Polaris Futures Fund L.P. - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - Polaris Futures Fund L.P.	Financial_Report.xls
EX-31.02 - EXHIBIT - Polaris Futures Fund L.P.	hvex3102.htm
EX-31.01 - EXHIBIT - Polaris Futures Fund L.P.	hvex3101.htm
EX-32.01 - EXHIBIT - Polaris Futures Fund L.P.	hvex3201.htm
EX-32.02 - EXHIBIT - Polaris Futures Fund L.P.	hvex3202.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 March 31, 2012 or

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from __________________to__________________

Commission File Number: 000-53115

	POLARIS FUTURES FUND L.P.
	(Exact name of registrant as specified in its charter)

	Delaware	20-8528957
	(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

Ceres Managed Futures LLC
522 Fifth Avenue, 14th Floor
New York, NY		10036
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code

(212) 296-1999

(Former name, former address and former fiscal year, if changed since last report)

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 o

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 o

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

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x	Smaller reporting company o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes 0 No T

POLARIS FUTURES FUND L.P.

INDEX TO QUARTERLY REPORT ON FORM 10-Q

March 31, 2012

	PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements (Unaudited)

	Statements of Financial Condition as of March 31, 2012 and December 31, 2011	2

	Statements of Income and Expenses for the Quarters Ended March 31, 2012 and 2011	3

	Statements of Changes in Partners’ Capital for the Quarters Ended March 31, 2012 and 2011	4

	Notes to Financial Statements	5-19

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20-25

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	26-38

Item 4.	Controls and Procedures	38-39

	PART II. OTHER INFORMATION

Item 1.	Legal Proceedings	40

Item 1A.	Risk Factors	40

Item 2.	Unregistered Sales of Securities and Use of Proceeds	40-42

Item 4.	Mine Safety Disclosures	42

Item 6.	Exhibits	42-43

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

POLARIS FUTURES FUND L.P.

STATEMENTS OF FINANCIAL CONDITION

	(Unaudited)
	March 31,	December 31,
	2012	2011
ASSETS	$	$

Investments in Affiliated Trading Companies:
Investment in BHM I, LLC	75,580,581	76,958,099
Investment in Altis I, LLC	41,626,913	41,215,261
Investment in AHL I, LLC	41,572,784	36,925,484
Investment in Aspect I, LLC	32,996,358	39,678,211
Investment in Boronia I, LLC	21,781,272	29,266,131

Total Investments in Affiliated Trading Companies, at fair value (cost $219,585,960 and $229,373,574, respectively)	213,557,908	224,043,186

Total Assets	213,557,908	224,043,186

LIABILITIES

Redemptions payable	3,887,595	5,623,578

Total Liabilities	3,887,595	5,623,578

PARTNERS’ CAPITAL
Class A (117,961.372 and 117,989.188 Units, respectively)	134,049,594	134,606,952
Class B (23,682.564 and 25,377.597 Units, respectively)	27,546,695	29,596,967
Class C (27,029.572 and 32,198.395 Units, respectively)	32,180,411	38,388,320
Class D (8,874.060 and 8,745.602 Units, respectively)	10,687,915	10,541,476
Class Z (4,173.673 and 4,242.591 Units, respectively)	5,205,698	5,285,893

Total Partners’ Capital	209,670,313	218,419,608

Total Liabilities and Partners’ Capital	213,557,908	224,043,186

NET ASSET VALUE PER UNIT
Class A	1,136.39	1,140.84
Class B	1,163.16	1,166.26
Class C	1,190.56	1,192.24
Class D	1,204.40	1,205.34
Class Z	1,247.27	1,245.91

The accompanying notes are an integral part of these financial statements.

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POLARIS FUTURES FUND L.P.

STATEMENTS OF INCOME AND EXPENSES

(Unaudited)

	For the Quarters Ended March 31,

	2012	2011
	$	$
EXPENSES
Ongoing Placement Agent fees	912,395	906,863
General Partner fees	549,442	565,199
Administrative fees	88,625	226,079

Total Expenses	1,550,462	1,698,141

NET INVESTMENT LOSS	(1,550,462)	(1,698,141)

REALIZED/NET CHANGE IN UNREALIZED DEPRECIATION ON INVESTMENTS
Realized	1,693,802	403,594
Net change in unrealized depreciation on investments	(697,664)	(6,976,469)

Total Realized/Net Change in Unrealized Depreciation on Investments	996,138	(6,572,875)

NET LOSS	(554,324)	(8,271,016)

NET INCOME (LOSS) ALLOCATION
Class A	(547,091)	(4,926,265)
Class B	(37,695)	(1,012,383)
Class C	32,476 (1)	(1,856,882)
Class D	(8,397)	(296,478)
Class Z	6,383	(179,008)

NET INCOME (LOSS) PER UNIT*
Class A	(4.45)	(50.59)
Class B	(3.10)	(49.75)
Class C	(1.68) (1)	(48.87)
Class D	(0.94)	(48.40)
Class Z	1.36	(46.96)

	Units	Units
WEIGHTED AVERAGE NUMBER
OF UNITS OUTSTANDING
Class A	120,192.834	96,387.256
Class B	24,829.155	20,610.538
Class C	29,723.994	37,174.458
Class D	8,874.060	8,011.242
Class Z	4,212.826	3,798.684

* Based on the change in net asset value per Unit.

(1) The increase in Class C’s net income allocation, while incurring a net loss per unit for the quarter ended March 31, 2012, is due to the

timing of subscriptions and redemptions of units throughout the quarter.

The accompanying notes are an integral part of these financial statements.

