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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
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
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
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed
by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or
for such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months
(or for such shorter period that the registrant was required to submit and post such files).
Yes 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
FORM 10-Q
INDEX
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
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 Partnerships
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 Partnerships 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 Partnerships 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
Partnerships investments are in other funds which trade these instruments. The results of
the Partnerships 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 Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance and redemptions.
4. | Fair Value Measurements: |
Partnerships
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.
Partnerships 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 Partnerships 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
Partnerships 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 managements 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 Masters, Willowbridge Masters, Graham Masters, Eckhardt Masters and SandRidge
Masters (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 CGMs 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 Partnerships 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 Partnerships 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 | |||||||||||||||||||||||||||||||
Partnerships | 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 | ||||||||||||||||||||||||||||||||||
Partnerships | 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 | ||||||||||||||||||||||||||||||||||
Partnerships | 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 | ||||||||||||||||||||||||||||||||||
Partnerships | 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 Partnerships 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 Partnerships/Funds risk of loss in the event of a
counterparty default is typically limited to the amounts recognized in the Statements of Financial
Condition and is not represented by the contract or notional amounts of the instruments. The Partnerships/Funds
risk of loss is reduced through the use of legally enforceable master netting agreements with
counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit
risk and concentration risk as the sole counterparty or broker with respect to the Funds assets is
CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the
extent that through CGM, the Partnerships/Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and
then bear the risk of unfavorable changes in the price of the contract underlying the option.
Written options expose the Funds to potentially unlimited liability; for purchased options, the risk
of loss is limited to the premiums paid. Certain written put options permit cash settlement and do
not require the option holder to own the reference asset. The Funds do not consider these contracts
to be guarantees.
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.
Partnerships 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.
Partnerships 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 Partnerships
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 Partnerships and the
Funds Level 2 assets and liabilities.
The Partnership and the Funds will separately present purchases, sales,
issuances and settlements in their reconciliation of
Level 3 fair value measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make
disclosures regarding the level of disaggregation and the
inputs and valuation techniques used to measure fair value for
measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy as required by GAAP.
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
Partnerships 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 managements 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 Partnerships 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 Partnerships financial statements to determine whether the tax positions are more-likely-than-not to be sustained by
the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet
the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The
General Partner concluded that no provision for income tax is required in the Partnerships financial statements.
The 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 FASBs
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 Partnerships
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. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its
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 Partnerships 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
Partnerships/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 Partnerships 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 Partnerships
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 Partnerships 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 & Poors downgraded Greeces 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
Partnerships 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 Partnerships 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 Partnerships 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 Partnerships adjusted net asset value
as of the end of the month and are affected by trading performance and redemptions. Management fees
for the three and 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 Partnerships assets are subject to the risk of trading loss through its
investments in the Funds. The Funds are speculative commodity pools. The market sensitive
instruments held by the Funds are acquired for speculative trading purposes, and all or
substantially all of the Funds assets are subject to the risk of trading loss. Unlike an operating
company, the risk of market sensitive instruments is integral, not incidental, to the Funds main
lines of business.
The
risk to the limited partners that have purchased interests in the
Partnership is limited to the
amount of their capital contributions to the Partnership and their
share of the Partnerships assets and
undistributed profits. This limited liability is a 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 Partnerships Advisors currently trade the Partnerships 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
Partnerships open positions by market category as of June 30,
2011. As of June 30, 2011, the
Partnerships 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
Partnerships 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 Partnerships 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
Partnerships Annual Report on Form 10-K for the year ended December 31, 2010.
As
of June 30, 2011, Winton Masters total capitalization was
$835,503,884, the Partnership owned approximately 0.8% of Winton Master. As of
June 30, 2011, Winton Masters Value at Risk for its assets
(including the portion of the Partnerships 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 Masters 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 Masters total capitalization was
$71,695,521. The Partnership owned approximately 5.8% of Willowbridge Master.
As of June 30, 2011, Willowbridge Masters Value at Risk for its assets
(including the portion of the Partnerships 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 Masters 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 Masters total capitalization was
$161,473,863. The Partnership
owned approximately 4.0% of Graham Master.
As of June 30, 2011, Graham Masters Value at Risk for its assets
(including the portion of the Partnerships 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 Masters 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 Masters total capitalization was
$25,037,632. The Partnership owned approximately 32.6% of Eckhardt Master.
As of June 30, 2011, Eckhardt Masters Value at Risk for its assets
(including the portion of the Partnerships 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 Masters 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 Masters total capitalization was
$318,043,171. The Partnership owned approximately 0.6% of SandRidge Master.
As of June 30, 2011, SandRidge Masters Value at Risk for its assets
(including the portion of the Partnerships 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 Masters 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 Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed by the Partnership on the reports that it files or submits under the
Securities Exchange Act of 1934, as amended (the Exchange
Act), is recorded, processed, summarized and
reported within the time periods expected in the SECs 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 Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of June 30, 2011 and, based on that evaluation, the
General Partners CEO and CFO have concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in accordance with GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process
during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely
to materially affect, the Partnerships internal control over financial reporting.
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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 Partnerships Annual Report on Form 10-K for the fiscal year ended
December 31, 2010, as updated by the Partnerships Quarterly Report on Form 10-Q for
the quarter ended March 31, 2011.
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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 Partnerships Annual Report on Form 10-K for the
fiscal year ended December 31, 2010 and under Part II, Item 1A. Risk Factors in the Partnerships 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 Partnerships business in connection with effecting redemptions for limited partners. | |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. |
Item 3. Defaults Upon Senior Securities None
Item 4. [Removed and Reserved]
Item 5. Other Information None
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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). |
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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