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As Of Filer Filing For·On·As Docs:Size Issuer Agent 8/14/06 Tactical Diversified Futures … LP 10-Q 6/30/06 5:1.8M Capital Systems 01/FA |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 1.12M 2: EX-31.1 Certification per Sarbanes-Oxley Act (Section 302) HTML 18K 3: EX-31.2 Certification per Sarbanes-Oxley Act (Section 302) HTML 19K 4: EX-32.1 Certification Pursuant to 18 U.S.C. Section 1350 HTML 8K 5: EX-32.2 Certification Pursuant to 18 U.S.C. Section 1350 HTML 8K
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FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For The Quarter Ended June 30, 2006
Commission File Number 333-117275
CITIGROUP DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 13-4224248 | ||
(State or other jurisdiction of | (I.R.S. Employer | ||
incorporation or organization) | Identification No.) | ||
c/o
Citigroup Managed Futures LLC
731 Lexington Avenue. – 25th
Fl.
New York, New York 10022
(Address and Zip Code of principal executive offices)
(212) 559-2011
(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 is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of ‘‘accelerated filer and large accelerated filer’’ in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer Accelerated filer Non-accelerated filer X
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes No X
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CITIGROUP DIVERSIFIED FUTURES FUND L.P.
FORM 10-Q
INDEX
Page Number |
||||||
PART I - Financial Information: | ||||||
Item 1. | Financial Statements: | |||||
Statements of Financial
Condition at June 30, 2006 and December 31, 2005 (unaudited). |
3 | |||||
Condensed
Schedules of Investments at June 30, 2006 and December 31, 2005 (unaudited). |
4 – 5 | |||||
Statements of Income and Expenses and Partners' Capital for the three and six months ended June 30, 2006 and 2005 (unaudited). |
6 | |||||
Statements of Cash Flows for the three and six months ended June 30, 2006 and 2005 (unaudited). |
7 | |||||
Notes to
Financial Statements (unaudited). |
8 – 15 | |||||
Item 2. | Management's
Discussion and Analysis of Financial Condition and Results of Operations. |
16 – 18 | ||||
Item 3. | Quantitative and
Qualitative Disclosures about Market Risk. |
19 – 23 | ||||
Item 4. | Controls and Procedures. | 24 | ||||
PART II - Other Information | 25 | |||||
2
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PART I
Item 1. Financial Statements
Citigroup Diversified Futures Fund
L.P.
Statements of Financial
Condition
(Unaudited)
June
30, 2006 |
December
31, 2005 |
|||||||||||
Assets: |
|
|
||||||||||
Investment in Partnerships, at fair value | $ | 851,056,447 |
|
$ | 667,759,623 |
|
||||||
Equity in commodity futures trading account: |
|
|
||||||||||
Cash (restricted
$14,526,693 and $22,985,532 in 2006 and 2005, respectively) |
107,707,763 |
|
208,332,148 |
|
||||||||
Unrealized appreciation on open forward contracts | 140,558 |
|
4,784,209 |
|
||||||||
958,904,768 |
|
880,875,980 |
|
|||||||||
Interest receivable | 341,003 |
|
502,917 |
|
||||||||
$ | 959,245,771 |
|
$ | 881,378,897 |
|
|||||||
Liabilities and Partners' Capital: |
|
|
||||||||||
Liabilities: |
|
|
||||||||||
Net unrealized depreciation on open futures positions | $ | 1,202,931 |
|
$ | 1,263,893 |
|
||||||
Unrealized depreciation on open forward contracts | 1,494,636 |
|
3,146,365 |
|
||||||||
Accrued expenses: |
|
|
||||||||||
Commissions | 4,384,179 |
|
4,096,436 |
|
||||||||
Management fees | 1,527,472 |
|
1,426,974 |
|
||||||||
Incentive fees | 1,301,256 |
|
3,507,443 |
|
||||||||
Other | 406,861 |
|
137,437 |
|
||||||||
Due to CGM | — |
|
94,719 |
|
||||||||
Redemptions payable | 7,852,449 |
|
10,569,334 |
|
||||||||
18,169,784 |
|
24,242,601 |
|
|||||||||
Partners' Capital: |
|
|
||||||||||
General Partner,
8,799.7212 Unit equivalents outstanding in 2006 and 2005 |
8,539,249 |
|
8,192,188 |
|
||||||||
Limited
Partners, 960,983.2387 and 911,901.3814 Redeemable Units of Limited
Partnership Interest outstanding in 2006 and 2005, respectively |
932,536,738 |
|
848,944,108 |
|
||||||||
941,075,987 |
|
857,136,296 |
|
|||||||||
$ | 959,245,771 |
|
$ | 881,378,897 |
|
|||||||
See
accompanying Notes to Financial
Statements.
3
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Citigroup Diversified Futures Fund
L.P.
Condensed Schedule of Investments
June 30,
2006
(Unaudited)
Fair Value | % of Partners' Capital |
|||||||||||
Futures Contracts Purchased |
|
|
||||||||||
Energy | $ | 454,397 |
|
0.05 |
%
|
|||||||
Grains | 71,526 |
|
0.01 |
|
||||||||
Interest Rates Non-U.S. | (381,691 |
)
|
(0.04 |
)
|
||||||||
Softs | 25,070 |
|
0.00 |
*
|
||||||||
Total futures contracts purchased | 169,302 |
|
0.02 |
|
||||||||
Futures Contracts Sold |
|
|
||||||||||
Energy | 820,560 |
|
0.09 |
|
||||||||
Grains | (505,887 |
)
|
(0.05 |
)
|
||||||||
Indices | (450,428 |
)
|
(0.05 |
)
|
||||||||
Interest Rates U.S. | (99,271 |
)
|
(0.01 |
)
|
||||||||
Interest Rates Non-U.S. | 121,104 |
|
0.01 |
|
||||||||
Metals | (767,995 |
)
|
(0.08 |
)
|
||||||||
Softs | (490,316 |
)
|
(0.05 |
)
|
||||||||
Total futures contracts sold | (1,372,233 |
)
|
(0.14 |
)
|
||||||||
Unrealized Appreciation on Forward Contracts |
|
|
||||||||||
Currencies | 137,858 |
|
0.01 |
|
||||||||
Metals | 2,700 |
|
0.00 |
*
|
||||||||
Total unrealized appreciation on forward contracts | 140,558 |
|
0.01 |
|
||||||||
Unrealized Depreciation on Forward Contracts |
|
|
||||||||||
Currencies | (1,491,336 |
)
|
(0.16 |
)
|
||||||||
Metals | (3,300 |
)
|
(0.00 |
)*
|
||||||||
Total unrealized depreciation on forward contracts | (1,494,636 |
)
|
(0.16 |
)
|
||||||||
Investment in Partnerships |
|
|
||||||||||
CMF Drury Capital Master Fund L.P. | 123,389,492 |
|
13.11 |
%
|
||||||||
CMF Willowbridge Argo Master Fund L.P. | 100,989,098 |
|
10.73 |
%
|
||||||||
CMF Aspect Master Fund L.P. | 141,756,031 |
|
15.06 |
%
|
||||||||
CMF Capital Fund Management Master Fund L.P. | 181,415,365 |
|
19.28 |
%
|
||||||||
CMF Winton Master L.P. | 108,899,423 |
|
11.57 |
%
|
||||||||
SB AAA Master Fund LLC | 92,892,641 |
|
9.87 |
%
|
||||||||
CMF Graham Master Fund L.P. | 101,714,397 |
|
10.81 |
%
|
||||||||
Total Investment in Partnerships | 851,056,447 |
|
90.43 |
%
|
||||||||
Total fair value | $ | 848,499,438 |
|
90.16 |
%
|
|||||||
Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying Notes to Financial Statements.
