e10vq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2011

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-50271

ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		22-3644546

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

c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X No

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

Yes X No

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


Large accelerated filer	Accelerated filer	Non-accelerated filer X	Smaller reporting company

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

Yes No X

As of October 31, 2011, 468,945.6549 Limited Partnership Redeemable Units of Class A were outstanding and 1,134.5959 Limited Partnership Redeemable Units of Class Z were outstanding.

PART I

Item 1. Financial Statements

Orion Futures Fund L.P.
Statements of Financial Condition


	(Unaudited) September 30,		December 31,
	2011		2010

Assets:
Investment in Funds, at fair value	$	1,321,289,585	$	981,904,411
Equity in trading account:
Cash		271,177		172,054,703
Cash margin		4,850,189		22,755,878
Net unrealized appreciation on open forward contracts		0		13,090,568
Options purchased, at fair value (cost $0 and $2,992,890 at September 30, 2011 and December 31, 2010, respectively)		0		5,335,173

Total trading equity		1,326,410,951		1,195,140,733
Interest receivable		0		15,672

Total assets	$	1,326,410,951	$	1,195,156,405

Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $0 and $45,720 at September 30, 2011 and December 31, 2010, respectively)	$	0	$	14,130
Net unrealized depreciation on open futures contracts		0		5,247,768
Net unrealized depreciation on open forward contracts		4,850,189		0
Accrued expenses:
Brokerage commissions		2,981,689		2,109,769
Management fees		1,327,804		1,751,605
Administrative fees		549,309		494,865
Incentive fees		5,368,914		4,494,823
Other		89,361		109,373
Redemptions payable		8,197,005		11,368,337

Total liabilities		23,364,271		25,590,670

Partners’ Capital:
General Partner, Class A, (4,832.1591 and 4,276.0755 unit equivalents outstanding at September 30, 2011 and December 31, 2010, respectively)		13,344,394		11,777,980
General Partner, Class Z, (0.0000 units equivalents outstanding at September 30, 2011 and December 31, 2010)		0		0
Limited Partners, Class A, (466,765.8600 and 420,343.0232 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively)		1,289,010,254		1,157,787,755
Limited Partners, Class Z, (700.3039 and 0.0000 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively)		692,032		0
Total partners’ capital		1,303,046,680		1,169,565,735

Total liabilities and partners’ capital	$	1,326,410,951	$	1,195,156,405

Net asset value per unit:

Class A	$	2,761.58	$	2,754.39

Class Z	$	988.19	$	0

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2010


	Notional ($)/					% of Partners’
	Number of Contracts		Fair Value			Capital

Futures Contracts Purchased
Currencies		520	$	953,808			0.08	%
Energy		407		1,063,222			0.09
Grains		1,143		2,154,944			0.18
Interest Rates U.S.		380		35,017			0.00	*
Interest Rates Non-U.S.		238		8,350			0.00	*
Livestock		111		95,380			0.01
Metals		390		3,589,090			0.31
Softs		518		2,648,939			0.23

Total futures contracts purchased				10,548,750			0.90

Futures Contracts Sold
Currencies		95		26,292			0.00	*
Grains		240		(123,200	)		(0.01	)
Interest Rates U.S.		12		(6,375	)		(0.00	)*
Interest Rates Non-U.S.		95		102,828			0.01
Metals		1,428		(15,796,063	)		(1.35	)

Total futures contracts sold				(15,796,518	)		(1.35	)

Unrealized Appreciation on Open Forward Contracts
Metals		3,976		67,511,368			5.77

Total unrealized appreciation on open forward contracts				67,511,368			5.77

Unrealized Depreciation on Open Forward Contracts
Currencies	$	75,375		(313	)		0.00	*
Metals		3,256		(54,420,487	)		(4.65	)

Total unrealized depreciation on open forward contracts				(54,420,800	)		(4.65	)

Options Purchased
Calls
Grains		200		55,000			0.00	*
Metals		225		5,280,173			0.45

Total options purchased				5,335,173			0.45

Options Premium Received
Calls
Metals		60		(14,130	)		(0.00	)*

Total options premium received				(14,130	)		(0.00	)*

Investment in Funds
AAA Master Fund LLC				283,238,250			24.22
CMF Willowbridge Argo Master Fund LP				151,432,714			12.95
CMF Winton Master Fund LP				547,233,447			46.79

Total investment in Funds				981,904,411			83.96

Net fair value			$	995,068,254			85.08	%


*		Due to rounding.

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Statements of Income and Expenses
(Unaudited)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Investment Income:
Interest income	$	199		$	66,476		$	53,981		$	139,740
Interest income from investment in Funds		24,742			263,509			304,088			605,235

Total investment income		24,941			329,985			358,069			744,975


Expenses:
Brokerage commissions including clearing fees		4,402,696			2,943,794			11,517,150			9,197,994
Management fees		5,703,113			4,798,415			16,738,405			13,327,364
Administrative fees		1,651,697			1,342,505			4,788,950			3,711,971
Incentive fees		5,368,913			2,506,281			7,504,897			4,395,222
Other		168,228			185,478			654,738			624,841

Total expenses		17,294,647			11,776,473			41,204,140			31,257,392

Net investment income (loss)		(17,269,706	)		(11,446,488	)		(40,846,071	)		(30,512,417	)


Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		(1,438,435	)		4,805,257			16,663,530			(5,657,154	)
Net realized gains (losses) on investment in Funds		25,217,187			4,857,297			44,471,691			(2,120,921	)
Change in net unrealized gains (losses) on open contracts		1,438,435			6,187,480			(15,066,862	)		7,003,584
Change in net unrealized gains (losses) on investment in Funds		11,613,696			11,659,900			(3,242,142	)		16,884,531

Total trading results		36,830,883			27,509,934			42,826,217			16,110,040

Net income (loss)	$	19,561,177		$	16,063,446		$	1,980,146		$	(14,402,377	)


Net income (loss) allocation by class:
Class A	$	19,566,516		$	16,063,446		$	1,985,485		$	(14,402,377	)

Class Z	$	(5,339	)	$	0		$	(5,339	)	$	0

Net asset value per redeemable unit:
Class A (471,598.0191 and 410,331.2069 units outstanding at September 30, 2011 and 2010, respectively)	$	2,761.58		$	2,642.21		$	2,761.58		$	2,642.21
	,
Class Z (700.3039 and 0 units outstanding at September 30, 2011 and 2010, respectively)	$	988.19		$	0		$	988.19		$	0
	,
Net income (loss) per unit: *
Class A	$	41.75		$	39.10		$	7.19		$	(50.97	)

Class Z	$	(11.81	)	$	0		$	(11.81	)	$	0

Weighted average units outstanding:
Class A		472,737.9748			408,058.2249			456,813.7306			376,423.8169

Class Z		400.4765			0.0000			400.4765			0.0000


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Statements of Changes in Partners’ Capital
For the Nine Months Ended September 30, 2011 and 2010

(Unaudited)


	Class A						Class Z					Total
	Amount			Units			Amount			Units		Amount			Units
Partners’ Capital December 31, 2010	$	1,169,565,735		$	424,619.0987		$	0			0	$	1,169,565,735			424,619.0987
Subscriptions — Limited Partners		250,841,018			90,175.1521			697,371			700.3039		251,538,389			90,875.4560
Subscriptions — General Partner		1,550,000			556.0836			0			0		1,550,000			556.0836
Net income (loss)		1,985,485			0			(5,339	)		0		1,980,146			0
Redemptions — Limited Partners		(121,587,590	)		(43,752.3153	)		0			0		(121,587,590	)		(43,752.3153	)

Partners’ Capital September 30, 2011	$	1,302,354,648			471,598.0191		$	692,032			700.3039	$	1,303,046,680			472,298.3230


	Class A						Class Z					Total
	Amount			Units			Amount			Units		Amount			Units
Partners’ Capital December 31, 2009	$	815,786,554			302,908.4228		$	0			0	$	815,786,554			302,908.4228
Subscriptions — Limited Partners		364,108,030			138,427.6992			0			0		364,108,030			138,427.6992
Subscriptions — General Partner		2,975,000			1,134.0389			0			0		2,975,000			1,134.0389
Net income (loss)		(14,402,377	)		0			0			0		(14,402,377	)		0
Redemptions — Limited Partners		(84,284,242	)		(32,138.9540	)		0			0		(84,284,242	)		(32,138.9540	)

Partners’ Capital September 30, 2010	$	1,084,182,965			410,331.2069		$	0			0	$	1,084,182,965			410,331.2069

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


1.	General:

Orion Futures Fund L.P. (the “Partnership”), is a limited partnership organized on March 22, 1999 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, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership and the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers 600,000 redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

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

As of September 30, 2011, all trading decisions are made for the Partnership by Transtrend B.V. (“Transtrend”), Winton Capital Management Limited (“Winton”) and AAA Capital Management Advisors, Ltd. (“AAA”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor.

On June 1, 2011, the units offered pursuant to the offering memorandum were deemed “Class A” units. The rights, powers, duties and obligations associated with investment in Class A units were not changed. Beginning August 1, 2011, Class Z units were offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes”. The Class of Redeemable Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Redeemable Units to investors at its discretion.

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

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

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

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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


2.	Financial Highlights:

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


				For the period									For the period
				August 1, 2011									August 1, 2011
				(commencement of									(commencement of
	Three Months Ended			operations) to			Three Months Ended			Nine Months Ended			operations) to			Nine Months Ended
	September 30, 2011			September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2011			September 30, 2010
	Class A			Class Z			Class A			Class A			Class Z			Class A
Net realized and unrealized gains (losses) *	$	68.98		$	(6.17	)	$	59.91		$	71.44		$	(6.17	)	$	5.10
Interest income		0.06			0.01			0.81			0.82			0.01			1.94
Expenses **		(27.29	)		(5.65	)		(21.62	)		(65.07	)		(5.65	)		(58.01	)

Increase (decrease) for the period		41.75			(11.81	)		39.10			7.19			(11.81	)		(50.97	)
Net asset value per unit, beginning of period		2,719.83			1,000.00			2,603.11			2,754.39			1,000.00			2,693.18

Net asset value per unit, end of period	$	2,761.58		$	988.19		$	2,642.21		$	2,761.58		$	988.19		$	2,642.21



* Includes brokerage commissions

** Excludes brokerage commissions

				For the period									For the period
				August 1, 2011									August 1, 2011
				(commencement of									(commencement of
	Three Months Ended			operations) to			Three Months Ended			Nine Months Ended			operations) to			Nine Months Ended
	September 30, 2011			September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2011			September 30, 2010
Ratios to average net assets:***
Net investment loss before incentive fees****		(3.7)	%		(3.2	)%		(3.4	)%		(3.6	)%		(3.2	)%		(3.6	)%


