CERES TACTICAL SYSTEMATIC L.P. - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - CERES TACTICAL SYSTEMATIC L.P.	Financial_Report.xls
EX-32.2 - SECTION 1350 CERTIFICATION (CERTIFICATION OF CHIEF FINANCIAL OFFICER) - CERES TACTICAL SYSTEMATIC L.P.	d336548dex322.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF CHIEF FINANCIAL OFFICER - CERES TACTICAL SYSTEMATIC L.P.	d336548dex312.htm
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - CERES TACTICAL SYSTEMATIC L.P.	d336548dex311.htm
EX-32.1 - SECTION 1350 CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) - CERES TACTICAL SYSTEMATIC L.P.	d336548dex321.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 ( ) 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 000-50718

TACTICAL DIVERSIFIED FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4224248
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue – 14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X No__

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

Yes X No__

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

Large accelerated filer _

Accelerated filer _

Non-accelerated filer X

Smaller reporting company _

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

Yes _ No X

As of April 30, 2012, 589,842.7825 Limited Partnership Redeemable Units were outstanding.

TACTICAL DIVERSIFIED FUTURES FUND L.P.

FORM 10-Q

INDEX


		Page Number

PART I - Financial Information:

Item 1.	Financial Statements:

	Statements of Financial Condition at March 31, 2012 (unaudited) and December 31, 2011	3

	Condensed Schedules of Investments at March 31, 2012 (unaudited) and December 31, 2011	4–5

	Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)	6

	Notes to Financial Statements (unaudited)	7–22

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	23–25

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	26–35

Item 4.	Controls and Procedures	36

PART II - Other Information		37–40
Exhibits

31.1 Certification

31.2 Certification

32.1 Certification

32.2 Certification

101. INS XBRL Instance Document.

101. SCH XBRL Taxonomy Extension Schema Document.

101. CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101. LAB XBRL Taxonomy Extension Label Linkbase Document.

101. PRE XBRL Taxonomy Extension Presentation Linkbase Document.

PART I

Item 1. Financial Statements

Tactical Diversified Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) March 31, 2012		December 31, 2011
Assets:

Investment in Funds, at fair value	$	618,938,247	$	648,497,275
Equity in trading account:
Cash		26,390,297		23,412,721
Cash margin		3,876,697		6,146,380
Net unrealized appreciation on open futures contracts		—		1,191,752

Total trading equity		649,205,241		679,248,128
Interest receivable		1,162		—

Total assets	$	649,206,403	$	679,248,128


Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	167,358	$	—
Accrued expenses:
Brokerage fees		2,974,762		3,113,220
Management fees		987,455		1,034,080
Other		420,845		357,723
Redemptions payable		13,182,077		8,180,703

Total liabilities		17,732,497		12,685,726

Partners’ Capital:
General Partner, 7,513.5294 unit equivalents outstanding at March 31, 2012 and December 31, 2011		7,856,973		8,030,460
Limited Partners, 596,358.5082 and 616,142.5801 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively		623,616,933		658,531,942

Total partners’ capital		631,473,906		666,562,402

Total liabilities and partners’ capital	$	649,206,403	$	679,248,128

Net asset value per unit	$	1,045.71	$	1,068.80

See accompanying notes to financial statements.

Tactical Diversified Futures Fund, L.P.

Condensed Schedule of Investments

March 31, 2012

(Unaudited)


	Number of Contracts		Fair Value			% of Partners Capital
Futures Contracts Purchased
Currencies		88	$	27,225			0.00	*%
Energy		143		(249,968	)		(0.04	)
Grains		96		501,512			0.08
Indices		52		176,020			0.03
Interest Rates Non – U.S.		170		67,104			0.01
Softs		192		(61,256	)		(0.01	)

Total futures contracts purchased				460,637			0.07

Futures Contracts Sold
Currencies		120		(182,250	)		(0.03	)
Energy		28		25,200			0.00	*
Grains		144		(192,725	)		(0.03	)
Interest Rates – U.S.		126		(140,563	)		(0.02	)
Interest Rates Non – U.S.		5		(27,342	)		(0.01	)
Metals		108		(90,510	)		(0.01	)
Softs		32		(19,805	)		(0.00	)*

Total futures contracts sold				(627,995	)		(0.10	)

Investment in Funds
CMF Drury Capital Master Fund L.P.				105,061,296			16.64
CMF Willowbridge Argo Master Fund L.P.				31,653,113			5.01
CMF Aspect Master Fund L.P.				111,451,283			17.65
CMF Capital Fund Management Master Fund L.P.				87,655,850			13.88
CMF Graham Capital Master Fund L.P.				78,248,826			12.39
KR Master Fund L.P.				102,696,599			16.27
CMF Altis Partners Master Fund L.P.				102,171,280			16.18

Total investment in Funds				618,938,247			98.02

Net fair value			$	618,770,889			97.99	%

*	Due to rounding.

See accompanying notes to financial statements.

Tactical Diversified Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2011


	Number of Contracts		Fair Value			% of Partners Capital
Futures Contracts Purchased
Grains		23	$	(400	)		(0.00	)*%
Interest Rates – U.S.		160		130,781			0.02
Interest Rates Non – U.S.		193		261,882			0.04

Total futures contracts purchased				392,263			0.06

Futures Contracts Sold
Currencies		198		(69,662	)		(0.01	)
Energy		124		58,921			0.01
Grains		23		(53,263	)		(0.01	)
Indices		26		31,347			0.01
Interest Rates – U.S.		81		(4,613	)		(0.00	)*
Metals		140		685,030			0.10
Softs		348		151,729			0.02

Total futures contracts sold				799,489			0.12

Investment in Funds
CMF Drury Capital Master Fund L.P.				100,174,719			15.03
CMF Willowbridge Argo Master Fund L.P.				49,103,137			7.37
CMF Aspect Master Fund L.P.				117,010,536			17.55
CMF Capital Fund Management Master Fund L.P.				97,747,442			14.66
CMF Graham Capital Master Fund L.P.				78,951,308			11.84
KR Master Fund L.P.				100,225,332			15.04
CMF Altis Partners Master Fund L.P.				105,284,801			15.80

Total investment in Funds				648,497,275			97.29

Net fair value			$	649,689,027			97.47	%

*	Due to rounding.