4
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Citigroup Diversified Futures Fund
L.P.
Condensed Schedule of Investments
December 31, 2005
(Unaudited)
Fair Value | % of Partners' Capital |
|||||||||||
Futures Contracts Purchased |
|
|
||||||||||
Energy | $ | (5,580,168 |
)
|
(0.65 |
)%
|
|||||||
Grains | (5,200 |
)
|
(0.00 |
)*
|
||||||||
Indices | 1,075,454 |
|
0.13 |
|
||||||||
Interest Rates Non-U.S. | 179,277 |
|
0.02 |
|
||||||||
Metals | 2,783,890 |
|
0.32 |
|
||||||||
Softs | 2,592,168 |
|
0.30 |
|
||||||||
Total futures contracts purchased | 1,045,421 |
|
0.12 |
|
||||||||
Futures Contracts Sold |
|
|
||||||||||
Energy | 195,765 |
|
0.02 |
|
||||||||
Grains | (308,795 |
)
|
(0.04 |
)
|
||||||||
Indices | 15,052 |
|
0.00 |
*
|
||||||||
Interest Rates U.S. | (656,698 |
)
|
(0.08 |
)
|
||||||||
Interest Rates Non-U.S. | (385,834 |
)
|
(0.04 |
)
|
||||||||
Softs | (1,168,804 |
)
|
(0.13 |
)
|
||||||||
Total futures contracts sold | (2,309,314 |
)
|
(0.27 |
)
|
||||||||
Unrealized Appreciation on Forward Contracts |
|
|
||||||||||
Currencies | 2,661,556 |
|
0.31 |
|
||||||||
Metals | 2,122,653 |
|
0.25 |
|
||||||||
Total unrealized appreciation on forward contracts | 4,784,209 |
|
0.56 |
|
||||||||
Unrealized Depreciation on Forward Contracts |
|
|
||||||||||
Currencies | (1,753,794 |
)
|
(0.21 |
)
|
||||||||
Metals | (1,392,571 |
)
|
(0.16 |
)
|
||||||||
Total unrealized depreciation on forward contracts | (3,146,365 |
)
|
(0.37 |
)
|
||||||||
Investment in Partnerships |
|
|
||||||||||
CMF Drury Capital Master Fund L.P. | 127,905,544 |
|
14.92 |
|
||||||||
CMF Willowbridge Argo Master Fund L.P. | 96,524,350 |
|
11.26 |
|
||||||||
CMF Aspect Master Fund L.P. | 131,198,236 |
|
15.31 |
|
||||||||
CMF Capital Fund Management Master Fund L.P. | 167,920,417 |
|
19.59 |
|
||||||||
CMF Winton Master L.P. | 90,342,493 |
|
10.54 |
|
||||||||
SB AAA Master Fund LLC | 53,868,583 |
|
6.29 |
|
||||||||
Total Investment in Partnerships | 667,759,623 |
|
77.91 |
|
||||||||
|
|
|||||||||||
Total fair value | $ | 668,133,574 |
|
77.95 |
%
|
|||||||
Percentages
are based on Partners' Capital unless otherwise indicated
*
Due to rounding
See accompanying Notes to Financial
Statements.
5
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Citigroup
Diversified Futures Fund L.P.
Statements of Income and Expenses
and Partners'
Capital
(Unaudited)
Three
Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||||||||||
2006 | 2005 | 2006 | 2005 | |||||||||||||||||||||
Income: |
|
|
|
|
||||||||||||||||||||
Net gains (losses) on trading of commodity futures: |
|
|
|
|
||||||||||||||||||||
Realized gains (losses) on closed positions | $ | 17,301,066 |
|
$ | (45,102,779 |
)
|
$ | 7,066,358 |
|
$ | (80,146,014 |
)
|
||||||||||||
Change in unrealized gains (losses) on open positions and investment in Partnerships | 17,543,568 |
|
31,117,515 |
|
70,774,120 |
|
29,428,731 |
|
||||||||||||||||
34,844,634 |
|
(13,985,264 |
)
|
77,840,478 |
|
(50,717,283 |
)
|
|||||||||||||||||
Interest income | 1,751,084 |
|
3,172,248 |
|
3,459,855 |
|
6,332,890 |
|
||||||||||||||||
36,595,718 |
|
(10,813,016 |
)
|
81,300,333 |
|
(44,384,393 |
)
|
|||||||||||||||||
Expenses: |
|
|
|
|
||||||||||||||||||||
Brokerage commissions and including clearing fees of $103,978, $1,081,267, $197,997 and $1,910,019, respectively | 13,698,387 |
|
12,696,719 |
|
26,608,906 |
|
25,033,607 |
|
||||||||||||||||
Management fees | 4,700,259 |
|
3,841,909 |
|
9,095,537 |
|
7,646,506 |
|
||||||||||||||||
Incentive fees | 1,301,256 |
|
2,736,338 |
|
6,585,533 |
|
3,478,995 |
|
||||||||||||||||
Other | 241,519 |
|
273,408 |
|
422,723 |
|
442,588 |
|
||||||||||||||||
19,941,421 |
|
19,548,374 |
|
42,712,699 |
|
36,601,696 |
|
|||||||||||||||||
Net income (loss) | 16,654,297 |
|
(30,361,390 |
)
|
38,587,634 |
|
(80,986,089 |
)
|
||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Additions – Limited Partners | 60,983,000 |
|
64,986,000 |
|
142,740,000 |
|
150,088,000 |
|
||||||||||||||||
– General Partner | — |
|
— |
|
— |
|
400,000 |
|
||||||||||||||||
Redemptions – Limited Partners | (43,876,393 |
)
|
(36,314,430 |
)
|
(97,387,943 |
)
|
(57,966,803 |
)
|
||||||||||||||||
Net increase (decrease) in Partners' Capital | 33,760,904 |
|
(1,689,820 |
)
|
83,939,691 |
|
11,535,108 |
|
||||||||||||||||
Partners' Capital, beginning of period | 907,315,083 |
|
817,549,565 |
|
857,136,296 |
|
804,324,637 |
|
||||||||||||||||
Partners' Capital, end of period | $ | 941,075,987 |
|
$ | 815,859,745 |
|
$ | 941,075,987 |
|
$ | 815,859,745 |
|
||||||||||||
Net Asset Value per Redeemable Unit (969,782.9599 and 925,525.0669 Redeemable Units outstanding at June 30, 2006 and 2005, respectively) |
$ | 970.40 |
|
$ | 881.51 |
|
$ | 970.40 |
|
$ | 881.51 |
|
||||||||||||
Net income (loss) per Redeemable Unit
of Limited Partnership Interest and General Partner Unit equivalent |
$ | 16.74 |
|
$ | (33.38 |
)
|
$ | 39.44 |
|
$ | (92.62 |
)
|
||||||||||||
Redemption/subscription value per Redeemable Unit |
$ | 970.40 |
|
$ | 881.71 |
|
$ | 970.40 |
|
$ | 881.71 |
|
||||||||||||
See accompanying Notes to
Financial Statements. |
6
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Citigroup Diversified Futures Fund
L.P.
