Millburn Multi-Markets Fund L.P. - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - Millburn Multi-Markets Fund L.P.	Financial_Report.xls
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P.	v238392_ex31-01.htm
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P.	v238392_ex31-03.htm
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P.	v238392_ex32-01.htm
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P.	v238392_ex31-02.htm
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P.	v238392_ex32-02.htm
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P.	v238392_ex32-03.htm

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

¨	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware		26-4038497
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip Code)

Registrant's telephone number, including area code: (203) 625-8211

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

Yes x No ¨

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

Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ¨	Accelerated filer ¨
Non-accelerated filer ¨ (Do not check if a smaller reporting company)	Smaller reporting company x

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

Yes ¨ No x

PART I. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.
Financial statements
For the three and nine months ended September 30, 2011 and 2010 (unaudited)

Statements of Financial Condition (a)		3
Statements of Operations (c)		4-5
Statements of Changes in Partners' Capital (b)		6
Statements of Financial Highlights (c)		7-10
Notes to Financial Statements		11-12

(a) At September 30, 2011 and December 31, 2010

(b) For the nine months ended September 30, 2011 and 2010 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition (UNAUDITED)

	September 30,		December 31,
	2011		2010
ASSETS
Investment in Millburn Multi-Markets Trading L.P. (the "Master Fund")	$	215,820,219	$	111,327,838
Due from the Master Fund		394,357		233,876
Cash		12,779,798		7,916,721
TOTAL	$	228,994,374	$	119,478,435

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	12,779,122	$	7,766,045
Capital withdrawal payable		392,472		233,876
Due to the General Partner		1,885		-
Due to the Master Fund		676		150,676
Total liabilities		13,174,155		8,150,597

PARTNERS' CAPITAL:
General Partner		1,429,651		1,447,561

Limited Partners:
Series A (139,784.6408 and 64,756.6985 units outstanding)		148,755,538		71,988,161
Series B (19,337.2293 and 5,662.0645 units outstanding)		21,230,195		6,405,290
Series C (40,223.4545 and 27,731.8983 units outstanding)		44,404,835		31,486,826
Total limited partners		214,390,568		109,880,277
Total partners' capital		215,820,219		111,327,838

TOTAL	$	228,994,374	$	119,478,435

NET ASSET VALUE PER UNIT OUTSTANDING
Series A	$	1,064.18	$	1,111.67
Series B	$	1,097.89	$	1,131.26
Series C	$	1,103.95	$	1,135.40

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	September 30,			September 30,
	2011			2010
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
INCOME — interest income	$	91,095		$	51,019

Expenses:
Management fees		1,030,684			260,015
Brokerage commissions		133,724			49,840
Selling commissions and platform fees		719,855			233,505
Administrative and operating expenses		250,141			245,999
Custody fee and other expenses		8,334			2,467
Total expenses		2,142,738			791,826

Operating expenses borne by General Partner		(1,931	)		(174,449	)

Net expenses		2,140,807			617,377

Net investment loss allocated from the Master Fund		(2,049,712	)		(566,358	)

NET REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		7,073,675			(374,797	)
Foreign exchange translation		(27,223	)		(11,452	)
Net change in unrealized:
Futures and forward currency contracts		(119,903	)		2,951,037
Foreign exchange translation		(3,125	)		19,923
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(66,862	)		8,799

Total net realized and unrealized gains allocated from the Master Fund		6,856,562			2,593,510

NET INCOME		4,806,850			2,027,152

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		-			116,832

NET INCOME AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND	$	4,806,850		$	1,910,320
		(continued)

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the nine months ended
	September 30,			September 30,
	2011			2010
NET INVESTMENT LOSS ALLOCATED FROM THE MASTER FUND
INCOME — interest income	$	252,248		$	88,964

Expenses:
Management fees		2,507,517			511,223
Brokerage commissions		355,843			90,773
Selling commissions and platform fees		1,708,429			458,960
Administrative and operating expenses		716,053			360,200
Custody fee and other expenses		19,731			4,174
Total expenses		5,307,573			1,425,330

Operating expenses borne by General Partner		(57,517	)		(219,510	)

Net expenses		5,250,056			1,205,820

Net investment loss allocated from the Master Fund		(4,997,808	)		(1,116,856	)

NET REALIZED AND UNREALIZED GAINS (LOSSES) ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		5,801,619			(506,317	)
Foreign exchange translation		(27,082	)		(24,032	)
Net change in unrealized:
Futures and forward currency contracts		(7,616,618	)		2,168,953
Foreign exchange translation		(14,077	)		4,809
Net gains (losses) from U.S. Treasury notes:
Realized		3,031			-
Net change in unrealized		(18,167	)		19,166

Total net realized and unrealized gains (losses) allocated from the Master Fund		(1,871,294	)		1,662,579

NET INCOME (LOSS)		(6,869,102	)		545,723

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		2,595			117,248

NET INCOME (LOSS) AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND	$	(6,871,697	)	$	428,475
		(concluded)

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the nine months ended September 30, 2011 and 2010

	General			Limited Partners
	Partner			Series A						Series B						Series C						Total
	Amount			Amount			Units			Amount			Units			Amount			Units			Amount

PARTNERS' CAPITAL — December 31, 2010	$	1,447,561		$	71,988,161			64,756.6985		$	6,405,290			5,662.0645		$	31,486,826			27,731.8983		$	111,327,838

Capital contributions		-			85,728,603			78,379.5252			15,901,098			14,234.2708			14,398,382			12,872.2000			116,028,083
Capital withdrawals		-			(3,622,803	)		(3,351.5829	)		(625,685	)		(559.1060	)		(415,517	)		(380.6438	)		(4,664,005	)
Net loss after profit share		(17,910	)		(5,338,423	)		-			(450,508	)		-			(1,064,856	)		-			(6,871,697	)
PARTNERS' CAPITAL — September 30, 2011	$	1,429,651		$	148,755,538			139,784.6408		$	21,230,195			19,337.2293		$	44,404,835			40,223.4545		$	215,820,219

Net Asset Value per Unit at September 30, 2011							$	1,064.18					$	1,097.89					$	1,103.95

	General		Limited Partners
	Partner		Series A						Series B						Series C						Total
	Amount		Amount			Units			Amount			Units			Amount			Units			Amount

PARTNERS' CAPITAL — December 31, 2009	$	10,159	$	8,589,976			8,081.4364		$	381,711			357.9807		$	302,706			283.6015		$	9,284,552

Capital contributions		-		42,920,446			40,584.7502			3,787,992			3,561.6469			2,437,483			2,245.8081			49,145,921
Capital withdrawals		-		(536,472	)		(527.6004	)		(166,243	)		(156.5341	)		(181,093	)		(178.2290	)		(883,808	)
Net income (loss) after profit share		418		369,311			-			67,009			-			(8,263	)		-			428,475
PARTNERS' CAPITAL — September 30, 2010	$	10,577	$	51,343,261			48,138.5862		$	4,070,469			3,763.0935		$	2,550,833			2,351.1806		$	57,975,140

Net Asset Value per Unit at September 30, 2010						$	1,066.57					$	1,081.68					$	1,084.91

See notes to financial statements

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2011

The following information presents per unit operating performance data for each series for the three months ended September 30, 2011.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,038.95		$	1,067.19		$	1,072.41

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(12.27	)		(7.81	)		(7.16	)
Total trading and investing gains (1)		37.50			38.51			38.70

Net profit before profit share allocation from the Master Fund		25.23			30.70			31.54

Profit share allocation from the Master Fund (1) (7)		0.00			0.00			0.00

Net profit from operations after profit share allocation from the Master Fund		25.23			30.70			31.54

NET ASSET VALUE PER UNIT — End of period	$	1,064.18		$	1,097.89		$	1,103.95

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		2.43	%		2.88	%		2.94	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)(7)		0.00			0.00			0.00

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		2.43	%		2.88	%		2.94	%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.76	%		3.01	%		2.76	%
Profit share allocation from the Master Fund (2) (7)		0.00			0.00			0.00

Total expenses		4.76	%		3.01	%		2.76	%

Net investment loss (3) (4) (5) (6)		(4.58	)%		(2.83	)%		(2.58	)%

(1)

The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Not annualized.

