DIVERSIFIED 2000 FUTURES FUND L.P. - FORM 10-Q

Attached files

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EX-32.2 - EX-32.2 - DIVERSIFIED 2000 FUTURES FUND L.P.	y05257exv32w2.htm
EX-31.1 - EX-31.1 - DIVERSIFIED 2000 FUTURES FUND L.P.	y05257exv31w1.htm
EX-31.2 - EX-31.2 - DIVERSIFIED 2000 FUTURES FUND L.P.	y05257exv31w2.htm
EX-32.1 - EX-32.1 - DIVERSIFIED 2000 FUTURES FUND L.P.	y05257exv32w1.htm
EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED 2000 FUTURES FUND L.P.	Financial_Report.xls

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2011

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 000-32599

DIVERSIFIED 2000 FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4077759


(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the 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 October 31, 2011, 37,313.5030 Limited Partnership Redeemable Units were outstanding.

DIVERSIFIED 2000 FUTURES FUND L.P.

FORM 10-Q

INDEX


			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at September 30, 2011 (unaudited) and December 31, 2010	3

		Schedules of Investments at September 30, 2011 (unaudited) and December 31, 2010	4 − 5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2011 and 2010 (unaudited)	6


		Notes to Financial Statements (unaudited)	7 − 16

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17 − 19

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	20 − 25

	Item 4.	Controls and Procedures	26

PART II - Other Information			27 − 30
Exhibits

EX–31.1 CERTIFICATION
EX–31.2 CERTIFICATION
EX–32.1 CERTIFICATION
EX–32.2 CERTIFICATION


101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.
EX-31.1
EX-31.2
EX-32.1
EX-32.2
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT

PART I

Item 1. Financial Statements

Diversified 2000 Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) September 30,		December 31,
	2011		2010

Assets:
Investment in Funds, at fair value	$	52,797,084	$	60,378,147
Cash		189,015		152,302

Total assets	$	52,986,099	$	60,530,449

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage fees	$	238,438	$	272,388
Management fees		74,792		88,127
Incentive fees		172,824		352,348
Other		161,262		134,745
Redemptions payable		249,861		268,399

Total liabilities		897,177		1,116,007

Partners’ Capital:
General Partner, 441.6499 unit equivalents outstanding at September 30, 2011 and December 31, 2010		604,062		621,185
Limited Partners, 37,642.3490 and 41,800.7127 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively		51,484,860		58,793,257

Total partners’ capital		52,088,922		59,414,442

Total liabilities and partners’ capital	$	52,986,099	$	60,530,449

Net asset value per unit	$	1,367.74	$	1,406.51

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.

Schedule of Investments

September 30, 2011

(Unaudited)


			% of Partners’
	Fair Value		Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	10,885,947		20.90	%
CMF Graham Capital Master Fund L.P.		8,002,684		15.37
CMF SandRidge Master Fund L.P.		4,027,141		7.73
CMF Eckhardt Master Fund L.P.		9,299,575		17.85
Waypoint Master Fund L.P.		13,252,229		25.44
PGR Master Fund L.P.		7,329,508		14.07

Total investment in Funds, at fair value	$	52,797,084		101.36	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Schedule of Investments
December 31, 2010


			% of Partners’
	Fair Value		Capital

Investment in Funds
CMF Aspect Master Fund L.P.	$	12,593,732		21.19	%
CMF Graham Capital Master Fund L.P.		12,185,485		20.51
CMF SandRidge Master Fund L.P.		8,175,283		13.76
CMF Eckhardt Master Fund L.P.		9,595,146		16.15
Waypoint Master Fund L.P.		12,714,093		21.40
PGR Master Fund L.P.		5,114,408		8.61

Total investment in Funds, at fair value	$	60,378,147		101.62	%

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Investment income:
Interest income from investment in Funds	$	1,581		$	15,722		$	14,766		$	38,734


Expenses:
Brokerage fees including clearing fees		764,260			839,607			2,395,406			2,635,656
Management fees		228,947			261,593			715,475			821,562
Incentive fees		172,824			(58,484	)		172,824			94,120
Other		52,205			38,536			218,974			204,990

Total expenses		1,218,236			1,081,252			3,502,679			3,756,328

Net investment income (loss)		(1,216,655	)		(1,065,530	)		(3,487,913	)		(3,717,594	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on investment in Funds		970,227			205,967			1,962,746			(67,714	)
Change in net unrealized gains (losses) on investment in Funds		1,264,538			1,382,922			(56,146	)		1,562,270

Total trading results		2,234,765			1,588,889			1,906,600			1,494,556

Net income (loss)		1,018,110			523,359			(1,581,313	)		(2,223,038	)
Redemptions — General Partner		0			(75,000	)		0			(325,000	)
Redemptions — Limited Partners		(1,348,254	)		(2,210,852	)		(5,744,207	)		(7,252,932	)

Net increase (decrease) in Partners’ Capital		(330,144	)		(1,762,493	)		(7,325,520	)		(9,800,970	)
Partners’ Capital, beginning of period		52,419,066			59,684,834			59,414,442			67,723,311

Partners’ Capital, end of period	$	52,088,922		$	57,922,341		$	52,088,922		$	57,922,341

Net asset value per unit (38,083.9989 and 42,980.8027 units outstanding at September 30, 2011 and 2010, respectively)	$	1,367.74		$	1,347.63		$	1,367.74		$	1,347.63

Net income (loss) per unit *	$	25.74		$	11.96		$	(38.77	)	$	(45.23	)

Weighted average units outstanding		38,740.2279			44,103.6436			39,923.0945			45,919.7885


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)


1.	General:

Diversified 2000 Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on August 25, 1999 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 Partnership, through its investment in the Funds (as defined in note 5 “Investment in Funds”), are volatile and involve a high degree of market risk.