Statements of Cash
Flows
(Unaudited)
Three
months ended June 30, |
Six months ended June 30, |
|||||||||||||||||||||||
2006 | 2005 | 2006 | 2005 | |||||||||||||||||||||
Cash flows from operating activities: |
|
|
|
|
||||||||||||||||||||
Net income (loss) | $ | 16,654,297 |
|
$ | (30,361,390 |
)
|
$ | 38,587,634 |
|
$ | (80,986,089 |
)
|
||||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: |
|
|
|
|
||||||||||||||||||||
Changes in operating assets and liabilities: |
|
|
|
|
||||||||||||||||||||
(Increase) decrease in restricted cash | 24,778,153 |
|
3,895,126 |
|
8,458,839 |
|
15,178,596 |
|
||||||||||||||||
Purchase of investments in Partnerships | (164,335,633 |
)
|
(24,121,480 |
)
|
(246,092,633 |
)
|
(175,232,428 |
)
|
||||||||||||||||
Proceeds from sale of investments in Partnership(s) | 68,412,875 |
|
23,249,560 |
|
123,615,798 |
|
32,058,955 |
|
||||||||||||||||
Net unrealized (appreciation) depreciation on investment in Partnerships | (27,363,217 |
)
|
(13,501,860 |
)
|
(60,819,989 |
)
|
(30,510,689 |
)
|
||||||||||||||||
(Increase) decrease in net unrealized appreciation on open futures positions | 16,701,154 |
|
(2,286,598 |
)
|
— |
|
(4,901,641 |
)
|
||||||||||||||||
(Increase) decrease in unrealized appreciation on open forward contracts | 2,828,670 |
|
(14,724,480 |
)
|
4,643,651 |
|
6,714,951 |
|
||||||||||||||||
(Increase) decrease in interest receivable | 274,563 |
|
16,566 |
|
161,914 |
|
(117,495 |
)
|
||||||||||||||||
Increase (decrease) in net unrealized depreciation on open futures positions | 1,202,931 |
|
— |
|
(60,962 |
)
|
— |
|
||||||||||||||||
Increase (decrease) in unrealized depreciation on open forward contracts | (3,736,356 |
)
|
555,250 |
|
(1,651,729 |
)
|
991,431 |
|
||||||||||||||||
Accrued expenses: |
|
|
|
|
||||||||||||||||||||
Increase (decrease) in commissions | 82,494 |
|
(117,949 |
)
|
287,743 |
|
(43,580 |
)
|
||||||||||||||||
Increase (decrease) in management fees | 28,635 |
|
(45,553 |
)
|
100,498 |
|
(22,167 |
)
|
||||||||||||||||
Increase (decrease) in incentive fees | (3,983,021 |
)
|
1,993,681 |
|
(2,206,187 |
)
|
2,143,459 |
|
||||||||||||||||
Increase (decrease) in due to CGM | (38,287 |
)
|
(52,874 |
)
|
(94,719 |
)
|
(104,673 |
)
|
||||||||||||||||
Increase (decrease) in other | 89,023 |
|
(197,886 |
)
|
269,424 |
|
(31,766 |
)
|
||||||||||||||||
Net cash provided by (used in) operating activities | (68,403,719 |
)
|
(55,699,887 |
)
|
(134,800,718 |
)
|
(234,863,136 |
)
|
||||||||||||||||
Cash flows from financing activities: |
|
|
|
|
||||||||||||||||||||
Proceeds from additions - Limited Partners | 60,983,000 |
|
64,986,000 |
|
142,740,000 |
|
150,088,000 |
|
||||||||||||||||
Proceeds from additions - General Partner | — |
|
— |
|
— |
|
400,000 |
|
||||||||||||||||
Payments for redemptions - Limited Partners | (55,836,709 |
)
|
(34,506,670 |
)
|
(100,104,828 |
)
|
(56,065,396 |
)
|
||||||||||||||||
Net cash provided by (used in) financing activities | 5,146,291 |
|
30,479,330 |
|
42,635,172 |
|
94,422,604 |
|
||||||||||||||||
Net change in cash | (63,257,428 |
)
|
(25,220,557 |
)
|
(92,165,546 |
)
|
(140,440,532 |
)
|
||||||||||||||||
Unrestricted cash, at beginning of period | 156,438,498 |
|
493,651,847 |
|
185,346,616 |
|
608,871,822 |
|
||||||||||||||||
Unrestrited cash, at end of period | $ | 93,181,070 |
|
$ | 468,431,290 |
|
$ | 93,181,070 |
|
$ | 468,431,290 |
|
||||||||||||
Non cash financing activities: |
|
|
|
|
||||||||||||||||||||
Contribution of open commodity futures and forwards positions | $ | — |
|
$ | — |
|
$ | — |
|
$ | (8,554,397 |
)
|
||||||||||||
See
accompanying Notes to Financial
Statements. |
7
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
1. General:
Citigroup Diversified Futures Fund L.P. (the ‘‘Partnership’’) is a limited partnership organized under the laws of the State of New York on December 3, 2002 to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.
Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 redeemable Units of limited partnership interest (‘‘Redeemable Units’’) were sold at $1,000 per Redeemable Unit. The proceeds of the offering were held in an escrow account until May 1, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell 300,000 Redeemable Units of Limited Partnership Interest during the initial offering period. As of December 4, 2003, the Partnership was authorized to sell an additional 700,000 Redeemable Units of Limited Partnership Interest. As of October 7, 2004, the Partnership was authorized to sell an additional 1,000,000 Redeemable Units of Limited Partnership Interest. The Partnership continues to offer Redeemable Units.