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POLARIS FUTURES FUND L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the Quarters Ended March 31, 2012 and 2011

(Unaudited)

	Class A	Class B	Class C	Class D	Class Z	Total
	$	$	$	$	$	$
Partners’ Capital,
December 31, 2011	134,606,952	29,596,967	38,388,320	10,541,476	5,285,893	218,419,608

Subscriptions	6,111,485	775,500	1,000,000	154,836	35,000	8,076,821

Net Income (Loss)	(547,091)	(37,695)	32,476	(8,397)	6,383	(554,324)

Redemptions	(6,121,752)	(2,788,077)	(7,240,385)	–	(121,578)	(16,271,792)

Partners’ Capital,
March 31, 2012	134,049,594	27,546,695	32,180,411	10,687,915	5,205,698	209,670,313

Partners’ Capital,
December 31, 2010	128,430,583	27,180,755	55,652,694	4,392,721	5,353,929	221,010,682

Subscriptions	9,708,875	2,931,503	1,607,883	7,982,114	397,807	22,628,182

Net Loss	(4,926,265)	(1,012,383)	(1,856,882)	(296,478)	(179,008)	(8,271,016)

Redemptions	(3,680,489)	(1,302,165)	(5,617,009)	–	(33,656)	(10,633,319)

Partners’ Capital,
March 31, 2011	129,532,704	27,797,710	49,786,686	12,078,357	5,539,072	224,734,529

	Class A	Class B	Class C	Class D	Class Z	Total
	Units	Units	Units	Units	Units	Units
Beginning Units,
December 31, 2011	117,989.188	25,377.597	32,198.395	8,745.602	4,242.591	188,553.373

Subscriptions	5,299.578	663.021	831.469	128.458	27.901	6,950.427

Redemptions	(5,327.394)	(2,358.054)	(6,000.292)	–	(96.819)	(13,782.559)

Ending Units,
March 31, 2012	117,961.372	23,682.564	27,029.572	8,874.060	4,173.673	181,721.241

Beginning Units,
December 31, 2010	93,726.780	19,502.516	39,260.116	3,072.942	3,651.080	159,213.434

Subscriptions	7,168.763	2,126.700	1,144.420	5,672.660	274.689	16,387.232

Redemptions	(2,741.092)	(945.728)	(4,028.551)	–	(23.440)	(7,738.811)

Ending Units,
March 31, 2011	98,154.451	20,683.488	36,375.985	8,745.602	3,902.329	167,861.855

The accompanying notes are an integral part of these financial statements.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS

March 31, 2012

(Unaudited)

The unaudited financial statements contained herein include, in the opinion of management, all adjustments necessary for a fair presentation of the financial condition and results of operations of Polaris Futures Fund L.P. (“Polaris” or the “Partnership”). The financial statements and condensed notes herein should be read in conjunction with the Partnership’s Annual Report on Form 10-K for the fiscal year ending December 31, 2011.

1. Organization

Polaris Futures Fund L.P. was formed on February 22, 2007, under the Delaware Revised Uniform Limited Partnership Act, as a multi-advisor commodity pool created to profit from the speculative trading of domestic commodities and foreign commodity futures contracts, forward contracts, foreign exchange commitments, options on physical commodities and futures contracts, spot (cash) commodities and currencies, exchange of futures contracts on physicals transactions, exchange of physicals for futures contracts transactions, and any rights pertaining thereto (collectively, “Futures Interests”) (refer to Note 4, Financial Instruments of the Trading Companies) through its investments in affiliated trading companies (each a “Trading Company”, or collectively the “Trading Companies”).

The Partnership allocates substantially all of its assets to multiple affiliated Trading Companies, each of which allocates substantially all of its assets in the trading program of an unaffiliated commodity trading advisor which makes investment decisions for each respective Trading Company.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership commenced trading operations on August 1, 2007, in accordance with the terms of its Limited Partnership Agreement (the “Limited Partnership Agreement”). The non-clearing commodity broker for each Trading Company is Morgan Stanley Smith Barney LLC (“MSSB”). Morgan Stanley & Co. LLC (“MS&Co.”) and Morgan Stanley & Co. International plc (“MSIP”) act as each Trading Company’s clearing commodity broker (collectively, MS&Co. and MSIP are referred to as the “Commodity Brokers”). MSIP serves as the commodity broker for trades on the London Metal Exchange. Each Trading Company’s over-the-counter foreign exchange spot, options, and forward contract counterparty is either MS&Co. and/or Morgan Stanley Capital Group Inc. (“MSCG”) to the extent a Trading Company trades options on over-the-counter foreign currency forward contracts.

The financial statements of the Partnership have been prepared using the "Fund of Funds" approach and accordingly all revenue and expense information from the Trading Companies is reflected as a total net realized/net change in unrealized appreciation (depreciation) on investments on the Statements of Income and Expenses. The Partnership maintains sufficient cash balances on hand to satisfy ongoing operating expenses for the Partnership.

The Trading Companies and their trading advisors (each individually, a “Trading Advisor” or collectively, the “Trading Advisors”) for the Partnership at March 31, 2012, are as follows:

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Trading Company	Trading Advisor

Morgan Stanley Smith Barney Altis I, LLC
(“Altis I, LLC”)	Altis Partners (Jersey) Limited
Morgan Stanley Smith Barney Aspect I, LLC
(“Aspect I, LLC”)	Aspect Capital Limited
Morgan Stanley Smith Barney BHM I, LLC
(“BHM I, LLC”)	Blenheim Capital Management, L.L.C.
Morgan Stanley Smith Barney Boronia I, LLC
(“Boronia I, LLC”)	Boronia Capital Pty. Ltd.
Morgan Stanley Smith Barney AHL I, LLC
(“AHL I, LLC”)	Man-AHL (USA) Ltd.