Between January 31, 2000 (commencement of the initial offering period) and May 30, 2000, 16,045 redeemable units of limited partnership interest (“Redeemable Units”) and 162 general partner unit equivalents were sold at $1,000 per unit. The proceeds of the initial offering were held in an escrow account until May 31, 2000, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell up to 150,000 Redeemable Units during its initial offering period. As of November 25, 2002, the Partnership was authorized to sell an additional 40,000 Redeemable Units. 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 September 30, 2011, all trading decisions are made for the Partnership by Aspect Capital Limited (“Aspect”), Graham Capital Management L.P. (“Graham”), Eckhardt Trading Company (“Eckhardt”), SandRidge Capital L.P. (“SandRidge”), Waypoint Capital Management LLC (“Waypoint”) and PGR Capital LLP (“PGR”) (each, an “Advisor”, and collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors indirectly through investments in the Funds.

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

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

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

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.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)


2.	Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2011 and 2010 were as follows:


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Net realized and unrealized gains (losses) *	$	37.42		$	17.02		$	(11.35	)	$	(21.80	)
Interest income		0.04			0.36			0.37			0.86
Expenses **		(11.72	)		(5.42	)		(27.79	)		(24.29	)

Increase (decrease) for the period		25.74			11.96			(38.77	)		(45.23	)
Net asset value per unit, beginning of period		1,342.00			1,335.67			1,406.51			1,392.86

Net asset value per unit, end period	$	1,367.74		$	1,347.63		$	1,367.74		$	1,347.63


*		Includes brokerage fees.

**		Excludes brokerage fees.


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Ratios to average net assets: ***
Net investment (income) loss before incentive fees ****		(7.8	)%		(7.7	)%		(8.0	)%		(7.9	)%

Operating expenses		7.9	%		7.8	%		8.1	%		8.0	%
Incentive fees		0.3	%		(0.1)	%		0.3	%		0.2	%

Total expenses		8.2	%		7.7	%		8.4	%		8.2	%

Total return:
Total return before incentive fees		2.3	%		0.8	%		(2.4	)%		(3.1	)%
Incentive fees		(0.4	)%		0.1	%		(0.4	)%		(0.1	)%

Total return after incentive fees		1.9	%		0.9	%		(2.8	)%		(3.2	)%



***		Annualized (other than incentive fees).

****		Interest income less total expenses.

The above capital ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.


3.	Trading Activities:

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

The customer agreement 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 open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap and open forward contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Funds are held for trading purposes.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)


4.	Fair Value Measurements:

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

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

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

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

The Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in funds reflects its proportional interest in the funds. As of and for the periods ended September 30, 2011 and December 31, 2010, the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).


			Quoted Prices in Active		Significant Other		Significant
			Markets for Identical		Observable Inputs		Unobservable
	9/30/2011		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Funds	$	52,797,084	$	—	$	52,797,084	$	—

Net fair value	$	52,797,084	$	—	$	52,797,084	$	—


			Quoted Prices in Active		Significant Other		Significant
			Markets for Identical		Observable Inputs		Unobservable
	12/31/2010		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Funds	$	60,378,147	$	—	$	60,378,147	$	—

Net fair value	$	60,378,147	$	—	$	60,378,147	$	—


5.	Investments in Funds:

On January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF Campbell Master Fund L.P. (“Campbell Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 51,356.1905 units of Campbell Master with cash equal to $50,768,573, and a contribution of open commodity futures and forward contracts with a fair value of $587,618. Campbell Master was formed in order to permit commodity pools managed now or in the future by Campbell using its Financial, Metal and Energy Large Portfolio (“FME”), a proprietary, systematic trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Campbell Master on February 28, 2010 for cash equal to $4,508,811.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 43,434.9465 units of Aspect Master with cash equal to $40,490,895, and a contribution of open commodity futures and forward contracts with a fair value of $2,944,052. Aspect Master was formed in order to permit commodity pools managed now or in the future by Aspect 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 Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 41,952.2380 units of Graham Master with cash equal to $41,952,238. Graham Master was formed in order to permit commodity pools managed now or in the future by Graham using the 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 should promote efficiency and economy in the trading process.

