10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE

ACT OF 1934

For the quarterly period ended September 30, 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 000-52604

TIDEWATER FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York	13-3811113
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 5th Ave - 14th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(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
	(Do not check if a smaller reporting company)

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

Yes       No X

As of October 31, 2012, 10,707.9143 Limited Partnership Redeemable Units were outstanding.

TIDEWATER FUTURES FUND L.P.

FORM 10-Q

INDEX

	Page    Number
PART I — Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011	3
Condensed Schedules of Investments at September 30, 2012 (unaudited) and December 31, 2011	4 – 5
Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2012 and 2011 (unaudited)	6
Notes to Financial Statements (unaudited)	7 – 16
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	17 – 19
Item 3. Quantitative and Qualitative Disclosures about Market Risk	20 – 21
Item 4. Controls and Procedures	22
PART II — Other Information
Item 1. Legal Proceedings	23-24
Item 1A. Risk Factors	25
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	25
Item 5. Other Information	26
Item 6. Exhibits	27 – 28

2

PART I

Item 1. Financial Statements

Tidewater Futures Fund L.P.

Statements of Financial Condition

	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Equity in trading account:
Cash	$	10,896,663	$	18,186,510
Cash margin		3,460,605		5,223,123
Net unrealized appreciation on open futures contracts		445,462		478,555
Net unrealized appreciation on open forward contracts		0		299,200
Total trading equity		14,802,730		24,187,388
Interest receivable		623		0
Total assets	$	14,803,353	$	24,187,388
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	577,606	$	0
Accrued expenses:
Brokerage fees		59,274		100,781
Management fees		11,756		40,016
Other		59,021		76,781
Redemptions payable		1,278,885		452,587
Total liabilities		1,986,542		670,165
Partners’ Capital:
General Partner, 184.9703 unit equivalents outstanding at September 30, 2012 and December 31, 2011		208,894		273,506
Limited Partners, 11,164.0073 and 15,719.5935 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively		12,607,917		23,243,717
Total partners’ capital		12,816,811		23,517,223
Total liabilities and partners’ capital	$	14,803,353	$	24,187,388
Net asset value per unit	$	1,129.34	$	1,478.65

See accompanying notes to financial statements.

3

Tidewater Futures Fund L.P.

Condensed Schedule of Investments

September 30, 2012

(Unaudited)

	Notional$/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		89	$	37,622			0.29	%
Energy		27		(24,488	)		(0.19	)
Grains		90		451,865			3.53
Indices		247		(124,203	)		(0.97	)
Interest Rates U.S.		38		(4,430	)		(0.03	)
Interest Rates Non-U.S.		147		79,620			0.62
Metals		15		118,095			0.92
Softs		90		(70,492	)		(0.55	)
Total futures contracts purchased				463,589			3.62
Futures Contracts Sold
Currencies		108		(54,358	)		(0.42	)
Energy		7		(29,546	)		(0.23	)
Grains		2		(492	)		(0.00	)*
Indices		6		(4,737	)		(0.04	)
Interest Rates Non-U.S.		21		(3,138	)		(0.02	)
Livestock		59		44,075			0.34
Softs		52		30,069			0.23
Total futures contracts sold				(18,127	)		(0.14	)
Unrealized Appreciation on Open Forward Contracts
Metals		105		250,657			1.95
Total unrealized appreciation on open forward contracts				250,657			1.95
Unrealized Depreciation on Open Forward Contracts
Metals		146		(828,263	)		(6.46	)
Total unrealized depreciation on open forward contracts				(828,263	)		(6.46	)
Net fair value			$	(132,144	)		(1.03	)%

* Due to rounding

See accompanying notes to financial statements.

4

Tidewater Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		151	$	45,655			0.19	%
Energy		84		240,346			1.02
Grains		21		3,162			0.01
Indices		2		(1,728	)		(0.00	)*
Interest Rates U.S.		86		25,133			0.11
Interest Rates Non-U.S.		638		225,959			0.96
Livestock		30		27,565			0.12
Metals		18		(219,420	)		(0.93	)
Softs		81		(371,619	)		(1.58	)
Total futures contracts purchased				(24,947	)		(0.10	)
Futures Contracts Sold
Currencies		201		319,035			1.36
Grains		222		(317,073	)		(1.35	)
Indices		249		125,758			0.53
Softs		250		375,782			1.60
Total futures contracts sold				503,502			2.14
Unrealized Appreciation on Open Forward Contracts
Metals		54		301,950			1.28
Total unrealized appreciation on open forward contracts				301,950			1.28
Unrealized Depreciation on Open Forward Contracts
Metals		1		(2,750	)		(0.01	)
Total unrealized depreciation on open forward contracts				(2,750	)		(0.01	)
Net fair value			$	777,755			3.31	%

* Due to rounding.

See accompanying notes to financial statements.

5

Tidewater Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment income:
Interest income	$	1,990		$	835		$	5,870		$	9,818
Expenses:
Brokerage fees including clearing fees		207,866			352,119			748,379			1,406,518
Management fees		78,926			134,595			282,414			514,614
Other		38,107			39,034			142,650			115,448
Total expenses		324,899			525,748			1,173,443			2,036,580
Management fees waived		(39,463	)		0			(53,620	)		0
Net expenses		285,436			525,748			1,119,823			2,036,580
Net investment income (loss)		(283,446	)		(524,913	)		(1,113,953	)		(2,026,762	)
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(280,971	)		(3,955,421	)		(3,134,877	)		1,276,991
Change in net unrealized gains (losses) on open contracts		69,031			(1,520,897	)		(909,899	)		(7,856,516	)
Total trading results		(211,940	)		(5,476,318	)		(4,044,776	)		(6,579,525	)
Net income (loss)		(495,386	)		(6,001,231	)		(5,158,729	)		(8,606,287	)
Subscriptions - Limited Partners		0			452,229			342,162			1,124,729
Redemptions - Limited Partners		(2,750,176	)		(521,278	)		(5,883,845	)		(11,843,864	)
Redemptions - General Partner		0			0			0			(200,000	)
Net increase (decrease) in Partners’ Capital		(3,245,562	)		(6,070,280	)		(10,700,412	)		(19,525,422	)
Partners’ Capital, beginning of period		16,062,373			28,216,902			23,517,223			41,672,044
Partners’ Capital, end of period	$	12,816,811		$	22,146,622		$	12,816,811		$	22,146,622
Net asset value per unit (11,348.9776 and 15,730.4317 units outstanding at September 30, 2012 and 2011, respectively)	$	1,129.34		$	1,407.88		$	1,129.34		$	1,407.88
Net income (loss) unit *	$	(44.40	)	$	(380.86	)	$	(349.31	)	$	(574.55	)
Weighted average units outstanding		13,186.3399			15,873.3636			14,691.5258			17,089.2039

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

6

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

1. General:

Tidewater Futures Fund L.P. (the “Partnership”) is a limited partnership organized on February 23, 1995 under the partnership laws of the State of New York 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, metals and softs. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units interest (“Redeemable Units”) in the Partnership 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. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and 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 Inc.

As of September 30, 2012, all trading decisions for the Partnership are made by Chesapeake Capital Corporation (the “Advisor”). The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM.

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 is liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.

Effective May 22, 2012, the Advisor, in consultation with the General Partner, agreed to reduce the overall leverage of the Partnership’s assets traded pursuant to the Advisor’s Diversified 2XL Program (the “Program”) from 75% of the customary leverage utilized by the Program, to 50% of the customary leverage utilized by the Program. The Advisor, in further consultation with the General Partner will determine, if, and at what time, the Partnership’s leverage may be readjusted.

As of June 1, 2012, the Advisor agreed to reduce the management fee it receives from the Partnership from an annual rate of 2% of adjusted net assets to an annual rate of 1% of adjusted net assets. This management fee reduction will remain in effect until the General Partner and the Advisor determine otherwise.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2012 and December 31, 2011 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 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.

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.

7

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2012 and 2011 were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	(38.67	)	$	(369.97	)	$	(324.92	)	$	(538.18	)
Interest income		0.16			0.05			0.42			0.54
Expenses **		(5.89	)***		(10.94	)		(24.81	)***		(36.91	)
Increase (decrease) for the period		(44.40	)		(380.86	)		(349.31	)		(574.55	)
Net asset value per unit, beginning of period		1,173.74			1,788.74			1,478.65			1,982.43
Net asset value per unit, end of period	$	1,129.34		$	1,407.88		$	1,129.34		$	1,407.88

* Includes brokerage fees and clearing fee.

** Excludes brokerage fees and clearing fee.

*** Expenses per unit would have been (8.88) and (28.78) for the three and nine months ended September 30, 2012, respectively, had it not been for the management fee waived by the Advisor.

	Three Months  Ended September 30,						Nine Months Ended September 30,
	2012			2011(2)			2012			2011(2)
Ratios to average net assets: (1)
Net investment income (loss)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Net investment income (loss) before incentive fees (3)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Operating expense		7.5	%(4)		7.7	%		8.0	%(4)		8.1	%
Incentive fees		—	%		—	%		—	%		—	%
Total expenses and incentive fee		7.5	%		7.7	%		8.0	%		8.1	%
Total return:
Total return before incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Total return after incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%

(1) Annualized (other than incentive fees).

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

(3) Interest income less total expenses

(4) Percentages are after management fee waivers. The Advisor voluntarily waived a portion of the management fee (equal to 0.3% of the Adjusted Net Assets for each period).

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

8

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 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 agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20 “Balance Sheet,” have been met.

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the three months ended September 30, 2012 and 2011 were 920 and 2,002. The monthly average number of futures contracts traded by the Partnership during the nine months ended September 30, 2012 and 2011 were 1,316 and 2,786. The monthly average number of metal forward contracts traded by the Partnership during the three months ended September 30, 2012 and 2011 were 142 and 98. The monthly average number of metal forward contracts traded by the Partnership during the nine months ended September 30, 2012 and 2011 were 102 and 122. The monthly average notional value of currency forward contracts held by the Partnership during the three months ended September 30, 2012 and 2011 were $0 and $0. The monthly average notional value of currency forward contracts held by the Partnership during the nine months ended September 30, 2012 and 2011 were $685,407 and $0.

9

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 and forward contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures Contracts
Currencies	$	106,134
Energy		6,468
Grains		478,315
Indices		35,672
Interest Rates U.S.		15,000
Interest Rates Non-U.S.		92,241
Livestock		71,275
Metals		119,325
Softs		37,013
Total unrealized appreciation on open futures contracts	$	961,443
Liabilities
Futures Contracts
Currencies	$	(122,870	)
Energy		(60,502	)
Grains		(26,942	)
Indices		(164,612	)
Interest Rates U.S.		(19,430	)
Interest Rates Non-U.S.		(15,759	)
Livestock		(27,200	)
Metals		(1,230	)
Softs		(77,436	)
Total unrealized depreciation on open futures contracts	$	(515,981	)
Net unrealized appreciation on open futures contracts	$	445,462	*
	September 30, 2012
Assets
Forward Contracts
Metals	$	250,657
Total unrealized appreciation on open forward contracts	$	250,657
Liabilities
Forward Contracts
Metals	$	(828,263	)
Total unrealized depreciation on open forward contracts	$	(828,263	)
Net unrealized depreciation on open forward contracts	$	(577,606	)**

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

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

10

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Assets	December 31, 2011
Futures Contracts
Currencies	$	518,318
Energy		255,066
Grains		42,625
Indices		200,253
Interest Rates U.S.		34,313
Interest Rates Non-U.S.		360,868
Livestock		38,625
Softs		420,142
Total unrealized appreciation on open futures contracts	$	1,870,210
Liabilities
Futures Contracts
Currencies	$	(153,628	)
Energy		(14,720	)
Grains		(356,536	)
Indices		(76,223	)
Interest Rates U.S.		(9,180	)
Interest Rates Non-U.S.		(134,909	)
Livestock		(11,060	)
Metals		(219,420	)
Softs		(415,979	)
Total unrealized depreciation on open futures contracts	$	(1,391,655	)
Net unrealized appreciation on open futures contracts	$	478,555	*

Assets	December 31, 2011
Forward Contracts
Metals	$	301,950
Total unrealized appreciation on open forward contracts	$	301,950
Liabilities
Forward Contracts
Metals	$	(2,750	)
Total unrealized depreciation on open forward contracts	$	(2,750	)
Net unrealized appreciation on open forward contracts	$	299,200	**

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

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

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months Ended September 30, 2012 Gain (loss) from trading			Nine Months Ended September 30, 2011 Gain (loss) from trading
Currencies	$	(87,929	)	$	(2,256,330	)	$	(1,520,668	)	$	(744,996	)
Energy		(235,095	)		(789,081	)		(682,782	)		769,031
Grains		474,707			(704,236	)		(313,086	)		(2,138,665	)
Indices		85,058			(2,910,763	)		(877,327	)		(3,014,293	)
Interest Rates U.S.		30,406			892,977			264,612			838,492
Interest Rates Non-U.S.		97,753			2,604,105			588,830			1,240,500
Livestock		168,340			(173,235	)		(6,315	)		(1,232,627	)
Metals		(355,677	)		(939,403	)		(322,234	)		(478,067	)
Softs		(389,503	)		(1,200,352	)		(1,175,806	)		(1,818,900	)
Total	$	(211,940	)***	$	(5,476,318	)***	$	(4,044,776	)***	$	(6,579,525	)***

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

11

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

4. Fair Value Measurements:

Partnership’s Investments. All commodity interests held by the Partnership (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 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 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 Level 2 assets and liabilities.