Citigroup Managed Futures LLC acts as the general partner (the ‘‘General Partner’’) of the Partnership. The Partnership's commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. (‘‘Citigroup’’). As of June 30, 2006, all trading decisions are made for the Partnership by Drury Capital Inc., (‘‘Drury’’), Graham Capital Management, L.P., (‘‘Graham’’), John W. Henry & Company, Inc., (‘‘JWH’’), Willowbridge Associates Inc. (‘‘Willowbridge’’), Aspect Capital Limited (‘‘Aspect’’), Capital Fund Management S.A. (‘‘CFM’’), Winton Capital Management Limited (‘‘Winton’’) and AAA Capital Management Advisors, Ltd (successor to AAA Capital Management, Inc.). (‘‘AAA’’) (each an ‘‘Advisor’’ and collectively, the ‘‘Advisors’’).
The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership's financial condition at June 30, 2006 and December 31, 2005, and the results of its operations and its cash flows for the three and six months ended June 30, 2006, and 2005. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements and notes included in the Partnership's annual report on Form 10-K with the Securities and Exchange Commission for the period ended December 31, 2005.
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.
Certain prior period amounts have been reclassified to conform to current period presentation.
8
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
2. Financial Highlights:
Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2006 and 2005 were as follows:
Three
Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||||||||||
2006 | 2005 | 2006 | 2005 | |||||||||||||||||||||
Net realized and unrealized gains (losses)* | $ | 21.29 |
|
$ | (29.46 |
)
|
$ | 52.45 |
|
$ | (86.98 |
)
|
||||||||||||
Interest income | 1.80 |
|
3.40 |
|
3.57 |
|
6.98 |
|
||||||||||||||||
Expenses ** | (6.35 |
)
|
(7.32 |
)
|
(16.58 |
)
|
(12.62 |
)
|
||||||||||||||||
Increase (decrease) for the period | 16.74 |
|
(33.38 |
)
|
39.44 |
|
(92.62 |
)
|
||||||||||||||||
Net Asset Value per Redeemable Unit, beginning of period | 953.66 |
|
914.89 |
|
930.96 |
|
974.13 |
|
||||||||||||||||
Net Asset Value per Redeemable Unit, end of period | $ | 970.40 |
|
$ | 881.51 |
|
$ | 970.40 |
|
$ | 881.51 |
|
||||||||||||
Redemption/subscription value per Redeemable Unit versus Net Asset Value per Redeemable Unit | — |
|
0.20 |
|
— |
|
0.20 |
|
||||||||||||||||
Redemption/subscription value per Redeemable Unit, end of period *** | $ | 970.40 |
|
$ | 881.71 |
|
$ | 970.40 |
|
$ | 881.71 |
|
||||||||||||
* | Includes brokerage commissions |
** | Excludes brokerage commissions |
*** | For the purpose of a redemption/subscription, any remaining deferred liability for reimbursement of offering costs will not reduce redemption/subscription net asset value. |
Three
Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||||||||||
2006 | 2005 | 2006 | 2005 | |||||||||||||||||||||
Ratios to average net assets:**** |
|
|
|
|
||||||||||||||||||||
Net investment loss before incentive fees ***** | (7.2 |
)%
|
(6.9 |
)%
|
(7.2 |
)%
|
(6.8 |
)%
|
||||||||||||||||
Operating expenses | 7.9 |
%
|
8.5 |
%
|
8.0 |
%
|
8.4 |
%
|
||||||||||||||||
Incentive fees | 0.1 |
%
|
0.3 |
%
|
0.7 |
%
|
0.4 |
%
|
||||||||||||||||
Total expenses | 8.0 |
%
|
8.8 |
%
|
8.7 |
%
|
8.8 |
%
|
||||||||||||||||
Total return: |
|
|
|
|
||||||||||||||||||||
Total return before incentive fees | 1.9 |
%
|
(3.3 |
)%
|
5.0 |
%
|
(9.1 |
)%
|
||||||||||||||||
Incentive fees | (0.1 |
)%
|
(0.3 |
)%
|
(0.8 |
)%
|
(0.4 |
)%
|
||||||||||||||||
Total return after incentive fees | 1.8 |
%
|
(3.6 |
)%
|
4.2 |
%
|
(9.5 |
)%
|
||||||||||||||||
**** | 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 class using the Limited Partners' share of income, expenses and average net assets.
3. Offering Costs:
Offering and organization costs of $650,000 relating to the issuance and marketing of the Partnership's Redeemable Units offered were initially paid by CGM. These costs were recorded as due
9
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
to CGM in the statement of financial condition. These costs were reimbursed to CGM by the Partnership in 36 monthly installments (together with interest at the prime rate quoted by JP Morgan Chase & Co.).
As of June 30, 2006, $650,000 of these costs were reimbursed to CGM by the Partnership.
In addition, the Partnership recorded cumulative interest expense of $42,348 from the initial date through June 30, 2006, which was included in other expenses.
4. 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 Partners' Capital and are discussed in Item 2, Management's Discussion and Analysis of Financial Condition and Results of Operations.
The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures positions.
All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value of these interests during the six and twelve months ended June 30, 2006 and December 31, 2005 based on a monthly calculation, were $8,391,766 and $16,839,471, respectively. The fair value of these commodity interests, including options thereon, if applicable, at June 30, 2006 and December 31, 2005 were $(2,557,009) and $373,951, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options.
5. Investment in Partnerships:
On December 1, 2004, the cash allocated to Winton for trading was allocated to the CMF Winton Master L.P. (‘‘Winton Master’’) a limited partnership which was organized under the partnership laws of the State of New York. With this cash, the Partnership purchased 52,981.2908 Units of Winton Master with a fair value of $57,471,493. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is 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 March 1, 2005, the cash allocated to Aspect for trading was allocated to the CMF Aspect Master Fund L.P. (‘‘Aspect Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 131,340.8450 Units of Aspect Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward positions with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.
On July 1, 2005, the cash allocated to Willowbridge for trading was allocated to the CMF Willowbridge Argo Master Fund L.P. (‘‘Willowbridge Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 95,795.8082 Units of Willowbridge Master with cash equal to $85,442,868 and a contribution of open futures and forward positions with a fair
10
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, to invest together in one trading vehicle. The General Partner of the Partnership is the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.
On August 1, 2005, the cash allocated to Drury for trading was allocated to the CMF Drury Master Fund L.P. (‘‘Drury Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 120,720.7387 Units of Drury Master with cash equal to $117,943,205 and a contribution of open futures and forward positions with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Trend-Following Program, to invest together in one trading vehicle. The General Partner of the Partnership is the general partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process.