Operating expense		3.7	%		3.2	%		3.5	%		3.6	%		3.2	%		3.7	%
Incentive fees		0.4	%		0.1	%		0.2	%		0.6	%		0.1	%		0.5	%

Total expenses		4.1	%		3.3	%		3.7	%		4.2	%		3.3	%		4.2	%


Total return:
Total return before incentive fees		2.0	%		(1.1	)%		1.7	%		0.8	%		(1.1	)%		(1.5	)%
Incentive fees		(0.5	)%		(0.1	)%		(0.2	)%		(0.5	)%		(0.1	)%		(0.4	)%

Total return after incentive fees		1.5	%		(1.2	)%		1.5	%		0.3	%		(1.2	)%		(1.9	)%


***		Annualized (other than incentive fees)

****		Interest income less total expenses (exclusive of incentive fees)

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 Classes using the limited partners’ share of income, expenses and average net assets.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


3.	Trading Activities:

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

The customer agreements between the Partnership and CGM and the Funds and CGM or Morgan Stanley & Co. LLC (“MS & Co”) or Morgan Stanley & Co. International PLC (“MSIP”) as applicable, give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures, exchange — cleared swaps and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Partnership and the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership, during the three months ended September 30, 2011 and 2010 were 0 and 6,949, respectively. The monthly average number of futures contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were 2,101 and 5,408, respectively. The monthly average number of metal forward contracts traded directly by the Partnership, during the three months ended September 30, 2011 and 2010 were 1,727 and 5,869, respectively. The monthly average number of metal forward contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were 6,053 and 3,969, respectively. The monthly average number of option contracts traded directly by the Partnership, during the three months ended September 30, 2011 and 2010 were 0 and 777, respectively. The monthly average number of option contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were 152 and 386, respectively. The monthly average notional value of currency forward contracts, held directly by the Partnership, during the three months ended September 30, 2011 and 2010 were $0 and $24,207, respectively. The monthly average notional value of currency forward contracts, held directly by the Partnership, during the nine months ended September 30, 2011 and 2010 were $8,588,266 and $25,789,844, respectively.

Brokerage commissions are based on the number of trades executed by the Advisors for the Partnership and the Funds.

The following tables indicate the gross fair values of derivative instruments of futures, forward and options contracts traded directly by the Partnership as separate assets and liabilities as of September 30, 2011 and December 31, 2010.


	September 30, 2011
Assets
Forward Contracts
Metals	$	14,384,375

Total unrealized appreciation on open forward contracts	$	14,384,375


Liabilities
Forward Contracts
Metals	$	(19,234,564	)

Total unrealized depreciation on open forward contracts	$	(19,234,564	)

Net unrealized depreciation on open forward contracts	$	(4,850,189)	*


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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


	December 31,
	2010

Assets
Futures Contracts
Currencies	$	1,023,400
Energy		1,076,962
Grains		2,158,741
Interest Rates U.S.		35,017
Interest Rates Non-U.S.		113,936
Livestock		95,380
Metals		3,589,089
Softs		2,714,932

Total unrealized appreciation on open futures contracts	$	10,807,457

Liabilities
Futures Contracts
Currencies	$	(43,300	)
Energy		(13,740	)
Grains		(126,997	)
Interest Rates U.S.		(6,375	)
Interest Rates Non-U.S.		(2,758	)
Metals		(15,796,062	)
Softs		(65,993	)

Total unrealized depreciation on open futures contracts	$	(16,055,225	)

Net unrealized depreciation on open futures contracts	$	(5,247,768	)*


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


	December 31,
	2010

Assets
Forward Contracts
Metals	$	67,511,368

Total unrealized appreciation on open forward contracts	$	67,511,368

Liabilities
Forward Contracts
Currencies	$	(313	)
Metals		(54,420,487	)

Total unrealized depreciation on open forward contracts	$	(54,420,800	)

Net unrealized appreciation on open forward contracts	$	13,090,568	**

Assets
Options Purchased
Grains	$	55,000
Metals		5,280,173

Total options purchased	$	5,335,173	***

Liabilities
Options Premium Received
Metals	$	(14,130	)

Total options premium received	$	(14,130	)****


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

***		This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

****		This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

The following tables indicate the Partnership’s trading results, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2011 and 2010.


	Three Months Ended		Three Months Ended			Nine Months Ended			Nine Months Ended
	September 30, 2011		September 30, 2010			September 30, 2011			September 30, 2010
Sector	Gain (loss) from trading		Total trading results			Gain (loss) from trading			Total trading results
Currencies	$	—	$	5,945,510		$	(1,297,551	)	$	7,830,169
Energy		—		(9,037,904	)		2,902,797			(19,387,924	)
Grains		—		8,711,776			(4,633,963	)		5,713,050
Indices		—		(60,251	)		(29,043	)		(55,528	)
Interest Rates U.S.		—		1,057,562			(1,476,338	)		2,266,651
Interest Rates Non-U.S.		—		622,283			248,513			5,324,703
Livestock		—		87,970			(435,160	)		(429,080	)
Metals		—		3,411,538			4,745,428			(1,189,164	)
Softs		—		254,253			1,571,985			1,273,553

Total	$	—	$	10,992,737		$	1,596,668		$	1,346,430


4.	Fair Value Measurements:

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

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

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 markets become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

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


			Quoted Prices in
			Active Markets			Significant Other		Significant
			for Identical			Observable Inputs		Unobservable
	September 30, 2011		Assets (Level 1)			(Level 2)		Inputs (Level 3)