See accompanying notes to financial statements.

Tactical Diversified Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended March 31,
	2012			2011
Investment Income:
Interest income	$	2,436		$	8,888
Interest income from investment in Funds		51,164			141,100

Total investment income		53,600			149,988


Expenses:
Brokerage fees including clearing fees		9,727,046			11,499,754
Management fees		3,051,750			3,735,852
Incentive fees		—			347,609
Other		272,508			526,043

Total expenses		13,051,304			16,109,258

Net investment income (loss)		(12,997,704	)		(15,959,270	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		(4,008,980	)		2,984,477
Net realized gains (losses) on investment in Funds		18,214,094			22,634,584
Change in net unrealized gains (losses) on open contracts		(1,359,110	)		(357,538	)
Change in net unrealized gains (losses) on investment in Funds		(14,028,461	)		(8,060,004	)

Total trading results		(1,182,457	)		17,201,519


Net income (loss)		(14,180,161	)		1,242,249
Subscriptions — Limited Partners		13,470,500			19,941,239
Redemptions — Limited Partners		(34,378,835	)		(34,359,298	)

Net increase (decrease) in Partners’ Capital		(35,088,496	)		(13,175,810	)
Partners’ Capital, beginning of period		666,562,402			763,167,489

Partners’ Capital, end of period	$	631,473,906		$	749,991,679

Net asset value per unit (603,872.0376 and 642,629.3803 units outstanding on March 31, 2012 and 2011, respectively)	$	1,045.71		$	1,167.07

Net income (loss) per unit*	$	(23.09	)	$	1.79

Weighted average units outstanding		624,556.0920			657,992.0238

*	Based on change in net asset value per unit.

See accompanying notes to financial statements.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

1. General:

Tactical Diversified Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Partnership directly and through its investments in the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk.

Between March 27, 2003 (commencement of the public offering period) and April 30, 2003, 36,616 redeemable units of limited partnership interest (“Redeemable Units”) were publicly offered at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to publicly offer 300,000 Redeemable Units during the initial public offering period. As of December 4, 2003, the Partnership was authorized to publicly offer an additional 700,000 Redeemable Units. As of October 7, 2004, the Partnership was authorized to publicly offer an additional 1,000,000 Redeemable Units. As of June 30, 2005, the Partnership was authorized to publicly offer the 2,000,000 Redeemable Units previously registered. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of March 31, 2012, all trading decisions are made for the Partnership by Drury Capital, Inc., (“Drury”), Graham Capital Management, L.P., (“Graham”), John W. Henry & Company, Inc., (“JWH”), Willowbridge Associates Inc. (“Willowbridge”), Aspect Capital Limited (“Aspect”), Capital Fund Management S.A. (“CFM”), Krom River Trading AG and Krom River Investment Management (Cayman) Limited (collectively, “Krom River”) and Altis Partners (Jersey) Limited (“Altis”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor or exempt from registration. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to JWH directly, where as the Partnership invests the portion of its assets allocated to each of the other Advisors indirectly through investments in master funds.

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

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

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

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

2. Financial Highlights:

Changes in the net asset value per unit for the three months ended March 31, 2012 and 2011 were as follows:


	Three Months Ended March 31,
	2012			2011
Net realized and unrealized gains (losses) *	$	(17.86	)	$	8.55
Interest income		0.09			0.23
Expenses **		(5.32	)		(6.99	)

Increase (decrease) for the period		(23.09	)		1.79
Net asset value per unit, beginning of period		1,068.80			1,165.28

Net asset value per unit, end of period	$	1,045.71		$	1,167.07

*	Includes brokerage fees.

**	Excludes brokerage fees.


	Three Months Ended March 31,
	2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(8.0	)%		(8.3	)%
Incentive fees		—			0.0	%******

Net investment income (loss) before incentive fees*****		(8.0	)%		(8.3	)%

Operating expenses		8.0	%		8.4	%
Incentive fees		—	%		0.0	%******

Total expenses		8.0	%		8.4	%


Total return:
Total return before incentive fees		(2.2	)%		0.2	%
Incentive fees		—	%		(0.0	)%******

Total return after incentive fees		(2.2	)%		0.2	%

***	The ratios are shown net and gross of incentive fees to conform to current period presentation.

****	Annualized (other than incentive fees).

*****

Interest income less total expenses.

******

Due to rounding.

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

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

3. Trading Activities:

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

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds the legal right to net unrealized gains and losses on open futures contracts and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 201-20, “Balance Sheet”, have been met.

All of the commodity interests owned by the Partnership and the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2012 and 2011 was 1,071 and 1,298, respectively.

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

The following tables indicate the gross fair values of derivative instruments of futures contracts traded directly by the Partnership as separate assets and liabilities as of March 31, 2012 and December 31, 2011.


	March 31, 2012
Assets
Futures Contracts
Currencies	$	28,575
Energy		25,200
Grains		501,512
Indices		193,119
Interest Rates - U.S.		1,500
Interest Rates Non - U.S.		67,104
Softs		4,520

Total unrealized appreciation on open futures contracts	$	821,530


Liabilities
Futures Contracts
Currencies	$	(183,600	)
Energy		(249,968	)
Grains		(192,725	)
Indices		(17,099	)
Interest Rates - U.S.		(142,063	)
Interest Rates Non - U.S.		(27,342	)
Metals		(90,510	)
Softs		(85,581	)

Total unrealized depreciation on open futures contracts	$	(988,888	)

Net unrealized depreciation on open futures contracts	$	(167,358	)*

*	This amount is in “Net unrealized depreciation on open futures contracts” on the Statements of Financial Condition.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)


	December 31, 2011
Assets
Futures Contracts
Currencies	$	42,581
Energy		169,956
Grains		487
Indices		34,866
Interest Rates U.S.		130,781
Interest Rates Non-U.S.		265,283
Metals		759,650
Softs		180,039