The Partnership 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.

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 the Financial Accounting Standards Board’s (“FASB”) 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.

12

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The Partnership considers 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). As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2 ) or 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 nine months ended September 30, 2012.

	September 30, 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	$	961,443		$	961,443		$	0	$	0
Forwards		250,657			250,657			0		0
Total assets		1,212,100			1,212,100			0		0
Liabilities
Futures	$	515,981		$	515,981		$	0	$	0
Forwards		828,263			828,263			0		0
Total liabilities		1,344,244			1,344,244			0		0
Net fair value	$	(132,144	)	$	(132,144	)	$	0	$	0

	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	$	1,870,210	$	1,870,210	$	0	$	0
Forwards		301,950		301,950		0		0
Total assets		2,172,160		2,172,160		0		0
Liabilities
Futures	$	1,391,655	$	1,391,655	$	0	$	0
Forwards		2,750		2,750		0		0
Total liabilities		1,394,405		1,394,405		0		0
Net fair value	$	777,755	$	777,755	$	0	$	0

13

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

5. Financial Instrument Risks:

In the normal course of business, the Partnership is party 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, or to purchase or sell other financial instruments at specified terms on specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Each of these instruments is subject to various risks similar to those relating 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 0.0% to 6.4% of the Partnership’s contracts are traded OTC.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net 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 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 is 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 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 risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership 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 business, these instruments may not be held to maturity.

6. 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 Investments. All commodity interests held by the Partnership (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

14

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 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. GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Partnership’s 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 Level 2 assets and liabilities.

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

The Partnership considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2) or 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 transfer of assets or liabilities between Level 1 and Level 2 during the nine months ended September 30, 2012.

Futures Contracts. The Partnership trades 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 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. When the contract is closed, the Partnership records 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 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.

15

Tidewater Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership 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. 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 Partnership records 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.

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 2009 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. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. 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 arrangement 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.”

16

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its equity in its trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, and 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 in the third 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 expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2012, Partnership capital decreased 45.5% from $23,517,223 to $12,816,811. This decrease was attributable to a net loss of $5,158,729, coupled with redemptions of 4,790.8187 Redeemable Units totaling $5,883,845, which was partially offset by the subscriptions of 235.2325 Redeemable Units totaling $342,162. Future redemptions can 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 6 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.

17

Results of Operations

During the Partnership’s third quarter of 2012, the net asset value per unit decreased 3.8% from $1,173.74 to $1,129.34 as compared to a decrease of 21.3% in the third quarter of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the third quarter of 2012 of $211,940. Losses were primarily attributable to the trading of commodity futures in currencies, energy, metals and softs were partially offset by gains in grains, indices, U.S. and non-U.S. interest rates and livestock. The Partnership experienced a net trading loss before brokerage fees and related fees in the third quarter of 2011 of $5,476,318. Losses were primarily attributable to the trading of commodity futures in currencies, energy, grains, livestock, metals, softs and indices and were partially offset by gains in U.S. and non-U.S. interest rates.

The most significant losses were incurred within the metals complex during September from short positions in nickel, aluminum, and zinc futures as prices moved higher amid signs of increased infrastructure spending by the Chinese government. Within the energy markets, losses were recorded during July and August from short futures positions in crude oil and its related products as prices advanced on concern that instability in the Middle East will disrupt energy supplies. Within the currency sector, losses were experienced during August from short positions in the Norwegian krone, euro, and Swiss franc versus the U.S. dollar as the value of these European currencies moved higher against the U.S. dollar after German Chancellor Angela Merkel reiterated her commitment to working with the European Central Bank to resolve the euro-zone’s financial turmoil. A portion of the Partnership’s losses during the quarter was offset by gains achieved within the agricultural complex during July from long futures positions in the soybean complex, corn, and wheat as prices rose after a heat wave and drought in the U.S. Midwest threatened to limit output. Additional gains were recorded in this sector during July from short positions in feeder cattle futures as prices fell on speculation U.S. supplies may increase. Within the global interest rate sector, gains were experienced during July from long positions in U.S. and European fixed income futures as prices advanced on concern the global economic recovery is slowing. Within the global stock index markets, gains were recorded during August from long positions in U.S. equity index futures as prices moved higher on better-than-expected reports of U.S. corporate earnings and after the U.S. Federal Reserve’s plan to buy mortgage securities fueled demand for “riskier” assets.

During the Partnership’s nine months ended September 30, 2012, the net asset value per unit decreased 23.6% from $1,478.65 to $1,129.34 as compared to a decrease of 29.0% during the nine months ended September 30, 2011. The Partnership experienced a net trading loss before brokerage fees and related fees for the nine months ended September 30, 2012 of $4,044,776. Losses were primarily attributable to the trading of commodity futures in currencies, energy, grains, indices, livestock, metals and softs and were partially offset by gains in U.S. and non-U.S. interest rates. The Partnership experienced a net trading loss before brokerage fees and related fees for the nine months ended September 30, 2011 of $6,579,525. Losses were primarily attributable to the trading of commodity futures in currencies, grains, livestock, softs, metals and indices and were partially offset by gains in energy, U.S. and non-U.S. interest rates.

The most significant losses were incurred within the currency sector during January from short positions in the Swiss franc versus the U.S. dollar as the value of the franc reversed higher against the U.S. dollar. During February and March, long positions in the Mexican peso and Norwegian krone versus the U.S. dollar resulted in losses as the value of these currencies fell against the U.S. dollar after concern over earnings in China reduced demand for higher-yielding currency assets. Within the agricultural complex, losses were experienced during January from short positions in cocoa futures as prices advanced on concern supplies from the Ivory Coast, the world’s largest cocoa growing country, may weaken. Losses were also recorded during May from long futures positions in the soybean complex as prices fell amid favorable growing conditions in the U.S. Additional losses in this sector were experienced in June from short positions in sugar futures as prices advanced after heavy rains hampered the harvest in Brazil. Meanwhile, losses were recorded in the energy sector primarily during May from long futures positions in crude oil and its related products as prices declined on signs that manufacturing is slowing in China and Europe and after stockpiles rose in the U.S. Within the global stock index markets, losses were experienced during April and May from long positions in U.S., European, and Japanese equity index futures as prices fell amid an unexpected rise in the U.S. unemployment rate and weakening economic data from China and Europe. Within the metals complex, losses were incurred during September from short positions in nickel, aluminum, and zinc futures as prices moved higher amid signs of increased infrastructure spending by the Chinese government. A portion of the Partnership’s losses during the first nine months of the year was offset by gains experienced within the global interest rate sector during April and May from Australian, U.S., and European fixed income futures as prices advanced after Standard & Poor’s cut Spain’s credit rating and Greece failed to form a unified government, adding to concern central banks and politicians are failing to contain the European debt crisis. Gains in this sector were also experienced during July from long positions in U.S. and European fixed income futures as prices advanced on concern the global economic recovery is slowing.

18

Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to identify those price trends correctly. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is 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 brokerage account was earned at a 30-day U.S. Treasury bill rate 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 September 30, 2012 increased by $1,155, as compared to the corresponding period in 2011. The increase in interest income was primarily due to higher U.S. Treasury bill rates during the three months ended September 30, 2012, as compared to the corresponding period in 2011. Interest income for the nine months ended September 30, 2012 decreased by $3,948, as compared to the corresponding period in 2011. The decrease in interest income was primarily due to lower average net assets during the nine months ended September 30, 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 account and upon interest rates over which neither the Partnership nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the end 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 and clearing fees for the three and nine months ended September 30, 2012 decreased by $144,253 and $658,139, respectively, as compared to the corresponding periods in 2011. The decrease in brokerage fees is due to lower average adjusted net assets during the three and nine months ended September 30, 2012, as compared to the corresponding periods 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 and nine months ended September 30, 2012 decreased by $95,132 and $285,820, respectively, as compared to the corresponding periods in 2011. The decrease in management fees is due to lower average adjusted net assets as well as a reduction in the management fee rate during the three and nine months ended September 30, 2012, as compared to the corresponding periods in 2011.

Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three and nine months ended September 30, 2012 or 2011. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

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

19

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership’s 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 open positions and, consequently, in its earnings and cash balances. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open contracts and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates 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 past performance is not necessarily indicative of its future results.

“Value at Risk” is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership 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 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 losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Partnership as the measure of its 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.

20

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2012 and December 31, 2011, and the highest, lowest and average values during the three months ended September 30, 2012 and the twelve months ended December 31, 2011. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of September 30, 2012, the Partnership’s total capitalization was $12,816,811. There has been no material change 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.

September 30, 2012

						Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	398,030		3.11	%	$	404,777	$	342,534	$	383,468
Energy		117,822		0.92	%		131,098		60,830		106,667
Grains		231,250		1.80	%		243,150		106,750		238,058
Indices		697,848		5.45	%		703,517		372,259		515,994
Interest Rates U.S.		82,550		0.64	%		91,800		62,050		80,350
Interest Rates Non-U.S.		301,066		2.35	%		325,722		262,645		311,180
Livestock		79,900		0.62	%		93,200		79,900		87,100
Metals		378,640		2.95	%		535,516		295,817		457,979
Softs		273,943		2.14	%		274,243		201,512		240,600
Total	$	2,561,049		19.98	%

* Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s total capitalization was $23,517,223.

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	$	1,081,085		4.60	%	$	1,379,867	$	832,855	$	1,097,042
Energy		455,800		1.94	%		863,083		450,550		622,684
Grains		351,542		1.50	%		1,141,450		185,150		622,608
Indices		492,553		2.09	%		2,710,265		295,731		1,524,778
Interest Rates U.S.		175,100		0.74	%		179,800		29,500		109,475
Interest Rates Non-U.S.		1,031,701		4.39	%		1,076,331		358,383		784,532
Livestock		41,700		0.18	%		265,450		39,970		124,117
Metals		362,324		1.54	%		1,316,070		354,331		791,992
Softs		555,733		2.36	%		1,581,019		390,793		790,732
Total	$	4,547,538		19.34	%

* Annual average of month-end Values at Risk.

21

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, (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 President 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 President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2012 and, based on that evaluation, the General Partner’s President 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 President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

22

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, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

CGM (together with Citigroup Inc. and its other subsidiaries, “Citigroup”) (formerly known as Salomon Smith Barney Inc.) is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM or any of its individual principals and no such actions are currently pending, except as follows.

RMBS Litigation and Other Matters

On May 4, 2012, the district court in FEDERAL HOUSING FINANCE AGENCY v. UBS AMERICAS, INC., ET AL., a parallel case to FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL., and FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL., denied defendants’ motion to dismiss plaintiff’s securities law claims and granted defendants’ motion to dismiss plaintiff’s negligent misrepresentation claims. On June 19, 2012, the district court granted defendants’ motion to certify an interlocutory appeal to the United States Court of Appeals for the Second Circuit from the court’s statutes of repose and limitations rulings.

On May 15, 2012, Woori Bank filed a complaint in the United States District Court for the Southern District of New York against Citigroup alleging actionable misstatements and omissions in connection with Woori Bank’s $95 million investment in five collateralized debt obligations.

On May 18, 2012, the Federal Deposit Insurance Corporation filed (“FDIC”) complaints in the United States District Courts for the Southern District of New York and the Central District of California against various defendants, including Citigroup Global Markets Inc., Citicorp Mortgage Securities Inc., and CitiMortgage Inc., in connection with purchases of residential mortgage-backed securities (“RMBS”) by two failed banks for which the FDIC is acting as receiver.

On June 6, 2012, the court granted in part and denied in part defendants’ motions to dismiss in WESTERN & SOUTHERN LIFE INS. CO., ET AL. v. RESIDENTIAL FUNDING CO., LLC, ET AL.

On June 26, 2012, the court overruled defendants’ demurrer to plaintiff’s amended complaint in FEDERAL HOME LOAN BANK OF CHICAGO v. BANC OF AMERICA SECURITIES, LLC, ET AL.