On August 1, 2005, the cash allocated to CFM for trading was allocated to the CMF Capital Fund Management Master Fund L.P. (‘‘CFM Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 159,434.0631 Units of CFM Master with cash equal to $157,804,021 and a contribution of open futures and forward positions with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discus Program, to invest together in one trading vehicle. The General Partner of the Partnership is the general partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process.
On October 1, 2005, the cash allocated to AAA for trading was allocated to the SB AAA Master Fund LLC (‘‘AAA Master’’) a limited liability company which was organized under the limited liability company laws of the State of New York. With this cash, the Partnerhip purchased 13,956.1190 Units of the AAA Master with a fair value of $50,000,000. The AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program with swaps, to invest in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pool 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 June 1, 2006, the cash allocated to Graham for trading was allocated to the CMF Graham Master Fund L.P. (‘‘Graham Master’’), a limited partnership organized under the partnership laws of the State of New York. The partnership purchased 101,486.0491 Units of Graham Master with cash equal to $103,008,482. Graham Master was formed in order to permit accounts managed now or in the futures by Graham using the Multi-Trend Program at 125% leverage, to invest together in one trading vehicle. The General Partner of the Partnership is the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.
The Winton Master's, Aspect Master's, Drury Master's, Willowbridge Master's, CFM Master's, Graham Master's and AAA Master's (the ‘‘Funds’’) trading of futures, forwards and options contracts, if
11
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. Each engage in such trading through commodity brokerage accounts maintained with CGM.
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 of limited partnership interest as of the last day of a month after a request for redemption has been made to the General Partner at least 3 days in advance of month-end.
Management and incentive fees are not directly charged to the Funds. These fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Funds. All other fees including CGM's direct brokerage commission are charged at the Partnership level.
At June 30, 2006, the Partnership owned 43.7% of Winton Master, 67.7% of Aspect Master, 95.5% of Drury Master, 54.9% of Willowbridge Master, 94.8% of CFM Master, 41.0% of Graham Master and 8.3% of AAA Master. At December 31, 2005, the Partnership owned 50.5% of Winton Master, 67.2% of Aspect Master, 96.0% of Drury Master, 56.7% of Willowbridge Master, 96.6% of CFM Master and 5.6% of AAA Master. The performance of the Partnership is directly affected by the performance of the Funds. It is the Partnership's intention to continue to invest in the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.
Summarized information reflecting the total assets, liabilities and capital for the Funds are shown in the following tables.
June 30, 2006 | ||||||||||||||||||
Investments' Total Assets |
Investments' Total Liabilities |
Investments' Total Capital |
||||||||||||||||
Drury Master | $ | 139,295,871 |
|
$ | 10,509,278 |
|
$ | 128,786,593 |
|
|||||||||
Willowbridge Master | 184,091,051 |
|
593,903 |
|
183,497,148 |
|
||||||||||||
Aspect Master | 213,352,686 |
|
4,492,028 |
|
208,860,658 |
|
||||||||||||
CFM Master | 191,505,274 |
|
608,738 |
|
190,896,536 |
|
||||||||||||
Winton Master | 251,307,086 |
|
2,693,182 |
|
248,613,904 |
|
||||||||||||
AAA Master | 1,430,640,756 |
|
315,777,781 |
|
1,114,862,975 |
|
||||||||||||
Graham Master | 251,255,895 |
|
3,804,157 |
|
247,451,738 |
|
||||||||||||
Total | $ | 2,661,448,619 |
|
$ | 338,479,067 |
|
$ | 2,322,969,552 |
|
|||||||||
December 31, 2005 | ||||||||||||||||||
Investments' Total Assets |
Investments' Total Liabilities |
Investments' Total Capital |
||||||||||||||||
Drury Master | $ | 139,528,502 |
|
$ | 6,629,011 |
|
$ | 132,899,491 |
|
|||||||||
Willowbridge Master | 170,157,028 |
|
474,977 |
|
169,682,051 |
|
||||||||||||
Aspect Master | 200,507,575 |
|
5,680,632 |
|
194,826,943 |
|
||||||||||||
CFM Master | 173,850,276 |
|
449,771 |
|
173,400,505 |
|
||||||||||||
Winton Master | 182,130,723 |
|
3,524,134 |
|
178,606,589 |
|
||||||||||||
AAA Master | 1,253,296,106 |
|
299,213,954 |
|
954,082,152 |
|
||||||||||||
Total | $ | 2,119,470,210 |
|
$ | 315,972,479 |
|
$ | 1,803,497,731 |
|
|||||||||
12
10-Q | 14th “Page” of 28 | TOC | 1st | Previous | Next | ↓Bottom | Just 14th |
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
Summarized information reflecting the Partnership's investment in, and the operations of, the Funds are as shown in the following tables.
