rose. Gains were also experienced within the currency markets, primarily during April, from long positions in the Swiss franc and Australian dollar versus the U.S. dollar as the value of these currencies rose against the U.S. dollar after better-than-expected corporate earnings reports and signs of global growth spurred demand for higher-yielding currencies.
During the Partnership’s six months ended June 30, 2011, the net asset value per unit decreased 4.2% from $1,849.98 to $1,771.84 as compared to a decrease of 5.0% during the six months ended June 30, 2010. The Partnership experienced a net trading gain before brokerage fees and related fees for the six months ended June 30, 2011 of $40,596. Gains were primarily attributable to the trading by the Funds of commodity futures in energy, U.S. interest rates, metals and softs and were partially offset by losses in currencies, grains, non-U.S. interest rates, livestock and indices. The Partnership experienced a net trading loss, through its investment in the Funds, before brokerage fees and related fees for the six months ended June 30, 2010 of $393,833. Losses were primarily attributable to the trading by the Funds of commodity futures in energy, grains, metals, softs and indices and were partially offset by gains in currencies, U.S. and non-U.S. interest rates and livestock.
The most significant losses were incurred in the global stock index sector, primarily during May and June, from long positions in European and Pacific Rim equity index futures as prices declined on worse-than-expected economic reports and mounting worries over the European debt crisis. Additional losses were experienced in this sector during March from long positions in European equity index futures as prices moved lower. Within the currency sector, losses were experienced primarily during May due to long positions in the Australian dollar and Canadian dollar versus the U.S. dollar as the value of these “commodity currencies” fell in tandem with declining commodity prices. Further losses were experienced in May due to long positions in the British pound, Japanese yen, and euro versus the U.S. dollar as the value of these currencies moved lower against the U.S. dollar after Standard & Poor’s downgraded Greece’s credit rating, prompting concern that the European sovereign debt crisis may escalate. Within the agricultural complex, losses were recorded primarily during June, from long positions in soybean futures as prices fell on speculation that warm weather would aid U.S. crops. Meanwhile, long positions in corn futures also incurred losses in June as prices declined sharply after the U.S. Department of Agriculture revealed larger-than-expected plantings. A portion of the Partnership’s losses for the first six months of the year was offset by gains achieved within the global interest rate sector, primarily during May, from long positions in U.S. fixed-income futures as prices increased following reports that showed the U.S. economy grew less than forecast and U.S. jobless claims unexpectedly rose. Gains were also experienced within the energy sector, primarily during February, March, and April from long futures positions in crude oil and its related products as prices rose after political tension in Egypt and Libya stoked worries that protests may spread to crude-producing parts of the Middle East. Gains were also experienced within the metals sector, primarily during April, from long futures positions in silver and gold as silver futures prices advanced to a 31-year high and gold futures prices reached an all-time high.
Commodity futures markets are highly volatile. Broad and rapid price fluctuations and rapid inflation increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Funds depends on the existence of major price trends and the ability of the Advisors to identify those price trends correctly. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Funds expect to increase capital through operations.

19


Table of Contents

Interest income on 80% of the average daily equity maintained in cash in the Funds’ brokerage accounts at a 30-day U.S. Treasury bill rate determined by CGM. Interest income from investment in the Funds for the three and six months ended June 30, 2011 decreased by $6,262 and $4,319, respectively as compared to the corresponding periods in 2010. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2011 as compared to the corresponding periods 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 fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the last day of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and six months ended June 30, 2011 decreased by $485 and $18,691, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average net assets during the three and six months ended June 30, 2011 as compared to the corresponding periods in 2010.
Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of the month and are affected by trading performance and redemptions. Management fees for the three and six months ended June 30, 2011 decreased by $122 and $5,704, respectively as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average net assets during the three and six months ended June 30, 2011 as compared to the corresponding periods in 2010.
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 among the Partnership, the General Partner and each Advisor. There were no incentive fees earned for the three and six months ended June 30, 2011 and 2010. An Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred by the Advisor and earns additional new trading profits for the Partnership.
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.