On April 1, 2007, 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 7,659.0734 units of SandRidge Master with cash equal to $9,635,703. SandRidge Master was formed in order to permit commodity pools managed now or 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 should promote 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 10,000.0000 units of Eckhardt Master with cash equal to $10,000,000. 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 the also 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 March 1, 2010, the assets allocated to Waypoint for trading were invested in Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 5,975.7506 units of Waypoint Master with cash of $5,975,751. Waypoint Master was formed in order to permit commodity pools managed now or in the future by Waypoint 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 Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to PGR for trading were invested in PGR Master Fund L.P. (“PGR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 5,000.0000 units of PGR Master with cash equal to $5,000,000. PGR Master was formed in order to permit commodity pools managed now or in the future by PGR using its Mayfair Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended September 30, 2011.

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

A limited partner may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

At September 30, 2011, the Partnership owned approximately 6.5% of Aspect Master, 5.6% of Graham Master, 1.3% of SandRidge Master, 41.5% of Eckhardt Master, 29.9% of Waypoint Master and 21.5% of PGR Master. At December 31, 2010, the Partnership owned approximately 8.0% of Aspect Master, 7.2% of Graham Master, 1.5% of SandRidge Master, 40.5% of Eckhardt Master, 30.8% of Waypoint Master and 25.1% of PGR Master. It is Aspect’s, Graham’s, SandRidge’s, Eckhardt’s, Waypoint’s and PGR’s intention to continue to invest the assets allocated to each by the Partnership in Aspect Master, Graham Master, SandRidge Master, Eckhardt Master, Waypoint Master and PGR Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and capital for the Funds is shown in the following tables.


	September 30, 2011
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	166,609,631	$	28,543	$	166,581,088
Graham Master		143,001,399		43,258		142,958,141
SandRidge Master		326,282,515		12,642,258		313,640,257
Eckhardt Master		22,513,093		91,543		22,421,550
Waypoint Master		44,350,960		55,254		44,295,706
PGR Master		34,071,825		53,504		34,018,321

Total	$	736,829,423	$	12,914,360	$	723,915,063


	December 31, 2010
	Total Assets		Total Liabilities		Total Capital
Aspect Master	$	157,910,582	$	46,523	$	157,864,059
Graham Master		168,973,503		48,832		168,924,671
SandRidge Master		581,631,311		52,896,054		528,735,257
Eckhardt Master		23,748,773		62,448		23,686,325
Waypoint Master		41,306,976		59,330		41,247,646
PGR Master		20,415,391		28,810		20,386,581

Total	$	993,986,536	$	53,141,997	$	940,844,539

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

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 September 30, 2011
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(41,821	)	$	17,484,618		$	17,442,797
Graham Master		(213,853	)		(7,001,386	)		(7,215,239	)
SandRidge Master		(153,758	)		18,193,702			18,039,944
Eckhardt Master		(36,609	)		(2,067,641	)		(2,104,250	)
Waypoint Master		(42,646	)		5,476,730			5,434,084
PGR Master		(26,811	)		2,066,599			2,039,788

Total	$	(515,498	)	$	34,152,622		$	33,637,124


	For the nine months ended September 30, 2011
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(120,427	)	$	15,053,518		$	14,933,091
Graham Master		(596,969	)		(15,857,052	)		(16,454,021	)
SandRidge Master		(584,251	)		48,322,928			47,738,677
Eckhardt Master		(153,299	)		(2,439,928	)		(2,593,227	)
Waypoint Master		(156,111	)		4,716,133			4,560,022
PGR Master		(80,503	)		2,550,365			2,469,862

Total	$	(1,691,560	)	$	52,345,964		$	50,654,404


	For the three months ended September 30, 2010
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(14,082	)	$	11,582,903		$	11,568,821
Graham Master		(93,915	)		5,920,237			5,826,322
SandRidge Master		(299,798	)		(42,934,957	)		(43,234,755	)
Eckhardt Master		(39,324	)		1,602,450			1,563,126
Waypoint Master		(38,593	)		(909,222	)		(947,815	)

Total	$	(485,712	)	$	(24,738,589	)	$	(25,224,301	)


	For the nine months ended September 30, 2010
	Net Investment
	Income (Loss)			Total Trading Results			Net Income (Loss)
Aspect Master	$	(128,026	)	$	19,462,775		$	19,334,749
Graham Master		(329,266	)		2,934,755			2,605,489
SandRidge Master		(949,970	)		(127,118,547	)		(128,068,517	)
Eckhardt Master		(116,247	)		2,257,063			2,140,816
Waypoint Master		(97,782	)		5,008,311			4,910,529

Total	$	(1,621,291	)	$	(97,455,643	)	$	(99,076,934	)

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds is shown in the following tables.


	September 30, 2011					For the three months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		20.90	%	$	10,885,947	$	1,126,336		$	2,420	$	613	$	1,123,303		Commodity Portfolio	Monthly
Graham Master		15.37	%		8,002,684		(397,462	)		11,068		1,291		(409,821	)	Commodity Portfolio	Monthly
SandRidge Master		7.73	%		4,027,141		271,402			1,261		1,159		268,982		Energy Portfolio	Monthly
Eckhardt Master		17.85	%		9,299,575		(857,344	)		9,381		6,099		(872,824	)	Commodity Portfolio	Monthly
Waypoint Master		25.44	%		13,252,229		1,630,077			9,381		4,052		1,616,644		Commodity Portfolio	Monthly
PGR Master		14.07	%		7,329,508		463,337			2,446		3,698		457,193		Commodity Portfolio	Monthly