On July 27, 2012, John Hancock Life Insurance Co. and several affiliated entities filed a complaint in the United States District Court for the District of Minnesota against various defendants, including CGM, asserting disclosure claims arising out of purchases of RMBS.

On August 29, 2012, the United States District Court for the Southern District of New York issued an order preliminarily approving the parties’ settlement in IN RE CITIGROUP INC. SECURITIES LITIGATION, pursuant to which Citigroup has agreed to pay $590 million. A fairness hearing is scheduled for January 15, 2013.

On August 30, 2012, Rentokil-Initial Pension Scheme filed a putative class action complaint against Citigroup on behalf of purchasers of 26 Citigroup offerings of medium term Euro Notes issued between October 12, 2005 and February 25, 2009. The complaint asserts claims under Section 90 of the Financial Services and Markets Act 2000 and includes allegations similar to those asserted in IN RE CITIGROUP INC. BOND LITIGATION.

23

On October 15, 2012, the United States District Court for the Southern District of New York granted lead plaintiffs’ amended motion for class certification in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL., having previously denied lead plaintiffs’ motion for class certification on January 18, 2011. Plaintiffs in this action allege violations of Sections 11, 12, and 15 of the Securities Act of 1933, as amended, and assert disclosure claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredited Loans, Inc. pursuant or traceable to prospectus materials filed on March 3, 2006 and April 3, 2007. CGM is one of the underwriter defendants.

Other Matters

Citigroup and Citibank, N.A., along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in the multidistrict litigation (MDL) proceeding before Judge Buchwald in the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION. Judge Buchwald has appointed interim lead class counsel for, and consolidated amended complaints have been filed on behalf of, three separate putative classes of plaintiffs: (1) OTC purchasers of derivative instruments tied to USD LIBOR; (2) purchasers of exchange-traded derivative instruments tied to USD LIBOR; and (3) indirect OTC purchasers of U.S. debt securities. Each of these putative classes alleges that the panel bank defendants conspired to suppress USD LIBOR in violation of the Sherman Act and/or the Commodity Exchange Act, thereby causing plaintiffs to suffer losses on the instruments they purchased. Also consolidated into the MDL proceeding are individual civil actions commenced by various Charles Schwab entities that allege that the panel bank defendants conspired to suppress the USD LIBOR rates in violation of the Sherman Act, the Racketeer Influenced and Corrupt Organizations Act, and California state law, causing the Schwab entities to suffer losses on USD LIBOR-linked financial instruments that they owned. Plaintiffs in these actions seek compensatory damages and restitution for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwab and OTC plaintiffs also seek injunctive relief.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of CGM. GCM may establish reserves from time to time in connections with such actions. Additional lawsuits containing claims similar to those described above may be filed in the future.

24

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, and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012, other than as set forth below.

Speculative position and trading limits may reduce profitability.

The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person may hold or control in particular futures and options on futures. The trading instructions of an advisor may have to be modified, and positions held by the Partnership may have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership by increasing transaction costs to liquidate positions and foregoing potential profits.

In October 2011, the CFTC adopted new rules governing position limits. In September 2012, these rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. It is possible, nevertheless, that these rules may take effect in some form via re-promulgation or a successful appeal by the CFTC of the District Court’s ruling. The vacated rules established position limits on certain futures contracts and any economically equivalent futures, options and swaps.

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

For the three months ended September 30, 2012, there were no additional subscriptions of Redeemable Units. 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 defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased be accredited investors in a private offering.

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

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

Period	(a) Total Number of Shares (or Units) Purchased*	(b) Average Price Paid per Share (or Unit)**		(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs
July 1, 2012 - July 31, 2012	291.9830	$	1,234.82		N/A	N/A
August 1, 2012 - August 31, 2012	911.4250	$	1,218.69		N/A	N/A
September 1, 2012 - September 30, 2012	1,132.4180	$	1,129.34		N/A	N/A
	2,335.8260	$	1,177.39

* 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.

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Item 3. Defaults Upon Senior Securities — None

Item 4. Mine Safety Disclosures — None

Item 5. Other Information

The registrant does not have a board of directors. The General Partner is managed by a board of directors.

Effective November 14, 2012, Mr. Damian George was appointed a director of the General Partner.

Damian George, age 45, has been a Director of the General Partner since November 2012. Since June 2012, Mr. George has been the Chief Financial Officer and a principal of the General Partner and is an associate member of the National Futures Association. Since August 2009, Mr. George has been employed by Morgan Stanley Smith Barney LLC, a financial services firm, where his responsibilities include oversight of budgeting, finance and Sarbanes-Oxley testing for the Alternative Investments–Managed Futures group. Since August 2009, Mr. George has been registered as an associated person of Morgan Stanley Smith Barney LLC. From November 2005 through July 2009, Mr. George was employed by Citi Alternative Investments, a division of Citigroup Inc. (“Citigroup”), a financial services firm, which administered Citigroup’s hedge fund and fund of funds business, where he served as Director and was responsible for budgeting, finance and Sarbanes-Oxley testing for the Hedge Fund Management group. From November 2004 through July 2009, Mr. George was registered as an associated person of CGM. Mr. George earned his Bachelor of Science degree in Accounting in May 1989 from Fordham University and his Master of Business Administration degree in International Finance in February 1998 from Fordham University. Mr. George is a Certified Public Accountant.

In addition, effective January 1, 2013 (the “Effective Date”), the Advisor will no longer be responsible for trading decisions made for the Partnership or allocated a portion of the Partnership’s assets to manage. The Advisor will be replaced with Rabar Market Research, Inc. (“Rabar”) as the sole trading advisor to the Partnership. It is anticipated that on or about the Effective Date, the Partnership’s assets will be traded pursuant to Rabar’s Diversified Program. Limited partners have been given the option to redeem their investments in the Partnership prior to the Effective Date.

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Item 6. Exhibits

3.1		Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
3.2		Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
	(a)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated February 26, 1999 (filed as Exhibit 3.1(a) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
	(b)	Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
	(c)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 1, 2001 (filed as Exhibit 3.1(b) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
	(d)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
	(e)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(c) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
	(f)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
	(g)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
	(h)	Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.2(h) to the current report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
	(i)	Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the current report on Form 8-K filed on September 17, 2011 and incorporated herein by reference).

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10.1	Amended and Restated Management Agreement among the Partnership, the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 to the current report on Form 8-K filed on September 16, 2010 and incorporated herein by reference).
10.1(a)	Letter extending the Management Agreement between the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 (a) to the annual report on Form 10-K, filed March 30, 2012 and incorporated herein by reference).
10.2	Second Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
10.3	Amended and Restated Agency Agreement between the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
10.4	Form of Subscription Agreement (filed herein).
10.5	Joinder Agreement among Citigroup Managed Futures LLC (the former name of the General Partner), Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director). Exhibit 32.1 — Section 1350 Certification (Certification of President and Director). Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director).
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.
101.DEF	XBRL     Taxonomy Extension Definition Linkbase Document.

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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.

TIDEWATER FUTURES FUND L.P.
By:	Ceres Managed Futures LLC
	(General Partner)
By:	/s/ Walter Davis
	Walter Davis
	President and Director
Date: November 14, 2012
By:	/s/ Damian George
	Damian George
	Chief Financial Officer and Director (Principal Accounting Officer)

Date: November 14, 2012

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EX-10.4

Exhibit 10.4

TIDEWATER FUTURES FUND L.P.

SUBSCRIPTION/EXCHANGE AGREEMENT

To accompany the Private Placement Offering Memorandum and Disclosure Document dated June 30, 2012.

NOT FOR USE AFTER MARCH 31, 2013.

Morgan Stanley Smith Barney Account Full Name of Account

CASH SUBSCRIPTIONS Note: only use this section for cash purchases or adding cash to an exchange subscription to meet the minimum

	Minimum Subscription Amounts
Partnership	$25,000; $10,000 for additional subscriptions (all accounts)
Tidewater Futures Fund L.P.	$

EXCHANGE SUBSCRIPTIONS (AVAILABLE FOR TRAIL OPTION ONLY)
Fund name and/or security number(s) for commodity pool(s) from which units are to be redeemed to exchange	ALL MINIMUMS APPLY Check Box to specify entire interest or quantity of units to be redeemed to exchange
	¨    Entire Interest or                      Units
	¨    Entire Interest or                      Units
	¨    Entire Interest or                      Units
This Subscription/Exchange Agreement must be received by the General Partner no later than 3 business days prior to calendar month-end to be included in the current close. Enter Subscription/Exchange order before sending Agreement to the below address. Client(s) signature MUST be original and therefore can not be faxed or scanned to the General Partner. Account will be debited upon receipt of this Agreement by the General Partner. For Branch Use: FA/PWA Payment Type: Check one:          (Trail)          (Upfront)
Mail completed Subscription Agreement to:	Ceres Managed Futures LLC 522 Fifth Ave, 14th Fl New York, New York 10036 (212) 296-1999

Financial Advisor/Private Wealth Advisor Name	Employee ID/FA/PW Number		FA/PW Advisor’s Telephone No.
Client Service Associate Name		Client Service Associate Telephone No.

B-1

By executing the signature page of this Subscription Agreement and Power of Attorney (the “Agreement”), you (for yourself and any co-subscriber, and, if you are signing on behalf of an entity, on behalf of and with respect to that entity and its shareholders, partners, beneficiaries or members), represent and warrant to Citigroup Global Markets Inc., Morgan Stanley & Co. LLC, Morgan Stanley Smith Barney LLC, Ceres Managed Futures LLC (the “General Partner”) and Tidewater Futures Fund L.P. (the “Partnership”), as follows (as used below, the terms “you” and “your” refer to you and your co-subscriber, if any, or if you are signing on behalf of an entity, such entity). You understand that Citigroup Global Markets Inc., Morgan Stanley & Co. LLC, Morgan Stanley Smith Barney LLC, the General Partner, and the Partnership will rely upon all of your statements and representations in this Agreement in deciding whether to allow you to invest in the Partnership.

(1) You have received and carefully read, understand and agree to abide by the terms of investment as described in the Private Placement Memorandum and Disclosure Document dated June 30, 2012 (the “Memorandum”) and the limited partnership agreement (the “Limited Partnership Agreement”) including any supplements and exhibits thereto, relating to and describing the terms and conditions of the private placement of units of limited partnership interest (the “Units”). You hereby acknowledge that no person is authorized to give any information or to make any statement not contained in the Memorandum or the Limited Partnership Agreement, and that any information or statement not contained in the Memorandum or the Limited Partnership Agreement must not be relied upon as having been authorized by the Partnership. You represent that an investment in the Partnership in the amount subscribed, despite its substantial risk, is suitable and appropriate for you given your investment objectives, risk tolerance, other holdings, and financial situation and needs, and you understand that an investment in the Partnership is speculative and may result in the complete loss of your investment. You have carefully reviewed and understand the various risks of an investment in the Partnership, including those summarized under “Risk Factors” and “Conflicts of Interest” in the Memorandum.

(2) You understand that the General Partner intends to restrict investment in the Partnership to purchasers who are “accredited investors” as defined in Regulation D of the Securities Act of 1933, as amended (the “Securities Act”). You hereby represent that you are an “accredited investor” because you satisfy one or more of the following categories of “accredited investor:”

INDIVIDUAL INVESTORS

Please check ALL applicable boxes below.

¨ I have a net worth (or joint net worth together with my spouse) in excess of $1,000,000. I understand that the term “net worth” means the excess of total assets at fair market value, excluding the value of my primary residence, over total liabilities. In calculating net worth, I have not included as a liability any indebtedness that is secured by my primary residence other than the amount of such indebtedness in excess of (i) the amount outstanding 61 days ago, unless incurred as a result of the acquisition of such residence, or (ii) the estimated fair market value of such residence (whichever excess amount of indebtedness is greater).

¨ I have had an annual income during the last two full calendar years of in excess of $200,000 (or joint income together with my spouse of in excess of $300,000) and reasonably expect to have an annual income in excess of $200,000 (or joint income together with my spouse of in excess of $300,000) during the current calendar year.

INVESTORS OTHER THAN INDIVIDUALS INCLUDING TRUSTS, CORPORATIONS OR PARTNERSHIPS

Please check ALL applicable boxes below.

¨ Any bank as defined in Section 3(a)(2) of the Securities Act, or any savings and loan association or other institution as defined in Section 3(a)(5)(A) of the Securities Act whether acting in its individual or fiduciary capacity.

¨ Any broker or dealer registered pursuant to Section 15 of the Securities Exchange Act of 1934; any insurance company as defined in Section 2(13) of the Securities Act.

B-2

¨ Any investment company registered under the Investment Company Act of 1940, as amended, or a business development company as defined in Section 2(a)(48) of that Act.