(3)	Annualized.

(4)	Excludes profit share allocation from the Master Fund.

(5)

Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the three months ended September 30, 2011, the ratios are net of the 0.00% effect of the voluntary waivers of operating expenses (not annualized).

(6)	Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

(7)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2010

The following information presents per unit operating performance data for each series for the three months ended September 30, 2010.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,032.74			1,043.64			1,046.15

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(12.01	)		(7.56	)		(6.89	)
Total trading and investing gains (1)		48.06			49.08			48.90

Net profit before profit share allocation from the Master Fund		36.05			41.52			42.01

Profit share allocation from the Master Fund (1) (2)(7)		(2.22	)		(3.48	)		(3.25	)

Net profit from operations after profit share allocation from the Master Fund		33.83			38.04			38.76

NET ASSET VALUE PER UNIT — End of period	$	1,066.57		$	1,081.68		$	1,084.91

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		3.48	%		3.92	%		4.00	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		0.20			0.28			0.29

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		3.28	%		3.64	%		3.71	%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.97	%		3.21	%		2.96	%
Profit share allocation from the Master Fund(2)(7)		0.20			0.28			0.29

Total expenses		5.17	%		3.49	%		3.25	%

Net investment loss (3) (4) (5) (6)		(4.62	)%		(2.86	)%		(2.61	)%

(1)

(2)	Not annualized.

(3)	Annualized.

(4)	Excludes profit share allocation from the Master Fund. Profit sharing allocation applicable to Series A, B and C were 0.20%, 0.28% and 0.29%, respectively.

(5)

Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the three months ended September 30, 2010, the ratios are net of the 0.34% effect of the voluntary waivers of operating expenses (not annualized).

(6)	Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

(7)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2011

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2011.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,111.67		$	1,131.26		$	1,135.40

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(37.67	)		(23.89	)		(22.14	)
Total trading and investing losses (1)		(9.80	)		(10.86	)		(8.83	)

Net loss before profit share allocation from the Master Fund		(47.47	)		(34.75	)		(30.97	)

Profit share allocation from the Master Fund (1) (2) (7)		(0.02	)		1.38			(0.48	)

Net loss from operations after profit share allocation from the Master Fund		(47.49	)		(33.37	)		(31.45	)

NET ASSET VALUE PER UNIT — End of period	$	1,064.18		$	1,097.89		$	1,103.95

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(4.27	)%		(3.07	)%		(2.73	)%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2) (7)		0.00			(0.12	)		0.04

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		(4.27	)%		(2.95	)%		(2.77	)%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.83	%		3.07	%		2.83	%
Profit share allocation from the Master Fund (2) (7)		0.00			(0.12	)		0.04

Total expenses		4.83	%		2.95	%		2.87	%

Net investment loss (3) (4) (5) (6)		(4.63	)%		(2.89	)%		(2.63	)%

(1)

The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing loss is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Not annualized.

(3)	Annualized.

(4)	Excludes profit share allocation from the Master Fund.

(5)

Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the nine months ended September 30, 2011, the ratios are net of the 0.04% effect of the voluntary waivers of operating expenses (not annualized).

(6)	Includes the Partnership's proportionate share of income and expense allocated from the Master Fund.

(7)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2010

The following information presents per unit operating performance data for each series for the nine months ended September 30, 2010.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,062.93		$	1,066.29		$	1,067.37

INCOME (LOSS) ALLOCATED FROM THE MASTER FUND:
Net investment loss (1)		(36.27	)		(22.72	)		(20.73	)
Total trading and investing gains (1)		43.34			45.36			40.78

Net profit before profit share allocation from the Master Fund		7.07			22.64			20.05

Profit share allocation from the Master Fund (1) (2)		(3.43	)		(7.25	)		(2.51	)

Net profit from operations after profit share allocation from the Master Fund		3.64			15.39			17.54

NET ASSET VALUE PER UNIT — End of period	$	1,066.57		$	1081.68		$	1,084.91

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		1.03	%		2.37	%		2.57	%

LESS: PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)(7)		0.69			0.93			0.93

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM THE MASTER FUND (2)		0.34	%		1.44	%		1.64	%

Ratios to average net asset value:
Expenses (3) (4) (5) (6)		4.95	%		3.19	%		2.93	%
Profit share from the Master Fund (2) (7)		0.69			0.93			0.93

Total expenses		5.64	%		4.12	%		3.86	%

Net investment loss (3) (4) (5) (6)		(4.62	)%		(2.86	)%		(2.60	)%

(1)

(2)	Not annualized.

(3)	Annualized.

(4)	Excludes profit share allocation from the Master Fund. Profit share allocation applicable to Series A, B and C were 0.69%, 0.93% and 0.93%, respectively.

(5)

Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner of the Partnership and General Partner of the Master Fund. For the nine months ended September 30, 2010, the ratios are net of the 0.65% effect of the voluntary waivers of operating expenses (not annualized).

(6)	Includes the Partnership's proportionate share of income and expense allocated from the Master Fund.

(7)	Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements

(Concluded)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Market Fund L.P.’s (the “Partnership”) financial condition at September 30, 2011 and December 31, 2010 and the results of its operations for the three and nine months ended September 30, 2011 and 2010 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2010 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S.”) requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts with various financial institutions that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes topic of the Financial Accounting Standards Board Codification (the “Codification”) clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2009 and 2010, for the U.S. Federal jurisdiction, the New York and Connecticut state jurisdictions, and the New York City jurisdiction, there are no uncertain tax positions. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes.

There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for the fiscal year 2010.

2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership invests all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at September 30, 2011 and December 31, 2010 was 54.60% and 37.43%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.

3. RELATED PARTY TRANSACTIONS

The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Total operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital. For the nine months ended September 30, 2011 and 2010, Millburn Ridgefield Corporation (the “General Partner”) chose to directly bear operating expenses in excess of 1/2 of 1% of average net assets of the Partnership’s average month-end partners’ capital.

During any time in which a third-party administrator is providing services to the Master Fund, as is currently the case, the General Partner is paid a monthly Administration Fee for administration services it provides, calculated as a percentage of the month-end net asset value (prior to reduction for withdrawals or redemptions, management fees, amounts payable to selling agents and the administration fee then being calculated) of the Master Fund equal to 0.05% per annum of the Master Fund’s average net assets. The Partnership is allocated its pro rata portion of the administration fee which is charged at the Master Fund level. As of September 30, 2011 and December 31, 2010, $132,667 and $73,244, respectively, was payable by the Master Fund to the General Partner and is included in “accrued expenses” in the Master Fund’s Statements of Financial Condition.

The General Partner has paid expenses incurred in connection with the organization of the Partnership and the initial offering of the units of limited partnership (“Units”). The total amount paid by the General Partner was $191,967. The Master Fund, on behalf of the Partnership, is reimbursing the General Partner for these costs in 60 equal monthly installments of $3,199 which began on August 1, 2009. However, to the extent that for any month the $3,199 exceeds 1/12 of 0.05% (0.05% per annum) of the Partnership’s month-end net asset value, such excess will not be reimbursed by the Partnership but will be absorbed by the General Partner. As of September 30, 2011, pursuant to this calculation, $30,987 has been borne by the General Partner and will not be reimbursed by the Partnership. For the three and nine months ended September 30, 2011, the costs incurred by the Partnership were $9,598 and $28,795, respectively. For the three and nine months ended September 30, 2010, the costs incurred by the Partnership were $6,505 and $12,790, respectively. Organization and initial offering costs are included in “administrative and operating expenses” in the Master Fund’s Statements of Operations.

Further, as of September 30, 2011 and December 31, 2010, $28,795 and $25,277, respectively, were payable by the Master Fund to the General Partner as reimbursement for such costs and are included in “accrued expenses” in the Master Fund’s Statement of Financial Condition.

Series A Unitholders that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At September 30, 2011 and December 31, 2010, $1,885 and $0 were owed to the General Partner, respectively.

4. FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series A, Series B and Series C Units is calculated based on Unitholders’ partners’ capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the quarter. Weighted average number of units of each series is detailed below.

	Three months ending September 30,				Nine months ending September 30,
	2011		2010		2011		2010
Series A		132,002.964		44,307.290		103,211.896		28,815.576
Series B		18,151.473		3,224.115		12,478.476		2,027.470
Series C		39,743.001		2,183.414		36,085.151		1,497.458

Millburn Multi-Markets Trading L.P.
Financial statements
For the three and nine months ended September 30, 2011 and 2010 (unaudited)

Statements of Financial Condition (a)			14
Condensed Schedules of Investments (a)			15-18
Statements of Operations (c)			19-20
Statements of Changes in Partners' Capital (b)			21
Statements of Financial Highlights (c)			22-23
Notes to Financial Statements			24

(a) At September 30, 2011 and December 31, 2010

(b) For the nine months ended September 30, 2011 and 2010 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition (UNAUDITED)

	September 30		December 31
	2011		2010
Assets
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes−at fair value (amortized cost $60,315,210 and $51,569,250)	$	60,339,341	$	51,585,010
Net unrealized appreciation on open futures and forward currency contracts		7,627,307		13,312,178
Due from brokers		5,801,940		3,146,214
Cash denominated in foreign currencies (cost $1,875,111 and $2,353,889)		1,821,339		2,324,160
Total equity in trading accounts		75,589,927		70,367,562

INVESTMENTS IN U.S TREASURY NOTES−at fair value (amortized cost $323,249,916 and $218,631,689)		323,264,832		218,671,298
CASH AND CASH EQUIVALENTS		8,597,859		14,383,754
ACCRUED INTEREST RECEIVABLE		540,674		476,291
DUE FROM MILLBURN MULTI-MARKETS LTD.		328		712
DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		676		150,676
TOTAL	$	407,994,296	$	304,050,293

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	10,248,405	$	-
Cash denominated in foreign currencies (cost $- and $-251,028)		-		248,557
Capital contributions received in advance		14,793		884,835
Capital withdrawals payable		592,472		4,726,525
Management fee payable		575,499		418,270
Selling commissions payable		252,799		122,477
Accrued expenses		597,045		122,002
Due to broker		343,266		-
Commissions and other trading fees on open futures contracts		64,208		67,334
Due to Millburn Multi-Markets Fund L.P.		1,885		684
Total liabilities		12,690,372		6,590,684

PARTNERS' CAPITAL		395,303,924		297,459,609

TOTAL	$	407,994,296	$	304,050,293

See notes to financial statements

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

September 30, 2011

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		(0.64	)%	$	(2,522,627	)
Grains		(0.99	)		(3,930,475	)
Interest rates:
2 Year U.S. Treasury Note (1,409 contracts, settlement date 12/31/2011)		(0.08	)		(336,414	)
5 Year U.S. Treasury Note (525 contracts, settlement date 12/31/2011)		(0.05	)		(179,266	)
10 Year U.S. Treasury Note (145 contracts, settlement date 12/31/2011)		0.01			28,953
30 Year U.S. Treasury Bond (76 contracts, settlement date 12/31/2011)		0.04			139,250
Other interest rates		(0.09	)		(346,304	)
Total interest rates		(0.17	)		(693,781	)

Livestock		0.07			270,690
Metals		(0.81	)		(3,186,538	)
Softs		(0.34	)		(1,335,319	)
Stock indices		0.02			66,750
Total long futures contracts		(2.86	)		(11,331,300	)

Short futures contracts:
Energies		0.70			2,769,266
Grains		1.62			6,399,399
Interest rates		0.01			38,296
Livestock		(0.22	)		(869,900	)
Metals		1.91			7,560,170
Softs		0.61			2,398,959
Stock indices		0.00			18,674
Total short futures contracts		4.63			18,314,864
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net		1.77			6,983,564

FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		(5.36	)		(21,178,089	)
Total short forward currency contracts		2.93			11,573,427
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net		(2.43	)		(9,604,662	)

TOTAL		(0.66	)%	$	(2,621,098	)

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

September 30, 2011

U.S. Treasury Notes

Face Amount		Description	Fair Value as a % of Partners' Capital			Fair Value

$	171,170,000	U.S. Treasury notes, 0.750%, 11/30/2011		43.35	%	$	171,367,246
	97,740,000	U.S. Treasury notes, 0.875%, 02/29/2012		24.81			98,058,800
	113,960,000	U.S. Treasury notes, 0.375%, 08/31/2012		28.88			114,178,127
		Total investments in U.S. Treasury notes
		(amortized cost $383,565,126)		97.04	%	$	383,604,173

See notes to financial statements

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

December 31, 2010

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		0.35	%	$	1,050,235
Grains		1.09			3,239,089
Interest rates:
2 Year U.S. Treasury Note (244 contracts, settlement date 03/31/2011)		0.00			11,712
Other interest rates		0.14			407,761
Total interest rates		0.14			419,473

Livestock		0.23			684,170
Metals		1.37			4,074,267
Softs		0.76			2,260,705
Stock indices		0.53			1,573,129
Total long futures contracts		4.47			13,301,068

Short futures contracts:
Energies		(0.21	)		(616,642	)
Grains		(0.40	)		(1,199,300	)
Interest rates		(0.07	)		(215,100	)
Livestock		(0.22	)		(636,480	)
Metals		(0.12	)		(362,273	)
Softs		(0.19	)		(565,117	)
Stock indices		0.05			142,434
Total short futures contracts		(1.16	)		(3,452,478	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS - Net		3.31			9,848,590

FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		1.53			4,559,059
Total short forward currency contracts		(0.36	)		(1,095,471	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS - Net		1.17			3,463,588

TOTAL		4.48	%	$	13,312,178

				(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

December 31, 2010

U.S. Treasury Notes

Face Amount		Description	Fair Value as a % of Partners' Capital			Fair Value

$	67,330,000	U.S. Treasury notes, 0.875%, 03/31/2011		22.67	%	$	67,445,723
	67,330,000	U.S. Treasury notes, 0.875%, 05/31/2011		22.70			67,529,886
	67,330,000	U.S. Treasury notes, 1.000%, 08/31/2011		22.75			67,677,170
	67,330,000	U.S. Treasury notes, 0.750%, 11/30/2011		22.73			67,603,529
		Total investments in U.S. Treasury notes
		(amortized cost $270,200,939)		90.85	%	$	270,256,308

See notes to financial statements						(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	September 30			September 30
	2011			2010
INVESTMENT INCOME:
Interest income	$	171,776		$	106,362

EXPENSES:
Brokerage commissions		246,497			119,305
Management fees		1,740,520			431,782
Selling commissions and platform fees		724,620			233,505
Administrative and operating expenses		362,803			331,937
Custody fees and other expenses		16,148			6,616
Total expenses		3,090,588			1,123,145

Operating expenses borne by General Partner		-			(213,030	)

Net expenses		3,090,588			910,115

NET INVESTMENT LOSS		(2,918,812	)		(803,753	)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		13,600,278			(946,420	)
Foreign exchange translation		(74,906	)		(25,765	)
Net change in unrealized:
Futures and forward currency contracts		(57,104	)		6,619,053
Foreign exchange translation		(57,353	)		45,699
Net gains (losses) from U.S. Treasury notes
Net change in unrealized		(124,667	)		41,666
TOTAL NET REALIZED AND UNREALIZED GAINS		13,286,248			5,734,233

NET INCOME		10,367,436			4,930,480
LESS PROFIT SHARE TO GENERAL PARTNER		2,640			302,912
NET INCOME AFTER PROFIT SHARE TO GENERAL PARTNER	$	10,364,796		$	4,627,568
		(Continued)

See notes to financial statements

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the nine months ended
	September 30			September 30
	2011			2010
INVESTMENT INCOME:
Interest income	$	539,946		$	284,166

EXPENSES:
Brokerage commissions		746,108			304,481
Management fees		4,660,140			1,129,877
Selling commissions and platform fees		1,713,194			458,960
Administrative and operating expenses		1,005,514			562,261
Custody fees and other expenses		43,144			14,792
Total expenses		8,168,100			2,470,371