Total				$	52,797,084	$	2,236,346		$	35,957	$	16,912	$	2,183,477


	September 30, 2011					For the nine months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		20.90	%	$	10,885,947	$	985,073		$	7,635	$	3,046	$	974,392		Commodity Portfolio	Monthly
Graham Master		15.37	%		8,002,684		(808,772	)		32,925		3,524		(845,221	)	Commodity Portfolio	Monthly
SandRidge Master		7.73	%		4,027,141		773,147			6,593		3,655		762,899		Energy Portfolio	Monthly
Eckhardt Master		17.85	%		9,299,575		(1,006,795	)		45,271		20,896		(1,072,962	)	Commodity Portfolio	Monthly
Waypoint Master		25.44	%		13,252,229		1,373,894			37,027		15,912		1,320,955		Commodity Portfolio	Monthly
PGR Master		14.07	%		7,329,508		604,819			6,746		15,221		582,852		Commodity Portfolio	Monthly

Total				$	52,797,084	$	1,921,366		$	136,197	$	62,254	$	1,722,915


	December 31, 2010					For the three months ended September 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		21.19	%	$	12,593,732	$	1,250,985		$	4,816	$	1,341	$	1,244,828		Commodity Portfolio	Monthly
Graham Master		20.51	%		12,185,485		596,180			12,815		1,238		582,127		Commodity Portfolio	Monthly
SandRidge Master		13.76	%		8,175,283		(747,144	)		6,233		1,847		(755,224	)	Energy Portfolio	Monthly
Eckhardt Master		16.15	%		9,595,146		660,182			10,771		7,244		642,167		Commodity Portfolio	Monthly
Waypoint Master		21.40	%		12,714,093		(155,592	)		5,400		2,988		(163,980	)	Commodity Portfolio	Monthly
PGR Master		8.61	%		5,114,408		—			—		—		—		Commodity Portfolio	Monthly

Total				$	60,378,147	$	1,604,611		$	40,035	$	14,658	$	1,549,918


	December 31, 2010					For the nine months ended September 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Campbell Master		0.00	%	$	—	$	(266,611	)	$	1,344	$	672	$	(268,627	)	Financial, Metal & Energy Large Portfolio	Monthly
Aspect Master		21.19	%		12,593,732		2,219,023			17,278		9,203		2,192,542		Commodity Portfolio	Monthly
Graham Master		20.51	%		12,185,485		14,442			37,907		9,180		(32,645	)	Commodity Portfolio	Monthly
SandRidge Master		13.76	%		8,175,283		(2,161,416	)		19,430		4,735		(2,185,581	)	Energy Portfolio	Monthly
Eckhardt Master		16.15	%		9,595,146		940,573			30,029		21,732		888,812		Commodity Portfolio	Monthly
Waypoint Master		21.40	%		12,714,093		787,279			13,297		6,868		767,114		Commodity Portfolio	Monthly
PGR Master		8.61	%		5,114,408		—			—		—		—		Commodity Portfolio	Monthly

Total				$	60,378,147	$	1,533,290		$	119,285	$	52,390	$	1,361,615

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 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 forwards and option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Specific market movements of commodities of futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

Market risk is the potential for changes in the value of the financial instruments traded by the Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Funds’ assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bears 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 Fund’s 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 positions by sector, margin requirements, gain and loss transactions and collateral positions.

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

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

7. Critical Accounting Policies:

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

Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments), through its investment in the 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.

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

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 were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in funds reflects its proportional interest in the funds. As of and for the periods ended September 30, 2011 and December 31, 2010, the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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 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 Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Forward 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. Forward foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The 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. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Diversified 2000 Futures Fund L.P.
Notes to Financial Statements
September 30, 2011

(Unaudited)

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

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

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2008 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

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

Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s financial statements.

In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership is currently evaluating the impact that this proposed update would have on the financial statements.

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


Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investments in the Funds and cash. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership/Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2011.

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

For the nine months ended September 30, 2011, Partnership Capital decreased 12.3% from $59,414,442 to $52,088,922. This decrease was attributable to the net loss from operations of $1,581,313, coupled with the redemption of 4,158.3637 Redeemable Units resulting in an outflow of $ 5,744,207. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

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

The Partnership 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 trading gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the third quarter of 2011, the Partnership’s net asset value per unit increased 1.9% from $1,342.00 to $1,367.74 as compared to an increase of 0.9% in the third quarter of 2010. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the third quarter of 2011 of $2,234,765. Gains were primarily attributable to the Funds trading in metals, U.S. and non-U.S. interest rates and were partially offset by losses in currencies, energy, grains, indices, livestock and softs. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the third quarter of 2010 of $1,588,889. Gains were primarily attributable to the Funds trading in currencies, grains, U.S. and non-U.S. interest rates, metals and softs and were partially offset by losses in energy, livestock and indices.