Total unrealized appreciation on open futures contracts	$	1,583,643

Liabilities
Futures Contracts
Currencies	$	(112,243	)
Energy		(111,035	)
Grains		(54,150	)
Indices		(3,519	)
Interest Rates U.S.		(4,613	)
Interest Rates Non-U.S.		(3,401	)
Metals		(74,620	)
Softs		(28,310	)

Total unrealized depreciation on open futures contracts	$	(391,891	)

Net unrealized appreciation on open futures contracts	$	1,191,752	**

**	This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2012 and 2011.


Sector	Three Months Ended March 31, 2012 Gain (loss) from trading			Three Months Ended March 31, 2011 Gain (loss) from trading
Currencies	$	(558,427	)	$	(758,310	)
Energy		812,518			2,584,280
Grains		(404,237	)		(843,275	)
Indices		383,536			(581,507	)
Interest Rates — U.S.		(718,235	)		(120,251	)
Interest Rates Non — U.S.		(753,132	)		(99,934	)
Metals		(3,211,755	)		602,885
Softs		(918,358	)		1,843,051

Total	$	(5,368,090	)***	$	2,626,939	***

***	This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

4. Fair Value Measurements:

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

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

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

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

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify 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.

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) with no rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). There were no transfers of assets and liabilities between Level 1 and Level 2 during the quarter ended March 31, 2012.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)


	March 31, 2012		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures	$	821,530	$	821,530		$	—	$	—
Investment in Funds		618,938,247		—			618,938,247		—

Total assets		619,759,777		821,530			618,938,247		—


Liabilities
Futures	$	988,888	$	988,888		$	—	$	—

Total liabilites		988,888		988,888			—		—

Net fair value	$	618,770,889	$	(167,358	)	$	618,938,247	$	—


	December 31, 2011		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures	$	1,583,643	$	1,583,643	$	—	$	—
Investment in Funds		648,497,275		—		648,497,275		—

Total assets		650,080,918		1,583,643		648,497,275		—


Liabilities
Futures	$	391,891	$	391,891	$	—	$	—

Total liabilites		391,891		391,891		—		—

Net fair value	$	649,689,027	$	1,191,752	$	648,497,275	$	—

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

5. Investment in Funds:

The assets allocated to JWH for trading are invested directly pursuant to JWH’s Global Analytics Program.

On December 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 52,981.2908 units of Winton Master with cash equal to $57,471,493. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Winton Master on August 31, 2011 for cash equal to $29,538,004.

On March 1, 2005, the assets allocated to Aspect for trading were invested in the CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 131,340.8450 units of Aspect Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward contracts with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 95,795.8082 units of Willowbridge Master with cash equal to $85,442,868 and a contribution of open commodity futures and forward contracts with a fair value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to Drury for trading were invested in the CMF Drury Capital Master Fund L.P. (“Drury Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 120,720.7387 units of Drury Master with cash equal to $117,943,206 and a contribution of open commodity futures and forward contracts with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Trend-Following Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership, are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to CFM for trading were invested in the CMF Capital Fund Management Master Fund L.P. (“CFM Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 159,434.0631 units of CFM Master with cash equal to $157,804,020 and a contribution of open commodity futures and forward contracts with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discus Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership, are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

On June 1, 2006, the assets allocated to Graham for trading were invested in the CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 101,486.0491 units of Graham Master with cash equal to $103,008,482. Graham Master was formed in order to permit accounts managed now or in the future by Graham using the K4D-15V Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2009, the assets allocated to SandRidge for trading were in invested in the CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,408.1177 units of SandRidge Master with cash equal to $27,000,000. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in SandRidge Master on April 30, 2011 for cash equal to $14,786,676.

On October 1, 2010, the assets allocated to Sasco for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 19,612.3882 units of Sasco Master with cash equal to $25,535,000. Sasco Master was formed in order to permit commodity pools managed now or in the future by Sasco using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Sasco Master on May 31, 2011 for cash equal to $51,987,122.

On May 1, 2011, the assets allocated to Krom River for trading were invested in the KR Master Fund L.P. (“KR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased an interest in KR Master with cash equal to $65,000,000. KR Master was formed in order to permit commodity pools managed now or in the future by Krom River using the Commodity Program at 150% Leverage, a proprietary, fundamental trading system, to invest together in one trading vehicle. The General Partner is also the general partner of KR Master. Individual and pooled accounts currently managed by Krom River, including the Partnership, are permitted to be limited partners of KR Master. The General Partner and Krom River believe that trading through this structure should promote efficiency and economy in the trading process.

On May 1, 2011, the assets allocated to Altis for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 21,851.9469 units of Altis Master with cash equal to $70,000,000. Altis Master was formed to permit commodity pools managed now and in the future by Altis using the Global Futures Portfolio Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2011, the assets allocated to DKR for trading were invested in the Morgan Stanley Smith Barney DKR Fusion, LLC (“DKR I, LLC” or the “Trading Company”), a limited liability company organized under the partnership laws of the State of Delaware. The Partnership purchased an interest in DKR I, LLC with cash equal to $53,373,870. DKR I, LLC was formed to permit commodity pools managed now and in the future by DKR using DKR’s Quantitative Strategies Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in DKR I, LLC on August 31, 2011 for cash equal to $63,781,467.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended March 31, 2012.

Aspect Master’s, Drury Master’s, Willowbridge Master’s, CFM Master’s, Graham Master’s, Altis Master’s and KR Master’s (collectively, the “Funds”) and the Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM.