20


Table of Contents

Item 3.  Quantitative and Qualitative Disclosures about Market Risk
All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Funds. The Funds are speculative commodity pools. The market sensitive instruments held by the Funds are acquired for speculative trading purposes, and all or substantially all of the Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Funds’ main lines of business.
The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of the Funds’ open positions and, consequently in their earnings and cash balances. The Funds’ market risks are influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects of the Funds’ open contracts and the liquidity of the market in which they trade.
The Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Funds’ past performances are not necessarily indicative of their future results.
“Value at Risk” is a measure of the maximum amount which the Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Funds’ speculative trading and the recurrence in the markets traded by the Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Funds’ experiences to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Funds’ losses in any market sector will be limited to Value at Risk or by the Funds’ attempts to manage their market risks.
Exchange maintenance margin requirements have been used by the Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

21


Table of Contents

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Partnership’s Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts, over which they have been granted limited authority to make trading decisions. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership indirectly, through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments indirectly held by each Fund separately. The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2011. As of June 30, 2011, the Partnership’s total capitalization was $27,062,163.
                 
            % of Total  
Market Sector   Value at Risk     Capitalization  
Currencies
  $ 1,233,948       4.56 %
Energy
    206,463       0.76 %
Grains
    77,498       0.29 %
Indices
    463,828       1.71 %
Interest Rates U.S.
    130,793       0.48 %
Interest Rates Non-U.S.
    358,279       1.32 %
Livestock
    4,515       0.02 %
Metals
    224,116       0.83 %
Softs
    72,565       0.27 %
 
           
Total
  $ 2,772,005       10.24 %
 
           
     As of December 31, 2010, the Partnership’s total capitalization was $29,474,282.
December 31, 2010
                 
            % of Total  
Market Sector   Value at Risk     Capitalization  
Currencies
  $ 741,096       2.52 %
Energy
    462,864       1.57 %
Grains
    216,756       0.74 %
Indices
    566,667       1.92 %
Interest Rates U.S.
    36,424       0.12 %
Interest Rates Non-U.S.
    236,566       0.80 %
Livestock
    6,330       0.02 %
Metals
    270,783       0.92 %
Softs
    82,778       0.28 %
 
           
Total
  $ 2,620,264       8.89 %
 
           
The following tables indicate the trading Value at Risk associated with the Partnership’s investments in the Funds by market category as of June 30, 2011 and December 31, 2010 and the highest, lowest and average value during the three months ended June 30, 2011 and during the twelve months ended December 31, 2010. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.
As of June 30, 2011, Winton Master’s total capitalization was $835,503,884, the Partnership owned approximately 0.8% of Winton Master. As of June 30, 2011, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:
June 30, 2011
                                         
                  Three months ended June 30, 2011   
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 17,884,383       2.14 %   $ 18,064,632     $ 9,728,469     $ 12,891,577  
Energy
    2,064,453       0.25 %     4,524,046       2,021,975       3,418,682  
Grains
    1,801,281       0.21 %     2,972,716       1,801,281       2,487,708  
Indices
    9,886,505       1.18 %     15,338,993       8,657,696       12,190,872  
Interest Rates U.S.
    6,770,600       0.81 %     8,976,950       2,472,700       5,655,283  
Interest Rates Non-U.S.
    11,289,812       1.35 %     11,519,611       1,680,246       6,020,488  
Livestock
    234,400       0.03 %     340,400       42,650       242,067  
Metals
    5,477,650       0.66 %     6,615,109       5,009,664       5,661,383  
Softs
    1,664,712       0.20 %     1,664,712       329,218       1,107,992  
 
                                   
Total
  $ 57,073,796       6.83 %                        
 
                                   
 
*   Average of month-end Values at Risk.
 