¨ Any Small Business Investment Company licensed by the U.S. Small Business Administration under Section 301(c) or (d) of the Small Business Investment Act of 1958.

¨ Any plan established and maintained by a state, its political subdivisions, or any agency or instrumentality of a state or its political subdivisions for the benefit of its employees, if such plan has total assets in excess of $5,000,000.

¨ An employee benefit plan within the meaning of Title I of ERISA, if the investment decision is made by a plan fiduciary, as defined in Section 3(21) of such Act, which is either a bank, savings and loan association, insurance company, or registered investment adviser, or if the employee benefit plan has total assets in excess of $5,000,000 or, if a self-directed plan, with investment decisions made solely by persons that are accredited investors.

¨ Any private business development company as defined in Section 202(a)(22) of the Investment Advisers Act of 1940.

¨ Any organization described in Section 501(c)(3) of the Internal Revenue Code, corporation, Massachusetts or similar business trust, or partnership, not formed for the specific purpose of acquiring the Units, with total assets in excess of $5,000,000.

¨ Any trust, with total assets in excess of $5,000,000, not formed for the specific purpose of acquiring the Units whose purchase is directed by a sophisticated person as described in Rule 506(b)(2)(ii) under Regulation D.

¨ Any trust that is an accredited investor because it is a revocable trust which may be amended or revoked at any time by the grantors thereof and all of the grantors are accredited investors.

¨ Any entity in which all of the equity owners are accredited investors.

(3) You are acquiring the Units for your own account, as principal, for investment and not with a view to the resale or distribution of all or any part of such Units.

(4) Units were not offered to you by means of any general solicitation or general advertising by the General Partner or any person acting on its behalf, including without limitation (a) any advertisement, article, notice, or other communication published in any newspaper, magazine, or similar media or broadcast over television or radio, or (b) any seminar or meeting to which you were invited by any general solicitation or general advertising.

(5) (i) You have a net worth alone or with your spouse exceeding ten (10) times your investment; (ii) you have either the capacity to protect your interests in connection with this transaction; or (iii) you are able to bear the economic risk of the investment.

(6) You are of legal age to execute this Agreement and are legally competent and authorized to make this investment.

(7) You represent that you are a U.S. resident or a U.S. citizen. If you are not a U.S. resident or U.S. citizen, you agree to pay or reimburse Morgan Stanley Smith Barney LLC (the “Selling Agent”) or the Partnership for any taxes, including but not limited to withholding tax imposed with respect to your Units.

(8) Unless representation (9) below is applicable, your subscription is made with your funds for your own account and not as trustee, custodian or nominee for another.

(9) If you are subscribing as custodian for a minor, either (a) the subscription is a gift you have made to that minor and is not made with that minor’s funds, in which case the representation in number (2) above applies only to you, as the custodian; or (b) if the subscription is not a gift, the representation in number (2) above applies only to that minor.

B-3

(10) If you are subscribing in a representative capacity, you have full power and authority to make this investment and enter into and be bound by this Agreement on behalf of the entity for which you are purchasing the Units, and that entity has full right and power to purchase the Units and enter into and be bound by this Agreement and become a limited partner pursuant to the Limited Partnership Agreement, and has been duly organized and is validly existing and is in good standing in the jurisdiction of its formation. In your representative capacity, you have determined that an investment by either the represented beneficiary or beneficial owner in the Partnership (i) is consistent with the investment objectives, (ii) is in the best interests of, and (iii) is within the risk tolerance of such investor’s investment in the Partnership. You have also satisfied any additional due diligence obligation you may have to your beneficiaries or beneficial owners.

(11) If you are subscribing for a joint or community property account, you have full power and authority to purchase Units and enter into and be bound by this Agreement on behalf of the joint or community property account.

(12) You either: (a) are not required to be registered with the Commodity Futures Trading Commission (“CFTC”) or to be a member of the National Futures Association (“NFA”); or (b) if so required, you are duly registered with the CFTC and are a member in good standing of the NFA. It is an NFA requirement that the General Partner attempt to verify that any person or entity that seeks to purchase Units be duly registered with the CFTC and a member of the NFA, if required. You agree to supply the General Partner with such information as the General Partner may reasonably request in order to attempt such verification. Certain entities that invest in the Partnership may, as a result, themselves become “commodity pools” within the intent of applicable CFTC and NFA rules, and their sponsors, accordingly, may be required to register as “commodity pool operators.”

(13) You have carefully reviewed and understand the fees and expenses that are directly and indirectly assessed on the Partnership.

(14) You understand that the General Partner is an affiliate of Citigroup Global Markets Inc., which will serve as a selling agent and commodity broker for the Partnership and may, along with its affiliates, serve as an FX counterparty for the Partnership, and Morgan Stanley Smith Barney LLC, which will also serve as the selling agent for the Partnership. You further understand that the Partnership is subject to conflicts of interest as discussed in the “Conflicts of Interest” section in the Memorandum. You also understand that Citigroup Global Markets Inc. credits up to 80% of the brokerage fees to financial advisors who sell Units in the Partnership and the prospect of receiving these fees may provide the General Partner (including its affiliates), the Selling Agent and your Morgan Stanley Smith Barney LLC financial advisor or private wealth advisor with interests that potentially conflict with your own in respect of your investment in the Partnership. You consent to such conflicts and you covenant not to object to or bring any proceedings against any of the foregoing relating to any such conflicts of interest, provided that Citigroup Global Markets Inc. and the relevant Morgan Stanley (including Morgan Stanley Smith Barney LLC) parties comply with the appropriate standard of liability as set forth in the Limited Partnership Agreement or any other relevant controlling agreement.

(15) You understand that the Units are illiquid and have not been registered under the Securities Act, or any similar state law, and cannot be transferred, sold, pledged or assigned except in certain limited circumstances, and with the consent of the General Partner, as set forth in the Limited Partnership Agreement. You understand that the Partnership has no intention or obligation to register the Units under the Securities Act and the General Partner has no obligation to consent to any transfer, sale, pledge or assignment thereof.

(16) You have such knowledge and experience in financial and business matters that you are capable of evaluating the merits and risks of an investment in the Partnership and are able to make an informed investment decision. You are not relying on the General Partner, Citigroup Global Markets Inc., Morgan Stanley & Co. LLC, Morgan Stanley Smith Barney LLC, or any of their affiliates with respect to any legal, tax, or economic considerations relating to your investment decision, and you further understand that the only disclosures for which the Partnership, the General Partner, Citigroup Global Markets, Morgan Stanley & Co. LLC, Morgan Stanley Smith Barney LLC, or any affiliates, as applicable, accepts any responsibility relating to your investment are those set forth in the Memorandum and the Limited Partnership Agreement.

B-4

(17) You agree that neither the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, nor their respective affiliates, nor their respective managers, officers, directors, members, equity holders, employees or other applicable representatives (collectively, “Affiliated Persons”), shall incur any liability (a) in respect of any action taken upon any information provided to the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, or their Affiliated Persons by you or for relying on any notice, consent, request, instructions or other instrument believed, in good faith, to be genuine or to be signed by properly authorized persons on your behalf, including any document transmitted in a manner consistent with the Notice section herein, or (b) for adhering to applicable anti-money laundering obligations whether now or hereinafter in effect.

(18) You agree to indemnify and hold harmless the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, and their Affiliated Persons from and against any and all direct and consequential losses, damages, liabilities, costs or expenses (including reasonable attorneys’ and accountants’ fees and disbursements) whether incurred in an action between the parties hereto or otherwise or resulting from any unsuccessful proceeding or other action brought by you against any of the foregoing relating to the Partnership or the offering of the Units (collectively, “Losses”) which the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, and their Affiliated Persons, or any one of them, may incur by reason of or in connection with this Agreement, including any misrepresentation made by you or any of your agents, any breach of any declaration, representation or warranty by you, the failure by you to fulfill any covenant or agreements under this Agreement, our reliance on facsimile, electronic copy or other instructions, or the assertions of your lack of proper authorization from any beneficial owners to execute and perform the obligations under this Agreement. You also agree that you will indemnify and hold harmless the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, and their Affiliated Persons, or any one of them, for any Losses they may incur in connection with your failure to comply with any applicable law, rule or regulation (including anti-money laundering laws and regulations) having application to the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, or their Affiliated Persons.

(19) You hereby represent and agree that the name, address, and ownership capacity on the Morgan Stanley Smith Barney LLC account referenced on this Agreement are your true and correct name, address, and ownership capacity, that the name, address, and ownership capacity on the Partnership’s books and records shall be the same as your name, address, and ownership capacity on such account, and that you will promptly notify Morgan Stanley Smith Barney LLC of any change in your address, which change shall also be effective for all Partnership purposes. You also agree to promptly notify us if any representation, warranty or statement in this Agreement becomes incomplete, untrue or inaccurate.

(20) All the representations, warranties and information that you have provided in this Agreement and that you provided upfront during the initial intake process are correct and complete as of the date of this Agreement, and, if there should be any material change in such information you provided either in this Agreement or during the initial intake process prior to or after your admission as a limited partner, you will immediately furnish such revised or corrected information to your Morgan Stanley Smith Barney LLC financial advisor or private wealth advisor. You acknowledge that the Partnership, the General Partner, Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC, and their Affiliated Persons will rely on such information, representations and warranties on an ongoing basis.

Additional Representations and Warranties regarding Anti-money Laundering:

(21) During the intake process, you previously made certain representations and warranties that your subscription is in compliance with the applicable anti-money laundering laws and regulations as of such time and that there have been no material developments to make such representations and warranties false. Additionally, you represent and warrant that: you are not (a) a “Prohibited Investor” which includes: (i) an individual, entity or organization that is named on the U.S. Department of the Treasury’s Office of Foreign Assets Control (“OFAC”) List of Specially Designated Nationals and Blocked Persons (the “SDN List”), or that is located in, organized under the laws of, a citizen or resident of, or the government of a country or territory that is subject to U.S. trade or economic sanctions administered by OFAC; (ii) a foreign shell bank; and (iii) a person or entity resident in or whose subscription funds are transferred from or through a jurisdiction identified as non-cooperative by the Financial

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Action Task Force (“FATF”);¹ (b) a senior foreign political figure,² an immediate family member of a senior foreign political figure,³ or a close associate of a senior foreign political figure⁴ within the meaning of the USA Patriot Act of 2001.⁵ You also represent and warrant that, to the best of your knowledge and belief, after appropriate due diligence, none of (a) each person controlling or controlled by you; (b) if you are a privately held entity, each person holding a senior management position or any beneficial equity interest in you; nor (c) any person for whom you are acting as agent, representative, or nominee in connection with this investment, is named on the SDN List or is otherwise subject to U.S. trade or economic sanctions administered by OFAC.

You acknowledge that due to money laundering requirements within their respective jurisdictions, the Partnership and the General Partner (and/or the administrator, if applicable) acting on behalf of the Partnership may require further identification of the Subscriber and the source of payment before this Agreement can be processed.

You acknowledge that if, following the date of acceptance of your subscription, the General Partner (or administrator, if applicable) reasonably believes that you are or have become a “Prohibited Investor,” or have otherwise breached the representations and warranties herein as to identity, the Partnership may be obliged to freeze your investment, require you to immediately withdraw your investment, or take such other action as the Partnership considers necessary or required in accordance with applicable regulations.

Additional Representations and Warranties of Investor:

(22) You represent and warrant that, except as you may disclose in writing to the General Partner, you are not subject to the Freedom of Information Act or any similar state, county or municipal legislation or regulation under which you are or may be compelled to disclose to the public any information regarding your investment in the Partnership or the commodity trading advisor.

(23) You represent that the Form W-9 that you previously completed and returned to your Morgan Stanley Smith Barney LLC financial advisor or private wealth advisor remains current as of the date of this Agreement, and, if there should be any material change in such information prior to or after your admission as a limited partner, you will immediately furnish a revised Form W-9 to your Morgan Stanley Smith Barney LLC financial advisor or private wealth advisor.

(24) You agree that the representations and warranties in this Agreement may be used as a defense in any actions relating to the Partnership or the offering of the Units, and that it is only on the basis of such representations and warranties that the General Partner and the Selling Agent may be willing to accept your subscription for Units.

Additional Representation and Warranty for Exchange Subscribers:

(25) You are the true, lawful, and beneficial owner of the Units (or fractions thereof) to be redeemed pursuant to this Agreement, with full power and authority to request redemption and make a subsequent investment in the Partnership. The Units (or fractions thereof) which you are redeeming are not subject to any pledge or are otherwise encumbered in any fashion.

¹  The current list of FATF member countries and territories may be found at http://www.fatf-gafi.org.