The trading system style of each Trading Advisor is as follows:

Commodity Trading Advisor	Trading System Style

Altis Partners (Jersey) Limited	Systematic
Aspect Capital Limited	Systematic
Blenheim Capital Management, L.L.C.	Discretionary
Boronia Capital Pty. Ltd.	Systematic
Man-AHL (USA) Ltd.	Systematic

Ceres Managed Futures LLC (“Ceres”), the general partner and commodity pool operator of the Partnership and the trading manager of each Trading Company, is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). MSSBH is majority-owned indirectly by Morgan Stanley and minority-owned indirectly by Citigroup Inc. MSSB is the principal subsidiary of MSSBH. MS&Co., MSIP, and MSCG are wholly-owned subsidiaries of Morgan Stanley.

Ceres may reallocate the Partnership’s assets to the different Trading Companies at its sole discretion.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Prior to February 1, 2012, units of limited partnership interest (“Units”) of the Partnership were offered in four classes in a private placement pursuant to Regulation D under the Securities Act of 1933, as amended. Depending on the aggregate amount invested in the Partnership, limited partners received class A, B, C or D Units in the Partnership (each a “Class” and collectively the “Classes”). Effective February 1, 2012, Class B and Class C Units are no longer being offered to new investors. Certain limited partners who are not subject to the ongoing placement agent fee are deemed to hold Class Z Units. Ceres received Class Z Units with respect to its investment in the Partnership.

Ceres is not required to maintain any investment in the Partnership, and may withdraw any portion of its interest in the Partnership at any time, as permitted by the Limited Partnership Agreement. In addition, Class Z shares are only being offered to certain individuals affiliated with Morgan Stanley at Ceres’ sole discretion. Class Z Unit holders are not subject to paying the ongoing placement agent fee.

2. Related Party Transactions

The cash held by each Trading Company is on deposit with MSSB, MS&Co., and MSIP in futures interest trading accounts to meet margin requirements as needed. MSSB pays each Trading Company at each month end interest income on 100% of its average daily funds held at MSSB. Assets deposited with MS&Co. and MSIP as margin are credited with interest income at a rate approximately equivalent to what MS&Co. and MSIP pay or charge other customers on such assets deposited as margin. Assets not deposited as margin with MS&Co. and MSIP are credited with interest income at a rate equal to the monthly average of the 4-week U.S. Treasury bill

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

discount rate less 0.15% during such month but in no event less than zero. For purposes of such interest payments, net assets do not include monies owed to each Trading Company on Futures Interests. MSSB and MS&Co. will retain any excess interest not paid to each Trading Company.

The Partnership pays monthly administrative fees and general partner fees to Ceres. The Partnership pays to MSSB, ongoing placement agent fees on a monthly basis equal to a percentage of the net asset value of a limited partners’ Units as of the beginning of each month.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

3. Financial Highlights

Financial Highlights for quarters ended March 31, 2012 and 2011 were as follows:

	Class A	Class B	Class C	Class D	Class Z

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
JANUARY 1, 2012:	$ 1,140.84	$ 1,166.26	$ 1,192.24	$ 1,205.34	$ 1,245.91

NET OPERATING RESULTS:
Net investment loss	(9.11)	(7.84)	(6.51)	(5.83)	(3.66)
Net realized/unrealized income	4.66	4.74	4.83	4.89	5.02
Net income (loss)	(4.45)	(3.10)	(1.68)	(0.94)	1.36

NET ASSET VALUE,
MARCH 31, 2012:	$ 1,136.39	$ 1,163.16	$ 1,190.56	$ 1,204.40	$ 1,247.27
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (1) (2)	-3.18%	-2.68%	-2.17%	-1.92%	-1.17%
Partnership expenses (1) (2)	3.18%	2.68%	2.17%	1.92%	1.17%

TOTAL RETURN:	-0.39%	-0.27%	-0.14%	-0.08%	0.11%

PER UNIT OPERATING PERFORMANCE:
NET ASSET VALUE,
JANUARY 1, 2011:	$ 1,370.27	$ 1,393.71	$ 1,417.54	$ 1,429.48	$ 1,466.39

NET OPERATING RESULTS:
Net investment loss	(11.52)	(9.83)	(8.43)	(6.51)	(5.10)
Net realized/unrealized loss	(39.07)	(39.92)	(40.44)	(41.89)	(41.86)
Net loss	(50.59)	(49.75)	(48.87)	(48.40)	(46.96)

NET ASSET VALUE,
MARCH 31, 2011:	$ 1,319.68	$ 1,343.96	$ 1,368.67	$ 1,381.08	$ 1,419.43
RATIOS TO AVERAGE NET ASSETS:
Net investment loss (1) (2)	-3.44%	-2.88%	-2.43%	-1.87%	-1.42%
Partnership expenses (1) (2)	3.44%	2.88%	2.43%	1.87%	1.42%

TOTAL RETURN:	-3.69%	-3.57%	-3.45%	-3.39%	-3.20%

(1) Annualized

(2) Does not include the expenses of the Trading Companies in which the Partnership invests.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

4. Financial Instruments of the Trading Companies

The Trading Advisors trade Futures Interests on behalf of the Trading Companies. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Futures Interests are open commitments until settlement date, at which time they are realized. They are valued at fair value, generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Statements of Financial Condition as net unrealized gain or loss on open contracts. The resulting net change in unrealized gains and losses is reflected in the net change in unrealized trading profit (loss) from one period to the next on the Statements of Income and Expenses. The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) of the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The fair value of exchange-traded contracts is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.