June 30, 2006 | For the three months ended June 30, 2006 | |||||||||||||||||||||||||||||||||||||||||
Expenses | Investment Redemptions | |||||||||||||||||||||||||||||||||||||||||
Investment | %
of Partnership's Net Assets |
Fair Value |
Income (Loss) |
Commissions | Other | Net
Income (Loss) |
Objective | Permitted | ||||||||||||||||||||||||||||||||||
Drury Master | 13.11 |
%
|
$ | 123,389,492 |
|
$ | (64,275 |
)
|
$ | 100,726 |
|
$ | 9,456 |
|
$ | (174,457 |
)
|
Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Willowbridge Master | 10.73 |
%
|
100,989,098 |
|
17,680,122 |
|
102,423 |
|
4,755 |
|
17,572,944 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Aspect Master | 15.06 |
%
|
141,756,031 |
|
2,748,571 |
|
101,774 |
|
9,089 |
|
2,637,708 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
CFM Master | 19.28 |
%
|
181,415,365 |
|
9,818,734 |
|
788,960 |
|
17,507 |
|
9,012,267 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Winton Master | 11.57 |
%
|
108,899,423 |
|
1,803,418 |
|
98,088 |
|
— |
|
1,705,330 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
AAA Master | 9.87 |
%
|
92,892,641 |
|
5,184,599 |
|
95,713 |
|
8,709 |
|
5,080,177 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Graham Master | 10.81 |
%
|
101,714,397 |
|
(1,261,145 |
)
|
31,916 |
|
1,025 |
|
(1,294,086 |
)
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Total |
|
$ | 851,056,447 |
|
$ | 35,910,024 |
|
$ | 1,319,600 |
|
$ | 50,541 |
|
$ | 34,539,883 |
|
||||||||||||||||||||||||||
June 30, 2006 | For the six months ended June 30, 2006 | |||||||||||||||||||||||||||||||||||||||||
Expenses | Investment Redemptions | |||||||||||||||||||||||||||||||||||||||||
Investment | %
of Partnership's Net Assets |
Fair Value |
Income (Loss) |
Commissions | Other | Net
Income (Loss) |
Objective | Permitted | ||||||||||||||||||||||||||||||||||
Drury Master | 13.11 |
%
|
$ | 123,389,492 |
|
$ | 565,094 |
|
$ | 217,442 |
|
$ | 26,155 |
|
$ | 321,497 |
|
Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Willowbridge Master | 10.73 |
%
|
100,989,098 |
|
8,287,919 |
|
191,059 |
|
9,542 |
|
8,087,318 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Aspect Master | 15.06 |
%
|
141,756,031 |
|
12,143,342 |
|
174,866 |
|
20,557 |
|
11,947,919 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
CFM Master | 19.28 |
%
|
181,415,365 |
|
25,351,397 |
|
1,786,964 |
|
43,354 |
|
23,521,079 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Winton Master | 11.57 |
%
|
108,899,423 |
|
7,217,602 |
|
247,405 |
|
729 |
|
6,969,468 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
AAA Master | 9.87 |
%
|
92,892,641 |
|
24,340,490 |
|
171,218 |
|
17,391 |
|
24,151,881 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Graham Master | 10.81 |
%
|
101,714,397 |
|
(1,261,145 |
)
|
31,916 |
|
1,025 |
|
(1,294,086 |
)
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Total |
|
$ | 851,056,447 |
|
$ | 76,644,699 |
|
$ | 2,820,870 |
|
$ | 118,753 |
|
$ | 73,705,076 |
|
||||||||||||||||||||||||||
December 31, 2005 | For the three months ended June 30, 2005 | |||||||||||||||||||||||||||||||||||||||||
Expenses | Investment Redemptions | |||||||||||||||||||||||||||||||||||||||||
Investment | %
of Partnership's Net Assets |
Fair Value |
Income (Loss) |
Commissions | Other | Net
Income (Loss) |
Objective | Permitted | ||||||||||||||||||||||||||||||||||
Drury Master | 14.92 |
%
|
$ | 127,905,544 |
|
$ | — |
|
$ | — |
|
$ | — |
|
$ | — |
|
Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Willowbridge Master | 11.26 |
%
|
96,524,350 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Aspect Master | 15.31 |
%
|
131,198,236 |
|
9,367,749 |
|
82,670 |
|
9,578 |
|
9,275,501 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
CFM Master | 19.59 |
%
|
167,920,417 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Winton Master | 10.54 |
%
|
90,342,493 |
|
5,517,815 |
|
118,977 |
|
9,074 |
|
5,389,764 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
AAA Master | 6.29 |
%
|
53,868,583 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Total |
|
$ | 667,759,623 |
|
$ | 14,885,564 |
|
$ | 201,647 |
|
$ | 18,652 |
|
$ | 14,665,265 |
|
||||||||||||||||||||||||||
13
10-Q | 15th “Page” of 28 | TOC | 1st | Previous | Next | ↓Bottom | Just 15th |
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Citigroup
Diversified Futures Fund L.P.
Notes to Financial
Statements
June 30, 2006
(Unaudited)
December 31, 2005 | For the six months ended June 30, 2005 | |||||||||||||||||||||||||||||||||||||||||
Expenses | Investment Redemptions | |||||||||||||||||||||||||||||||||||||||||
Investment | %
of Partnership's Net Assets |
Fair Value |
Income (Loss) |
Commissions | Other | Net
Income (Loss) |
Objective | Permitted | ||||||||||||||||||||||||||||||||||
Drury Master | 14.92 |
%
|
$ | 127,905,544 |
|
$ | — |
|
$ | — |
|
$ | — |
|
$ | — |
|
Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Willowbridge Master | 11.26 |
%
|
96,524,350 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Aspect Master | 15.31 |
%
|
131,198,236 |
|
12,186,217 |
|
137,173 |
|
12,779 |
|
12,036,265 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
CFM Master | 19.59 |
%
|
167,920,417 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Winton Master | 10.54 |
%
|
90,342,493 |
|
11,905,953 |
|
241,459 |
|
18,134 |
|
11,646,360 |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
AAA Master | 6.29 |
%
|
53,868,583 |
|
— |
|
— |
|
— |
|
— |
|
Commodity Portfolio |
Monthly | ||||||||||||||||||||||||||||
Total |
|
$ | 667,759,623 |
|
$ | 24,092,170 |
|
$ | 378,632 |
|
$ | 30,913 |
|
$ | 23,682,625 |
|
||||||||||||||||||||||||||
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Citigroup Diversified
Futures Fund L.P.
Notes to Financial Statements
June 30,
2006
(Unaudited)
6. Financial Instrument Risks:
In the normal course of its business, the Partnership and Funds are party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, 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 and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options.
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.
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.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership's/Funds' risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership/Funds have credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's/Funds' assets is CGM.
The General Partner monitors and controls 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 are subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of June 30, 2006. However, due to the nature of the Partnership's/Funds' businesses, these instruments may not be held to maturity.
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Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only assets are its investments in Partnerships, equity in its commodity futures trading account, consisting of cash, net unrealized appreciation on open futures and forward contracts, commodity options, if applicable, and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a decrease in liquidity, no such losses occurred during the second quarter of 2006.
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 commodity futures trading, expenses, interest income, additions and redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2006, Partnership capital increased 9.8% from $857,136,296 to $941,075,987. This increase was attributable to additional sales of 149,622.6464 Redeemable Units of limited partnership totaling $142,740,000 coupled with a net income from operations of $38,587,634, which was partially offset by the redemption of 100,540.7891 Redeemable Units of Limited Partnership totaling $97,387,943. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosures of contingent assets and liabilities at the date of the financial statements and reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.
All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Partnership are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests. The investments in other partnerships are recorded at fair value, based upon the Partnership's proportionate interest held.
Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the date of entry into the contracts and the forward rates at the reporting dates, is included in the statements of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statements of income and expenses and partners' capital.
Results of Operations
During the second quarter of 2006, the Partnership Net Asset Value per Redeemable Unit increased 1.8% from $953.66 to $970.40 as compared to a decrease of 3.6% in the second quarter of 2005. The Partnership experienced a net trading gain before brokerage commissions and related fees during the second quarter of 2006, of $34,844,634. Gains were primarily attributable to the trading of commodity contracts in energy, metals, U.S. and non-U.S. interest rates and were partially offset by losses in
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currencies, livestock, softs, grains, indices and lumber. The Partnership experienced a net trading loss before brokerage commissions and related fees during the second quarter of 2005 of $13,985,264. Losses were primarily attributable to the trading of commodity contracts in energy, metals, indices, grains and softs and were partially offset by gains in currencies, U.S. and non-U.S. interest rates, livestock and lumber.