Assets
Forwards	$	14,384,375	$	14,384,375		$	—	$	—
Investment in Funds		1,321,289,585		—			1,321,289,585		—

Total assets	$	1,335,673,960	$	14,384,375		$	1,321,289,585	$	—

Liabilities
Forwards	$	19,234,564	$	19,234,564			—		—

Total liabilities	$	19,234,564	$	19,234,564			—		—

Net fair value	$	1,316,439,396	$	(4,850,189	)	$	1,321,289,585	$	—


			Quoted Prices in
			Active Markets			Significant Other		Significant
			for Identical			Observable Inputs		Unobservable
	December 31, 2010^*		Assets (Level 1)			(Level 2)		Inputs (Level 3)

Assets
Options purchased	$	5,335,173	$	5,335,173		$	—	$	—
Futures		10,807,457		10,807,457			—		—
Forwards		67,511,368		67,511,368			—		—
Investment in Funds		981,904,411		—			981,904,411		—

Total assets	$	1,065,558,409	$	83,653,998		$	981,904,411	$	—

Liabilities
Futures	$	16,055,225	$	16,055,225		$	—	$	—
Forwards		54,420,800		54,420,487			313		—
Options premium received		14,130		14,130			—		—

Total liabilities		70,490,155		70,489,842			313		—

Net fair value	$	995,068,254	$	13,164,156		$	981,904,098	$	—

* The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


5.	Investment in Funds:

On September 1, 2001, the assets allocated to AAA for trading were invested in AAA Master Fund LLC, (“AAA Master”), a limited liability company organized under the limited liability company laws of the State of New York. The Partnership purchased 5,173.4381 units of AAA Master with cash equal to $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward contracts with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2005, a portion of the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 33,529.1186 units of Willowbridge Master with cash equal to $29,866,194 and a contribution of open commodity futures and forward contracts with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Willowbridge Master on May 31, 2011 for cash equal to $97,339,043.

On June 1, 2011, the Partnership allocated a portion of its assets, with cash equal to $384,387,625 to Morgan Stanley Smith Barney TT II, LLC, (“Transtrend Master”), a limited liability company organized under the partnership laws of the State of Delaware. Transtrend Master was formed in order to permit accounts managed now or in the future by Transtrend using the Diversified Trend Program-Enhanced Risk Portfolio (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the managing member of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership are permitted to be a non managing member of Transtrend Master. The General Partner and Transtrend believe that trading through this structure should promote efficiency and economy in the trading process.

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

AAA Master’s, Transtrend Master’s and Winton Master’s (collectively, the “Funds”) and the Partnership’s trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM, except for Transtrend Master which trades through MS & Co. and MSIP, the commodity broker.

A limited partner/non-managing member may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the general partner/managing member at least three days in advance of the Redemption Date. The units are classified as a liability when the limited partner/non-managing member elects to redeem and informs the Funds.

Management, administrative and incentive fees are charged at the Partnership level, except for fees payable to Transtrend which are charged at the Transtrend Master level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly and through its investments in the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

At September 30, 2011, the Partnership owned approximately 40.6% of AAA Master, 91.7% of Transtrend Master and 66.7% of Winton Master. At December 31, 2010, the Partnership owned approximately 28.7% of AAA Master, 70.0% of Willowbridge Master and 61.9% of Winton Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the Total Assets, Liabilities and Capital for the Funds are shown in the following tables.


	September 30, 2011
	Total Assets			Total Liabilities			Total Capital
AAA Master	$	1,182,343,740		$	237,749,412		$	944,594,328
Transtrend Master		419,583,945			646,370			418,937,575
Winton Master		830,305,813			289,479			830,016,334

Total	$	2,432,233,498		$	238,685,261		$	2,193,548,237


	December 31, 2010
	Total Assets			Total Liabilities			Total Capital
AAA Master	$	1,234,677,140		$	254,307,502		$	980,369,638
Willowbridge Master		216,360,362			61,729			216,298,633
Winton Master		883,842,483			122,612			883,719,871

Total	$	2,334,879,985		$	254,491,843		$	2,080,388,142


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

	For the three months ended September 30, 2011
	Net Investment			Total Trading
	Income (Loss)			Results			Net income (Loss)
AAA Master	$	(608,827	)	$	20,925,811		$	20,316,984
Transtrend Master		(2,263,834	)		(14,676,082	)		(16,939,916	)
Winton Master		(115,599	)		65,557,693			65,442,094

Total	$	(2,988,260	)	$	71,807,422		$	68,819,162


	For the nine months ended September 30, 2011
	Net Investment			Total Trading
	Income (Loss)			Results			Net income (Loss)
AAA Master	$	(1,998,001	)	$	16,706,074		$	14,708,073
Transtrend Master		(3,661,569	)		(28,176,397	)		(31,837,966	)
Winton Master		(172,947	)		76,099,292			75,926,345
Willowbridge Master (a)		(58,428	)		18,287,865			18,229,437

Total	$	(5,890,945	)	$	82,916,834		$	77,025,889


(a)		From January 1, 2011 through May 31, 2011, the date Willowbridge Master was terminated.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)


	For the three months ended September 30, 2010
	Net Investment			Total Trading
	Income (Loss)			Results			Net income (Loss)
AAA Master	$	(596,513	)	$	9,489,985		$	8,893,472
Willowbridge Master		(28,204	)		(2,263,514	)		(2,291,718	)
Winton Master		63,386			26,050,805			26,114,191

Total	$	(561,331	)	$	33,277,276		$	32,715,945



	For the nine months ended September 30, 2010
	Net Investment			Total Trading
	Income (Loss)			Results			Net income (Loss)
AAA Master	$	(2,428,159	)	$	(34,508,985	)	$	(36,937,144	)
Willowbridge Master		(146,867	)		(36,147,175	)		(36,294,042	)
Winton Master		(46,631	)		80,520,886			80,474,255

Total	$	(2,621,657	)	$	9,864,726		$	7,243,069

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.