Operating expenses borne by General Partner		-			(263,965	)

Net expenses		8,168,100			2,206,406

NET INVESTMENT LOSS		(7,628,154	)		(1,922,240	)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		12,841,121			(540,853	)
Foreign exchange translation		(51,008	)		(67,073	)
Net change in unrealized:
Futures and forward currency contracts		(15,933,276	)		6,130,115
Foreign exchange translation		(26,514	)		(5,786	)
Net gains (losses) from U.S. Treasury notes
Realized		6,906			-
Net change in unrealized		(16,322	)		71,282
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		(3,179,093	)		5,587,685

NET INCOME (LOSS)		(10,807,247	)		3,665,445
LESS PROFIT SHARE TO GENERAL PARTNER		63,226			421,604
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	(10,870,473	)	$	3,243,841
		(Concluded)

See notes to financial statements

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the nine months ended September 30, 2011:

	Limited Partners			New Profit Memo Account			General Partner			Total
PARTNERS' CAPITAL- January 1, 2011	$	295,722,233		$	-		$	1,737,376		$	297,459,609
Contributions		130,596,183			-			-			130,596,183
Withdrawals		(21,944,621	)		-			-			(21,944,621	)
Net loss		(10,786,942	)		(2,379	)		(17,926	)		(10,807,247	)
General Partner’s allocation
New profit Accrued		(63,226	)		63,226			-			-
PARTNERS' CAPITAL- September 30, 2011	$	393,523,627		$	60,847		$	1,719,450		$	395,303,924

For the nine months ended September 30, 2010:

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS' CAPITAL- January 1, 2010	$	64,665,135		$	-	$	47,127	$	64,712,262
Contributions		88,691,951			-		-		88,691,951
Withdrawals		(38,937,319	)		-		-		(38,937,319	)
Net income		3,660,318			3,074		2,053		3,665,445
General Partner's allocation:
New Profit-Accrued		(421,604	)		421,604		-		-
PARTNERS' CAPITAL- September 30, 2010	$	117,658,481		$	424,678	$	49,180	$	118,132,339

See notes to financial statements

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).

	For the three months ended						For the nine months ended
	September 30			September 30			September 30			September 30
	2011			2010			2011			2010

Total return before General Partner profit share allocation		3.01	%		4.10	%		(2.50	)%		2.81	%
Less: General Partner profit share allocation		0.00			0.17			0.00			0.16

Total return after General Partner profit share allocation		3.01	%		3.93	%		(2.50	)%		2.65	%

Ratios to average net asset value:
Expenses (1) (2)		2.46	%		2.65	%		2.50	%		2.62	%
General Partner profit share allocation		0.00			0.17			0.00			0.16

Total expenses (1) (2)		2.46	%		2.82	%		2.50	%		2.78	%

Net investment loss (1) (2) (3)		(2.29	)%		(2.29	)%		(2.30	)%		(2.29	)%

Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner's total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.

(1) Includes the Partnership's proportionate share of expenses allocated from the Partnership's operations.

(2) Ratios are computed net of voluntary waivers of operating expenses borne by the General Partner. For the three months ended September 30, 2011 and 2010, the ratios are net of the 0.00% and 0.17% effect of the voluntary waivers of operating expenses, respectively. For the nine months ended September 30, 2011 and 2010, the ratios are net of the 0.00% and 0.22% effect of the voluntary waivers of operating expenses, respectively.

(3) Excludes General Partner profit share allocation and includes interest income.

See notes to financial statements

(Continued)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights for Limited Partners as a whole.

	For the three months ended						For the nine months ended
	September 30			September 30			September 30			September 30
	2011			2010			2011			2010

Total return before General Partner profit share allocation		2.84	%		4.04	%		(2.93	)%		2.95	%
Less: General Partner profit share allocation		0.00			0.25			0.02			0.46

Total return after General Partner profit share allocation		2.84	%		3.79	%		(2.95	)%		2.49	%

Ratios to average net asset value:
Expenses (1) (2)		3.16	%		2.89	%		3.09	%		2.50	%
General Partner profit share allocation		0.00			0.25			0.02			0.46

Total expenses (1) (2)		3.16	%		3.14	%		3.11	%		2.96	%

Net investment loss (1) (2) (3)		(2.98	)%		(2.53	)%		(2.89	)%		(2.17	)%

(1) Includes the Partnership's proportionate share of expenses allocated from the Partnership's operations.

(3) Excludes General Partner profit share allocation and includes interest income.

See notes to financial statements

(Concluded)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Millburn Multi-Markets Trading L.P. (the “Master Fund”) engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for Millburn Multi-Markets Fund L.P. (the “Partnership”) and Millburn Multi-Markets Ltd. (the “Company”).

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at September 30, 2011 and December 31, 2010 and the results of its operations for the three and nine months ended September 30, 2011 and 2010 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2010 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.

The preparation of financial statements in conformity with accounting principles generally accepted ("U.S. GAAP") in the United States of America (the “U.S.”) requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Master Fund enters into contracts with various financial institutions that contain a variety of indemnifications. The Master Fund's maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes topic of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification (the “Codification”) clarifies the accounting for uncertainty in tax positions. This requires that the Master Fund recognize in its financial statements the impact of any uncertain tax position. Based on a review of the Master Fund’s open tax years, 2007 through 2010, for the U.S. Federal jurisdiction, the New York and Connecticut State jurisdictions, and the New York City jurisdiction, there are no uncertain tax positions. The Master Fund is treated as a limited partnership for federal and state income tax reporting purposes.

2. RECENT ACCOUNTING PRONOUNCEMENTS

In May 2011, the FASB issued ASU No. 2011-04, Fair Value Measurements (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards ("IFRSs") ("ASU 2011-04"). This ASU represents the converged guidance of the FASB and the International Accounting Standards Board (collectively, the "Boards") on fair value measurement. The collective efforts of the Boards and their staffs, reflected in ASU 2011-04, have resulted in common requirements for measuring fair value and for disclosing information about fair value measurements, including a consistent meaning of the term “fair value” and enhanced disclosure requirements for investments that do not have readily determinable fair values. The Boards have concluded the common requirements will result in greater comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRSs. The amendments to the Codification in this ASU are to be applied prospectively. For public entities, the amendments are effective during interim and annual periods beginning after December 15, 2011. Early application by public entities is not permitted. The Partnership is currently assessing the impact of ASU 2011-04 on its future financial statements.

3. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership and the Company invest all of their assets in the Master Fund. The Partnership’s and the Company’s ownership percentages of the Master Fund at September 30, 2011 and December 31, 2010 of total partners’ capital of the Master Fund are detailed below. The remaining interests are held by direct investors.

	September 30,			December 31,
	2011			2010
Partnership		54.60	%		37.43	%
Company		32.93	%		45.74	%

Total		87.53	%		83.17	%

The capital withdrawals payable at September 30, 2011 of $592,472 consists of withdrawals of $392,472 and $200,000 from the Partnership and the direct investors, respectively.

The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Company level and the Administration Fee due to the general partner of the Master Fund (the "General Partner"). The General Partner bears any excess over such amounts.

4. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and a short-term U.S. government money market fund. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

OTC derivatives, or forward currency contracts, are valued based on pricing models that consider the current market prices plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments. The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the nine months ended September 30, 2011 and 2010, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables set forth by level and major category within the fair value hirerarchy. At September 30, 2011 and December 31, 2010, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of September 30, 2011

	Level 1			Level 2			Total

U.S. Treasury notes (1)	$	383,604,173		$	-			$	383,604,173

Short-term money market fund*		8,471,679			-				8,471,679

Exchange-traded futures contracts
Energies		246,639			-				246,639
Grains		2,468,924			-				2,468,924
Interest rates		(655,485	)		-				(655,485	)
Livestock		(599,210	)		-				(599,210	)
Metals		4,373,632			-				4,373,632
Softs		1,063,640			-				1,063,640
Stock indices		85,424			-				85,424
Total exchange-traded futures contracts		6,983,564			-				6,983,564

Over-the-counter forward currency contracts		-			(9,604,662	)			(9,604,662	)

Total futures and forward currency contracts (2)		6,983,564			(9,604,662	)			(2,621,098	)

Total financial assets and liabilities at fair value	$	399,059,416		$	(9,604,662	)		$	389,454,754

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral	$	60,339,341
Investments in U.S. Treasury notes held in custody		323,264,832
Total investments in U.S. Treasury notes	$	383,604,173

(2)
Net unrealized appreciation on futures and forward currency contracts	$	7,627,307
Net unrealized depreciation on futures and forward currency contracts		(10,248,405	)
Net unrealized appreciation and depreciation on futures and forward currency contracts	$	(2,621,098	)

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition

Financial assets and liabilities at fair value as of December 31, 2010

	Level 1		Level 2		Total

U.S. Treasury notes (1)	$	270,256,308	$	-	$	270,256,308

Short-term money market fund*		13,532,683		-		13,532,683

Exchange-traded futures contracts
Energies		433,593		-		433,593
Grains		2,039,789		-		2,039,789
Interest rates		204,373		-		204,373
Livestock		47,690		-		47,690
Metals		3,711,994		-		3,711,994
Softs		1,695,588		-		1,695,588
Stock indices		1,715,563		-		1,715,563
Total exchange-traded futures contracts		9,848,590		-		9,848,590

Over-the-counter forward currency contracts		-		3,463,588		3,463,588

Total futures and forward currency contracts (2)		9,848,590		3,463,588		13,312,178

Total financial assets and liabilities at fair value	$	293,637,581	$	3,463,588	$	297,101,169

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral	$	51,585,010
Investments in U.S. Treasury notes held in custody		218,671,298
Total investments in U.S. Treasury notes	$	270,256,308

(2)
Net unrealized appreciation on futures and forward currency contracts	$	13,312,178
Net unrealized depreciation on futures and forward currency contracts		-
Net unrealized appreciation and depreciation on futures and forward currency contracts	$	13,312,178

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition

5. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

The Master Fund’s 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 among the Master Fund’s open positions and the liquidity of the markets in which it trades.

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at September 30, 2011, by market sector:

Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in the industrialized countries, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.

Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty, respectively, are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a liability position by counterparty, respectively, are recorded in the statements of financial condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2011 and December 31, 2010. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.

Fair value of futures and forward currency contracts at September 30, 2011

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	-	$	(2,522,627	)	$	2,770,680	$	(1,414	)	$	246,639
Grains		-		(3,930,475	)		6,400,708		(1,309	)		2,468,924
Interest rates		910,034		(1,603,815	)		38,296		-			(655,485	)
Livestock		270,690		-			-		(869,900	)		(599,210	)
Metals		-		(3,186,538	)		7,560,170		-			4,373,632
Softs		-		(1,335,319	)		2,398,959		-			1,063,640
Stock indices		66,750		-			281,621		(262,947	)		85,424
Total futures contracts		1,247,474		(12,578,774	)		19,450,434		(1,135,570	)		6,983,564

Forward currency contracts		2,198,324		(23,376,413	)		15,664,233		(4,090,806	)		(9,604,662	)

Total futures and forward currency contracts	$	3,445,798	$	(35,955,187	)	$	35,114,667	$	(5,226,376	)	$	(2,621,098	)

Fair value of futures and forward currency contracts at December 31, 2010

											Net Unrealized Gain on
	Fair Value - Long Positions					Fair Value - Short Positions					Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	1,283,210	$	(232,975	)	$	65,500	$	(682,142	)	$	433,593
Grains		3,257,727		(18,638	)		11,863		(1,211,163	)		2,039,789
Interest rates		429,605		(10,132	)		25,283		(240,383	)		204,373
Livestock		684,170		-			-		(636,480	)		47,690
Metals		4,074,267		-			-		(362,273	)		3,711,994
Softs		2,268,915		(8,210	)		21,907		(587,024	)		1,695,588
Stock indices		2,018,157		(445,028	)		144,524		(2,090	)		1,715,563
Total futures contracts		14,016,051		(714,983	)		269,077		(3,721,555	)		9,848,590

Forward currency contracts		5,481,832		(922,773	)		1,621,068		(2,716,539	)		3,463,588

Total futures and forward currency contracts	$	19,497,883	$	(1,637,756	)	$	1,890,145	$	(6,438,094	)	$	13,312,178

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and nine months ended September 30, 2011 and 2010 as “Net realized gains (losses) on closed positions, futures and forward currency contracts” and “Net change in unrealized futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2011 and 2010

Sector	Three months ended: September 30, 2011			Three months ended: September 30, 2010			Nine months ended: September 30, 2011			Nine months ended: September 30, 2010
Futures contracts:
Energies	$	(793,923	)	$	(1,236,680	)	$	1,525,095		$	(3,548,524	)
Grains		(2,075,614	)		(234,756	)		(4,420,676	)		(692,631	)
Interest rates		27,030,228			3,077,700			28,687,963			13,358,444
Livestock		(1,380,530	)		96,820			(2,598,160	)		(48,940	)
Metals		2,998,864			352,346			616,156			136,328
Softs		365,495			343,924			(1,683,893	)		(221,347	)
Stock indices		1,550,044			888,590			(16,786,913	)		(4,628,388	)
Total futures contracts		27,694,564			3,287,944			5,339,572			4,354,942

Forward currency contracts		(14,151,390	)		2,384,689			(8,431,727	)		1,234,320

Total futures and forward currency contracts	$	13,543,174		$	5,672,633		$	(3,092,155	)	$	5,589,262

For the three months ended September 30, 2011, the monthly average number of futures contracts bought and sold was 21,389 and 22,780, respectively, and the monthly average notional value of forward currency contracts traded was approximately $1,230,000,000. Over the same period in 2010, the monthly average of futures contracts bought and sold was 9,659 and 8,765, respectively, and the monthly average notional value of forward currency contracts traded was approximately $308,000,000.

For the nine months ended September 30, 2011, the monthly average number of futures contracts bought and sold was 21,233 and 21,549, respectively, and the monthly average notional value of forward currency contracts traded was approximately $1,105,000,000. Over the same period in 2010, the monthly average of futures contracts bought and sold was 8,713 and 8,238, respectively, and the monthly average notional value of forward currency contracts traded was approximately $285,000,000.

CONCENTRATION OF CREDIT RISK

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. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Master Fund’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”), Morgan Stanley & Co. Inc. (“MS”) and Barclays Bank PLC (“BB”). The Master Fund’s concentration of credit risk associated with DB, MS or BB nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, MS and BB. The amount of such credit risk was $45,331,590 and $31,950,348 at September 30, 2011 and December 31, 2010, respectively.

6. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2011 and 2010. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.

	Three months ended:
	September 30, 2011		September 30, 2010
Profit share earned	$	-	$	79,813
Reversal of profit share (1)		-		(118,692	)
Profit share accrued (2)		2,640		341,791
Total profit share	$	2,640	$	302,912

	Nine months ended:
	September 30, 2011		September 30, 2010
Profit share earned	$	60,586	$	79,813
Profit share accrued (2)		2,640		341,791
Total profit share	$	63,226	$	421,604

(1)

At July 1

(2)

At September 30

7. FINANCIAL HIGHLIGHTS

Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits (the Tracking Partner) and 2) limited partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partner’s management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) limited partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements". The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

The Partnership invests all of its assets in the Master Fund. Due to the nature of the Master Fund's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's trading methods are confidential, so that substantially the only information that can be furnished regarding the Master Fund's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.

The Master Fund trades futures and forward contracts, and may trade swap and options contracts, on interest rates, commodities, currencies, metals, energy and stock indices. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must (typically but not universally) rely solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin, generally within a range of 5% to 35% of an account’s net assets at exchange minimum margins (including imputed margins on forward and swap positions), although the amount committed to margin at any time may be higher; (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market); and (5) changing the equity utilized for trading by an account solely on a controlled periodic basis rather than as an automatic consequence of an increase in equity resulting from trading profits. The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the statements of financial condition of the Master Fund.

Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Master Fund maintains its market exposure through open futures and forward contract positions.

The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More important, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.

The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or held in bank or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures and forward currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures and forward trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through September 30, 2011, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures and forward currency contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Open forward currency contracts are recorded at fair value, based on pricing models that consider the current market prices (“Spot Prices”) plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments. The Spot Prices and Forward Points for open forward currency contracts are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect to which net assets are being determined. The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign currency contracts traded by the Partnership may be in between these periods.

The General Partner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

The General Partner has paid expenses incurred in connection with the organization of the Partnership and the initial offering of the Units. The Master Fund, on behalf of the Partnership, is reimbursing the General Partner for of these costs in 60 equal monthly installments which began on August 1, 2009. However, to the extent the calculated equal monthly installment amount exceeds in any month 1/12 of 0.05% (0.05% per annum) of the Partnership’s month-end net asset value, such excess will not be reimbursed by the Partnership but will be absorbed by the General Partner.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, through its investment in the Master Fund, 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.

Periods ended September 30, 2011

	Total
	Partners'
Month Ending:	Capital of the Partnership
September 30, 2011	$	215,820,219
June 30, 2011		172,486,029
December 31, 2010		111,327,838

	Three Months			Nine Months
Change in Partners' Capital	$	43,334,190		$	104,492,381
Percent Change		25.12	%		93.86	%

THREE MONTHS SEPTEMBER 30, 2011

The increase in the Partnership’s net assets of $43,334,190 was attributable to subscriptions of $41,098,969 and, through its investment in the Master Fund, net income after profit share of $4,806,850 which was partially offset by withdrawals of $2,571,629.

For the three months ended September 30, 2011, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $6,856,562 from trading operations (including foreign exchange transactions and translations). Management fees of $1,030,684, brokerage commissions of $133,724, selling commissions and platform fees of $719,855, administrative and operating expenses of $250,141 and custody fees and other expenses of $8,334 were paid or accrued. Of these expenses, $1,931 was borne by the General Partner. Interest income of $91,095 partially offset the Master Fund expenses allocated to the Partnership resulting in net gain of $4,806,850.

An analysis of the Master Fund’s trading loss by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		(3.52	)%
Energies		(0.22	)%
Grains		(0.56	)%
Interest rates		7.15	%
Livestock		(0.38	)%
Metals		0.77	%
Softs		0.07	%
Stock indices		0.33	%
Trading gain		3.64	%

NINE MONTHS SEPTEMBER 30, 2011

The increase in the Partnership’s net assets of $104,492,381 was attributable to subscriptions of $116,028,083 which was partially offset by withdrawals of $4,664,005 and, through its investment in the Master Fund, a net loss after profit share of $6,871,697.

For the nine months ended September 30, 2011, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized losses of $1,871,294 from trading operations (including foreign exchange transactions and translations). Management fees of $2,507,517, brokerage commissions of $355,843, selling commissions and platform fees of $1,708,429, administrative and operating expenses of $716,053 and custody fees and other expenses of $19,731 were paid or accrued. Of these expenses, $57,517 was borne by the General Partner. The Master Fund allocated $2,595 in Profit Share to the General Partner in respect of the Partnership. Interest income of $252,248 partially offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $6,871,697.

An analysis of the Master Fund’s trading loss by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		(1.76	)%
Energies		0.78	%
Grains		(1.29	)%
Interest rates		7.43	%
Livestock		(0.79	)%
Metals		0.21	%
Softs		(0.48	)%
Stock indices		(4.86	)%
Trading loss		(0.76	)%

MANAGEMENT DISCUSSION – 2011

Three months ended September 30, 2011

The Partnership posted a gain during the third quarter as gains from trading interest rates, metals and to a lesser extent stock indices outweighed losses from trading currencies, energy and agricultural commodities.

Third quarter trading was volatile as pervasive uncertainty pushed cautionary, safety-first trades to the forefront of market action. The continuing failure of courage in Washington to come to a bipartisan solution on the U.S. deficit and debt ceiling imbroglio and the lack of a complete solution to Europe’s debt quagmire with its knock-on impact on banks held market participants hostage to uncertainty which had a negative influence on growth prospects worldwide. In addition, inflation worries in emerging markets kept monetary policy on a tightening trajectory, especially in China and India, even as growth slowed.

The flight to safety produced gains from long positions in note and bond futures for the U.S., United Kingdom, Australia, Canada, Germany and Japan. The “Quantitative Easing” that was implemented in the U.S., United Kingdom and Japan added to the demand for longer term instruments.

Metal trading was volatile during the quarter but profitable overall due largely to gains from a long gold position. As growth prospects receded, long positions in industrial metals produced losses in August and were reversed to short positions which generated a sizable gain in September.

The deteriorating growth outlook, the fiscal problems in the developed world and policy tightening in emerging economies undermined equity futures prices. Consequently, the long equity positions held at the start of the quarter generated losses in July and early August but after being reversed to short positions produced a more than offsetting gain.

Coming into the quarter, the U.S. dollar had been in a lengthy decline and was not viewed as a safe haven. However with Switzerland and Japan enacting policy initiatives to limit the attractiveness of their currencies, with slower growth undermining the attraction of commodity and emerging market currencies and with the Euro’s existence in question, the U.S. dollar reemerged as a safe haven investment despite the rating downgrade of U.S. government securities by S&P. As a result, short U.S. dollar trades, which had been profitable in July, were unprofitable during August and September. Non-U.S. dollar cross rate trading was negative due to losses on long Australian and New Zealand dollar trades and on short British Pound and Euro trades.

With the economic outlook weakening, losses on long positions in Brent Crude, blendstock gasoline and London gas oil led to a fractional loss from energy trading, although short West Texas Intermediate crude and natural gas positions were profitable.

Trading of agricultural commodities was fractionally negative as long coffee, sugar, corn, soybean and soybean meal positions and a short livestock trade registered losses toward quarter end. Profits from short cocoa trades offset some of these losses.

Three months ended June 30, 2011

While growth oriented trades produced gains early in the quarter, market sentiment toward these “risk on” positions deteriorated during May and June and the Master Fund registered a decline for the three months. Losses from trading of equity, energy, metal and agricultural commodity futures outdistanced gains from currency and interest rate futures trading.

Manufacturing activity, as evidenced by weakening purchasing manager surveys and employment statistics, slowed worldwide during the quarter. In the developed economies, the continued depression in the housing markets and the knock-on effects of the Japan crisis added to the negative sentiment as did the coming end of the second round of quantitative easing ("QE2") in the U.S. and the increase in bank regulations worldwide. Meanwhile, in the developing economies, more moves toward tighter monetary policy to contain inflation, led by China, reined in “animal spirits.” Combining this worsening growth outlook with the Greek debt drama and the U.S. debt ceiling imbroglio served to undermine the long equity and commodity trades in the Master Fund.

Against this background, long equity futures positions produced losses and were reduced significantly and in some instances closed or reversed to short trades. Losses were registered on long equity positions in U.S., Chinese, Hong Kong, Korean, Taiwanese, Canadian, Australian, South African and European—especially Italian, Spanish, Swedish and Dutch—equity futures. There was a bounce in equity markets near quarter-end as the Greek austerity approval triggered some short covering, and perhaps due to quarter-end window dressing purchases.

A steadying U.S. dollar, slowing growth and news that the International Energy Agency would release 60 million barrels of oil from strategic reserves to compensate for the Libyan shortfall pushed energy prices lower and led to losses on long positions in crude and related products. Trading of natural gas also resulted in a loss.

Diminishing industrial activity and global economic growth produced losses from long positions in industrial metals, especially aluminum, lead, zinc and nickel. A long gold position was profitable, although the gains were pared back as the U.S. dollar stabilized after April. Silver trading was highly volatile with gains in April offset by losses in May and June.

Turning to agricultural commodities, long positions in the soybean complex, crude palm oil, cotton, coffee and cattle were unprofitable, while a short London cocoa trade lost money and a short wheat trade was profitable.