The most significant gains were experienced within the global interest rate sector due to long positions in European, U.S., and Australian fixed income futures as prices advanced higher throughout the majority of the quarter due to concern about the European sovereign debt crisis and a faltering global economy. Within the metals complex, gains were recorded primarily during July and August from long positions in gold futures after prices reached a record high as escalating concern that the global economy is slowing boosted demand for the precious metal. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the currency markets, primarily during August and September, from long positions in the Indian rupee, Canadian dollar, and Australian dollar versus the U.S. dollar as the value of the U.S. dollar was boosted higher against these currencies by “safe haven” demand following central bank intervention in the Japanese yen and amid concerns related to the European debt crisis. Within the agricultural complex, losses were incurred primarily during July and September from long futures positions in corn and soybeans as prices declined on speculation that Europe’s sovereign debt crisis may hinder the global economy, reducing demand for the grains. Further losses were recorded within this sector during September from long positions in coffee futures as prices fell amid stable stockpiles before harvesting begins in Central America and Colombia. Within the global stock index sector, losses were incurred primarily during July and August due to long positions in U.S. equity index futures as prices dropped amid concern about the European sovereign debt crisis and Standard & Poor’s downgrade of the United States’ sovereign credit rating. Within the energy sector, losses were incurred primarily during August from long positions in crude oil and its related products at the beginning of the month as prices fell on concern energy demand may falter amid slowing economic growth in the U.S. and a deepening debt crisis in Europe.

During the Partnership’s nine months ended September 30, 2011, the net asset value per unit decreased 2.8% from $1,406.51 to $1,367.74 as compared to a decrease of 3.2% in the same period of 2010. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the nine months ended September 30, 2011 of $1,906,600. Gains were primarily attributable to the Funds trading in energy, metals, U.S. and non- U.S. interest rates and were partially offset by losses in currencies, grains, indices, livestock and softs. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the nine months ended September 30, 2010 of $1,494,556. Gains were primarily attributable to the Funds trading in currencies, U.S. and non-U.S. interest rates and were partially offset by losses in energy, grains, indices, livestock, metals and softs.

Within the global stock index markets, losses were incurred primarily during March, May, July, and August. During March, long positions in European, U.S., and Pacific Rim equity index futures resulted in losses as prices moved sharply lower after the tsunami and subsequent nuclear plant disaster in Japan spurred concern about global economic growth. Additional losses were experienced within this sector during May from long positions in U.S., European, and Pacific Rim equity index futures as prices declined on worse-than-expected economic reports and mounting worries over the European debt crisis. During July and August, long positions in European and U.S. equity index futures resulted in losses as prices dropped amid concern about the European sovereign debt crisis and Standard & Poor’s downgrade of the United States’ sovereign credit rating. Within the currency sector, losses were recorded primarily during May, from long positions in the British pound and euro versus the U.S. dollar as the value of these currencies moved lower against the U.S. dollar after Standard & Poor’s downgraded Greece’s credit rating, prompting concern that the European sovereign debt crisis may escalate. Additional losses were recorded during August and September from long positions in the Australian dollar and Canadian dollar versus the U.S. dollar as the value of these “commodity currencies” moved lower in tandem with declining commodity prices. Within the agricultural complex, losses were incurred primarily during July and September from long futures positions in corn and soybeans as prices declined on speculation that Europe’s sovereign debt crisis may hinder the global economy, reducing demand for the grains. Further losses were recorded within this sector during September from long positions in coffee futures as prices fell amid stable stockpiles before harvesting begins in Central America and Colombia. A portion of the Partnership’s losses during the first nine months of the year was offset by gains achieved within the global interest rate sector from long positions in European, U.S., and Australian fixed income futures as prices advanced higher throughout the majority of the third quarter due to concern about the European sovereign debt crisis and a faltering global economy. Further gains were experienced within the energy sector, primarily during February, from short positions in natural gas futures as prices declined earlier in the month on forecasts of warmer-than-normal weather in U.S. consuming regions that reduced demand for the heating fuel. Within the metals complex, small gains were recorded primarily during July and August from long positions in gold futures after prices reached a record high as escalating concern that the global economy is slowing boosted demand for the precious metal.

Commodity futures markets are highly volatile. Broad and rapid price fluctuations increase the risks involved in commodity trading, but also increase the possibility for profit or loss. 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.

Interest income on 80% of the average daily equity maintained in cash in the Funds’ brokerage account at a 30-day U.S. Treasury bill rate determined by CGM. Interest income from investment in the Funds for the three and nine months ended September 30, 2011 decreased by $14,141 and $23,968, respectively, as compared to the corresponding periods in 2010. The decrease in interest income is primarily due to lower U.S. Treasury bill rates and lower average daily equity during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership/Funds nor CGM has control.

Brokerage fees are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions. Brokerage fees for the three and nine months ended September 30, 2011 decreased by $75,347 and $240,250, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is primarily due to a decrease in average net assets during the three and nine months ended September 30, 2011 as compared to the corresponding periods in 2010.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three and nine months ended September 30, 2011 decreased by $32,646 and $106,087, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is primarily due to a decrease in average net assets during the three and nine months ended September 30, 2011 as compared to the corresponding periods in 2010.

Incentive fees are based on the new trading profits generated by each Advisor as defined in the management agreement among the Partnership, the General Partner and each Advisor and are payable annually. Trading performance for the three and nine months ended September 30, 2011 resulted in a incentive fee accrual of $172,824. Trading performance for the three months ended September 30, 2010 resulted in a reversal of an incentive fee accrual of $58,484. Trading performance for the nine months ended September 30, 2010 resulted in an incentive fee accrual of $94,120.