**   Due to rounding.

22


Table of Contents

     As of December 31, 2010, Winton Master’s total capitalization was $883,719,871. The Partnership owned approximately 0.8% of Winton Master.
December 31, 2010
                                         
                    Twelve months ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 8,969,665       1.01 %   $ 13,529,797     $ 3,127,432     $ 9,858,603  
Energy
    3,277,769       0.37 %     4,944,082       236,988       2,213,508  
Grains
    3,992,796       0.45 %     4,064,389       556,164       2,285,359  
Indices
    15,987,691       1.81 %     22,020,780       2,382,812       12,021,182  
Interest Rates U.S.
    1,387,025       0.16 %     10,348,050       275,672       5,195,958  
Interest Rates Non-U.S.
    3,521,207       0.40 %     13,490,861       1,949,046       7,347,287  
Livestock
    268,200       0.03 %     437,350       158,080       263,226  
Metals
    6,416,979       0.73 %     8,963,451       3,939,668       5,989,765  
Softs
    1,393,632       0.16 %     2,071,953       538,916       1,029,710  
 
                                   
Total
  $ 45,214,964       5.12 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.
As of June 30, 2011, Willowbridge Master’s total capitalization was $71,695,521. The Partnership owned approximately 5.8% of Willowbridge Master. As of June 30, 2011, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:
June 30, 2011
                                         
                    Three months ended June 30, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 722,070       1.01 %   $ 2,879,258     $ 509,592     $ 967,661  
Energy
    1,023,000       1.43 %     4,681,000       181,500       1,754,417  
Grains
    726,000       1.01 %     1,031,250       66,000       653,875  
Interest Rates U.S.
    316,800       0.44 %     1,654,100       316,800       494,667  
Interest Rates Non-U.S.
    819,328       1.14 %     2,784,138       687,641       918,156  
Metals
    868,725       1.21 %     4,137,702       280,500       1,432,907  
Softs
    336,600       0.47 %     3,503,200       242,550       931,350  
 
                                   
Total
  $ 4,812,523       6.71 %                        
 
                                   
 
*   Average of month-end Values at Risk.
          As of December 31, 2010, Willowbridge Master’s total capitalization was $216,298,633. The Partnership owned approximately 2.2% of Willowbridge Master.
December 31, 2010
                                         
                    Twelve months ended December 31, 2010  
            % of Total   High   Low   Average
Market Sector     Value at Risk   Capitalization     Value at Risk     Value at Risk     Value at Risk*  
 
Currencies
  $ 2,232,591       1.03 %   $ 7,096,121     $ 940,854       3,547,819  
Energy
    2,742,900       1.27 %     6,539,400       460,750       2,570,821  
Grains
    2,062,750       0.95 %     3,762,750       207,200       1,238,276  
Interest Rates U.S.
    774,255       0.36 %     3,269,700       243,600       1,143,161  
Interest Rates Non-U.S.
    1,908,692       0.88 %     5,489,653       289,858       2,700,503  
Livestock
    112,000       0.05 %     171,200       44,800       92,018  
Metals
    3,791,000       1.75 %     5,643,396       710,500       2,729,785  
Softs
    2,024,400       0.94 %     3,388,150       198,000       1,542,246  
                                     
Total
  $ 15,648,588       7.23 %                        
                                     
 
*   Annual average of month-end Values at Risk.

23


Table of Contents

As of June 30, 2011, Graham Master’s total capitalization was $161,473,863. The Partnership owned approximately 4.0% of Graham Master. As of June 30, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:
June 30, 2011
                                         
                    Three Months Ended June 30, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 13,555,324       8.40 %   $ 13,555,324     $ 8,726,569     $ 11,581,843  
Energy
    1,054,172       0.65 %     1,790,886       646,679       1,209,214  
Grains
    392,062       0.24 %     561,012       325,891       400,296  
Indices
    2,488,837       1.54 %     8,218,707       1,625,857       3,260,028  
Interest Rates U.S.
    968,150       0.60 %     4,564,925       968,150       2,351,225  
Interest Rates Non-U.S.
    1,987,740       1.23 %     2,505,732       795,437       1,561,437  
Livestock
    66,000       0.04 %     88,800       6,000       40,800  
Metals
    1,263,511       0.78 %     1,753,698       740,183       1,078,290  
Softs
    332,954       0.21 %     508,137       247,550       337,506  
 
                                   
Total
  $ 22,108,750       13.69 %                        
 
                                   
 
*   Average of month-end Values at Risk.
          As of December 31, 2010, Graham Master’s total capitalization was $168,924,671. The Partnership owned approximately 4.3% of Graham Master.
December 31, 2010
                                         