²  A “senior foreign political figure” is defined as a current or former senior official in the executive, legislative, administrative, military or judicial branches of a foreign government (whether elected or not), a current or former senior official of a major foreign political party, or a current or former senior executive of a foreign government-owned corporation. In addition, a “senior foreign political figure” includes any corporation, business or other entity that has been formed by, or for the benefit of, a senior foreign political figure.

³  “Immediate family” of a senior foreign political figure typically includes the figure’s parents, siblings, spouse, children and in-laws.

⁴  A “close associate” of a senior foreign political figure is a person who is widely and publicly known to maintain an unusually close relationship with the senior foreign political figure, and includes a person who is in a position to conduct substantial domestic and international financial transactions on behalf of a senior foreign political figure.

⁵  The Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001, Pub. L. No. 107-56 (2001).

B-6

Additional Representations and Warranties for Employee Benefit Plan and IRA Investors:

(26) If you are a “Benefit Plan Investor” (within the meaning of Section 3(42) of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”)), you are a fiduciary (within the meaning of ERISA) with respect to the subscriber and you are responsible for purchasing the Units, and such purchase is in accordance with ERISA requirements and will not constitute a prohibited transaction under ERISA or the Internal Revenue Code of 1986, as amended (the “Code”). The term “Benefit Plan Investor” means (a) an employee benefit plan subject to the provisions of Part 4 of Title I of ERISA, (b) a plan or individual retirement account subject to Section 4975(e)(1) of the Code, or (c) an entity whose underlying assets are deemed to include ERISA plan assets by reason of investment in such entity by investors described in clauses (a) and/or (b). You are not a participant-directed defined contribution plan. You understand that the General Partner in its sole discretion may limit investments in the Partnership so that less than 25% of the Units of the Partnership are owned by Benefit Plan Investors, and the General Partner may require a Benefit Plan Investor to redeem its interest in the Partnership if such 25% limit would be exceeded.

(27) If you are a Benefit Plan Investor, you also represent that either (a) or (b) as follows is true:

(a) neither the General Partner nor any of its affiliates (i) manages any part of your investment portfolio on a discretionary basis, (ii) regularly gives investment advice for a fee with respect to your assets, or (iii) has an agreement or understanding, written or unwritten, with you under which you receive information, recommendations or advice concerning investments that are used as a primary basis for your decisions, or under which you receive individualized investment advice concerning your assets; or

(b) you are independent of the General Partner, have studied the Memorandum and have made an independent decision to make the investment solely on the basis of such Memorandum and without reliance on any other information or statements as to the appropriateness of the investment, and neither the General Partner nor its employees or affiliates: (i) has exercised any investment discretion or control with respect to your investment; (ii) has authority, responsibility to give, or has given individualized investment advice with respect to your investment; or (iii) is the employer maintaining or contributing to you.

(28) If you are a Benefit Plan Investor, you also represent that both (a) and (b) as follows are true:

(a) the plan’s investment in the Partnership does not violate and is not otherwise inconsistent with the terms of any legal document constituting the plan or any trust agreement thereunder; and

(b) the subscriber will, at the request of the Partnership, furnish the Partnership with such information as the Partnership may reasonably require to establish that the purchase of the Units by the plan does not violate any provision of ERISA or the Code, including without limitation, those provisions relating to “prohibited transactions” by “parties in interest” or “disqualified persons” as defined therein.

(29) If you are a benefit plan or retirement account that is not a “Benefit Plan Investor” as defined in number (26) above, such as a governmental plan, a non-U.S. benefit plan, or a church plan that is not subject to ERISA, this investment is in accordance with legal requirements applicable to you.

ACCEPTANCE OF THE LIMITED PARTNERSHIP AGREEMENT

You agree that as of the date that your name is entered on the books of the Partnership, you shall become a limited partner of the Partnership. You also agree to each and every term of the Limited Partnership Agreement of the Partnership as if you signed that Limited Partnership Agreement. You further agree that you will not be issued a certificate evidencing the Units that you are purchasing, but that you will receive a confirmation of purchase in Morgan Stanley Smith Barney LLC’s customary form.

POWER OF ATTORNEY AND GOVERNING LAW

You hereby irrevocably constitute and appoint Ceres Managed Futures LLC, the general partner of the Partnership (in addition to and not by way of limitation of the Power of Attorney included in the Limited Partnership Agreement), as your true and lawful Attorney-in-Fact, with full power of substitution, in your name, place, and

B-7

stead: (1) to do all things necessary to admit you as a limited partner of the Partnership; (2) to admit others as additional or substituted limited partners to the Partnership so long as such admission is in accordance with the terms of the Limited Partnership Agreement or any amendment thereto; (3) to file, prosecute, defend, settle, or compromise any and all actions at law or suits in equity for or on behalf of the Partnership in connection with any claim, demand, or liability asserted or threatened by or against the Partnership; and (4) to execute, acknowledge, swear to, deliver, file, and record on your behalf and, as necessary, in the appropriate public offices, and publish: (a) the Limited Partnership Agreement and certificate of limited partnership and all amendments thereto permitted by the terms thereof; (b) all instruments that the General Partner deems necessary or appropriate to reflect any amendment, change, or modification of the Limited Partnership Agreement or the certificate of limited partnership made in accordance with the terms of the Limited Partnership Agreement; (c) certificates of assumed name; and (d) all instruments that the General Partner deems necessary or appropriate to qualify or maintain the qualification of the Partnership to do business as a foreign limited partnership in other jurisdictions. You agree to be bound by any representation made by the General Partner or any successor thereto acting in good faith pursuant to this power of attorney.

The power of attorney granted hereby shall be deemed to be coupled with an interest and shall be irrevocable and survive your death, incapacity, dissolution, liquidation, or termination.

The validity and construction of this Agreement is governed by, and construed in accordance with, the laws of the State of New York (without regard to its choice of law principles); provided, however, that causes of action for violations of federal or state securities laws shall not be governed by this Agreement.

ANY ACTION OR PROCEEDING RELATING IN ANY RESPECT TO THIS AGREEMENT, THE OPERATION OF THE PARTNERSHIP OR THE OFFERING OF THE UNITS AGAINST YOU, THE PARTNERSHIP OR THE GENERAL PARTNER MAY BE BROUGHT AND ENFORCED IN THE COURTS OF THE CITY, COUNTY, AND STATE OF NEW YORK OR (TO THE EXTENT SUBJECT MATTER JURISDICTION EXISTS THEREFORE) IN THE COURTS OF THE UNITED STATES FOR THE SOUTHERN DISTRICT OF NEW YORK, AND YOU, THE GENERAL PARTNER AND THE PARTNERSHIP IRREVOCABLY SUBMIT TO THE JURISDICTION OF BOTH SUCH STATE AND FEDERAL COURTS IN RESPECT OF ANY SUCH ACTION OR PROCEEDING. YOU, THE GENERAL PARTNER AND THE PARTNERSHIP IRREVOCABLY WAIVES ANY OBJECTION THAT THEY MAY NOW OR HEREAFTER HAVE TO LAYING THE VENUE OF ANY SUCH ACTION OR PROCEEDING IN THE COURTS OF THE CITY, COUNTY, AND STATE OF NEW YORK OR IN THE COURTS OF THE UNITED STATES FOR THE SOUTHERN DISTRICT OF NEW YORK AND ANY CLAIM THAT ANY SUCH ACTION OR PROCEEDING BROUGHT IN ANY SUCH COURT HAS BEEN BROUGHT IN AN INCONVENIENT FORUM.

YOU HEREBY IRREVOCABLY WAIVE ANY RIGHT TO TRIAL BY JURY WITH RESPECT TO ANY CLAIM AGAINST THE PARTNERSHIP AND THE GENERAL PARTNER RELATING IN ANY RESPECT TO THIS AGREEMENT, THE OPERATION OF THE PARTNERSHIP AND THE OFFERING OF THE UNITS.

YOU HEREBY AGREE THAT SERVICE OF PROCESS MAY BE EFFECTED IN THE SAME MANNER AS NOTICES ARE GIVEN PURSUANT TO THE NOTICE SECTION BELOW.

MISCELLANEOUS

Equitable Relief. You agree that the Partnership, the General Partner and their affiliates would be subject to potentially irreparable injury as a result of any breach by you of any of the representations, warranties, acknowledgements, covenants, or agreements set forth in this Agreement, and that monetary damages would not be sufficient to compensate or make whole the Partnership, the General Partner and their affiliates for any such breach. Accordingly, you agree that the Partnership and the General Partner, separately or together, shall be entitled to equitable and injunctive relief, on an emergency, temporary, preliminary, and/or permanent basis, so as to prevent any such breach or the continuation thereof.

B-8

Survival; Legal Effect.

(i) You agree that the representations, warranties, agreements, and covenants set forth in this Agreement shall, in pertinent part, survive the acceptance (or rejection) of this Agreement, and any subsequent withdrawal from the Partnership by you.

(ii) This Agreement shall be binding upon you to the extent set forth herein prior to acceptance of you as a limited partner and, if accepted, on you and the General Partner, its affiliates, and shall inure to the benefit of you, the General Partner, its affiliates and the Partnership.

Severability. In the event that any provision of this Agreement is held to be invalid or unenforceable in any jurisdiction, such provision shall be deemed modified to the minimum extent necessary so that such provision, as so modified, shall no longer be held to be invalid or unenforceable. Any such modification, invalidity, or unenforceability shall be strictly limited both to such provision and to such jurisdiction, and in each case to no other. Furthermore, in the event of any such modification, invalidity, or unenforceability, this Agreement shall be interpreted so as to achieve the intent expressed herein to the greatest extent possible in the jurisdiction in question and otherwise as set forth herein.

Counterparts; Facsimiles and Electronic Copies.

(i) The execution page may be executed in one or more counterparts, together shall constitute the same document. It is the General Partner’s policy to require submission of manually executed copies of this Agreement. In rare occasions, and in the sole discretion of the General Partner, the General Partner may from time-to-time permit facsimiles and/or electronic copies to have the same binding force as originals.

(ii) You agree that the General Partner is authorized to accept and execute the execution page, as well as any instructions given by you, in original signed form or by facsimile or electronic copy. If instructions are given by facsimile or electronic copy, you shall promptly courier the original signed form to the General Partner and shall indemnify the Partnership, the General Partner and their affiliates for any losses and damages suffered by them as a result of acting on faxed or e-mailed instructions rather than instructions in original signed form. You further agree that the Partnership, the General Partner and their affiliates, are entitled to rely conclusively on, and shall incur no liability in respect of any action taken on the basis of, any notice, consent, request, instruction, or other instrument believed in good faith to be genuine or to be signed by properly authorized persons.

Entire Agreement. This Agreement and the Limited Partnership Agreement contain the entire agreement and understanding of the parties hereto relating to the subject matter hereof, and supersede any prior agreements and understandings of the parties relating to such subject matter.

No Waiver.

(i) No failure or delay on the part of the Partnership, the General Partner and their affiliates in exercising any right, power, or remedy hereunder shall operate as a waiver thereof, nor shall any single or partial exercise of any such right, power, or remedy preclude any other or further exercise thereof or the exercise of any other right, power, or remedy. Failure on the part of the Partnership, the General Partner and their affiliates to challenge any act by you or to declare you in default with respect to the Partnership, the General Partner and their affiliates, irrespective of how long that failure continues, shall not constitute a waiver by the Partnership, the General Partner and their affiliates of their rights with respect to that default until the applicable statute of limitations period has run.

(ii) Any waiver granted by the General Partner with respect to any term of this Agreement hereunder must be in writing, signed by an authorized representative of the General Partner, and shall be valid only in the specific instance in which given.

Confidentiality.

(i) You understand that the information requested in this Agreement is needed in order to ensure compliance with applicable laws and regulations, including, but not limited to, applicable anti-money laundering

B-9

laws and regulations. You acknowledge that you will receive or have access to confidential proprietary information concerning the Partnership, including, without limitation, portfolio positions, valuations, information regarding potential investments, financial information, trade secrets and the like (collectively, “Confidential Information”), which is proprietary in nature and non-public. You agree that, except with the prior written consent of the General Partner, you have and you shall at all times keep confidential any Confidential Information to which you have been or shall become privy relating to the business or assets of the Partnership, the General Partner, the commodity trading advisor and their affiliates unless required to be disclosed by law; provided, that before you make any disclosure of Confidential Information required by law, you shall so inform the General Partner and shall give the General Partner, to the greatest extent practicable, an opportunity to contest whether such information is required by law to be disclosed. Furthermore, you have not reproduced, duplicated or delivered (and will not reproduce, duplicate or deliver) the Memorandum or this Agreement and any and all other Partnership related documents to any other person, except your professional advisors or as instructed by the Partnership.