Interest rate trading was profitable during April and May but in June sovereign debt concerns and inflation worries undermined some long note and bond trades. For the quarter, long positions in U.S., Australian, Canadian and Japanese long-term futures and a long position in short-term sterling were profitable. Meanwhile, short trades in European interest rate futures produced losses.

The Federal Reserve’s policy of miniscule interest rates and quantitative easing caused the U.S. dollar to take a significant dip in April. During May and June, the U.S. dollar partially recovered as the end of QE2 approached and as growth and debt concerns outside the U.S. caused market participants to trim back short U.S. dollar positions. Still, on balance, short U.S. dollar positions versus emerging market, high yield and safe haven currencies like the Swiss franc were profitable. Meanwhile, non-U.S. dollar trading lost money from long positions in the Australian dollar, Norwegian Kroner and Swedish krona. On the other hand, a short pound/long Australian dollar trade was profitable.

Three months ended March 31, 2011

Trading during the quarter was volatile largely as a result of the disaster in Japan. There was a loss for the period as profits from energy, U.S. dollar currency, metal and soft commodity trading were outweighed by losses from equity, interest rate and currency cross rate trading.

Through the first two and one-third months of the quarter, generous liquidity creation by developed country central banks, especially the Federal Reserve, led to a weakening U.S. dollar, and rising equity and commodity prices. Meanwhile, inflation concerns, monetary policy tightening in emerging economies and persistent worry about government debt problems encouraged interest rates on government securities to rise.

Given the diverse monetary policy stances of the U.S. and emerging economies, capital flowed toward high yield and emerging market exporting countries. Short U.S. dollar positions were profitable as the U.S. dollar fell versus the currencies of Brazil, Canada, Korea, Mexico, Russia and Scandinavia.

Persistent ease in U.S. monetary policy also led to increasing optimism regarding global economic growth. This environment was favorable to global equities and long positions in index futures in the U.S., Canada, Europe and South Africa were profitable. Asian equities did less well as policy tightening progressed.

The weak U.S. dollar and strong growth outlook supported commodity prices and agricultural commodity, metal and energy trading were all profitable. The agricultural markets were also boosted by supply concerns caused by a variety of weather conditions – too much or too little rain, too hot or not hot enough. Long positions in corn, wheat, cotton, coffee and rubber were profitable.

Energy prices were up on the roiling violence in the Middle East and North Africa, a better economic growth outlook and supply drawdowns. Long positions in crude, heating oil, London gas oil and RBOB gasoline were profitable.

Contrary to some expectations, the Federal Reserve’s second foray into quantitative easing failed to keep interest rates low. With market participants worried about massive government borrowing requirements and future inflation, there was a substantial uptick in rates and moderate losses were sustained on long interest rate futures positions.

In mid-March, the Japanese earthquake/tsunami/nuclear disaster had a sizable negative impact on these profitable results as market participants altered their prior views producing significant price reversals.

A flight to safety triggered a strong move into the U.S. dollar which had been falling because of concern regarding fiscal and monetary problems in the U.S., as well as into the Swiss franc and yen which had been weak due to low interest rates. This flight also led to rising prices for “suddenly safe” government securities which had previously been under pressure due to debt problems and recent signs of tighter monetary policies, particularly in Asia. Given the threat to worldwide growth due to the crippling of the Japanese economy, global equity markets, which had weakened noticeably on March 9 in the wake of a Bank of Korea rate hike and further signs of a persistent inflation problem in China, fell sharply as the scale of the disaster expanded. Finally, with Japan’s industrial sector somewhat crippled and global growth now more uncertain, the demands for and prices of metals, energy, and other commodities, which have been experiencing a secular boom, fell, negatively impacting performance.

The increase in volatility led our risk management systems to reduce positions in order to keep risk in line with intended exposures. Also, price changes produced new signals from directional models that led to position adjustments. Equity exposures were reduced about 50% from earlier levels, although the portfolio remained partially long Asian, U.S. and European indices. In Japan, equity positions were reduced close to flat, as were positions in Japanese government bonds, while the portfolio stayed slightly short the U.S. dollar against the yen. Metal and energy positions stayed long though 10-20% under earlier levels. The portfolio also went somewhat long interest rate futures, particularly Canadian, U.S. and British instruments.

Over the final days of the month, earlier trends resurfaced and much of the Japan related loss was recaptured, but with positions lowered, especially in equities, the quarter finished slightly negative.

Periods ended September 30, 2010

	Total
	Partners'
Month Ending:	Capital of the Partnership
September 30, 2010	$	57,975,140
June 30, 2010		41,103,824
December 31, 2009		9,284,552

	Three Months			Nine Months
Change in Partners' Capital	$	16,871,316		$	48,690,588
Percent Change		41.05	%		524.43	%

THREE MONTHS ENDED SEPTEMBER 30, 2010

The increase in the Partnership’s net assets of $16,871,316 was attributable to subscriptions of $15,777,474 and, through its investment in the Master Fund, net income after profit share of $1,910,320 which was partially offset by withdrawals of $816,478.

For the three months ended September 30, 2010, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $2,593,510 from trading operations (including foreign exchange transactions and translations). Management fees of $260,015, brokerage commissions of $49,840, selling commissions and platform fees of $233,505, administrative and operating expenses of $245,999 and custody fees of $2,467 were paid or accrued. Of these expenses, $174,449 was borne by the General Partner. The Master Fund allocated $116,832 in Profit Share to the General Partner in respect of the Partnership. Interest income of $51,019 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $1,910,320.

An analysis of the Master Fund’s trading income (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.87	%
Energies		(0.98	)%
Grains		(0.20	)%
Interest rates		2.55	%
Livestock		0.07	%
Metals		0.29	%
Softs		0.27	%
Stock indices		0.70	%
Trading gain		4.57	%

NINE MONTHS ENDED SEPTEMBER 30, 2010

The increase in the Partnership’s net assets of $48,690,588 was attributable to subscriptions of $49,145,921 and, through its investment in the Master Fund, net income after profit share of $428,475 which was partially offset by withdrawals of $883,808.

For the nine months ended September 30, 2010, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $1,662,579 from trading operations (including foreign exchange transactions and translations). Management fees of $511,223, brokerage commissions of $90,773, selling commissions and platform fees of $458,960, administrative and operating expenses of $360,200 and custody fees of $4,174 were paid or accrued. Of these expenses, $219,510 was borne by the General Partner. The Master Fund allocated $117,248 in Profit Share to the General Partner in respect of the Partnership. Interest income of $88,964 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $428,475.

An analysis of the Master Fund’s trading income (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.15	%
Energies		(2.99	)%
Grains		(0.64	)%
Interest rates		12.74	%
Livestock		(0.04	)%
Metals		(0.06	)%
Softs		(0.29	)%
Stock indices		(5.40	)%
Trading gain		4.47	%

MANAGEMENT DISCUSSION – 2010

Three months ended September 30, 2010

Gains from trading interest rate futures, currency forwards and, to a lesser extent, stock index, metal and agricultural commodity futures well outpaced the loss from trading energy futures.

Federal Reserve Chairman Bernanke’s July statement that “the economic outlook is unusually uncertain” was reflected in the markets’ schizophrenic attitude toward risk during the quarter, swinging from risk seeking in July to risk aversion in August and back to risk seeking in September.

Long positions in U.S. and European notes and bonds, and in U.S. dollar short-term interest rate futures were very profitable in the third quarter, especially in July and August when investors were seeking safety and the Federal Reserve was emphasizing its intention to maintain low interest rates for an extended period. Meanwhile, long Australian interest rate futures positions produced losses as the Reserve Bank of Australia raised official rates in response to a buoyant domestic economy. Late in the quarter, concerns about tighter monetary policies and the need to finance large deficits led to higher yields, especially in euro instruments, thereby reducing earlier gains somewhat.