The Trading Companies’ contracts are accounted for on a trade-date basis. A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:

1)	a) One or more “underlyings” and b) one or more “notional amounts” or payment provisions or both;

2)	Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and

3)	Terms that require or permit net settlement.

Generally, derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors, and collars.

The futures, forwards and options traded by the Trading Advisors on behalf of the Trading Companies involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

result in frequent changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin. Gains and losses on non-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses of off-exchange-traded forward currency options contracts are settled upon an agreed upon settlement date. However, the Trading Companies are required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Trading Companies’ accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

5. Fair Value Measurements and Disclosures

Effective January 1, 2012, the Partnership adopted ASU 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS.” The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 - unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 – inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates, credit risk); and Level 3 - unobservable inputs for the asset or liability (including the Partnership’s own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnership’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of the factors specific to the investment.

The Partnership’s assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

March 31, 2012

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
		$			$
Investment in BHM I, LLC	–	75,580,581	–		75,580,581
Investment in Altis I, LLC	–	41,626,913	–		41,626,913
Investment in AHL I, LLC	–	41,572,784	–		41,572,784
Investment in Aspect I, LLC	–	32,996,358	–		32,996,358
Investment in Boronia I, LLC	–	21,781,272	–		21,781,272

December 31, 2011

Assets	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
		$		$
Investment in BHM I, LLC	–	76,958,099	–	76,958,099
Investment in Altis I, LLC	–	41,215,261	–	41,215,261
Investment in Aspect I, LLC	–	39,678,211	–	39,678,211
Investment in AHL I, LLC	–	36,925,484	–	36,925,484
Investment in Boronia I, LLC	–	29,266,131	–	29,266,131

During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.

The Partnership’s assets identified as “Investments in Affiliated Trading Companies” reflected on the Statements of Financial Condition represents the net asset value of the Partnership’s pro rata share of each Trading Company. The net assets of each Trading Company are equal to the total assets of the Trading Company

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(including, but not limited to all cash and cash equivalents, accrued interest and amortization of original issue discount, and the fair value of all open Futures Interests contract positions and other assets) less all liabilities of the Trading Company (including, but not limited to, brokerage commissions that would be payable upon the closing of open Futures Interest positions, management fees, incentive fees, and extraordinary expenses), determined in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

At March 31, 2012, the Partnership’s investment in the Trading Companies represented approximately: BHM I, LLC 35.40%; Altis I, LLC 19.50%; AHL I, LLC 19.45%; Aspect I, LLC 15.45%; and Boronia I, LLC 10.20% of the total investments of the Partnership, respectively.

At December 31, 2011, the Partnership’s investment in the Trading Companies represented approximately: BHM I, LLC 34.35%; Aspect I, LLC 17.70%; Altis I, LLC 18.40%; Boronia I, LLC 13.05%; and AHL I, LLC 16.50% of the total investments of the Partnership, respectively.

The tables below represent summarized Income Statement information for the Trading Companies that the Partnership invests in for the three months ended March 31, 2012 and 2011, respectively, in accordance with Rule 3-09 of Regulation S-X, as follows:

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

For the Three Months Ended March 31, 2012	Investment Income/(Loss)	Net Investment Loss	Total Trading Results	Net Income/(Loss)
	$	$	$	$
BHM I, LLC	(10,662)	(2,179,897)	18,150,632	15,970,735
Altis I, LLC	2,484	(166,701)	(479,103)	(645,804)
AHL I, LLC	(1,296)	(256,881)	(1,185,136)	(1,442,017)
Aspect I, LLC	(735)	(297,050)	877,751	580,701
Boronia I, LLC	1,694	(269,991)	(21,872)	(291,863)

For the Three Months Ended March 31, 2011	Investment Income/(Loss)	Net Investment Loss	Total Trading Results	Net Income/(Loss)
	$	$	$	$
Altis I, LLC	1,224	(236,921)	(6,858,523)	(7,095,444)
Aspect I, LLC	(1,120)	(388,642)	531,458	142,816
BHM I, LLC	649	(1,206,174)	4,212,767	3,006,593
WNT I, LLC	158	(532,875)	1,324,747	791,872

6. Other Pronouncements

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-11, “Disclosures about Offsetting Assets and Liabilities”, which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). The disclosure requirements are effective for annual reporting periods

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

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

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as limited partners are individually responsible for reporting income or loss based upon their respective share of the Partnership’s revenues or expenses for income tax purposes. The Partnership files U.S. federal and state tax returns.

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POLARIS FUTURES FUND L.P.

NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

The guidance issued by FASB on income taxes clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of a tax position taken or expected to be taken. The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of March 31, 2012 and December 31, 2011. If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses. Generally, the 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. No income tax returns are currently under examination.

8. Subsequent Events

Management of Ceres performed its evaluation of subsequent events through the date of filing, and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

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Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

As of March 31, 2012, the percentage of assets allocated to each market sector was approximately as follows: Interest Rate 14.31%; Currency 33.47%; Equity 10.24%; and Commodity 41.99%.