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

Management and incentive fees are charged at the Partnership level, with the exception of DKR I, LLC, where the Partnership paid, indirectly, its pro rata portion of the management and incentive fees of the Trading Company. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly and through its investment in the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

At March 31, 2012, the Partnership owned approximately 85.0% of Drury Master, 78.3% of Willowbridge Master, 71.6% of Aspect Master, 75.8% of CFM Master, 62.3% of Graham Master, 80.6% of KR Master and 72.6% of Altis Master. At December 31, 2011, the Partnership owned approximately 83.8% of Drury Master, 83.8% of Willowbridge Master, 71.5% of Aspect Master, 76.3% of CFM Master, 61.9% of Graham Master, 89.5% of KR Master and 72.7% of Altis Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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


	March 31, 2012
	Total Assets		Total Liabilities		Total Capital
Drury Master	$	124,018,374	$	394,788	$	123,623,586
Willowbridge Master		40,497,338		58,093		40,439,245
Aspect Master		155,926,932		172,519		155,754,413
CFM Master		117,474,401		1,761,349		115,713,052
Graham Master		126,414,592		815,596		125,598,996
KR Master		129,231,718		1,776,754		127,454,964
Altis Master		141,013,201		271,270		140,741,931

Total	$	834,576,556	$	5,250,369	$	829,326,187


	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Drury Master	$	119,558,883	$	54,463	$	119,504,420
Willowbridge Master		58,685,838		62,005		58,623,833
Aspect Master		163,744,655		39,491		163,705,164
CFM Master		128,240,769		60,320		128,180,449
Graham Master		127,567,600		44,426		127,523,174
KR Master		116,101,391		4,162,840		111,938,551
Altis Master		145,096,295		161,169		144,935,126

Total	$	858,995,431	$	4,584,714	$	854,410,717

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) for the Funds is shown in the following tables.


	For the three months ended March 31, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Drury Master	$	(72,302	)	$	10,544,513		$	10,472,211
Willowbridge Master		(24,293	)		(2,080,068	)		(2,104,361	)
Aspect Master		(45,641	)		3,077,847			3,032,206
CFM Master		(267,135	)		(4,576,506	)		(4,843,641	)
Graham Master		(154,873	)		3,061,669			2,906,796
KR Master		(109,287	)		(3,145,845	)		(3,255,132	)
Altis Master		(79,621	)		(1,671,720	)		(1,751,341	)

Total	$	(753,152	)	$	5,209,890		$	4,456,738

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)


	For the three months ended March 31, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Drury Master	$	(48,989	)	$	3,976,188		$	3,927,199
Willowbridge Master		(25,559	)		6,874,935			6,849,376
Aspect Master		(28,839	)		1,725,970			1,697,131
CFM Master		(391,973	)		8,294,467			7,902,494
Winton Master		46,285			22,234,532			22,280,817
Graham Master		(146,256	)		(1,070,720	)		(1,216,976	)
SandRidge Master		(250,105	)		15,043,073			14,792,968
Sasco Master		(369,953	)		(2,250,744	)		(2,620,697	)

Total	$	(1,215,389	)	$	54,827,701		$	53,612,312

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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


	March 31, 2012					For the three months ended March 31, 2012
	% of								Expenses				Net
Funds	Partnership’s Net Assets			Fair Value		Income (Loss)			Brokerage Fees		Other		Income (Loss)			Investment Objective	Redemptions Permitted
Drury Master		16.64	%	$	105,061,296	$	8,888,280		$	57,867	$	11,894	$	8,818,519		Commodity Portfolio	Monthly
Willowbridge Master		5.01	%		31,653,113		(1,640,866	)		7,965		14,267		(1,663,098	)	Commodity Portfolio	Monthly
Aspect Master		17.65	%		111,451,283		2,243,185			30,538		11,782		2,200,865		Commodity Portfolio	Monthly
CFM Master		13.88	%		87,655,850		(3,435,122	)		196,940		14,215		(3,646,277	)	Commodity Portfolio	Monthly
Graham Master		12.39	%		78,248,826		1,919,218			93,473		9,402		1,816,343		Commodity Portfolio	Monthly
KR Master		16.27	%		102,696,599		(2,532,422	)		91,143		16,684		(2,640,249	)	Commodity Portfolio	Monthly
Altis Master		16.18	%		102,171,280		(1,205,476	)		46,993		19,533		(1,272,002	)	Commodity Portfolio	Monthly

Total				$	618,938,247	$	4,236,797		$	524,919	$	97,777	$	3,614,101


	December 31, 2011					For the three months ended March 31, 2011
	% of								Expenses				Net
Funds	Partnership’s Net Assets			Fair Value		Income (Loss)			Brokerage Fees		Other		Income (Loss)			Investment Objective	Redemptions Permitted
Drury Master		15.03	%	$	100,174,719	$	3,508,802		$	48,922	$	19,154	$	3,440,726		Commodity Portfolio		Monthly
Willowbridge Master		7.37	%		49,103,137		1,213,936			7,453		6,111		1,200,372		Commodity Portfolio		Monthly
Aspect Master		17.55	%		117,010,536		1,280,542			26,520		16,544		1,237,478		Commodity Portfolio		Monthly
CFM Master		14.66	%		97,747,442		6,390,066			298,350		27,591		6,064,125		Commodity Portfolio		Monthly
Winton Master		0.00	%		—		2,567,330			14,656		3,676		2,548,998		Commodity Portfolio		Monthly
Graham Master		11.84	%		78,951,308		(670,023	)		98,289		14,289		(782,601	)	Commodity Portfolio		Monthly
SandRidge Master		0.00	%		—		2,152,330			31,737		10,774		2,109,819		Energy Portfolio		Monthly
Sasco Master		0.00	%		—		(1,727,303	)		234,412		33,687		(1,995,402	)	Energy Portfolio		Monthly
KR Master		15.04	%		100,225,332		—			—		—		—		Commodity Portfolio		Monthly
Altis Master		15.80	%		105,284,801		—			—		—		—		Commodity Portfolio		Monthly

Total				$	648,497,275	$	14,715,680		$	760,339	$	131,826	$	13,823,515

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures, swaps and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards, swaps and certain options contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 9.3% to 20.9% of the Partnership’s/Funds’ contracts are traded OTC.

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

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

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

As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Funds do not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

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

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

7. Critical Accounting Policies:

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

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

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

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

Futures Contracts. The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The Funds do not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Tactical Diversified Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Options. The Funds may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

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

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

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

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding 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 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, FASB also proposes that an investment company 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.

In December 2011, FASB issued 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 GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods 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.

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

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

Liquidity and Capital Resources

The Partnership does not engage in the sale of goods or services. The Partnership’s assets are its (i) investment in Funds, (ii) equity in its trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2012.