Twelve months ended December 31, 2010
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 6,192,975       3.67 %   $ 11,364,239     $ 996,231     $ 5,226,199  
Energy
    1,048,521       0.62 %     1,989,347       236,269       1,000,222  
Grains
    448,450       0.26 %     964,687       124,875       411,118  
Indices
    5,301,813       3.14 %     13,726,706       1,137,775       5,507,221  
Interest Rates U.S.
    161,600       0.10 %     2,021,410       68,806       1,014,515  
Interest Rates Non-U.S.
    1,209,918       0.72 %     4,305,447       749,055       2,006,426  
Livestock
    40,000       0.02 %     106,400       800       50,304  
Metals
    1,012,127       0.60 %     1,771,142       494,357       993,963  
Softs
    258,565       0.15 %     1,144,148       85,988       385,351  
 
                                   
Total
  $ 15,673,969       9.28 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.

24


Table of Contents

As of June 30, 2011, Eckhardt Master’s total capitalization was $25,037,632. The Partnership owned approximately 32.6% of Eckhardt Master. As of June 30, 2011, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:
June 30, 2011
                                         
                    Three months ended June 30, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 1,554,541       6.21 %   $ 1,678,029     $ 421,164     $ 1,318,042  
Energy
  9,000       0.04 %   886,666     9,000     295,257  
Grains
  16,250       0.07 %   353,000     16,250     148,500  
Interest Rates U.S.
  59,900       0.24 %   1,698,650     59,900     625,667  
Interest Rates Non -U.S.
  432,300       1.73 %   810,839     330,312     471,232  
Metals
  243,462       0.97 %   486,126     97,609     322,180  
Softs
  81,000       0.32 %   98,480     19,800     53,500  
Indices
  874,793       3.49 %   1,132,389     202,007     814,340  
 
                                   
Total
  $ 3,271,246       13.07 %            
 
                                   
 
*   Average of month-end Values at Risk.
          As of December 31, 2010, Eckhardt Master’s total capitalization was $23,686,325. The Partnership owned approximately 34.5% of Eckhardt Master.
December 31, 2010
                                         
          Twelve months ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 1,025,866       4.33 %   $ 1,147,164     $ 9,175     $ 427,400  
Energy
    248,250       1.05 %     580,400       10,875       238,534  
Grains
    348,259       1.47 %     370,823       41,862       169,215  
Indices
    610,979       2.58 %     3,147,442       19,055       430,625  
Interest Rates U.S.
    3,900       0.02 %     887,750       3,900       351,889  
Interest Rates Non -U.S.
    331,533       1.40 %     852,062       63,225       352,114  
Metals
    268,184       1.13 %     365,762       26,255       198,271  
Softs
    46,300       0.19 %     146,472       10,950       70,345  
 
                                   
Total
  $ 2,883,271       12.17 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.
As of June 30, 2011, SandRidge Master’s total capitalization was $318,043,171. The Partnership owned approximately 0.6% of SandRidge Master. As of June 30, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:
June 30, 2011
                                         
                    Three months ended June 30, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 14,252,103       4.48 %   $ 36,257,390     $ 14,252,103     $ 26,359,282  
 
                       
Total
  $ 14,252,103       4.48 %              
 
                       
 
*   Average of month-end Values at Risk.
          As of December 31, 2010, SandRidge Master’s total capitalization was $528,735,257. The Partnership owned approximately 0.4% of SandRidge Master.
December 31, 2010
                                         
          Twelve months ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 61,391,255       11.61 %   $ 85,692,107     $ 18,754,664     $ 56,852,448  
 
                                   
Total
  $ 61,391,255       11.61 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.

25


Table of Contents

Item 4.  Controls and Procedures
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
  pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
  provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and
  provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

26


Table of Contents

PART II.  OTHER INFORMATION
Item 1. Legal Proceedings
     There are no material changes to the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.