	September 30, 2011					For the three months ended September 30, 2011
	% of
	Partnership’s			Fair		Income			Expenses				Management		Net			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		Fee		Income (Loss)			Objective	Permitted
AAA Master		29.41	%	$	383,200,905	$	8,381,422		$	202,731	$	51,907	$	—	$	8,126,784		Energy Markets	Monthly
Transtrend Master		29.49	%		384,214,715		(13,395,345	)		313,596		0		1,738,778		(15,447,719	)	Commodity Portfolio	Monthly
Winton Master		42.51	%		553,873,965		41,869,548			79,876		13,907		—		41,775,765		Commodity Portfolio	Monthly

Total				$	1,321,289,585	$	36,855,625		$	596,203	$	65,814	$	1,738,778	$	34,454.830


	September 30, 2011					For the nine months ended September 30, 2011
	% of
	Partnership’s			Fair		Income			Expenses				Management		Net			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		Fee		Income (Loss)			Objective	Permitted
AAA Master		29.41	%	$	383,200,905	$	5,140,821		$	643,899	$	176,910	$	—	$	4,320,012		Energy Markets	Monthly
Transtrend Master		29.49	%		384,214,715		(24,781,090	)		453,128		112,108		2,299,318		(27,645,644	)	Commodity Portfolio	Monthly
Willowbridge Master		0.00	%	$	—		13,236,598			47,521		27,695		—		13,161,382		Commodity Portfolio	Monthly
Winton Master		42.51	%		553,873,965		47,937,308			240,927		44,179		—		47,652,202		Commodity Portfolio	Monthly

Total				$	1,321,289,585	$	41,533,637		$	1,385,475	$	360,892	$	2,299,318	$	37,487,952


	December 31, 2010					For the three months ended September 30, 2010
	% of
	Partnership’s			Fair		Income			Expenses				Net			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (Loss)			Objective	Permitted
AAA Master		24.22	%	$	283,238,250	$	2,523,600		$	161,584	$	48,436	$	2,313,580		Energy Markets	Monthly
Willowbridge Master		12.95	%		151,432,714		(1,413,593	)		47,967		16,136		(1,477,696	)	Commodity Portfolio	Monthly
Winton Master		46.79	%		547,233,447		15,670,699			87,075		16,606		15,567,018		Commodity Portfolio	Monthly

Total				$	981,904,411	$	16,780,706		$	296,626	$	81,178	$	16,402,902


	December 31, 2010					For the nine months ended September 30, 2010
	% of
	Partnership’s			Fair		Income			Expenses				Net			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (Loss)			Objective	Permitted
AAA Master		24.22	%	$	283,238,250	$	(8,424,424	)	$	611,829	$	137,958	$	(9,174,211	)	Energy Markets	Monthly
Willowbridge Master		12.95	%		151,432,714		(22,466,180	)		160,329		42,223		(22,668,732	)	Commodity Portfolio	Monthly
Winton Master		46.79	%		547,233,447		46,259,449			284,257		45,968		45,929,224		Commodity Portfolio	Monthly

Total				$	981,904,411	$	15,368,845		$	1,056,415	$	226,149	$	14,086,281

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

6. Financial Instrument Risks:

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

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

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

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

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

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

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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

7. Critical Accounting Policies:

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

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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)

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

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

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

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 and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. 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 and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

Brokerage Commissions. Commission charges to open and close futures and exchange-traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

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

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

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

Subsequent Events. The General Partners 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 no subsequent events requiring adjustment of or disclosure in the financial statements.

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

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

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


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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. The Partnership’s assets are its (i) investment in Funds, and (ii) equity in its trading account, consisting of cash and cash equivalents and net unrealized depreciation on open forward contracts. 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 2011.

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

For the nine months ended September 30, 2011, Partnership capital increased 11.4% from $1,169,565,735 to $1,303,046,680. This increase was attributable to the subscriptions of 90,175.1521 Redeemable Units of Class A totaling $250,841,018, subscriptions of 700.3039 Redeemable Units of Class Z totaling $697,371 and 556.0836 Class A General Partner unit equivalents totaling $1,550,000, coupled with a net income from operations of $1,980,146, which was partially offset by the redemptions of 43,752.3153 Redeemable Units of Class A totaling $121,587,590. 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 utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.

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

Results of Operations

During the Partnership’s third quarter of 2011, the net asset value per unit for Class A increased 1.5% from $2,719.83 to $2,761.58 as compared to an increase of 1.5% in the third quarter of 2010. During the Partnership’s third quarter of 2011, the net asset value per unit for Class Z decreased 1.2% from $1,000.00 to $988.19 from August 1, 2011 to September 30, 2011. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2011 of $36,830,883. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, U.S. and non-U.S. interest rates, metals and softs, and were partially offset by losses in currencies, grains, livestock and indices. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2010 of $27,509,934. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, grains, livestock, metals, U.S. and non-U.S. interest rates and softs and were partially offset by losses in energy and indices.