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

For the three months ended March 31, 2012, Partnership capital decreased 5.3% from $666,562,402 to $631,473,906. This decrease was attributable to the redemptions of 32,368.7355 Redeemable Units resulting in an outflow of $34,378,835, coupled with the net loss from operations of $14,180,161, which was offset by the subscriptions of 12,584.6636 Redeemable Units totaling $13,470,500. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

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

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the first quarter of 2012, the Partnership’s net asset value per unit decreased 2.2% from $1,068.80 to $1,045.71 as compared to an increase of 0.2% in the same period of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2012 of $1,182,457. Losses were primarily attributable to the Partnership/Funds’ trading in currencies, grains, U.S. and non-U.S. Interest rates, livestock, metals and softs and were partially offset by gains in energy and, indices. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $17,201,519. Gains were primarily attributable to the Partnership/Funds’ trading in currencies, energy, livestock, metals and softs and were partially offset by losses in grains, indices and U.S and non-U.S. interest rates.

The most significant losses were recorded within the metals sector throughout the majority of the quarter from long positions in silver and gold futures as prices declined on speculation that the U.S. Federal Reserve will refrain from offering additional stimulus as the economy recovers, eroding demand for the precious metals. Gold futures prices continued to decline after India, the world’s biggest bullion buyer, increased the tax on imports of precious metals for the second time this year. Within the global interest rate sector, losses were incurred in February and March from long positions in U.S., European, and Australian fixed-income futures. During February, prices fell amid optimism that Greece would receive a second bailout, thereby diminishing demand for the relative “safety” of government bonds. Meanwhile, prices fell further during March after the U.S. Federal Reserve upwardly revised their U.S. economic outlook. Losses were experienced within the currency markets during March from short positions in the Swiss franc, euro, and British pound versus the U.S. dollar as the value of these currencies reversed higher against the U.S. dollar. Meanwhile, long positions in the Canadian dollar and Australian dollar versus the U.S. dollar also resulted in losses 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. Within the agricultural sector, losses were incurred during January and February from short positions in sugar futures as prices advanced on concern that supplies will be tighter than forecast because of harvest delays in Brazil, the world’s largest producer of sugar. Elsewhere, short positions in cocoa futures incurred losses as prices advanced on speculation that supplies will ebb in the Ivory Coast, the world’s top producer of cocoa. Prices of cocoa futures continued to rise after a nationwide strike spurred concern that supplies will be disrupted in Nigeria, the world’s fourth-largest producer of cocoa.

A portion of the Partnership’s losses for the quarter was offset by gains experienced within the energy sector throughout the majority of the quarter 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 sector during February from long futures positions in RBOB (unleaded) gasoline and Brent crude as prices increased on concerns over inventory levels and rising tensions in the Middle East. Within the global stock index sector, gains were achieved throughout the majority of the quarter from long positions in U.S., European, and Pacific Rim equity index futures as prices were buoyed higher by better-than-expected economic reports in these regions. Prices also rose after China cut banks’ reserve requirements to fuel lending and the U.S. Federal Reserve Board raised its assessment of the U.S. economy.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account was earned at the monthly average 30-day U.S. Treasury bill yield determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income for the three months ended March 31, 2012 decreased by $96,388 as compared to the corresponding period in 2011. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three months ended March 31, 2012, as compared to the corresponding period in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership/the Funds nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three months ended March 31, 2012 decreased $1,772,708 as compared to the corresponding period in 2011. The decrease in brokerage fees is due to a decrease in average net assets for the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2012 decreased $684,102 as compared to the corresponding period in 2011. The decrease in management fees is due to a decrease in average net assets for the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Incentive fees are based on the new trading profits generated by each Advisor at the end of the quarter as defined in the respective management agreements between the Partnership, the General Partner and each Advisor. There were no incentive fees earned for the three months ended March 31, 2012. Trading performance for the three months ended March 31, 2011 resulted in incentive fees of $347,609. An Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership among the trading advisors, the General Partner considers past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the trading advisors and may allocate assets to additional advisors at any time.

As of March 31, 2012 and December 31, 2011, the Partnership’s assets were allocated among the trading Advisors in the following approximate percentages:


Advisor	March 31, 2012			December 31, 2011
Drury Capital, Inc.		16	%		15	%
Graham Capital Management, L.P.		11	%		12	%
John W. Henry & Company, Inc.		5	%		4	%
Aspect Management (Cayman) Limited		17	%		17	%
Capital Fund Management S.A.		14	%		14	%
Willowbridge Associates Inc.		5	%		7	%
Krom River Trading Program		16	%		15	%
Altis Partners (Jersey) Limited		16	%		16	%

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

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

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performance is not necessarily indicative of their future results.

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of JWH, the Partnership’s advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. JWH directly trades a managed account in the Partnership’s name. The first two trading Value at Risk tables reflects the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by JWH) and indirectly by each Fund separately. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2012 and December 31, 2011. As of March 31, 2012, the Partnership’s total capitalization was $631,473,906.


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	18,951,243		3.00	%
Energy		10,206,958		1.62	%
Grains		2,474,922		0.39	%
Indices		14,878,049		2.36	%
Interest Rates U.S.		1,973,493		0.31	%
Interest Rates Non-U.S.		11,238,699		1.78	%
Livestock		1,806,386		0.29	%
Lumber		2,148		0.00	%*
Metals		14,598,076		2.31	%
Softs		2,922,923		0.46	%

Total	$	79,052,897		12.52	%

*	Due to rounding.

As of December 31, 2011, the Partnership’s total capitalization was $666,526,402.