The second quarter of 2006 was challenging for the Partnership's Advisors as both financial and commodity markets entered a highly volatile period. Gains earned in interest rate, energy and metals trading offset losses in currency, agricultural and stock index trading.
The Partnership's trend-following Advisors were profitable in the energy sector as petroleum prices were supported by geopolitical disturbance, while fundamental traders benefited from deteriorating fundamentals in natural gas. Trends in the metal sector extended from the first quarter and remained strong for the first half of the second quarter. The substantial gains accumulated from record gold, silver and base metal price trends were more than enough to cover losses during the metals correction in May.
Trading in U.S. and global fixed income markets was profitable as central banks continued to raise global rates to combat inflation pressure and the Advisor's positions were able to take advantage of these trends.
The lack of direction in the currency sector was a result of speculation relating to U.S. interest rate policy coupled with global inflation concerns. Losses in the equity sector were attributable to a global economic slowdown as most of the major equity indices experienced a material correction in May after reaching multi-year highs. Sharp price reversals in gains and softs translated into losses as alternating meteorological conditions between drought and rainfall contributed to irregular price developments.
During the Partnership's six months ended June 30, 2006, the Net Asset Value per Redeemable Unit increased 4.2% from $930.96 to $970.40 as compared to a decrease of 9.5% during the six months ended June 30, 2005. The Partnership experienced a net trading gain before brokerage commissions and related fees during the six months ended June 30, 2006 of $77,840,478. Gains were primarily attributable to the trading of commodity futures in energy, metals, indices, U.S. and non-U.S. interest rates and were partially offset by losses in softs, currencies, grains, and lumber. The Partnership experienced a net trading loss before brokerage commissions and related fees during the six months ended June 30, 2005 of $50,717,283. Losses were primarily attributable to the trading of commodity futures in currencies, energy, grains, metals, livestock, indices and softs and were partially offset by gains in lumber, U.S. and non-U.S. interest rates.
Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.
Interest income on 80% of the Partnership's daily equity maintained in cash was earned at the monthly average 30-day U.S. Treasury bill yield. CGM may continue to maintain the Partnership's assets in cash and/or place all of the Partnership's assets in 90-day Treasury bills and pay the Partnership 80% of the interest earned on the Treasury bills purchased. CGM will retain 20% of any interest earned on Treasury bills. Interest income for the three and six months ended June 30, 2006 decreased $1,421,164 and $2,873,035, respectively, as compared to the corresponding periods in 2005. The decrease is due to the Partnership's use of cash to fund additional investment in other partnerships. The interest earned at the Investment in Partnerships level is included in the Partnership's share of overall net income (loss) of the other partnerships in 2006 and 2005.
Brokerage commissions are calculated as a percentage of the Partnership's adjusted net asset value on the last day of each month and are affected by trading performance, additions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values.
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Commissions and fees for the three and six months ended June 30, 2006 increased $1,001,668 and $1,575,299, respectively, as compared to the corresponding periods in 2005. The increase is due to an increase in net assets in 2006 as compared to 2005.
Management fees are calculated as a percentage of the Partnership's net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and six months ended June 30, 2006 increased $858,350 and $1,449,031, respectively, as compared to the corresponding periods in 2005. The increase is due to an increase in net assets in 2006 as compared to 2005.
Incentive fees paid quarterly are based on the new trading profits generated by each Advisor as defined in the management agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2006 resulted in incentive fees of $1,301,256 and $6,585,533, respectively. Trading performance for the three and six months ended June 30, 2005 resulted in incentive fees of $2,736,338 and $3,478,995, respectively.
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Item 3. Quantitative and Qualitative Disclosures about Market Risk
The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership's main line of business.
Market movements result in frequent changes in the fair value of the Partnership's open positions and, consequently, in its earnings and cash flow. The Partnership's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the value of financial instruments and contracts, the diversification effects of the Partnership's open positions and the liquidity of the markets in which it trades.
The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership's experience to date (i.e., ‘‘risk of ruin’’). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
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The following table indicates the trading Value at Risk associated with the Partnership's investments and investments in other Partnerships by market category as of June 30, 2006 and the highest, lowest and average values, during the three months ended June 30, 2006. All open position trading risk exposures have been included in calculating the figures set forth below. 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, 2005. As of June 30, 2006, the Partnership's total capitalization was $941,075,987.
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-OTC Contracts | $ | 1,803,645 |
|
0.19 |
%
|
$ | 7,849,676 |
|
$ | 442,260 |
|
$ | 4,353,888 |
|
||||||||||||||||
Energy | 4,126,680 |
|
0.44 |
%
|
6,686,170 |
|
1,448,280 |
|
4,523,932 |
|
||||||||||||||||||||
Grains | 592,920 |
|
0.06 |
%
|
1,747,565 |
|
533,385 |
|
953,028 |
|
||||||||||||||||||||
Interest Rates U.S. | 1,774,980 |
|
0.19 |
%
|
6,803,325 |
|
805,140 |
|
3,064,365 |
|
||||||||||||||||||||
Interest Rates Non-U.S. | 2,227,997 |
|
0.24 |
%
|
9,709,590 |
|
787,479 |
|
4,091,084 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | 1,275,750 |
|
0.13 |
%
|
5,986,900 |
|
637,875 |
|
3,129,428 |
|
||||||||||||||||||||
Softs | 1,474,200 |
|
0.16 |
%
|
3,120,957 |
|
1,356,600 |
|
2,065,627 |
|
||||||||||||||||||||
Indices | 1,251,090 |
|
0.13 |
%
|
9,799,869 |
|
1,062,816 |
|
3,891,545 |
|
||||||||||||||||||||
Total | $ | 14,527,262 |
|
1.54 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
As of June 30, 2006, Drury Master's total capitalization was $128,786,593. The Partnership owned 95.5% of Drury Master.
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-OTC Contracts | $ | 2,337,795 |
|
1.82 |
%
|
$ | 4,550,641 |
|
$ | 1,443,825 |
|
$ | 2,187,664 |
|
||||||||||||||||
Energy | 826,875 |
|
0.64 |
%
|
902,340 |
|
639,900 |
|
862,155 |
|
||||||||||||||||||||
Grains | 788,535 |
|
0.61 |
%
|
3,437,716 |
|
788,535 |
|
1,094,967 |
|
||||||||||||||||||||
Interest Rates U.S. | 1,095,120 |
|
0.85 |
%
|
1,534,545 |
|
1,075,005 |
|
1,304,280 |
|
||||||||||||||||||||
Interest Rates Non-U.S. | 2,369,024 |
|
1.84 |
%
|
2,440,153 |
|
2,256,715 |
|
2,380,356 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-OTC Contracts | 2,809,525 |
|
2.18 |
%
|
2,809,525 |
|
672,000 |
|
1,670,238 |
|
||||||||||||||||||||
Softs | 3,240,220 |
|
2.52 |
%
|
3,959,017 |
|
2,700,914 |
|
3,397,720 |
|
||||||||||||||||||||
Total | $ | 13,467,094 |
|
10.46 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
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As of June 30, 2006, Willowbridge Master's total capitalization was $183,497,148. The Partnership owned 54.9% of Willowbridge Master.