(ii) Notwithstanding anything to the contrary contained herein, you (and each of your employees, agents or other representatives, as applicable) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions contemplated herein and all materials of any kind provided by you relating to such tax treatment and tax structure (as such terms are defined in U.S. Treasury Regulation section 1.6011-4).

Notices.

Notice shall be provided in accordance with the Limited Partnership Agreement.

RECEIPT OF DOCUMENTATION

The regulations of the CFTC require that you be given a copy of the Memorandum, as well as additional documentation consisting of: (a) any required supplements or amendments to the Memorandum, and (b) the most current monthly account statement (report) for the Partnership. You hereby acknowledge receipt of the Memorandum and any such additional documentation.

THE SUBSCRIPTION PROCESS

In order to invest in the Partnership, you must (1) date, complete and execute one copy of this Agreement and (2) deliver or mail the Agreement to your Morgan Stanley Smith Barney LLC financial advisor or private wealth advisor at such person’s Morgan Stanley Smith Barney LLC branch office in time for it to be forwarded and received by the General Partner at Morgan Stanley Smith Barney Managed Futures, 522 Fifth Avenue, 14th Floor, New York, New York 10036, no later than 3:00 p.m. New York City time, on the third to last business day of the month. This subscription is not binding on the Partnership unless and until it is accepted by General Partner, The General Partner may accept or reject this subscription in whole or in part for any reason whatsoever.

THIS IS A SPECULATIVE INVESTMENT. YOU COULD LOSE ALL OR SUBSTANTIALLY ALL OF YOUR INVESTMENT.

B-10

SIGNATURE(S) — You MUST sign Either Section A or Section B Below. By signing below you acknowledge that you have received and carefully read, understand and agree to abide by the terms of investment as described in the Memorandum and the Limited Partnership Agreement, including any supplements and exhibits thereto. Section A. Please sign here if you are an: INDIVIDUAL or INDIVIDUAL RETIREMENT ACCOUNT. If you are subscribing for a joint or community property account, the statements, representations, and warranties set forth in this Subscription and Exchange Agreement and Power of Attorney shall be deemed to have been made by each owner of the account. (If the Units will be owned by tenants-in-common, signatures of all owners are required.)
X		X
Signature of Subscriber	Date	Signature of Co-Subscriber	Date
Print Full Name of Subscriber		Print Full Name of Co-Subscriber

Section B. Please sign here if you are an: ENTITY, TRUST, BENEFIT PLAN INVESTOR (see number (26) on page B-7 for the definition) or OTHER (please specify)                     .

ACCEPTANCE OF SUBSCRIPTION ON BEHALF OF ERISA PLANS OR INDIVIDUAL RETIREMENT ACCOUNTS IS IN NO RESPECT A REPRESENTATION BY THE GENERAL PARTNER OR MORGAN STANLEY SMITH BARNEY LLC THAT THIS INVESTMENT MEETS ALL RELEVANT LEGAL REQUIREMENTS WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN, OR THAT THIS INVESTMENT IS APPROPRIATE FOR ANY PARTICULAR PLAN.

The undersigned officer, partner, trustee, manager, or other representative hereby certifies and warrants that s/he has full power and authority from or on behalf of the entity named below and its shareholders, partners, beneficiaries, or members to make the statements, representations, and warranties made herein on their behalf.

	X
Print Full Name of Entity	Signature of Person Signing for Entity	Date
	Title:
	Print Full Name of Person Signing for Entity

B-11

EX-31.1

Exhibit 31.1

CERTIFICATION

I, Walter Davis, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of Tidewater Futures Fund L.P.;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2012

/s/ Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Damian George, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of Tidewater Futures Fund L.P.;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2012

/s/ Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer and Director

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Tidewater Futures Fund L.P. (the “Partnership”) on Form 10-Q for the period ended September 30, 2012 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Walter Davis, President and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

/s/ Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

Date: November 14, 2012

EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Tidewater Futures Fund L.P. (the “Partnership”) on Form 10-Q for the period ended September 30, 2012 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Damian George, Chief Financial Officer and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

/s/ Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer and Director

Date: November 14, 2012

XML

Fair Value Measurements - Schedule of Fair Value Measurement (Detail) (USD $)	Sep. 30, 2012		Dec. 31, 2011
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	$ 1,212,100		$ 2,172,160
Total liabilities	1,344,244		1,394,405
Net fair value	(132,144)		777,755
Futures [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	961,443		1,870,210
Total liabilities	515,981		1,391,655
Net fair value	445,462	[1]	478,555	[1]
Forwards Contracts [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	250,657		301,950
Total liabilities	828,263		2,750
Net fair value	(577,606)	[2]	299,200	[2]
Level 1 [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	1,212,100		2,172,160
Total liabilities	1,344,244		1,394,405
Net fair value	(132,144)		777,755
Level 1 [Member] | Futures [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	961,443		1,870,210
Total liabilities	515,981		1,391,655
Level 1 [Member] | Forwards Contracts [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	250,657		301,950
Total liabilities	828,263		2,750
Level 2 [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	0		0
Net fair value	0		0
Level 2 [Member] | Futures [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	0		0
Level 2 [Member] | Forwards Contracts [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	0		0
Level 3 [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	0		0
Net fair value	0		0
Level 3 [Member] | Futures [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	0		0
Level 3 [Member] | Forwards Contracts [Member]
Fair Value Measurements Of Financial Instruments [Line Items]
Total assets	0		0
Total liabilities	$ 0		$ 0

[1] This amount is in "Net unrealized appreciation on open futures contracts" on the Statements of Financial Condition.

[2] This amount is in "Net unrealized appreciation on open forward contracts" on the Statements of Financial Condition.

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Fair Value Measurements

9 Months Ended

Sep. 30, 2012

Fair Value Measurements

4. Fair Value Measurements:

Partnership’s Investments. All commodity interests held by the Partnership (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 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 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 Level 2 assets and liabilities.

The Partnership 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.

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 the Financial Accounting Standards Board’s (“FASB”) 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 considers 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). As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2 ) or 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 nine months ended September 30, 2012.

	September 30, 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	$	961,443		$	961,443		$	0	$	0
Forwards		250,657			250,657			0		0
Total assets		1,212,100			1,212,100			0		0
Liabilities
Futures	$	515,981		$	515,981		$	0	$	0
Forwards		828,263			828,263			0		0
Total liabilities		1,344,244			1,344,244			0		0
Net fair value	$	(132,144	)	$	(132,144	)	$	0	$	0

	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	$	1,870,210	$	1,870,210	$	0	$	0
Forwards		301,950		301,950		0		0
Total assets		2,172,160		2,172,160		0		0
Liabilities
Futures	$	1,391,655	$	1,391,655	$	0	$	0
Forwards		2,750		2,750		0		0
Total liabilities		1,394,405		1,394,405		0		0
Net fair value	$	777,755	$	777,755	$	0	$	0

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Trading Activities

9 Months Ended

Sep. 30, 2012

Trading Activities

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 agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20 “Balance Sheet,” have been met.

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the three months ended September 30, 2012 and 2011 were 920 and 2,002. The monthly average number of futures contracts traded by the Partnership during the nine months ended September 30, 2012 and 2011 were 1,316 and 2,786. The monthly average number of metal forward contracts traded by the Partnership during the three months ended September 30, 2012 and 2011 were 142 and 98. The monthly average number of metal forward contracts traded by the Partnership during the nine months ended September 30, 2012 and 2011 were 102 and 122. The monthly average notional value of currency forward contracts held by the Partnership during the three months ended September 30, 2012 and 2011 were $0 and $0. The monthly average notional value of currency forward contracts held by the Partnership during the nine months ended September 30, 2012 and 2011 were $685,407 and $0.

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 and forward contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures Contracts
Currencies	$	106,134
Energy		6,468
Grains		478,315
Indices		35,672
Interest Rates U.S.		15,000
Interest Rates Non-U.S.		92,241
Livestock		71,275
Metals		119,325
Softs		37,013
Total unrealized appreciation on open futures contracts	$	961,443
Liabilities
Futures Contracts
Currencies	$	(122,870	)
Energy		(60,502	)
Grains		(26,942	)
Indices		(164,612	)
Interest Rates U.S.		(19,430	)
Interest Rates Non-U.S.		(15,759	)
Livestock		(27,200	)
Metals		(1,230	)
Softs		(77,436	)
Total unrealized depreciation on open futures contracts	$	(515,981	)
Net unrealized appreciation on open futures contracts	$	445,462	*
	September 30, 2012
Assets
Forward Contracts
Metals	$	250,657
Total unrealized appreciation on open forward contracts	$	250,657
Liabilities
Forward Contracts
Metals	$	(828,263	)
Total unrealized depreciation on open forward contracts	$	(828,263	)
Net unrealized depreciation on open forward contracts	$	(577,606	)**

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

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

Assets	December 31, 2011
Futures Contracts
Currencies	$	518,318
Energy		255,066
Grains		42,625
Indices		200,253
Interest Rates U.S.		34,313
Interest Rates Non-U.S.		360,868
Livestock		38,625
Softs		420,142
Total unrealized appreciation on open futures contracts	$	1,870,210
Liabilities
Futures Contracts
Currencies	$	(153,628	)
Energy		(14,720	)
Grains		(356,536	)
Indices		(76,223	)
Interest Rates U.S.		(9,180	)
Interest Rates Non-U.S.		(134,909	)
Livestock		(11,060	)
Metals		(219,420	)
Softs		(415,979	)
Total unrealized depreciation on open futures contracts	$	(1,391,655	)
Net unrealized appreciation on open futures contracts	$	478,555	*

Assets	December 31, 2011
Forward Contracts
Metals	$	301,950
Total unrealized appreciation on open forward contracts	$	301,950
Liabilities
Forward Contracts
Metals	$	(2,750	)
Total unrealized depreciation on open forward contracts	$	(2,750	)
Net unrealized appreciation on open forward contracts	$	299,200	**

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

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

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months Ended September 30, 2012 Gain (loss) from trading			Nine Months Ended September 30, 2011 Gain (loss) from trading
Currencies	$	(87,929	)	$	(2,256,330	)	$	(1,520,668	)	$	(744,996	)
Energy		(235,095	)		(789,081	)		(682,782	)		769,031
Grains		474,707			(704,236	)		(313,086	)		(2,138,665	)
Indices		85,058			(2,910,763	)		(877,327	)		(3,014,293	)
Interest Rates U.S.		30,406			892,977			264,612			838,492
Interest Rates Non-U.S.		97,753			2,604,105			588,830			1,240,500
Livestock		168,340			(173,235	)		(6,315	)		(1,232,627	)
Metals		(355,677	)		(939,403	)		(322,234	)		(478,067	)
Softs		(389,503	)		(1,200,352	)		(1,175,806	)		(1,818,900	)
Total	$	(211,940	)***	$	(5,476,318	)***	$	(4,044,776	)***	$	(6,579,525	)***

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

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Statements of Financial Condition (USD $)	Sep. 30, 2012	Dec. 31, 2011
Equity in trading account:
Cash	$ 10,896,663	$ 18,186,510
Cash margin	3,460,605	5,223,123
Net unrealized appreciation on open futures contracts	445,462	478,555
Net unrealized appreciation on open forward contracts	0	299,200
Total trading equity	14,802,730	24,187,388
Interest receivable	623	0
Total assets	14,803,353	24,187,388
Liabilities:
Net unrealized depreciation on open forward contracts	577,606	0
Accrued expenses:
Brokerage fees	59,274	100,781
Management fees	11,756	40,016
Other	59,021	76,781
Redemptions payable	1,278,885	452,587
Total liabilities	1,986,542	670,165
Partners' Capital:
General Partner, 184.9703 unit equivalents outstanding at September 30, 2012 and December 31, 2011	208,894	273,506
Limited Partners, 11,164.0073 and 15,719.5935 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively	12,607,917	23,243,717
Total partners' capital	12,816,811	23,517,223
Total liabilities and partners' capital	$ 14,803,353	$ 24,187,388
Net asset value per unit	$ 1,129.34	$ 1,478.65

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General

9 Months Ended

Sep. 30, 2012

General

1. General:

Tidewater Futures Fund L.P. (the “Partnership”) is a limited partnership organized on February 23, 1995 under the partnership laws of the State of New York 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, metals and softs. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units interest (“Redeemable Units”) in the Partnership 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. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and 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 Inc.

As of September 30, 2012, all trading decisions for the Partnership are made by Chesapeake Capital Corporation (the “Advisor”). The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM.

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 is liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.

Effective May 22, 2012, the Advisor, in consultation with the General Partner, agreed to reduce the overall leverage of the Partnership’s assets traded pursuant to the Advisor’s Diversified 2XL Program (the “Program”) from 75% of the customary leverage utilized by the Program, to 50% of the customary leverage utilized by the Program. The Advisor, in further consultation with the General Partner will determine, if, and at what time, the Partnership’s leverage may be readjusted.