	December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	16,801,552		2.52	%
Energy		7,063,814		1.06	%
Grains		4,472,027		0.67	%
Indices		9,270,348		1.39	%
Interest Rates U.S.		4,114,001		0.62	%
Interest Rates Non-U.S.		17,992,268		2.70	%
Livestock		649,642		0.10	%
Lumber		46,802		0.01	%
Metals		15,238,057		2.28	%
Softs		5,060,994		0.76	%

Total	$	80,709,505		12.11	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of March 31, 2012 and December 31, 2011, the highest and lowest value at any point and the average value during the three months ended March 31, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011. As of March 31, 2012, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	589,600		0.09	%	$	925,600	$	128,400	$	426,533
Energy		767,132		0.12	%		785,832		318,720		707,392
Grains		211,800		0.03	%		736,000		40,250		139,950
Indices		165,871		0.03	%		314,626		34,911		151,536
Interest Rates U.S.		220,200		0.03	%		361,250		45,083		195,275
Interest Rates Non -U.S.		437,248		0.07	%		840,050		124,532		467,882
Metals		1,116,000		0.18	%		1,670,000		120,024		819,167
Softs		347,100		0.06	%		1,206,240		151,100		250,417

Total	$	3,854,951		0.61	%

*	Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	831,500		0.12	%	$	925,600	$	93,875	$	517,955
Energy		543,600		0.08	%		728,756		35,000		404,389
Grains		59,799		0.01	%		736,000		59,799		333,446
Indices		87,649		0.01	%		314,626		25,200		139,134
Interest Rates U.S.		349,564		0.05	%		366,200		35,200		230,360
Interest Rates Non -U.S.		644,722		0.11	%		782,302		153,679		499,999
Metals		1,670,000		0.25	%		1,670,000		90,000		731,012
Softs		722,000		0.11	%		1,206,240		48,600		616,773

Total	$	4,908,834		0.74	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Drury Master’s total capitalization was $123,623,586. The Partnership owned approximately 85.0% of Drury Master. As of March 31, 2012, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	8,876,658		7.18	%	$	10,623,092	$	4,725,187	$	9,655,683
Energy		4,234,320		3.42	%		4,234,320		1,062,672		3,224,687
Grains		1,019,802		0.82	%		1,956,180		285,305		1,301,221
Indices		5,530,977		4.47	%		8,198,762		3,221,408		5,854,859
Interest Rates U.S.		629,578		0.51	%		1,585,000		415,422		886,634
Interest Rates Non-U.S.		3,088,361		2.50	%		5,022,722		1,318,999		3,351,510
Metals		6,052,458		4.90	%		6,131,208		2,121,110		4,057,131
Softs		686,278		0.56	%		2,176,397		461,271		697,083

Total	$	30,118,432		24.36	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Drury Master’s total capitalization was $119,504,420. The Partnership owned approximately 83.8% of Drury Master. As of December 31, 2011, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	4,978,798		4.17	%	$	10,623,092	$	1,390,435	$	6,311,281
Energy		2,655,850		2.22	%		4,172,224		97,500		2,002,791
Grains		1,874,100		1.57	%		1,956,300		257,850		1,079,088
Indices		3,285,264		2.75	%		8,249,728		930,732		4,423,323
Interest Rates U.S.		838,000		0.70	%		1,673,050		149,500		1,028,371
Interest Rates Non-U.S.		4,569,722		3.82	%		7,351,133		1,109,606		2,580,222
Metals		6,131,098		5.13	%		6,131,098		1,411,950		3,837,388
Softs		1,467,655		1.23	%		2,176,397		508,252		1,348,762

Total	$	25,800,487		21.59	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Willowbridge Master’s total capitalization was $40,439,245. The Partnership owned approximately 78.3% of Willowbridge Master. As of March 31, 2012, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	212,979		0.53	%	$	3,114,825	$	212,979	$	543,573
Energy		187,480		0.46	%		3,518,500		187,480		414,493
Grains		204,250		0.51	%		2,109,250		49,500		158,833
Interest Rates U.S.		31,875		0.08	%		1,213,250		31,875		193,892
Livestock		25,200		0.06	%		76,000		13,200		17,200
Softs		215,000		0.53	%		2,629,700		37,700		177,433

Total	$	876,784		2.17	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Willowbridge Master’s total capitalization was $58,623,833. The Partnership owned approximately 83.8% of Willowbridge Master. As of December 31, 2011, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,519,874		2.60	%	$	3,114,825	$	191,750	$	1,146,326
Energy		283,500		0.48	%		4,681,000		144,000		1,513,100
Interest Rates U.S.		285,900		0.49	%		1,654,100		108,350		417,625
Interest Rates Non-U.S.		813,981		1.39	%		2,784,138		382,835		972,513
Metals		1,350,000		2.30	%		4,137,702		272,000		1,716,030
Softs		481,250		0.82	%		3,503,200		112,000		1,050,396

Total	$	4,734,505		8.08	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Aspect Master’s total capitalization was $155,754,413. The Partnership owned approximately 71.6% of Aspect Master. As of March 31, 2012, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	9,453,316		6.07	%	$	9,453,316	$	3,034,310	$	8,588,016
Energy		3,158,700		2.03	%		3,158,700		1,241,868		2,668,918
Grains		408,897		0.26	%		736,876		314,124		471,831
Indices		3,081,381		1.98	%		3,275,925		1,263,661		2,871,628
Interest Rates U.S.		175,416		0.11	%		1,448,575		83,863		710,264
Interest Rates Non-U.S.		3,139,721		2.01	%		7,061,983		699,901		4,947,095
Livestock		79,475		0.05	%		118,500		32,275		71,183
Lumber		3,000		0.00	%**		7,500		1,300		4,500
Metals		1,958,917		1.26	%		1,958,917		1,115,572		1,741,788
Softs		681,210		0.44	%		895,669		628,212		746,083

Total	$	22,140,033		14.21	%

** Due to rounding

*	Average of month-end Values at Risk.

**	Due to rounding.

As of December 31, 2011, Aspect Master’s total capitalization was $163,705,164. The Partnership owned approximately 71.5% of Aspect Master. As of December 31, 2011, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average * Value at Risk
Currencies	$	2,807,437		1.71	%	$	9,705,808	$	1,688,702	$	5,538,957
Energy		1,507,645		0.92	%		2,078,345		854,247		1,329,387
Grains		593,449		0.36	%		738,173		102,816		421,438
Indices		1,940,895		1.19	%		3,093,179		914,885		1,992,336
Interest Rates U.S.		999,225		0.61	%		2,289,150		83,863		1,060,327
Interest Rates Non-U.S.		6,012,060		3.67	%		6,742,007		699,901		4,253,781
Livestock		58,360		0.04	%		131,900		4,785		63,524
Lumber		7,500		0.00	% **		9,000		1,300		6,483
Metals		1,645,692		1.01	%		1,857,539		649,748		1,226,695
Softs		697,143		0.43	%		891,860		324,467		526,580

Total	$	16,269,406		9.94	%

*	Annual average of month-end Value at Risk.