Liquidity. MS&Co. and its affiliates act as custodians of each Trading Company’s assets pursuant to customer agreements and foreign exchange customer agreement. The Partnership allocates substantially all of its assets to multiple Trading Companies. Such assets are deposited in the Trading Companies’ trading accounts with MS&Co. or its affiliates. The funds in such accounts are available for margin and are used to engage in Futures Interest trading pursuant to instructions provided by the Trading Advisors. The assets are held in either non-interest bearing bank accounts or in securities and instruments permitted by the Commodity Futures Trading Commission for investment of customer segregated or secured funds. Since the Partnership’s sole purpose is to trade Futures Interests indirectly through the investment in the Trading Companies, it is expected that the Trading Companies will continue to own such liquid assets for margin purposes.

The Trading Companies’ investment in Futures Interests may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Trading Companies from promptly liquidating their futures or options contracts and result in restrictions on redemptions.

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There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Trading Companies from trading in potentially profitable markets or prevent the Trading Companies from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s assets.

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

Capital Resources. The Partnership does not have, nor does it expect to have, any capital assets. Redemptions, exchanges, and sales of Units in the future will affect the amount of funds available for investments in Futures Interests in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows of Units.

There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to the Partnership’s capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations. The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitment to make future payments that would affect its liquidity or capital resources.

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Results of Operations

General. The Partnership’s results depend on the Trading Advisors and the ability of each Trading Advisor’s trading program to take advantage of price movements in the futures, forward and options markets. The following presents a summary of the Partnership’s operations for the quarters ended March 31, 2012 and 2011, and a general discussion of its trading activities during each period. It is important to note, however, that the Trading Advisors trade in various markets at different times and that prior activity in a particular market does not mean that such market will be actively traded by the Trading Advisors or will be profitable in the future. Consequently, the results of operations of the Partnership are difficult to discuss other than in the context of the Trading Advisors’ trading activities on behalf of the Partnership during the period in question. Past performance is no guarantee of future results.

The Partnership’s results of operations set forth in the financial statements on pages 2 through 19 of this report are prepared in accordance with U.S. GAAP, which require the use of certain accounting policies that affect the amounts reported in these financial statements, including the following: the contracts the Trading Companies trade are accounted for on a trade-date basis and marked to market on a daily basis. The difference between their original contract value and fair value is recorded on the Statements of Income and Expenses as “Net change in unrealized depreciation on investments” for open contracts, and recorded as “Realized” when open positions are closed out. The sum of these amounts constitutes the Trading Companies trading results. The fair value of a futures contract is the settlement price on the exchange on which that futures contract is traded on a particular day. The value of a foreign currency forward contract is based on the spot rate as of approximately 3:00 P.M. (E.T.) the close of the business day.

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Ceres believes that, based on the nature of the operations of the Partnership, no assumptions relating to the application of critical accounting policies other than those presently used could reasonably affect reported amounts.

For the Quarter Ended March 31, 2012

The Partnership recorded total realized/net change in unrealized depreciation on investments of $996,138 and expenses totaling $1,550,462, resulting in a net loss of $554,324 for the quarter ended March 31, 2012. The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class	NAV at 3/31/12	NAV at 12/31/11

A	$1,136.39	$1,140.84
B	$1,163.16	$1,166.26
C	$1,190.56	$1,192.24
D	$1,204.40	$1,205.34
Z	$1,247.27	$1,245.91

During the first quarter, the Partnership posted a loss in Net Asset Value per Unit as losses in interest rates, currencies, metals, and agriculturals offset profits in energies and stock indices.

The most significant losses were incurred within the global interest rate sector in February and March from long positions in U.S., European, and Australian fixed-income futures as prices fell amid optimism that Greece would receive a second bailout and after the U.S. Federal Reserve upwardly revised its U.S. economic outlook. Within the currency markets, losses were experienced during March from long positions in the Australian dollar, South African rand, and New Zealand dollar versus the U.S. dollar as the value of these commodity-linked currencies fell against the U.S. dollar after concern over earnings in China reduced demand for higher-yielding currency assets. Losses were also recorded during March within the metals sector

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from long positions in palladium and aluminum futures as prices moved lower on speculation of reduced demand from China, the world’s biggest metals purchaser. Within the agricultural complex, losses were recorded during January from long futures positions in the soybean complex as prices fell during the first half of the month after favorable weather boosted crop prospects in South America.

A portion of the Partnership’s losses for the quarter was offset by gains recorded within the energy markets during January and March from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S. Additional gains were experienced in this market sector during February from long futures positions in crude oil and its related products as prices increased on concerns over inventory levels and rising tensions in the Middle East. Within the global stock index sector, gains were achieved during February from long positions in U.S., Pacific Rim, and European equity index futures as prices rose amid positive economic news, including a better-than-expected U.S. employment report and an expansion in manufacturing in China, Europe, and the U.S. Prices continued to advance after China cut banks’ reserve requirements to fuel lending and buoy growth.

For the Quarter Ended March 31, 2011

The Partnership recorded total realized/net change in unrealized depreciation on investments of $(6,572,875) and expenses totaling $1,698,141, resulting in a net loss of $8,271,016 for the quarter ended March 31, 2011. The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class	NAV at 3/31/11	NAV at 12/31/10

A	$1,319.68	$1,370.27
B	$1,343.96	$1,393.71
C	$1,368.67	$1,417.54
D	$1,381.08	$1,429.48
Z	$1,419.43	$1,466.39

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The most significant trading losses were incurred within the global interest rate sector, primarily during February, from short positions in U.S. fixed-income futures as prices increased amid concern over unrest in the Middle East, which spurred demand for the relative “safety” of government debt. Within the currency markets, losses were experienced primarily during January due to long positions in the Australian dollar, Japanese yen, and South African rand versus the U.S. dollar as the value of these currencies declined against the U.S. dollar following the release of minutes from the latest U.S. Federal Reserve meeting that showed optimism about the U.S. economy. Within the global stock index markets, losses were recorded primarily during March from long positions in Japanese and European equity index futures as prices reversed lower amid concern that heightened tensions in the Middle East, as well as the natural disaster and subsequent nuclear crisis in Japan, may threaten the global economic recovery. Losses were incurred within the metals markets, primarily during March, from long positions in copper and nickel futures as prices moved lower amid concern that rising energy costs associated with mounting unrest in the Middle East may slow the global economy.