As of June 1, 2012, the Advisor agreed to reduce the management fee it receives from the Partnership from an annual rate of 2% of adjusted net assets to an annual rate of 1% of adjusted net assets. This management fee reduction will remain in effect until the General Partner and the Advisor determine otherwise.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2012 and December 31, 2011 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 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.

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.

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Trading Activities - Additional Information (Detail) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Derivative [Line Items]
Average notional value of currency forward contracts	$ 0	$ 0	$ 685,407	$ 0
Futures [Member]
Derivative [Line Items]
Average number of futures contracts traded	920	2,002	1,316	2,786
Forwards Contracts [Member]
Derivative [Line Items]
Average number of futures contracts traded	142	98	102	122

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Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Derivative [Line Items]
Total	$ (211,940)	[1]	$ (5,476,318)	[1]	$ (4,044,776)	[1]	$ (6,579,525)	[1]
Currencies [Member]
Derivative [Line Items]
Total	(87,929)		(2,256,330)		(1,520,668)		(744,996)
Energy [Member]
Derivative [Line Items]
Total	(235,095)		(789,081)		(682,782)		769,031
Grains [Member]
Derivative [Line Items]
Total	474,707		(704,236)		(313,086)		(2,138,665)
Indices [Member]
Derivative [Line Items]
Total	85,058		(2,910,763)		(877,327)		(3,014,293)
Interest Rates U.S. [Member]
Derivative [Line Items]
Total	30,406		892,977		264,612		838,492
Interest Rates Non-U.S. [Member]
Derivative [Line Items]
Total	97,753		2,604,105		588,830		1,240,500
Livestock [Member]
Derivative [Line Items]
Total	168,340		(173,235)		(6,315)		(1,232,627)
Metals [Member]
Derivative [Line Items]
Total	(355,677)		(939,403)		(322,234)		(478,067)
Softs [Member]
Derivative [Line Items]
Total	$ (389,503)		$ (1,200,352)		$ (1,175,806)		$ (1,818,900)

[1] This amount is in "Total trading results" on the Statements of Income and Expenses and Changes in Partners' Capital.

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Financial Highlights

9 Months Ended

Sep. 30, 2012

Financial Highlights

2. Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2012 and 2011 were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	(38.67	)	$	(369.97	)	$	(324.92	)	$	(538.18	)
Interest income		0.16			0.05			0.42			0.54
Expenses **		(5.89	)***		(10.94	)		(24.81	)***		(36.91	)
Increase (decrease) for the period		(44.40	)		(380.86	)		(349.31	)		(574.55	)
Net asset value per unit, beginning of period		1,173.74			1,788.74			1,478.65			1,982.43
Net asset value per unit, end of period	$	1,129.34		$	1,407.88		$	1,129.34		$	1,407.88

* Includes brokerage fees and clearing fee.

** Excludes brokerage fees and clearing fee.

*** Expenses per unit would have been (8.88) and (28.78) for the three and nine months ended September 30, 2012, respectively, had it not been for the management fee waived by the Advisor.

	Three Months  Ended September 30,						Nine Months Ended September 30,
	2012			2011(2)			2012			2011(2)
Ratios to average net assets: (1)
Net investment income (loss)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Net investment income (loss) before incentive fees (3)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Operating expense		7.5	%(4)		7.7	%		8.0	%(4)		8.1	%
Incentive fees		—	%		—	%		—	%		—	%
Total expenses and incentive fee		7.5	%		7.7	%		8.0	%		8.1	%
Total return:
Total return before incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Total return after incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%

(1) Annualized (other than incentive fees).

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

(3) Interest income less total expenses

(4) Percentages are after management fee waivers. The Advisor voluntarily waived a portion of the management fee (equal to 0.3% of the Adjusted Net Assets for each period).

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.

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Statements of Financial Condition (Parenthetical)	Sep. 30, 2012	Dec. 31, 2011
General Partner, unit equivalents outstanding	184.9703	184.9703
Limited Partners, Redeemable Units outstanding	11,164.0073	15,719.5935

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General - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2012
Percentage leverage of partnership assets	75.00%
Reduced percentage leverage of partnership assets	50.00%
Management fee as percentage of adjusted net asset	2.00%
Reduced management fee as percentage of adjusted net asset	1.00%

XML

Document and Entity Information	9 Months Ended
	Sep. 30, 2012	Oct. 31, 2012
Entity Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Sep. 30, 2012
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q3
Entity Registrant Name	TIDEWATER FUTURES FUND LP
Entity Central Index Key	0001140509
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding		10,707.9143

XML

Financial Highlights - Changes in Net Asset Value Per Unit (Detail) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Net realized and unrealized gains (losses)	$ (38.67)	[1]	$ (369.97)	[1]	$ (324.92)	[1]	$ (538.18)	[1]
Interest income	$ 0.16		$ 0.05		$ 0.42		$ 0.54
Expenses	$ (5.89)	[2],[3]	$ (10.94)	[2]	$ (24.81)	[2],[3]	$ (36.91)	[2]
Increase (decrease) for the period	$ (44.40)	[4]	$ (380.86)	[4]	$ (349.31)	[4]	$ (574.55)	[4]
Net asset value per unit, beginning of period	$ 1,173.74		$ 1,788.74		$ 1,478.65		$ 1,982.43
Net asset value per unit, end of period	$ 1,129.34		$ 1,407.88		$ 1,129.34		$ 1,407.88

[1] Includes brokerage fees and clearing fee.

[2] Excludes brokerage fees and clearing fee.

[3] Expenses per unit would have been (8.88) and (28.78) for the three and nine months ended September 30, 2012, respectively, had it not been for the management fee waived by the Advisor.

[4] Based on change in net asset value per unit.

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Statements of Income and Expenses and Changes in Partner's Capital (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Investment income:
Interest income	$ 1,990		$ 835		$ 5,870		$ 9,818
Expenses:
Brokerage fees including clearing fees	207,866		352,119		748,379		1,406,518
Management fees	78,926		134,595		282,414		514,614
Other	38,107		39,034		142,650		115,448
Total expenses	324,899		525,748		1,173,443		2,036,580
Management fees waived	(39,463)		0		(53,620)		0
Net expenses	285,436		525,748		1,119,823		2,036,580
Net investment income (loss)	(283,446)		(524,913)		(1,113,953)		(2,026,762)
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	(280,971)		(3,955,421)		(3,134,877)		1,276,991
Change in net unrealized gains (losses) on open contracts	69,031		(1,520,897)		(909,899)		(7,856,516)
Total trading results	(211,940)	[1]	(5,476,318)	[1]	(4,044,776)	[1]	(6,579,525)	[1]
Net income (loss)	(495,386)		(6,001,231)		(5,158,729)		(8,606,287)
Subscriptions - Limited Partners	0		452,229		342,162		1,124,729
Redemptions - Limited Partners	(2,750,176)		(521,278)		(5,883,845)		(11,843,864)
Redemptions - General Partner	0		0		0		(200,000)
Net increase (decrease) in Partners' Capital	(3,245,562)		(6,070,280)		(10,700,412)		(19,525,422)
Partners' Capital, beginning of period	16,062,373		28,216,902		23,517,223		41,672,044
Partners' Capital, end of period	$ 12,816,811		$ 22,146,622		$ 12,816,811		$ 22,146,622
Net asset value per unit (11,348.9776 and 15,730.4317 units outstanding at September 30, 2012 and 2011, respectively)	$ 1,129.34		$ 1,407.88		$ 1,129.34		$ 1,407.88
Net income (loss) unit	$ (44.40)	[2]	$ (380.86)	[2]	$ (349.31)	[2]	$ (574.55)	[2]
Weighted average units outstanding	13,186.3399		15,873.3636		14,691.5258		17,089.2039

[1] This amount is in "Total trading results" on the Statements of Income and Expenses and Changes in Partners' Capital.

[2] Based on change in net asset value per unit.

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Critical Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2012

Use of Estimates

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 Investments

Partnership’s Investments. All commodity interests held by the Partnership (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 Fair Value Measurements

Partnership’s 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. GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Partnership’s 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 Level 2 assets and liabilities.

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

The Partnership considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2) or 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 transfer of assets or liabilities between Level 1 and Level 2 during the nine months ended September 30, 2012.

Futures Contracts

Futures Contracts. The Partnership trades 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 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. When the contract is closed, the Partnership records 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 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.

London Metals Exchange Forward Contracts

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 Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership 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. 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 Partnership records 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.

Income Taxes

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 2009 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

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

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. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. 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 arrangement 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. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.”

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Critical Accounting Policies

9 Months Ended

Sep. 30, 2012

Critical Accounting Policies

6. 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 Investments. All commodity interests held by the Partnership (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 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. GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Partnership’s 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 Level 2 assets and liabilities.

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

The Partnership considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2) or 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 transfer of assets or liabilities between Level 1 and Level 2 during the nine months ended September 30, 2012.

Futures Contracts. The Partnership trades 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 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. When the contract is closed, the Partnership records 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 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.

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 Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership 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. 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 Partnership records 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.

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 2009 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. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. 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 arrangement 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.”

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Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities (Detail) (USD $)	Sep. 30, 2012		Dec. 31, 2011
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	$ 1,212,100		$ 2,172,160
Total unrealized depreciation on open futures contracts, Liabilities	(1,344,244)		(1,394,405)
Net unrealized appreciation on open forward contracts	(132,144)		777,755
Futures [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	961,443		1,870,210
Total unrealized depreciation on open futures contracts, Liabilities	(515,981)		(1,391,655)
Net unrealized appreciation on open forward contracts	445,462	[1]	478,555	[1]
Futures [Member] | Currencies [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	106,134		518,318
Total unrealized depreciation on open futures contracts, Liabilities	(122,870)		(153,628)
Futures [Member] | Energy [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	6,468		255,066
Total unrealized depreciation on open futures contracts, Liabilities	(60,502)		(14,720)
Futures [Member] | Grains [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	478,315		42,625
Total unrealized depreciation on open futures contracts, Liabilities	(26,942)		(356,536)
Futures [Member] | Indices [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	35,672		200,253
Total unrealized depreciation on open futures contracts, Liabilities	(164,612)		(76,223)
Futures [Member] | Interest Rates U.S. [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	15,000		34,313
Total unrealized depreciation on open futures contracts, Liabilities	(19,430)		(9,180)
Futures [Member] | Interest Rates Non-U.S. [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	92,241		360,868
Total unrealized depreciation on open futures contracts, Liabilities	(15,759)		(134,909)
Futures [Member] | Livestock [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	71,275		38,625
Total unrealized depreciation on open futures contracts, Liabilities	(27,200)		(11,060)
Futures [Member] | Softs [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	37,013		420,142
Total unrealized depreciation on open futures contracts, Liabilities	(77,436)		(415,979)
Futures [Member] | Metals [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	119,325
Total unrealized depreciation on open futures contracts, Liabilities	(1,230)		(219,420)
Forwards Contracts [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	250,657		301,950
Total unrealized depreciation on open futures contracts, Liabilities	(828,263)		(2,750)
Net unrealized appreciation on open forward contracts	(577,606)	[2]	299,200	[2]
Forwards Contracts [Member] | Metals [Member]
Derivative [Line Items]
Total unrealized appreciation on open futures contracts, Assets	250,657		301,950
Total unrealized depreciation on open futures contracts, Liabilities	$ (828,263)		$ (2,750)

[1] This amount is in "Net unrealized appreciation on open futures contracts" on the Statements of Financial Condition.

[2] This amount is in "Net unrealized appreciation on open forward contracts" on the Statements of Financial Condition.

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Financial Highlights - Changes in Net Asset Value Per Unit (Parenthetical) (Detail) (USD $)	3 Months Ended	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2012
Expenses before management fee waiver	$ (8.88)	$ (28.78)

XML

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Fair Value Measurement

models (Level 3). There were no transfers of assets and liabilities between Level 1 and Level 2 during the nine months ended September 30, 2012.