**	Due to rounding.

As of March 31, 2012, CFM Master’s total capitalization was $115,713,052. The Partnership owned approximately 75.8% of CFM Master. As of March 31, 2012, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,710,237		2.35	%	$	6,515,677	$	903,435	$	3,687,298
Energy		479,180		0.41	%		1,164,011		119,162		552,368
Grains		280,765		0.24	%		667,599		102,213		392,747
Indices		4,368,478		3.78	%		8,029,320		525,489		4,309,405
Interest Rates U.S.		1,252,240		1.08	%		3,412,400		140,537		1,731,522
Interest Rates Non -U.S.		3,576,911		3.09	%		5,349,362		592,170		3,583,462
Livestock		56,200		0.05	%		63,210		6,005		36,707
Metals		2,169,808		1.88	%		3,566,033		181,250		2,365,388
Softs		305,556		0.26	%		442,090		122,253		282,741

Total	$	15,199,375		13.14	%

*	Average of month-end Values at Risk.

As of December 31, 2011, CFM Master’s total capitalization was $128,180,449. The Partnership owned approximately 76.3% of CFM Master. As of December 31, 2011, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,474,570		1.93	%	$	6,421,110	$	722,590	$	2,571,272
Energy		398,871		0.31	%		1,695,364		119,162		521,148
Grains		361,918		0.28	%		887,447		102,213		349,294
Indices		1,331,991		1.04	%		8,797,600		474,193		3,435,537
Interest Rates U.S.		806,950		0.63	%		6,531,050		48,245		2,259,504
Interest Rates Non -U.S.		4,515,713		3.53	%		5,287,044		592,170		3,108,648
Livestock		24,785		0.02	%		96,900		11,855		39,554
Metals		1,218,208		0.95	%		2,671,117		181,250		1,374,130
Softs		384,805		0.30	%		634,756		122,253		278,571

Total	$	11,517,811		8.99	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Graham Master’s total capitalization was $125,598,996. The Partnership owned approximately 62.3% of Graham Master. As of March 31, 2012, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,932,243		2.33	%	$	14,645,028	$	2,932,243	$	4,034,576
Energy		3,313,986		2.64	%		3,576,694		430,473		2,846,436
Grains		808,031		0.65	%		1,548,650		436,750		904,239
Indices		7,212,315		5.74	%		11,180,261		3,276,704		7,274,223
Interest Rates U.S.		190,045		0.15	%		2,390,488		91,689		1,243,390
Interest Rates Non-U.S.		5,163,732		4.11	%		6,411,562		813,077		5,317,338
Livestock		7,200		0.01	%		63,600		1,200		10,400
Metals		1,595,641		1.27	%		2,278,016		616,825		1,259,297
Softs		946,658		0.75	%		999,000		241,774		739,956

Total	$	22,169,851		17.65	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Graham Master’s total capitalization was $127,523,174. The Partnership owned approximately 61.9% of Graham Master. As of December 31, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	5,181,686		4.06	%	$	14,715,746	$	1,934,690	$	8,500,010
Energy		2,114,289		1.66	%		2,114,289		430,473		1,224,336
Grains		1,611,500		1.27	%		1,783,300		325,891		633,165
Indices		4,513,393		3.54	%		11,180,261		924,448		3,873,039
Interest Rates U.S.		1,636,222		1.28	%		4,564,925		91,689		1,397,376
Interest Rates Non-U.S.		5,486,252		4.30	%		5,647,770		813,077		2,296,485
Livestock		10,800		0.01	%		127,950		2,400		35,984
Metals		2,117,496		1.66	%		2,219,604		616,825		1,237,109
Softs		987,729		0.77	%		987,729		161,005		421,227

Total	$	23,659,367		18.55	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, KR Master’s total capitalization was $127,454,964. The Partnership owned approximately 80.6% of KR Master. As of March 31, 2012, KR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to KR for trading) was as follows:

March 31, 2012


						For the three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	1,246,149		0.98	%	$	2,684,219	$	783,511	$	1,802,826
Grains		282,096		0.22	%		1,437,749		211,872		670,587
Livestock		703,058		0.55	%		985,549		413,352		817,024
Metals		6,714,768		5.27	%		8,263,352		2,240,134		7,170,006
Softs		638,978		0.50	%		887,988		126,917		595,499

Total	$	9,585,049		7.52	%

*	Average of month-end Values at Risk.

As of December 31, 2011, KR Master’s total capitalization was $111,938,551. The Partnership owned approximately 89.5% of KR Master. As of December 31, 2011, KR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Krom River for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	651,345		0.58	%	$	1,515,141	$	114,921	$	802,683
Grains		345,908		0.31	%		2,029,031		13,500		676,464
Livestock		453,614		0.40	%		1,050,925		1,225		352,450
Metals		2,307,204		2.06	%		4,434,879		1,946,800		2,672,044
Softs		286,638		0.26	%		1,209,019		139,301		456,846

Total	$	4,044,709		3.61	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Altis Master’s total capitalization was $140,741,931. The Partnership owned approximately 72.6% of Altis Master. As of March 31, 2012, Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

March 31, 2012


						Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk *
Currencies	$	1,599,792		1.14	%	$	5,066,857	$	646,682	$	2,411,132
Energy		1,264,686		0.90	%		1,728,561		454,647		1,179,690
Grains		1,968,031		1.40	%		2,055,495		294,622		1,441,611
Indices		1,288,829		0.91	%		2,105,800		470,802		1,499,500
Interest Rates U.S.		376,246		0.27	%		798,750		101,249		539,149
Interest Rates Non -U.S.		3,431,043		2.44	%		4,106,498		211,275		2,958,492
Livestock		182,900		0.13	%		427,200		21,625		274,317
Lumber		7,500		0.00	%**		70,500		800		38,500
Metals		2,112,578		1.50	%		2,431,563		729,575		1,442,484
Softs		1,364,865		0.97	%		1,612,875		374,414		1,224,081

Total	$	13,596,470		9.66	%

*	Average of month-end Values at Risk.