A portion of the Partnership’s losses for the quarter was offset by gains achieved within the energy markets, primarily during February, from long futures positions in RBOB (unleaded) gas, gas oil, and brent crude as prices rose after protests in Egypt turned violent, prompting fear of contagion to other Middle Eastern and North African nations and causing concern that crude oil supplies may be disrupted. Within the agricultural complex, gains were recorded primarily during January and February from long positions in corn futures as prices rose to the highest levels since July 2008 after the U.S. government lowered forecasts for domestic inventories as adverse weather slashed harvests.

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Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Trading Companies, each of which invests substantially all of its assets in the trading program of an unaffiliated Trading Advisor. The market-sensitive instruments held by the Trading Companies are acquired for speculative trading purposes, and substantially all of the respective Trading Companies’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Trading Companies’ main line of business.

The futures, forwards and options traded by the Trading Companies involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates and prices of financial instruments and commodities. These factors result in frequent changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts and forward currency option contracts are settled daily through variation margin. Gains and losses on off-exchange-traded forward currency contracts and forward currency options contracts are settled upon termination of the contract. However, the Trading Companies are required to meet margin requirements equal to the unrealized loss on open forward currency contracts in the Trading Companies’ accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MSSB for the benefit of MS&Co.

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The total market risk of the respective Trading Companies may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Trading Companies’ open positions, the volatility present within the markets, and the liquidity of the markets.

The face value of the market sector instruments held by the Trading Companies is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Trading Companies typically to be many times the total capitalization of the Trading Companies.

The Partnership’s and the Trading Companies’ past performance are no guarantee of their future results. Any attempt to numerically quantify the Trading Companies’ market risk is limited by the uncertainty of their speculative trading. The Trading Companies’ speculative trading and use of leverage may cause future losses and volatility (i.e., “risk of ruin”) that far exceed the Trading Companies’ experiences to date as discussed under the "Trading Companies’ Value at Risk in Different Market Sectors" section and significantly exceed the Value at Risk (“VaR”) tables disclosed below.

Limited partners will not be liable for losses exceeding the current net asset value of their investment.

Quantifying the Trading Companies’ Trading Value at Risk

The following quantitative disclosures regarding the Trading Companies’ market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act

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of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Trading Companies account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Trading Companies’ open positions is directly reflected in the Trading Companies’ earnings and cash flow.

The Trading Companies’ risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of VaR. Please note that the VaR model is used to quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Trading Advisors in their daily risk management activities.

VaR is a measure of the maximum amount which each Trading Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of each Trading Company’s speculative trading and the recurrence in the markets traded by the Trading Companies of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR of each Trading Company’s experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Trading Companies’ losses in any market sector will be limited to VaR or by the Trading Companies’ attempts to manage its market risk.

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

The Trading Companies’ Value at Risk in Different Market Sectors

As of March 31, 2012, Altis I, LLC’s total capitalization was $45,417,978. The Partnership owned approximately 92% of Altis I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$647,991	1.43%

Interest Rate	1,305,739	2.87%

Equity	297,339	0.65%

Commodity	2,682,112	5.91%

Total	$4,933,181	10.86%

Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$2,077,225	$510,854	$1,215,911
Interest Rate	$1,778,597	$1,007,877	$1,301,476
Equity	$912,819	$265,554	$531,605
Commodity	$2,861,541	$1,813,635	$2,252,320

* Average of month-end VaR

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As of March 31, 2012, Aspect I, LLC’s total capitalization was $35,784,232. The Partnership owned approximately 92% of Aspect I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$2,449,883	6.85%

Interest Rate	643,524	1.80%

Equity	735,494	2.06%

Commodity	1,689,731	4.72%

Total	$5,518,632	15.43%

Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$2,503,702	$701,760	$1,915,582
Interest Rate	$2,239,108	$571,826	$1,560,915
Equity	$988,354	$525,246	$775,296
Commodity	$1,689,731	$1,376,610	$1,527,906

* Average of month-end VaR

As of March 31, 2012, BHM I, LLC’s total capitalization was $480,035,389. The Partnership owned approximately 16% of BHM I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$11,561,208	2.41%

Interest Rate	4,580,715	0.95%

Equity	1,036,875	0.22%

Commodity	31,110,541	6.48%

Total	$48,289,339	10.06%

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Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$12,642,384	$4,678,482	$9,920,070
Interest Rate	$6,131,189	$182,760	$2,679,754
Equity	$3,650,000	$100,000	$1,836,646
Commodity	$37,860,223	$25,497,107	$31,621,999

* Average of month-end VaR

As of March 31, 2012, Boronia I, LLC’s total capitalization was $24,948,032. The Partnership owned approximately 87% of Boronia I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$843,728	3.38%

Interest Rate	541,274	2.17%

Equity	621,518	2.49%

Commodity	1,064,172	4.27%

Total	$3,070,692	12.31%

Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$1,581,065	$385,457	$914,868
Interest Rate	$1,458,139	$220,350	$664,416
Equity	$1,495,820	$374,062	$818,869
Commodity	$1,417,780	$656,059	$984,679