	September 30, 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	$	961,443		$	961,443		$	0	$	0
Forwards		250,657			250,657			0		0
Total assets		1,212,100			1,212,100			0		0
Liabilities
Futures	$	515,981		$	515,981		$	0	$	0
Forwards		828,263			828,263			0		0
Total liabilities		1,344,244			1,344,244			0		0
Net fair value	$	(132,144	)	$	(132,144	)	$	0	$	0

	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	$	1,870,210	$	1,870,210	$	0	$	0
Forwards		301,950		301,950		0		0
Total assets		2,172,160		2,172,160		0		0
Liabilities
Futures	$	1,391,655	$	1,391,655	$	0	$	0
Forwards		2,750		2,750		0		0
Total liabilities		1,394,405		1,394,405		0		0
Net fair value	$	777,755	$	777,755	$	0	$	0

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Financial Highlights (Tables)

9 Months Ended

Sep. 30, 2012

Changes in Net Asset Value Per Unit

Changes in the net asset value per unit for the three and nine months ended September 30, 2012 and 2011 were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	(38.67	)	$	(369.97	)	$	(324.92	)	$	(538.18	)
Interest income		0.16			0.05			0.42			0.54
Expenses **		(5.89	)***		(10.94	)		(24.81	)***		(36.91	)
Increase (decrease) for the period		(44.40	)		(380.86	)		(349.31	)		(574.55	)
Net asset value per unit, beginning of period		1,173.74			1,788.74			1,478.65			1,982.43
Net asset value per unit, end of period	$	1,129.34		$	1,407.88		$	1,129.34		$	1,407.88

* Includes brokerage fees and clearing fee.

** Excludes brokerage fees and clearing fee.

*** Expenses per unit would have been (8.88) and (28.78) for the three and nine months ended September 30, 2012, respectively, had it not been for the management fee waived by the Advisor.

Percentage of Financial Performance of Net Assets

	Three Months  Ended September 30,						Nine Months Ended September 30,
	2012			2011(2)			2012			2011(2)
Ratios to average net assets: (1)
Net investment income (loss)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Net investment income (loss) before incentive fees (3)		(7.4	)%		(7.7	)%		(7.9	)%		(8.0	)%
Operating expense		7.5	%(4)		7.7	%		8.0	%(4)		8.1	%
Incentive fees		—	%		—	%		—	%		—	%
Total expenses and incentive fee		7.5	%		7.7	%		8.0	%		8.1	%
Total return:
Total return before incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%
Incentive fees		—	%		—	%		—	%		—	%
Total return after incentive fees		(3.8	)%		(21.3	)%		(23.6	)%		(29.0	)%

(1) Annualized (other than incentive fees).

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

(3) Interest income less total expenses

(4) Percentages are after management fee waivers. The Advisor voluntarily waived a portion of the management fee (equal to 0.3% of the Adjusted Net Assets for each period).

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Trading Activities (Tables)

9 Months Ended

Sep. 30, 2012

Gross Fair Values of Derivative Instruments of Futures and Forward Contracts as Separate Assets and Liabilities

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures Contracts
Currencies	$	106,134
Energy		6,468
Grains		478,315
Indices		35,672
Interest Rates U.S.		15,000
Interest Rates Non-U.S.		92,241
Livestock		71,275
Metals		119,325
Softs		37,013
Total unrealized appreciation on open futures contracts	$	961,443
Liabilities
Futures Contracts
Currencies	$	(122,870	)
Energy		(60,502	)
Grains		(26,942	)
Indices		(164,612	)
Interest Rates U.S.		(19,430	)
Interest Rates Non-U.S.		(15,759	)
Livestock		(27,200	)
Metals		(1,230	)
Softs		(77,436	)
Total unrealized depreciation on open futures contracts	$	(515,981	)
Net unrealized appreciation on open futures contracts	$	445,462	*
	September 30, 2012
Assets
Forward Contracts
Metals	$	250,657
Total unrealized appreciation on open forward contracts	$	250,657
Liabilities
Forward Contracts
Metals	$	(828,263	)
Total unrealized depreciation on open forward contracts	$	(828,263	)
Net unrealized depreciation on open forward contracts	$	(577,606	)**

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

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

Assets	December 31, 2011
Futures Contracts
Currencies	$	518,318
Energy		255,066
Grains		42,625
Indices		200,253
Interest Rates U.S.		34,313
Interest Rates Non-U.S.		360,868
Livestock		38,625
Softs		420,142
Total unrealized appreciation on open futures contracts	$	1,870,210
Liabilities
Futures Contracts
Currencies	$	(153,628	)
Energy		(14,720	)
Grains		(356,536	)
Indices		(76,223	)
Interest Rates U.S.		(9,180	)
Interest Rates Non-U.S.		(134,909	)
Livestock		(11,060	)
Metals		(219,420	)
Softs		(415,979	)
Total unrealized depreciation on open futures contracts	$	(1,391,655	)
Net unrealized appreciation on open futures contracts	$	478,555	*

Assets	December 31, 2011
Forward Contracts
Metals	$	301,950
Total unrealized appreciation on open forward contracts	$	301,950
Liabilities
Forward Contracts
Metals	$	(2,750	)
Total unrealized depreciation on open forward contracts	$	(2,750	)
Net unrealized appreciation on open forward contracts	$	299,200	**

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

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

Trading Gains and Losses, by Market Sector, on Derivative Instruments

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months Ended September 30, 2012 Gain (loss) from trading			Nine Months Ended September 30, 2011 Gain (loss) from trading
Currencies	$	(87,929	)	$	(2,256,330	)	$	(1,520,668	)	$	(744,996	)
Energy		(235,095	)		(789,081	)		(682,782	)		769,031
Grains		474,707			(704,236	)		(313,086	)		(2,138,665	)
Indices		85,058			(2,910,763	)		(877,327	)		(3,014,293	)
Interest Rates U.S.		30,406			892,977			264,612			838,492
Interest Rates Non-U.S.		97,753			2,604,105			588,830			1,240,500
Livestock		168,340			(173,235	)		(6,315	)		(1,232,627	)
Metals		(355,677	)		(939,403	)		(322,234	)		(478,067	)
Softs		(389,503	)		(1,200,352	)		(1,175,806	)		(1,818,900	)
Total	$	(211,940	)***	$	(5,476,318	)***	$	(4,044,776	)***	$	(6,579,525	)***

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

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Condensed Schedule of Investments (Detail) (USD $)	Sep. 30, 2012		Dec. 31, 2011
Investment Holdings [Line Items]
Fair Value	$ (132,144)		$ 777,755
% of Partners' Capital	(1.03%)		3.31%
Futures Contracts Purchased [Member]
Investment Holdings [Line Items]
Fair Value	463,589		(24,947)
% of Partners' Capital	3.62%		(0.10%)
Futures Contracts Purchased [Member] | Currencies [Member]
Investment Holdings [Line Items]
Number of Contracts	89		151
Fair Value	37,622		45,655
% of Partners' Capital	0.29%		0.19%
Futures Contracts Purchased [Member] | Energy [Member]
Investment Holdings [Line Items]
Number of Contracts	27		84
Fair Value	(24,488)		240,346
% of Partners' Capital	(0.19%)		1.02%
Futures Contracts Purchased [Member] | Grains [Member]
Investment Holdings [Line Items]
Number of Contracts	90		21
Fair Value	451,865		3,162
% of Partners' Capital	3.53%		0.01%
Futures Contracts Purchased [Member] | Indices [Member]
Investment Holdings [Line Items]
Number of Contracts	247		2
Fair Value	(124,203)		(1,728)
% of Partners' Capital	(0.97%)		0.00%	[1]
Futures Contracts Purchased [Member] | Interest Rates U.S. [Member]
Investment Holdings [Line Items]
Number of Contracts	38		86
Fair Value	(4,430)		25,133
% of Partners' Capital	(0.03%)		0.11%
Futures Contracts Purchased [Member] | Interest Rates Non-U.S. [Member]
Investment Holdings [Line Items]
Number of Contracts	147		638
Fair Value	79,620		225,959
% of Partners' Capital	0.62%		0.96%
Futures Contracts Purchased [Member] | Livestock [Member]
Investment Holdings [Line Items]
Number of Contracts			30
Fair Value			27,565
% of Partners' Capital			0.12%
Futures Contracts Purchased [Member] | Metals [Member]
Investment Holdings [Line Items]
Number of Contracts	15		18
Fair Value	118,095		(219,420)
% of Partners' Capital	0.92%		(0.93%)
Futures Contracts Purchased [Member] | Softs [Member]
Investment Holdings [Line Items]
Number of Contracts	90		81
Fair Value	(70,492)		(371,619)
% of Partners' Capital	(0.55%)		(1.58%)
Futures Contracts Sold [Member]
Investment Holdings [Line Items]
Fair Value	(18,127)		503,502
% of Partners' Capital	(0.14%)		2.14%
Futures Contracts Sold [Member] | Currencies [Member]
Investment Holdings [Line Items]
Number of Contracts	108		201
Fair Value	(54,358)		319,035
% of Partners' Capital	(0.42%)		1.36%
Futures Contracts Sold [Member] | Energy [Member]
Investment Holdings [Line Items]
Number of Contracts	7
Fair Value	(29,546)
% of Partners' Capital	(0.23%)
Futures Contracts Sold [Member] | Grains [Member]
Investment Holdings [Line Items]
Number of Contracts	2		222
Fair Value	(492)		(317,073)
% of Partners' Capital	0.00%	[1]	(1.35%)
Futures Contracts Sold [Member] | Indices [Member]
Investment Holdings [Line Items]
Number of Contracts	6		249
Fair Value	(4,737)		125,758
% of Partners' Capital	(0.04%)		0.53%
Futures Contracts Sold [Member] | Interest Rates Non-U.S. [Member]
Investment Holdings [Line Items]
Number of Contracts	21
Fair Value	(3,138)
% of Partners' Capital	(0.02%)
Futures Contracts Sold [Member] | Livestock [Member]
Investment Holdings [Line Items]
Number of Contracts	59
Fair Value	44,075
% of Partners' Capital	0.34%
Futures Contracts Sold [Member] | Softs [Member]
Investment Holdings [Line Items]
Number of Contracts	52		250
Fair Value	30,069		375,782
% of Partners' Capital	0.23%		1.60%
Unrealized Appreciation on Open Forward Contract [Member]
Investment Holdings [Line Items]
Fair Value	250,657		301,950
% of Partners' Capital	1.95%		1.28%
Unrealized Appreciation on Open Forward Contract [Member] | Metals [Member]
Investment Holdings [Line Items]
Number of Contracts	105		54
Fair Value	250,657		301,950
% of Partners' Capital	1.95%		1.28%
Unrealized Depreciation on Open Forward Contracts [Member]
Investment Holdings [Line Items]
Fair Value	(828,263)		(2,750)
% of Partners' Capital	(6.46%)		(0.01%)
Unrealized Depreciation on Open Forward Contracts [Member] | Metals [Member]
Investment Holdings [Line Items]
Number of Contracts	146		1
Fair Value	$ (828,263)		$ (2,750)
% of Partners' Capital	(6.46%)		(0.01%)

[1] Due to rounding.

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Financial Highlights - Percentage of Financial Performance of Net Assets (Parenthetical) (Detail)	9 Months Ended
	Sep. 30, 2012
Percentage of management fee voluntarily waived by advisor	0.30%

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Financial Instrument Risks - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2012
Financial Instruments [Line Items]
Partnership contracts traded in OTC minimum	0.00%
Partnership contracts traded in OTC maximum	6.40%

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Statements of Income and Expenses and Changes in Partner's Capital (Parenthetical)	Sep. 30, 2012	Sep. 30, 2011
Net assets value unit outstanding	11,348.9776	15,730.4317

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Financial Instrument Risks

9 Months Ended

Sep. 30, 2012

Financial Instrument Risks

5. Financial Instrument Risks:

In the normal course of business, the Partnership is party 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, or to purchase or sell other financial instruments at specified terms on specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Each of these instruments is subject to various risks similar to those relating 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 0.0% to 6.4% of the Partnership’s contracts are traded OTC.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net 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 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 is 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 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 risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership 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 business, these instruments may not be held to maturity.

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Financial Highlights - Percentage of Financial Performance of Net Assets (Detail)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Ratios to average net assets:
Net investment income (loss)	(7.40%)	[1]	(7.70%)	[1],[2]	(7.90%)	[1]	(8.00%)	[1],[2]
Incentive fees		[1]		[1],[2]		[1]		[1],[2]
Net investment income (loss) before incentive fees (3)	(7.40%)	[3]	(7.70%)	[2],[3]	(7.90%)	[3]	(8.00%)	[2],[3]
Operating expense	7.50%	[4]	7.70%	[2]	8.00%	[4]	8.10%	[2]
Incentive fees				[2]				[2]
Total expenses and incentive fee	7.50%		7.70%	[2]	8.00%		8.10%	[2]
Total return:
Total return before incentive fees	(3.80%)		(21.30%)	[2]	(23.60%)		(29.00%)	[2]
Incentive fees				[2]				[2]
Total return after incentive fees	(3.80%)		(21.30%)	[2]	(23.60%)		(29.00%)	[2]

[1] Annualized (other than incentive fees).

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

[3] Interest income less total expenses

[4] Percentages are after management fee waivers. The Advisor voluntarily waived a portion of the management fee (equal to 0.3% of the Adjusted Net Assets for each period).