During July, long futures positions in U.S. Treasury bonds, U.S. Treasury notes, and the Eurobund profited as investors sought “flight to quality” assets after concerns over a slowing global economy and the inability of the U.S. debt ceiling issue to be resolved saw investors seek “safe haven” assets. Further gains were recorded in currencies as long Swiss franc and Japanese yen versus short U.S. dollar positions made a profit for the Partnership as investors perceived these currencies to be “safe haven” assets. Additional gains were recorded in the energy markets in July came from long futures positions in Brent crude oil and WTI crude oil as oil prices moved higher. The Partnership also profited from long futures positions in gold and silver as prices rallied amidst concerns over a slowing global economy. Lastly, long futures positions in sugar recorded gains in July as prices rose on renewed concerns that the crop in Brazil may decline. The Partnership’s gains in July were offset by losses in August and September. Long Australian dollar, Canadian dollar and euro positions versus short U.S. dollar incurred losses as concerns over slowing global demand for commodities weighed on the value of currencies. Further losses were incurred in August from long futures positions in global stock indices as prices declined after a Standard & Poor’s downgrade of the United States’ sovereign credit rating, as well as concerns about the European debt crisis. Long futures positions in corn and soybeans incurred losses as grains prices declined on a more favorable United States Department of Agriculture report citing better-than-expected yields. Lastly, short futures positions in coffee incurred losses as prices rallied in August.

During the Partnership’s nine months ended September 30, 2011, the net asset value per unit for Class A increased 0.3% from $2,754.39 to $2,761.58 as compared to a decrease of 1.9% for the nine months ended September 30, 2010. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2011 of $42,826,217. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, U.S. and non U.S. interest rates, metals and softs, and were partially offset by losses in currencies, grains, livestock and indices. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2010 of $16,110,040. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates and softs and were partially offset by losses in livestock, energy, metals and indices.

During the first quarter, long futures positions in WTI crude oil and Brent crude oil performed well as prices generally appreciated given confidence in the continued growth of China, as well as that of the broader global economy. Additional upward price pressure resulted from political tensions in the Middle East and North Africa. Further gains were recorded from long futures positions in heating oil as a colder-than-expected winter in the United States helped to drive prices higher throughout February and March. Gains were also experienced in the metals complex during February from long futures positions in gold, silver, nickel, and zinc profited from prices trending higher. Further gains were recorded during March and April in the metals complex as long futures positions in gold and silver as prices strengthened continuing their upward trend from February. Further gains in April were recorded in the energy markets from long futures positions in WTI crude oil, as well as in RBOB gasoline, gasoil, and heating oil as oil prices rose during the month. Lastly, gains were recorded from long positions in the currency markets during April as the British pound, euro, Australian dollar, Swiss franc and Canadian dollar all strengthened against the U.S. dollar. Performance in July also benefited the Partnership as long futures positions in U.S. Treasury bonds and U.S. Treasury notes profited as investors sought out “flight to quality” assets given a weaker global economic outlook and continued concerns about the U.S. debt ceiling. Further gains in July were recorded in currencies as long positions in the Swiss franc and Japanese yen versus the U.S. dollar benefited the Partnership as these currencies were viewed as “safe haven” assets by investors. Additional gains were recorded in the metals complex in July as long futures positions in gold and silver benefited from rising prices. A portion of the Partnership’s gains during the first nine months of the year was offset by trading losses in January as short futures positions in U.S. and European interest rates detracted from performance as prices increased over concerns about the unrest in the Middle East, which spurred demand for the relative “safety” of government debt. Further losses in February came in currencies as long Australian dollar, Swiss franc, Japanese yen, and Canadian dollar positions weakened against the U.S. dollar as renewed optimism about the U.S. economic recovery was aided by better-than-expected U.S. factory data. The Partnership incurred additional losses in May and June as a sharp reversal lower in energy prices negatively impacted long futures positions in WTI crude oil, RBOB gasoline, gasoil, heating oil and natural gas. Further losses in May came from long futures positions in the metals markets as gold and silver prices reversed sharply lower, as did palladium, platinum and copper prices. Losses were also recorded in the agricultural commodities in May and June as the prices of corn, soybeans and wheat futures all traded lower, thus negatively impacting long positions in these markets. The Partnership also incurred losses in global stock indices as prices continued to decline throughout May and June amidst fears the crisis in Greece and Portugal would spread to other European countries. Additional losses came from the currency markets in August and September as long Australian dollar, Canadian dollar and euro positions versus the U.S. dollar were negatively impacted as concerns over slowing global demand for commodities and the European debt crisis pushed the values of these currencies lower. Further losses were incurred in August from long futures positions in global stock indices as prices declined after a Standard & Poor’s downgrade of the United States’ sovereign credit rating. Long futures positions in corn and soybeans also incurred further losses in August and September as grains prices declined on better-than-expected yields in the United States.

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

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the AAA Master or Winton Master) brokerage account 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. MS & Co. and MSIP credits Transtrend Master at each month-end with interest income on the assets on deposit with MS & Co. and MSIP. Interest income earned by the Partnership for the three and nine months ended September 30, 2011 decreased by $305,044 and $386,906, respectively, as compared to the corresponding periods in 2010. The decrease in interest income is primarily due to lower U.S. Treasury bill rates for the Partnership during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership/Funds nor CGM/MS & Co. has control.