In allocating the assets of the Partnership among the trading advisors, the General Partner considers each advisors 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.


Item 3.	Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Funds. The Funds are speculative commodity pools. The market sensitive instruments held by them 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 line of business.

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 risk is 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 markets 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 performance is 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’ experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Funds’ losses in any market sector will be limited to Value at Risk or by the Funds’ attempts to manage its market risk.

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.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts, over which they have been granted limited authority to make trading decisions. The first trading Value at Risk tables reflects the market sensitive instruments held by the Partnership indirectly, through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments, indirectly held by each Fund, separately. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2011 and December 31, 2010. As of September 30, 2011, the Partnership’s total capitalization was $52,088,922.

September 30, 2011


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	2,209,115		4.24	%
Energy		478,032		0.92	%
Grains		58,950		0.11	%
Interest Rates U.S.		295,381		0.57	%
Interest Rates Non-U.S.		891,552		1.71	%
Livestock		8,979		0.02	%
Lumber		488		0.00	%*
Metals		143,417		0.27	%
Softs		127,975		0.25	%
Indices		490,948		0.94	%

Total	$	4,704,837		9.03	%


*		Due to rounding

As of December 31, 2010, the Partnership’s total capitalization was $59,414,442.

December 31, 2010


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	2,017,181		3.40	%
Energy		1,274,022		2.14	%
Grains		254,311		0.43	%
Indices		1,280,463		2.16	%
Interest Rates U.S.		43,796		0.07	%
Interest Rates Non-U.S.		381,358		0.64	%
Livestock		14,152		0.02	%
Metals		390,875		0.66	%
Softs		130,248		0.22	%

Total	$	5,786,406		9.74	%

The following tables indicate the trading Value at Risk associated with the Partnership’s investments in the Funds by market category as of September 30, 2011 and December 31, 2010, and the highest, lowest and average value during the three months ended September 30, 2011 and for the twelve months ended December 31, 2010. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.

As of September 30, 2011, Aspect Master’s total capitalization was $166,581,088. The Partnership owned approximately 6.5% of Aspect Master. As of September 30, 2011, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

September 30, 2011


						Three Months Ended September 30, 2011
			% of Total			High		Low		Average *
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk
Currencies	$	1,923,722		1.15	%	$	6,495,071	$	1,688,702	$	3,757,153
Energy		1,322,164		0.79	%		1,585,649		854,247		1,265,335
Grains		186,028		0.11	%		381,852		102,816		260,787
Indices		1,495,277		0.90	%		2,364,697		1,057,013		1,791,850
Interest Rates U.S.		1,210,150		0.73	%		1,578,350		1,110,450		1,318,467
Interest Rates Non-U.S.		6,392,512		3.84	%		6,730,979		4,456,158		5,791,254
Livestock		28,650		0.02	%		59,405		5,450		29,269
Lumber		7,500		0.00	%**		9,000		7,500		8,000
Metals		796,772		0.48	%		1,706,378		649,748		1,152,407
Softs		371,073		0.22	%		484,983		343,249		372,271

Total	$	13,733,848		8.24	%


*		Annual average of month-end Value at Risk
**		Due to rounding

As of December 31, 2010, Aspect Master’s total capitalization was $157,864,059. The Partnership owned approximately 8.0% of Aspect Master. As of December 31, 2010, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
										Average
			% of Total			High		Low		Value at
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Risk*
Currencies	$	6,641,142		4.21	%	$	6,908,626	$	1,960,264	$	4,676,665
Energy		1,421,450		0.90	%		1,932,150		351,414		1,223,668
Grains		663,172		0.42	%		853,702		150,472		496,932
Indices		2,735,405		1.73	%		15,325,500		832,920		2,830,563
Interest Rates U.S.		128,755		0.08	%		2,333,350		128,755		1,185,599
Interest Rates Non-U.S.		1,433,026		0.91	%		6,063,200		1,068,897		4,111,787
Livestock		109,519		0.07	%		240,000		14,717		93,906
Metals		1,798,174		1.14	%		2,724,717		539,569		1,434,801
Softs		853,509		0.54	%		1,719,693		494,690		987,242

Total	$	15,784,152		10.00	%


*		Annual average of month-end Value at Risk

As of September 30, 2011, Graham Master’s total capitalization was $142,958,141. The Partnership owned approximately 5.6% of Graham Master. As of September 30, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

September 30, 2011


						Three Months Ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	4,902,891		3.43	%	$	14,715,746	$	4,054,432	$	9,021,925
Energy		1,644,645		1.15	%		1,710,689		805,479		1,414,892
Grains		517,966		0.36	%		672,995		330,409		467,824
Indices		1,318,348		0.92	%		7,570,579		1,264,457		2,684,660
Interest Rates U.S.		489,000		0.34	%		1,656,700		443,080		972,817
Interest Rates Non-U.S.		2,457,971		1.72	%		3,388,979		1,112,934		2,050,874
Livestock		67,200		0.05	%		127,950		2,400		32,800
Metals		1,136,889		0.80	%		1,714,134		955,310		1,315,587
Softs		307,192		0.21	%		414,872		161,005		297,674