**	Due to rounding.

As of December 31, 2011, Altis Master’s total capitalization was $144,935,126. The Partnership owned approximately 72.7% of Altis Master. As of December 31, 2011, Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk *
Currencies	$	4,706,034		3.25	%	$	4,735,198	$	646,682	$	2,692,436
Energy		1,077,077		0.74	%		2,954,905		374,821		1,387,930
Grains		1,147,409		0.79	%		1,342,558		294,622		660,686
Indices		1,694,372		1.17	%		4,865,066		470,802		1,611,202
Interest Rates U.S.		659,750		0.46	%		1,007,400		101,249		442,163
Interest Rates Non -U.S.		2,332,739		1.61	%		2,332,739		211,275		1,252,268
Livestock		242,550		0.17	%		244,350		21,625		109,725
Lumber		57,000		0.04	%		70,500		800		22,233
Metals		2,499,389		1.72	%		3,663,593		644,520		1,887,972
Softs		1,438,518		0.99	%		1,748,653		374,414		801,205

Total	$	15,854,838		10.94	%

*	Annual average month-end Value at Risk.

Item 4. Controls and Procedures.

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

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

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2012 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

•

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

•

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

•

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended March 31, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011. There are no material legal proceedings pending against the Partnership and the General Partner.

Subprime Mortgage-Related Litigation and Other Matters

On March 15, 2012, the United States Court of Appeals for the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals in SEC v. CGMI. Additional information relating to this matter is publicly available in court filings under docket numbers 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.) and 11-5227 (2d Cir.).

Item 1A. Risk Factors.

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

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

The public offering of Redeemable Units terminated on November 30, 2008.

For the three months ended March 31, 2012, there were additional subscriptions of 12,584.6636 Redeemable Units totaling $13,470,500. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as described in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

The following chart sets 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
January 1, 2012 – January 31, 2012		7,500.3403	$	1,063.21		N/A		N/A
February 1, 2012 – February 29, 2012		12,262.5326	$	1,078.27		N/A		N/A
March 1, 2012 – March 31, 2012		12,605.8626	$	1,045.71		N/A		N/A
		32,368.7355	$	1,062.10

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

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

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. None.

Item 5. Other Information. None.

Item 6. Exhibits



	3.1			Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York (filed as Exhibit 3.2 to the Registration on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

	(a)			Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 99.2 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

	(b)			Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 99.3 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

	(c)			Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 99.4 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

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

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

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

	3.2			Limited Partnership Agreement (filed as Exhibit A to the Post-Effective Amendment No. 5 to the Registration on Form S-1 filed on April 22, 2008 and incorporated herein by reference).

	(a)			Amendment to the Limited Partnership Agreement, dated May 31, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).

	10.1			Amended and Restated Customer Agreement among the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.1 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003 and incorporated herein by reference).

	10.2			Escrow Agreement among the Partnership, Salomon Smith Barney Inc. and JPMorgan Chase Bank (filed as Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003 and incorporated herein by reference).

	10.3			Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.5 to the Registration on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

	(a)			Letter from the General Partner extending Management Agreement with Graham for 2011 (filed as Exhibit 10.3(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	10.4			Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Registration on Form S-1 filed on December 20, 2002 and incorporated herein by reference).

	(a)			Letter from the General Partner extending Management Agreement with Willowbridge for 2011 (filed as Exhibit 10.4(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	10.5			Management Agreement among the Partnership, the General Partner and Drury (filed as Exhibit 10.4 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003 and incorporated herein by reference).

	(a)			Letter from the General Partner extending Management Agreement with Drury for 2011 (filed as Exhibit 10.5(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	10.6			Management Agreement among the Partnership, the General Partner and JWH (filed as Exhibit 10.6 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003 and incorporated herein by reference).

	(a)			Letter from the General Partner extending Management Agreement with JWH for 2011 (filed as Exhibit 10.6(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	10.7			Amended and Restated Management Agreement among the Partnership, the General Partner and CFM (filed as Exhibit 10.8 to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	(a)			Letter from the General Partner extending Amended and Restated Management Agreement with Capital Fund Management for 2011 (filed as Exhibit 10.8(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

	10.8			Management Agreement among the Partnership, the General Partner and Aspect (filed as Exhibit 10.4 to the Form 10-K filed on March 16, 2005 and incorporated herein by reference).



(a)		Letter from the General Partner extending Management Agreement with Aspect for 2011 (filed as Exhibit 10.9(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.9		Management Agreement among the Partnership, the General Partner and Altis Partners (Jersey) Limited. (filed as Exhibit 10.13 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).

10.10		Management Agreement among the Partnership, the General Partner and Krom River Investment Management (Cayman) Limited and Krom River Trading AG (filed as Exhibit 10.14 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).

10.11		Second Amended and Restated Agency Agreement among the Partnership, the General Partner, CGM and MSSB dated July 29, 2010 (filed as Exhibit 10.12 to the Form 8-K filed on August 3, 2010 and incorporated herein by reference).

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

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

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

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

101. INS XBRL Instance Document.

101. SCH XBRL Taxonomy Extension Schema Document.

101. CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101. LAB XBRL Taxonomy Extension Label Linkbase Document.

101. PRE XBRL Taxonomy Extension Presentation Linkbase Document.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


TACTICAL DIVERSIFIED FUTURES FUND L.P.

By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Walter Davis
		Walter Davis
		President and Director

Date:		May 15, 2012

By:		/s/ Brian Centner
		Brian Centner
		Chief Financial Officer
		(Principal Accounting Officer)

Date:		May 15, 2012

CERES TACTICAL SYSTEMATIC L.P. - FORM 10-Q - May 15, 2012

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