27


Table of Contents

Item 1A.  Risk Factors.
There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.
Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds.
The Partnership no longer offers Redeemable Units at the net asset value per Redeemable Unit as of the end of each month.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
                                             
 
                                      (d) Maximum Number    
                                      (or Approximate    
                            (c) Total Number of       Dollar Value) of    
                            Units       Units    
        (a) Total       (b) Average Price       Purchased as Part       that May Yet Be    
        Number of       Paid per       of Publicly Announced       Purchased Under the    
  Period     Units Purchased*       Unit**       Plans or Programs       Plans or Programs    
 
April 1, 2011 —
April 30, 2011
      218.5859       $ 1,975.92         N/A         N/A    
 
May 1, 2011 —
May 31, 2011
      70.4286       $ 1,848.06         N/A         N/A    
 
June 1, 2011 —
June 30, 2011
      97.3513       $ 1,771.84         N/A         N/A    
 
 
      386.3658       $ 1,901.19                        
 
 
*   Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption although, to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.
 
**   Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.
Item 3.  Defaults Upon Senior Securities — None
Item 4. [Removed and Reserved]
Item 5.  Other Information — None

28


Table of Contents

Item 6.  Exhibits
       
3.1
    Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).
 
     
3.2
(a)   Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York on October 13, 1993 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).
 
     
(b)   Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
     
(c)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
     
 
(d)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
     
 
(e)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
     
 
(f)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 3.2(f) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference).
 
     
(g)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated April 12, 2010 (filed as Exhibit 3.2(g) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference).
 
     
(h)
  Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated July 2, 2010 (filed as exhibit 3.1 to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).  
 
     
10.1
    Customer Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).
 
     
10.2
    Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on February 9, 1994 and incorporated herein by reference).
 
     
10.3
(a)   Management Agreement among the Partnership, the General Partner and Willowbridge (filed as an exhibit to the Form 10-K filed on March 29, 2000 and incorporated herein by reference).
 
     
(b)
  Letter extending Management Agreement with Willowbridge from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
     
10.4
(a)   Management Agreement among the Partnership, the General Partner and Winton (filed as an exhibit to the Form 10-K filed on March 27, 2002 and incorporated herein by reference).
 
     
(b)
  Letter extending Management Agreement with Winton from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.4(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
     
10.5
(a)   Management Agreement among the Partnership, the General Partner and Graham (filed as an exhibit to the Form 10-K filed on March 27, 2002 and incorporated herein by reference).
 
     
(b)
  Letter extending Management Agreement with Graham from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.5(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
     
10.6
(a)   Management Agreement among the Partnership, the General Partner and Eckhardt (filed as an exhibit to the Form 10-Q filed on August 14, 2008 and incorporated herein by reference).
 
     
(b)
  Letter extending Management Agreement with Eckhardt from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.6(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
     
10.7
(a)   Management Agreement among the Partnership, the General Partner and SandRidge (filed as Exhibit 10.1 to the Form 8-K filed on June 2, 2009 and incorporated herein by reference).
 
     
(b)
  Letter extending Management Agreement with SandRidge from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.7(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

29


Table of Contents

       
10.8
    Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
 
     
31.1
    Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). (filed herein)
 
     
31.2
    Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director). (filed herein)
 
     
32.1
    Section 1350 Certification (Certification of President and Director). (filed herein)
 
     
32.2
    Section 1350 Certification (Certification of Chief Financial Officer and Director). (filed herein)
 
     
101.INS
    XBRL Instance Document.
 
     
101.SCH
    XBRL Taxonomy Extension Schema Document.
 
     
101.CAL
    XBRL Taxonomy Extension Calculation Linkbase Document.
 
     
101.LAB
    XBRL Taxonomy Extension Label Linkbase Document.
 
     
1010.PRE
    XBRL Taxonomy Extension Presentation Linkbase Document.

30


Table of Contents

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
         
 
       
By:
  Ceres Managed Futures LLC    
     
 
  (General Partner)    
 
       
 
       
By:
  /s/ Walter Davis    
     
 
  Walter Davis    
 
  President and Director    
Date: August 15, 2011
         
 
       
By:
  /s/ Jennifer Magro    
     
 
  Jennifer Magro    
 
  Chief Financial Officer and Director    
 
  (Principal Accounting Officer)    
Date: August 15, 2011

31