* Average of month-end VaR

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As of March 31, 2012, AHL I, LLC’s total capitalization was $45,479,508. The Partnership owned approximately 91% of AHL I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$3,449,678	7.59%

Interest Rate	740,002	1.63%

Equity	1,053,969	2.32%

Commodity	983,756	2.16%

Total	$6,227,405	13.70%

Three Months Ended March 31, 2012

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$4,684,324	$1,671,267	$3,281,193
Interest Rate	$1,678,624	$607,098	$1,136,543
Equity	$1,488,119	$488,841	$1,064,156
Commodity	$1,217,590	$586,180	$921,302

* Average of month-end VaR

As of December 31, 2011, Altis I, LLC’s total capitalization was $44,933,798. The Partnership owned approximately 92% of Altis I, LLC.

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		% of Total
Market Sector	VaR	Capitalization

Currency	$1,875,342	4.17%

Interest Rate	1,105,452	2.46%

Equity	615,687	1.37%

Commodity	2,558,812	5.69%

Total	$6,155,293	13.69%

Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$2,792,197	$646,419	$1,225,379
Interest Rate	$1,406,044	$264,672	$672,790
Equity	$1,442,388	$239,597	$567,305
Commodity	$3,702,594	$397,539	$1,780,544

* Average of month-end VaR

As of December 31, 2011, Aspect I, LLC’s total capitalization was $43,105,632. The Partnership owned approximately 92% of Aspect I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$692,921	1.61%

Interest Rate	1,945,302	4.51%

Equity	592,182	1.37%

Commodity	1,442,422	3.35%

Total	$4,672,827	10.84%

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Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$1,759,872	$318,386	$713,414
Interest Rate	$2,534,049	$375,025	$1,295,950
Equity	$734,213	$91,192	$393,469
Commodity	$1,442,422	$202,412	$960,825

* Average of month-end VaR

As of December 31, 2011, BHM I, LLC’s total capitalization was $455,454,128. The Partnership owned approximately 17% of BHM I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$11,805,110	2.59%

Interest Rate	354,263	0.08%

Equity	135,000	0.03%

Commodity	21,344,468	4.69%

Total	$33,638,841	7.39%

Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$11,968,638	$37,598	$2,182,917
Interest Rate	$6,674,377	$77,306	$2,662,385
Equity	$3,312,598	–	$337,667
Commodity	$35,677,615	$10,694,579	$23,741,783

* Average of month-end VaR

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As of December 31, 2011, Boronia I, LLC’s total capitalization was $35,661,551. The Partnership owned approximately 82% of Boronia I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$1,247,428	3.50%

Interest Rate	816,557	2.29%

Equity	544,308	1.53%

Commodity	1,310,591	3.68%

Total	$3,918,884	11.00%

Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$1,744,634	$239,349	$598,361
Interest Rate	$1,290,916	$212,487	$460,040
Equity	$1,195,287	$181,959	$615,749
Commodity	$1,754,554	$326,346	$868,819

* Average of month-end VaR

As of December 31, 2011, AHL I, LLC’s total capitalization was $40,404,870. The Partnership owned approximately 91% of AHL I, LLC.

		% of Total
Market Sector	VaR	Capitalization

Currency	$1,576,689	3.90%

Interest Rate	918,934	2.27%

Equity	616,527	1.53%

Commodity	888,869	2.20%

Total	$4,001,019	9.90%

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Twelve Months Ended December 31, 2011

Market Sector	High VaR	Low VaR	Average VaR*
Currency	$3,691,865	$747,027	$1,408,406
Interest Rate	$1,366,666	$291,291	$715,416
Equity	$899,058	$161,311	$412,818
Commodity	$888,869	$205,912	$476,472

* Average of month-end VaR

Limitations on Value at Risk as an Assessment of Market Risk

VaR models permit estimation of a portfolio’s aggregate market risk exposure, incorporating a range of varied market risks, reflect risk reduction due to portfolio diversification or hedging activities, and can cover a wide range of portfolio assets. However, VaR risk measures should be viewed in light of the methodology’s limitations, which include, but may not be limited to the following:

·	past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

·	changes in portfolio value caused by market movements may differ from those of the VaR model;

·	VaR results reflect past market fluctuations applied to current trading positions while future risk depends on future positions;

·	VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

·	the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

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Non-Trading Risk

The Trading Companies have non-trading market risk on their foreign cash balances. These balances and any market risk they may represent are immaterial.

The Trading Companies also maintain a substantial portion of their available assets in unrestricted cash at MSSB; as of March 31, 2012, such amount was equal to:

·	approximately 87% of Altis I, LLC’s net assets.

·	approximately 88% of Aspect I, LLC’s net assets.

·	approximately 89% of BHM I, LLC’s net assets.

·	approximately 85% of Boronia I, LLC’s net assets.

·	approximately 92% of AHL I, LLC’s net assets.

A decline in short-term interest rates would result in a decline in the Trading Companies’ cash management income. This cash flow risk is not considered to be material.

Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality, and multiplier features of the Trading Companies’ market-sensitive instruments, in relation to the Trading Companies’ net assets.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures – except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its primary market risk exposures – constitute forward-looking statements within the meaning of Section 27A of

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the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. The Partnership’s primary market risk exposures, as well as the strategies used and to be used by Ceres and the Trading Advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation, and many other factors could result in material losses, as well as in material changes to the risk exposures and the risk management strategies of the Partnership.