Total	$	12,842,102		8.98	%


*		Average of month-end Values at Risk

As of December 31, 2010, Graham Master’s total capitalization was $168,924,671. The Partnership owned approximately 7.2% of Graham Master. As of December 31, 2010, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
								Low		Average
			% of Total			High		Value		Value
Market Sector	Value at Risk		Capitalization			Value at Risk		at Risk		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 Value at Risk

As of September 30, 2011, SandRidge Master’s total capitalization was $313,640,257. The Partnership owned approximately 1.3% of SandRidge Master. As of September 30, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

September 30, 2011
(Unaudited)


						Three Months Ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	7,571,027		2.41	%	$	14,337,593	$	6,832,784	$	9,875,067

Total	$	7,571,027		2.41	%


*		Average of month-end Values at Risk

As of December 31, 2010, SandRidge Master’s total capitalization was $528,735,257. The Partnership owned approximately 1.5% of SandRidge Master. As of December 31, 2010, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

December 31, 2010


						Twelve Months Ended December 31, 2010
								Low		Average
			% of Total			High		Value at		Value at
Market Sector	Value at Risk		Capitalization			Value at Risk		Risk		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 Value at Risk

As of September 30, 2011, Eckhardt Master’s total capitalization was $22,421,550. The Partnership owned approximately 41.5% of Eckhardt Master. As of September 30, 2011, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

September 30, 2011
(Unaudited)


						Three months ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	279,040		1.24	%	$	1,566,309	$	91,656	$	561,771
Energy		192,008		0.86	%		640,516		6,000		386,143
Grains		3,500		0.02	%		301,704		3,500		135,355
Interest Rates U.S.		137,530		0.61	%		435,400		11,000		158,427
Interest Rates Non -U.S.		16,176		0.07	%		564,611		16,176		176,086
Softs		40,845		0.18	%		131,208		18,659		83,083

Total	$	669,099		2.98	%


*		Average of month-end Values at Risk

As of December 31, 2010, Eckhardt Master’s total capitalization was $23,686,325. The Partnership owned approximately 40.5% of Eckhardt Master. As of December 31, 2010, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

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 Value at Risk

As of September 30, 2011, Waypoint Master’s total capitalization was $44,295,706. The Partnership owned approximately 29.9% of Waypoint Master. As of September 30, 2011, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

September 30, 2011


						Three Months Ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	5,531,756		12,49	%	$	9,736,393	$	2,979,290	$	7,221,636
Energy		109,500		0.25	%		115,500		22,000		73,875
Indices		253,600		0.57	%		1,252,697		253,600		271,950
Interest Rates U.S.		164,000		0.37	%		270,500		26,000		161,633
Interest Rates Non-U.S.		91,371		0.21	%		841,827		55,028		213,582
Softs		121,500		0.27	%		121,500		14,700		81,600

Total	$	6,271,727		14.16	%


*		Average of month-end Values at Risk

As of December 31, 2010, Waypoint Master’s total capitalization was $41,247,646. The Partnership owned approximately 30.8% of Waypoint Master. As of December 31, 2010, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

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	$	1,878,430		4.55	%	$	11,817,974	$	633,809	$	5,198,266
Indices		901,236		2.18	%		1,613,660		100,993		790,428
Metals		80,750		0.20	%		216,426		31,500		66,207

Total	$	2,860,416		6.93	%


*		Period from March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk

As of September 30, 2011, PGR Master’s total capitalization was $34,018,321. The Partnership owned approximately 21.5% of PGR Master. As of September 30, 2011, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

September 30, 2011



						Three Months Ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	184,720		0.54	%	$	564,600	$	130,952	$	295,840
Energy		414,624		1.22	%		541,391		206,823		353,437
Grains		76,275		0.22	%		142,700		44,600		78,375
Indices		1,135,353		3.34	%		1,244,652		236,424		778,565
Interest Rates U.S.		387,100		1.14	%		398,000		242,750		308,750
Interest Rates Non -U.S.		1,415,627		4.16	%		1,480,846		732,429		1,026,575
Livestock		15,600		0.05	%		15,600		1,200		6,000
Metals		130,050		0.38	%		360,250		130,050		189,850
Softs		155,226		0.46	%		195,982		77,196		114,844

Total	$	3,914,575		11.51	%


*		Average of month-end Value at Risk

As of December 31, 2010, PGR Master’s total capitalization was $20,386,581. The Partnership owned approximately 25.1% of PGR Master. As of December 31, 2010, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

December 31, 2010


						Period 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	$	183,120		0.90	%	$	183,120	$	103,066	$	154,058
Energy		252,600		1.24	%		252,600		107,024		195,337
Grains		111,250		0.54	%		111,250		43,750		83,625
Indices		617,024		3.03	%		621,232		385,104		524,198
Interest Rates U.S.		80,800		0.40	%		141,150		66,450		81,150
Interest Rates Non-U.S.		180,603		0.89	%		265,434		135,161		161,976
Livestock		10,000		0.05	%		11,000		6,000		9,500
Metals		162,000		0.79	%		162,000		69,500		125,875
Softs		98,003		0.48	%		109,657		57,757		89,793

Total	$	1,695,400		8.32	%


*		Period from November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Value at Risk


Item 4.	Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:


	•	pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

	•	provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

	•	provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION


Item 1.		Legal Proceedings

The following information supplements and amends the discussion set forth under Part I, Item 3 “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.