During the quarter, the threat of competitive devaluations, capital controls, currency interventions and trade wars became an almost daily part of official discussions and pronouncements. The U.S., euro-zone, and Japan all seemed to be vying for the dubious honor of having the poorest outlook. The U.S. dollar slid significantly versus commodity oriented, higher growth and high interest rate currencies. Long positions were profitable in the currencies of Brazil, Colombia, Chile, Australia, Singapore, South Africa, and Turkey, as well as Japan, Sweden and Switzerland. Turning to non-U.S. dollar cross rates, short euro positions versus the Czech koruna and Swedish krona units and a long Australian dollar/short Canadian dollar trade were profitable.

Stock indices were volatile during the quarter, but favorable earnings reports, easy monetary policy, and, by September, some improvement in the worldwide growth outlook supported equity markets particularly near quarter-end. Profits were generated from long stock index futures positions for Taiwan, Korea, India, Singapore, Germany and Sweden, and from more active trading of U.S. stock futures, while short positions in United Kingdom, Hong Kong, Spanish and Australian index futures produced small losses.

Gold and silver prices benefitted from the flight out of paper currencies and an improving optimism about economic growth, especially in Asia, which also boosted industrial metals. Long positions in gold, silver, tin, copper and nickel produced profits, while short aluminum, lead and zinc positions sustained losses.

Supply/demand factors, including weather related crop disruptions, low inventories, and export curbs, were of paramount importance in agricultural markets. Long positions in cotton, soybean meal and live cattle were profitable, but losses on short wheat, soybeans, soybean oil, corn and sugar positions, especially in July and August, offset most of those gains.

In the energy sector, trading of crude oil and products generated a loss that was only partially offset by profits from natural gas trading.

Three months ended June 30, 2010

Losses from trading stock index futures, currency forwards, energy futures, and to a lesser extent metal and agricultural commodity futures well outpaced the significant gains from trading interest rate futures.

While the quarter started on a positive note, several significant events in May, including the European debt crisis, the May 6 “flash crash,” weaker economic data from China, the sinking of a South Korea naval vessel, and the BP oil leak, triggered abrupt price moves and trend reversals that resulted in a sizable loss for the Master Fund, and ushered in a plethora of uncertainties that produced further erosion in net asset value during June. Market participants wondered: Is inflation or deflation to be feared? Is growth slowing temporarily or are we facing the second leg of a double-dip recession? Will government fiscal policies focus on supporting aggregate demand or on reducing deficits and borrowing? How will changes in financial regulations worldwide impact business growth potential? How will the developed nations' sovereign debt crisis play out? In this environment, risk aversion, that had been absent in the prior two months, resurfaced unexpectedly in May and June. Consequently, equity prices declined, commodity prices weakened, which put pressure on commodity and growth oriented currencies, and safe haven funds flowed into precious metals and into U.S., German, British and Japanese government securities.

The Master Fund entered the quarter with long positions in most stock index futures and, therefore, suffered losses from the global equity market sell-off as measured by the abrupt 15% drop in the MSCI World Equity Index that occurred between late April and late May. Losses were broad-based and sustained from trading of U.S., European, Asian and South African indices.

Short U.S. dollar positions versus the growth oriented and commodity currencies of Australia, New Zealand, Brazil, Canada, Chile, Russia, India, Mexico, Singapore, Turkey, South Africa and Korea produced losses as traders reduced risky trades and sought safe haven U.S. dollars. A long U.S. dollar position versus the euro was profitable. Non-U.S. dollar cross rate trading was almost flat for the quarter.

Long positions in commodities were dealt a blow by weakened worldwide growth prospects. For example, in May alone, the S&P GSCI Total Return Index, an unleveraged long only commodity index, was down 13.2%.

The energy sector was particularly hard hit, and long positions in Brent and WTI crude, heating oil, gas oil and RBOB gasoline were unprofitable. Crude inventories were already high, particularly in the U.S., and currency and economic growth problems were enough to trigger a significant price drop.

Except for gold and silver which benefited from the flight to safety, long positions in metals were unprofitable. Long positions in copper, nickel, aluminum and platinum (which traded like an industrial metal in May and June) generated losses.

Trading of agricultural and soft commodities was unprofitable. In the grain sector, a short canola position sustained a loss as news of harvest shortage drove the price up about 11% during June. According to the Canadian Canola Growers Association, Canada may harvest almost two million metric tons less canola than last year and exports may drop after floods reduced seeding and excessive moisture stressed the plants. Also, prices of corn and various categories of wheat found support due to weather developments, leading to losses from short positions. Short positions in coffee and sugar, and long positions in cotton, rubber and palm oil generated losses. Meanwhile, a long position in cocoa was profitable as demand is outstripping supply for the fourth consecutive year and the weaker British pound has boosted the sterling-denominated benchmark cocoa contract.

Three months ended March 31, 2010

Profits from trading interest rate, energy, grain and metal futures and forward currency contracts, well outpaced the fractional losses sustained from trading equity, soft commodity and livestock futures.

At the start of the year the sustainability and robustness of incipient global growth was called into question amid signs that monetary policy was becoming less accommodative in China, India and other countries which had led the recovery. Worries that fiscal stimulus in the developed world was winding down also weighed on growth prospects as did the looming Greek fiscal crisis. Near quarter-end however, a string of positive economic statistics caused the outlook for economic expansion to brighten somewhat.

Against this background, interest rates eased and long positions in U.S., British and European note, bond and short-term interest rate futures were profitable. On the other hand, short positions in Australian interest rate futures were profitable as the Reserve Bank of Australia continued to tighten policy to ward off feared inflation.

The burgeoning budget crisis in Greece weighed on the euro throughout the quarter and short euro positions relative to the Australian and New Zealand dollars, Hungarian forint, Polish zloty and Turkish lira were profitable. More generally, long positions in high yielding and commodity currencies—Australian, New Zealand and Canadian dollars—versus a variety of currencies were profitable. The U.S. dollar was not as weak as the euro but it did lose ground to the currencies of Australia, Canada, India, Colombia, Korea, Mexico and South Africa, producing profits from long positions in these currencies.

Equity trading was marginally negative although performance during the quarter and across countries was quite disparate. Losses in January and February reflected the weaker economic outlook and signs of policy tightening. March gains based on improving economic statistics largely offset those losses. By country, long positions in the U.S., United Kingdom, Canada and parts of Europe were profitable, while long positions in Asia, Spain, Italy, Australia, Mexico and South Africa were unprofitable.

Natural gas continued to be in a bear market as increasing supplies from shale gas met decreasing demand and short natural gas futures positions were quite profitable. Elsewhere in the energy complex, prices moved higher and long positions in crude oil products were somewhat profitable.

In the metals sector, gains from long nickel and aluminum positions modestly outweighed losses from long copper and zinc positions and a short lead trade.

Deflation was the story in agricultural markets. Profits on short positions in corn and wheat outweighed losses on long positions in the soybean complex, cocoa and sugar where forecasts of large sugar harvests accelerated the down-move from record highs.

OFF-BALANCE SHEET ARRANGEMENTS

Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at September 30, 2011.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the General Partner's Co-Chief Executive Officers and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal control over financial reporting during the quarter ended September 30, 2011 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal control over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None

ITEM 1A. Risk Factors

Not required.

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

(c) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Series A, Series B and Series C limited partners during the three months ended September 30, 2011.

	Series A					Series B					Series C
Date of Withdrawal	Units Redeemed			NAV per Unit		Units Redeemed			NAV per Unit		Units Redeemed			NAV per Unit
July 31, 2011		(1,156.7355	)	$	1,079.68		(22.4890	)	$	1,110.64		(47.1270	)	$	1,116.31
August 31, 2011		(652.2543	)		1,069.15		(45.8670	)		1,101.42		(92.9390	)		1,107.27
September 30, 2011		(213.3980	)		1,064.18		(88.5910	)		1,097.89		(63.4078	)		1,103.95

Total		(2,022.3878	)				(156.9470	)				(203.4738	)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable

ITEM 4. (REMOVED AND RESERVED)

ITEM 5. OTHER INFORMATION

None

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

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.

By:	Millburn Ridgefield Corporation,
	General Partner

Date: November 14, 2011
	/s/ Tod A. Tanis
	Tod A. Tanis
	Vice-President (Principal Accounting Officer)

Attached files

Millburn Multi-Markets Fund L.P. Reports

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