Brokerage commissions are based on the number of trades executed by the Advisors. Accordingly, they must be compared in relation to the number of trades executed during the period. Brokerage commissions and fees for the three and nine months ended September 30, 2011 increased by $1,458,902 and $2,319,156, respectively, as compared to the corresponding periods in 2010. The increase in brokerage commissions and fees is primarily due to an increase in the number of trades during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

Management fees, except fees payable to Transtrend, 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 payable to Transtrend are charged at Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three and nine months ended September 30, 2011 increased by $904,698 and $3,411,041, respectively, as compared to the corresponding periods in 2010. The increase in management fees is due to higher average adjusted net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These 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. Administrative fees for the three and nine months ended September 30, 2011 increased by $309,192 and $1,076,979, respectively, as compared to the corresponding periods in 2010. The increase in administrative fees is due to higher average adjusted net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in each management agreement among the Partnership, the General Partner and each Advisor. Trading performance for the three and nine months ended September 30, 2011 resulted in incentive fees of $5,368,913 and $7,504,897, respectively. Trading performance for the three and nine months ended September 30, 2010 resulted in incentive fees of $2,506,281 and $4,395,222, respectively.

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


Item 3.	Quantitative and Qualitative Disclosures about Market Risk

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

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

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

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

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. Through May 31, 2011. Willowbridge directly traded managed accounts in the Partnership’s name. Willowbridge was terminated as an Advisor to the Partnership effective May 31, 2011. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership indirectly, through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by each Fund separately. 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, 2010.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2011 and December 31, 2010. As of September 30, 2011, the Partnership’s total capitalization was $1,303,046,680.

September 30, 2011


			% of Total
Market Sector	Value at Risk		Capitalization
Commodities	$	40,643,915		3.12	%
Currencies		11,316,872		0.87	%
Indices		6,399,580		0.49	%
Interest Rates		14,803,842		1.13	%

Total	$	73,164,209		5.61	%

As of September 30, 2011, AAA Master’s total capitalization was $944,594,328. The Partnership owned approximately 40.6% of AAA Master. As of September 30, 2011, AAA Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to AAA for trading) was as follows:

September 30, 2011


						Three months ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	66,869,289		7.08	%	$	70,499,917	$	46,927,837	$	65,683,069
Grains		135,214		0.01			254,707		61,250		122,947
Lumber		89,500		0.01			156,000		11,000		88,333
Softs		634,837		0.07			1,625,000		330,000		899,529

Total	$	67,728,840		7.17	%


*		Average of month-end Values at Risk.

As of December 31, 2010, AAA Master’s total capitalization was $980,369,638. The Partnership owned approximately 28.7% of AAA Master. As of December 31, 2010, AAA Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to AAA for trading) was as follows:

December 31, 2010


						Twelve months ended December 31, 2010
	Value at		% of Total			High		Low		Average
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	51,518,525		5.26	%	$	143,609,109	$	51,518,525	$	94,568,057
Lumber		93,600		0.01	%		126,800		22,200		57,792

Total	$	51,612,125		5.27	%


*		Annual average of month-end Values at Risk.

As of September 30, 2011, Winton Master’s total capitalization was $830,016,334. The Partnership owned approximately 66.7% of Winton Master. As of September 30, 2011, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

September 30, 2011


						Three months ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	6,398,762		0.77	%	$	17,770,593	$	6,398,762	$	12,628,909
Energy		2,254,997		0.27	%		3,682,308		1,861,063		2,726,371
Grains		760,796		0.09	%		1,916,355		540,481		1,325,661
Indices		5,146,585		0.62	%		11,849,454		5,146,585		8,662,893
Interest Rates U.S.		5,172,100		0.63	%		8,420,650		5,172,100		6,643,483
Interest Rates Non-U.S.		9,204,700		1.11	%		15,134,879		9,204,700		11,303,280
Livestock		197,650		0.03	%		287,050		171,300		236,217
Metals		4,588,241		0.55	%		6,271,309		3,994,864		5,107,472
Softs		1,023,363		0.12	%		2,456,982		826,937		1,463,424

Total	$	34,747,194		4.19	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Winton Master’s Value total capitalization was $883,719,871. The Partnership owned approximately 61.9% of Winton Master. As of December 31, 2010, Winton’s Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

December 31, 2010


						Twelve months ended December 31, 2010
	Value at		% of Total			High		Low		Average Value
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		at Risk*
Currencies	$	8,969,665		1.01	%	$	13,529,797	$	3,127,432	$	9,858,603
Energy		3,277,769		0.37	%		4,944,082		236,988		2,213,508
Grains		3,992,796		0.45	%		4,064,389		556,164		2,285,359
Indices		15,987,691		1.81	%		22,020,780		2,382,812		12,021,182
Interest Rates U.S.		1,387,025		0.16	%		10,348,050		275,672		5,195,958
Interest Rates Non-U.S.		3,521,207		0.40	%		13,490,861		1,949,046		7,347,287
Livestock		268,200		0.03	%		437,350		158,080		263,226
Metals		6,416,979		0.73	%		8,963,451		3,939,668		5,989,765
Softs		1,393,632		0.16	%		2,071,953		538,916		1,029,710

Total	$	45,214,964		5.12	%


*		Annual average of month-end Value at Risk.

As of September 30, 2011, Transtrend Master’s total capitalization was $418,937,575. The Partnership owned approximately 91.7% of Transtrend Master. As of September 30, 2011 Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

September 30, 2011


						Three months ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Commodities	$	8,256,922		1.97	%	$	26,711,030	$	7,742,656	$	16,758,176
Currencies		5,685,937		1.36	%		22,372,356		3,660,330		13,443,197
Indices		3,235,024		0.77	%		9,307,243		1,321,801		5,048,513
Interest Rates		7,686,157		1.83	%		10,161,497		3,032,740		5,588,026

TOTAL	$	24,864,040		5.93	%


*		Average of month-end Values at Risk.