Subprime-Mortgage Related Actions

On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in connection with the SEC’s investigation into the structuring and sale of CDOs. Pursuant to the proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment interest, and a civil penalty of $95 million relating to CGM’s role in the structuring and sale of the Class V Funding III CDO transaction. Additional information relating to this matter is publicly available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).


Item 1A.	Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.


Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds

The Partnership no longer offers Redeemable Units for sale.

The following chart sets forth the purchases of Redeemable Units by the Partnership.

(d) Maximum Number

(c) Total Number

(or Approximate

of Shares (or

Dollar Value) of Shares

(a) Total Number

(b) Average

Redeemable Units)

(or Redeemable Units) that

of Shares

Price Paid per

Purchased as Part

May Yet Be

(or Redeemable

Share (or

of Publicly Announced

Purchased Under the

Period

Units) Purchased*

Redeemable Unit)**

Plans or Programs

July 1, 2011 –
July 31, 2011

166.9255

1,377.63

N/A

August 1, 2011 –
August 31, 2011

626.8584

1,385.37

N/A

September 1, 2011 –
September 30, 2011

182.6816

1,367.74

N/A

976.4655

1,380.75

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.


Item 3.	Defaults Upon Senior Securities

None.


Item 4.	[Removed and Reserved]


Item 5.	Other Information

None.


Item 6.	Exhibits

3.1 Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

3.2 Certificate of Limited Partnership of the Partnership as filed in the Office of the Secretary of State of the State of New York on August 25, 1999 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a)Certificate of Amendment to the Certificate of Limited 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(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(b) Certificate of Amendment to the Certificate of Limited 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(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(c) Certificate of Amendment to the Certificate of Limited 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(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(d) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Form 8-K filed on September 2, 2008 and incorporated herein by reference).

(e) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 24, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference).

(f) Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(f) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

10.1 Form of Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

10.2 Form of Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on September 23, 1999 and incorporated herein by reference).

(a) Form of Letter Amending Escrow Agreement among the Partnership, European American Bank, Smith Barney Futures Management Inc. and Salomon Smith Barney Inc. (filed as Exhibit 10.3A to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

10.3 Form of Selling Agreement among the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 1.1 to the Registration Statement on Form S-1 filed on November 12, 2002 and incorporated herein by reference).

10.4 Joinder Agreement among the Partnership, the General Partner, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

10.5 Amended and Restated Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, LP, dated June 30, 2007 (filed as Exhibit 10.1 to the Quarterly Report on Form 10-Q filed on August 14, 2007 and incorporated herein by reference).

(a) Letter from the General Partner extending Advisory Agreement between the General Partner and SandRidge Capital, L.P. for 2010, dated June 1, 2010 (filed as Exhibit 10.5(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.6 Management Agreement among the Partnership, the General Partner and Aspect Capital Limited, dated January 3, 2002 (filed as Exhibit 99 to the Annual Report on Form 10-K filed on March 27, 2003 and incorporated herein by reference).

(a) Letter from the General Partner extending Management with Aspect Capital Limited for 2010, dated June 1, 2010 (filed as Exhibit 10.6(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.7 Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company, dated March 31, 2008 (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2008 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Eckhardt Trading Company for 2010, dated June 1, 2010 (filed as Exhibit 10.7(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.8 Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC, dated February 25, 2010 (filed as Exhibit 10.8 to the Quarterly Report on Form 10-Q filed on May 17, 2010 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Waypoint Capital Management LLC for 2010, dated June 1, 2010 (filed as Exhibit 10.10(A) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.9 Management Agreement among the Partnership, the General Partner and Graham Capital Management, L.P., dated June 11, 2001 (filed as Exhibit 10 to the Annual Report on Form 10-K filed on March 27, 2002 and incorporated herein by reference).

(a) Letter from the General Partner extending Management Agreement with Graham Capital Management, L.P. for 2010, dated June 1, 2010 (filed as Exhibit 10.9(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.10 Form of Amended and Restated Management Agreement among the Partnership, the General Partner and PGR Capital LLP, (filed as Exhibit 10.10 to the Quarterly Report on Form 10-Q filed on August 15, 2011 and incorporated herein by reference).

Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)

Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)

Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer)


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.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

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 2000 FUTURES FUND L.P.


By:	Ceres Managed Futures LLC

(General Partner)


By:	/s/ Walter Davis

Walter Davis

President and Director


Date:	November 14, 2011


By:	/s/ Brian Centner

Brian Centner

Chief Financial Officer
(Principal Accounting Officer)


Date:	November 14, 2011

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DIVERSIFIED 2000 FUTURES FUND L.P. Reports

DIVERSIFIED 2000 FUTURES FUND L.P. - FORM 10-Q - November 14, 2011

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DIVERSIFIED 2000 FUTURES FUND L.P. Reports