Investors must be prepared to lose all or substantially all of their investment in the Partnership.

Item 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of Ceres, at the time this quarterly report was filed, Ceres’ President (Ceres’ principal executive officer) and Chief Financial Officer (Ceres’ principal financial officer) have evaluated the effectiveness of the design and operation of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2012. The Partnership’s disclosure controls and procedures are designed to provide reasonable assurance that information the Partnership is required to disclose in the reports that the Partnership files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms. Based on this evaluation, the President and Chief Financial Officer of Ceres have concluded that the disclosure controls and procedures of the Partnership were effective at March 31, 2012.

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Changes in Internal Control over Financial Reporting

There have been no changes during the period covered by this quarterly report in the Partnership’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that have materially affected or are reasonably likely to materially affect the Partnership’s internal control over financial reporting.

Limitations on the Effectiveness of Controls

Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

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PART II. OTHER INFORMATION

Item 1. LEGAL PROCEEDINGS

There were no additional information to supplement or amend the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011.

Item 1A. RISK FACTORS

There have been no material changes from the risk factors previously referenced in the Partnership’s Report on Form 10-K for the fiscal year ended December 31, 2011.

Item 2. UNREGISTERED SALES OF SECURITIES AND USE OF PROCEEDS

Units of the Partnership are sold to persons and entities who are accredited investors as the term is defined in Rule 501(a) of Regulation D.

The aggregate proceeds of securities sold in all share Classes to the limited partners through March 31, 2012 was $328,417,832. The Partnership received $2,317,000 in consideration from the sale of Units to the General Partner.

Proceeds of net offering were used for the trading of commodity interests including futures contracts, options, and forward and swap contracts.

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The following charts set forth the purchases of redeemable Units by the Partnership.

Period	(a) Total Number of Redeemable Units Purchased*	(b) Average Price Paid per Redeemable Unit**	(c) Total Number Of Redeemable Units Purchased as part Of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
Class A
January 1, 2012 - January 31, 2012	1,219.136	$1,149.89	N/A	N/A
February 1, 2012 - February 29, 2012	1,667.441	$1,167.89	N/A	N/A
March 1, 2012 – March 31, 2012	2,440.817	$1,136.39	N/A	N/A
	5,327.394	$1,149.34

Period	(a) Total Number of Redeemable Units Purchased*	(b) Average Price Paid per Redeemable Unit**	(c) Total Number Of Redeemable Units Purchased as part Of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
Class B
January 1, 2012 - January 31, 2012	836.684	$1,176.00	N/A	N/A
February 1, 2012 - February 29, 2012	958.985	$1,194.90	N/A	N/A
March 1, 2012 – March 31, 2012	562.385	$1,163.16	N/A	N/A
	2,358.054	$1,180.62

Period	(a) Total Number of Redeemable Units Purchased*	(b) Average Price Paid per Redeemable Unit**	(c) Total Number Of Redeemable Units Purchased as part Of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
Class C
January 1, 2012 - January 31, 2012	3,758.412	$1,202.69	N/A	N/A
February 1, 2012 - February 29, 2012	1,598.513	$1,222.52	N/A	N/A
March 1, 2012 – March 31, 2012	643.367	$1,190.56	N/A	N/A
	6,000.292	$1,206.67

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Period	(a) Total Number of Redeemable Units Purchased*	(b) Average Price Paid per Redeemable Unit**	(c) Total Number Of Redeemable Units Purchased as part Of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
Class D
January 1, 2012 - January 31, 2012	–	–	N/A	N/A
February 1, 2012 - February 29, 2012	–	–	N/A	N/A
March 1, 2012 – March 31, 2012	–	–	N/A	N/A
	–	–

Period	(a) Total Number of Redeemable Units Purchased*	(b) Average Price Paid per Redeemable Unit**	(c) Total Number Of Redeemable Units Purchased as part Of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
Class Z
January 1, 2012 - January 31, 2012	77.192	$1,257.87	N/A	N/A
February 1, 2012 - February 29, 2012	–	–	N/A	N/A
March 1, 2012 – March 31, 2012	19.627	$1,247.27	N/A	N/A
	96.819	$1,255.72

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

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

Item 4. MINE SAFETY DISCLOSURES

Not applicable.

Item 6. EXHIBITS

31.01

Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

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32.01

Certification of President of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.02

Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS*

XBRL Instance Document

101.SCH*

XBRL Taxonomy Extension Schema Document

101.CAL*

XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB*

XBRL Taxonomy Extension Label Document

101.PRE*

XBRL Taxonomy Extension Presentation Document

101.DEF*

XBRL Taxonomy Extension Definition Document

Notes to Exhibits List

* Submitted electronically herewith.

Pursuant to applicable securities laws and regulations, the Partnership is deemed to have complied with the reporting obligation relating to the submission of interactive data files in Exhibit 101 to this report and is not subject to liability under any anti-fraud provisions of the federal securities laws as long as the Partnership has made a good faith attempt to comply with the submission requirements and promptly amends the interactive data files after becoming aware that the interactive data files fails to comply with the submission requirements. Users of this data are advised that, pursuant to Rule 406T, these interactive data files are deemed not filed and otherwise are not subject to liability.

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SIGNATURE

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.

	Polaris Futures Fund L.P.
	(Registrant)

	By:	Ceres Managed Futures LLC
		(General Partner)

May 15, 2012	By:	/s/Brian Centner
		Brian Centner
		Chief Financial Officer

The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

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Polaris Futures Fund L.P. - FORM 10-Q - May 15, 2012

Attached files

Polaris Futures Fund L.P. Reports