Item 4.	Controls and Procedures

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

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

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

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


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

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

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

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


Item 1A.	Risk Factors.

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


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

For the three months ended September 30, 2011 there were subscriptions of 26,531.9655 Redeemable Units totaling $72,086,242 and 161.0110 General Partner unit equivalents totaling $450,000. 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. These Redeemable Units were purchased by accredited investors as defined in Regulation D.

Proceeds of net offering were used in 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.

(d) Maximum Number

(c) Total Number of

(or Approximate

Class A

Redeemable

Dollar Value) of

Class A

(b) Average

Units Purchased

Redeemable Units

(a) Total Number of

Price Paid per

as Part of

that May Yet Be

Redeemable

Publicly Announced

Purchased Under the

Period

Units Purchased*

Unit**

Plans or Programs

July 1, 2011 –
July 31, 2011

5,626.5062

2,799.14

N/A

August 1, 2011 –
August 31, 2011

7,091.1172

2,783.72

N/A

September 1, 2011 –
September 30, 2011

2,968.2300

2,761.58

N/A

Total

15,685.8534

2,785.06

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day 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. No fee will be charged for redemptions.


Item 3.	Defaults Upon Senior Securities. None.


Item 4.	[Removed and Reserved]


Item 5.	Other Information. None.


Item 6.	Exhibits

3.1		Third Amendment and Restated Agreement of Limited Partnership, dated June 1, 2011 (filed as Exhibit 3.1 to the Form 10-Q filed on August 15, 2011) and incorporated herein by reference.

3.2		Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to current report on Form 8-K/A filed on December 28, 2009) and incorporated herein by reference.

3.3		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.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

	(a)		1^st Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

	(b)		2^nd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

	(c)		3^rd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

	(d)		4^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to current report on Form 8-K filed on September 2, 2008) and incorporated herein by reference.

	(e)		5^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

	(f)		6^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to current report on Form 8-K filed on September 30, 2009) and incorporated herein by reference.

	(g)		1^st Certificate of Change to 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 Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

	(h)		Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as exhibit 3.1(h) to the Form 8-K filed on July 2, 2010) and incorporated herein by reference.

	(i)		Certificate of Amendment to the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 31 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

10.1

Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

(a)

First Amendment to the Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

	(b)		Second Amendment to the Management Agreement among Citigroup Managed Futures LLC and AAA Capital Management Inc. (filed as Exhibit 33 to the quarterly report on Form 10-Q filed on August 14, 2006) and incorporated herein by reference.

	(c)		Letter extending the Management Agreements between the General Partner and AAA Capital Management Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.1(c) to the annual report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.

10.2

Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

	(a)		First Amendment to the Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

	(b)		Letter extending the Management Agreement between the General Partner and Willowbridge Associates Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.2(b) to the annual report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.

10.3

Management Agreement among the Partnership, Citigroup Managed Futures LLC and Winton Capital Management Limited (filed as Exhibit 10 to the annual report on Form 10-K filed on March 15, 2004) and incorporated herein by reference.

(a)

Letter extending the Management Agreement between the General Partner and Winton Capital Management Limited from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) to the annual report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.

10.4		Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference.

10.5		Second Amended and Restated Agency Agreement between the Partnership, Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and CGM Inc. (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

10.6		Selling Agreement among the Partnership, the General Partner, CGM and Credit Suisse Securities (USA) LLC (filed herein).

10.7		Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

10.8		Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference.

10.9		Joinder Agreement among Citigroup Managed Futures LLC, CGM 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)

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

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

101.INS XBRL Instance Document.

101.SCH XBRL Taxonomy Extension Schema Document.

101.CAL XBRL Taxonomy Extension Calcutaion Linkbase Document.

101.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.


			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

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

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

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

		Statements of Changes in Partners’ Capital for the three and nine months ended September 30, 2011 and 2010 (unaudited)	7


		Notes to Financial Statements (unaudited)	8 – 20

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21 – 23

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	24 – 27

	Item 4.	Controls and Procedures	28

PART II - Other Information			29 – 33

Exhibits

31.1 Certification

31.2 Certification

32.1 Certification

32.2 Certification
EX-10.4
EX-31.1
EX-31.2
EX-32.1
EX-32.2
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	8,784,775		0.75	%
Energy		20,307,536		1.74	%
Grains		5,909,516		0.50	%
Indices		9,896,381		0.85	%
Interest Rates U.S.		1,998,797		0.17	%
Interest Rates Non-U.S.		4,235,023		0.36	%
Livestock		358,716		0.03	%
Lumber		26,863		0.00	%*
Metals		21,262,991		1.82	%
Softs		4,072,438		0.35	%

Total	$	76,853,036		6.57	%

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	Number of					% of Partners’
	Contracts		Fair Value			Capital
Unrealized Appreciation on Open Forward Contracts
Metals		600	$	14,384,375			1.10	%

Total unrealized appreciation on open forward contracts				14,384,375			1.10

Unrealized Depreciation on Open Forward Contracts
Metals		640		(19,234,564	)		(1.48	)

Total unrealized depreciation on open forward contracts				(19,234,564	)		(1.48	)

Investment in Funds
AAA Master Fund LLC				383,200,905			29.41
CMF Winton Master Fund LP				553,873,965			42.51
Morgan Stanley Smith Barney TT II, LLC				384,214,715			29.49

Total investment in Funds				1,321,289,585			101.41

Net fair value			$	1,316,439,396			101.03	%