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | $ | 5,860,621 |
|
3.19 |
%
|
$ | 16,059,735 |
|
$ | 2,867,738 |
|
$ | 11,228,040 |
|
||||||||||||||||
Energy | 9,175,275 |
|
5.00 |
%
|
12,034,575 |
|
1,417,500 |
|
10,563,300 |
|
||||||||||||||||||||
Grains | 476,550 |
|
0.27 |
%
|
1,771,875 |
|
190,620 |
|
959,147 |
|
||||||||||||||||||||
Interest Rates U.S. | 3,002,265 |
|
1.64 |
%
|
6,237,000 |
|
2,287,440 |
|
4,245,255 |
|
||||||||||||||||||||
Interest Rates Non -U.S. | 4,337,027 |
|
2.36 |
%
|
11,303,300 |
|
4,243,100 |
|
6,724,014 |
|
||||||||||||||||||||
Softs | 519,540 |
|
0.28 |
%
|
784,000 |
|
220,500 |
|
377,347 |
|
||||||||||||||||||||
Total | $ | 23,371,278 |
|
12.74 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
As of June 30, 2006, Aspect Master's total capitalization was $208,860,658. The Partnership owned 67.7% of Aspect Master.
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-OTC Contracts | $ | 2,181,492 |
|
1.04 |
%
|
$ | 4,162,101 |
|
$ | 8,911 |
|
$ | 2,793,428 |
|
||||||||||||||||
Energy | 4,293,659 |
|
2.06 |
%
|
7,226,385 |
|
1,093,628 |
|
4,901,902 |
|
||||||||||||||||||||
Grains | 941,443 |
|
0.45 |
%
|
1,026,498 |
|
403,194 |
|
812,331 |
|
||||||||||||||||||||
Interest Rates U.S. | 2,367,496 |
|
1.13 |
%
|
4,755,983 |
|
2,367,496 |
|
3,172,681 |
|
||||||||||||||||||||
Interest Rates Non-U.S. | 9,706,670 |
|
4.65 |
%
|
13,910,591 |
|
8,434,358 |
|
10,136,090 |
|
||||||||||||||||||||
Livestock | 58,095 |
|
0.03 |
%
|
382,995 |
|
28,368 |
|
211,695 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | 483,063 |
|
0.23 |
%
|
869,400 |
|
20,281 |
|
674,626 |
|
||||||||||||||||||||
-OTC Contracts | 957,775 |
|
0.46 |
%
|
1,347,950 |
|
618,854 |
|
874,995 |
|
||||||||||||||||||||
Softs | 1,399,233 |
|
0.67 |
%
|
2,241,700 |
|
1,198,950 |
|
1,676,754 |
|
||||||||||||||||||||
Indices | 947,243 |
|
0.45 |
%
|
6,541,661 |
|
281,677 |
|
2,853,175 |
|
||||||||||||||||||||
Totals | $ | 23,336,169 |
|
11.17 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
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As of June 30, 2006, CFM Master's total capitalization was $190,896,536. The Partnership owned 94.8% of CFM Master.
June 30, 2006
(Unaudited)
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | $ | 793,700 |
|
0.42 |
%
|
$ | 4,057,648 |
|
$ | 764,370 |
|
$ | 1,165,586 |
|
||||||||||||||||
Energy | 3,337,306 |
|
1.75 |
%
|
4,569,522 |
|
842,547 |
|
2,394,243 |
|
||||||||||||||||||||
Interest Rates U.S. | 1,070,955 |
|
0.56 |
%
|
6,740,281 |
|
175,546 |
|
3,141,540 |
|
||||||||||||||||||||
Interest Rates Non -U.S. | 7,541,016 |
|
3.95 |
%
|
9,741,832 |
|
709,806 |
|
6,475,575 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | 116,259 |
|
0.06 |
%
|
133,686 |
|
10,866 |
|
73,378 |
|
||||||||||||||||||||
Indices | 3,770,481 |
|
1.97 |
%
|
11,424,180 |
|
1,294,986 |
|
5,016,379 |
|
||||||||||||||||||||
Softs | 58,413 |
|
0.03 |
%
|
111,260 |
|
17,385 |
|
68,114 |
|
||||||||||||||||||||
Total | $ | 16,688,130 |
|
8.74 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
As of June 30, 2006, Winton Master's total capitalization was $248,613,904. The Partnership owned 43.7% of Winton Master.
June 30, 2006
(Unaudited)
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | $ | 3,495,089 |
|
1.41 |
%
|
$ | 5,174,536 |
|
$ | 2,485,925 |
|
$ | 3,372,319 |
|
||||||||||||||||
Energy | 1,276,070 |
|
0.51 |
%
|
5,638,643 |
|
1,033,628 |
|
2,791,126 |
|
||||||||||||||||||||
Grains | 297,136 |
|
0.12 |
%
|
307,235 |
|
146,668 |
|
297,790 |
|
||||||||||||||||||||
Interest Rates U.S. | 2,813,198 |
|
1.13 |
%
|
9,363,026 |
|
347,582 |
|
4,047,702 |
|
||||||||||||||||||||
Interest Rates Non-U.S. | 6,744,526 |
|
2.71 |
%
|
9,078,252 |
|
3,821,899 |
|
6,468,534 |
|
||||||||||||||||||||
Livestock | 93,683 |
|
0.04 |
%
|
405,810 |
|
90,562 |
|
261,223 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contract | 515,795 |
|
0.21 |
%
|
702,675 |
|
24,300 |
|
701,159 |
|
||||||||||||||||||||
-OTC Contracts | 1,675,370 |
|
0.68 |
%
|
1,791,040 |
|
568,612 |
|
1,109,716 |
|
||||||||||||||||||||
Softs | 753,606 |
|
0.30 |
%
|
907,159 |
|
475,179 |
|
807,259 |
|
||||||||||||||||||||
Indices | 3,358,610 |
|
1.35 |
%
|
12,015,494 |
|
2,673,947 |
|
6,831,089 |
|
||||||||||||||||||||
Lumber | 1,650 |
|
0.00 |
%*
|
3,300 |
|
1,650 |
|
1,650 |
|
||||||||||||||||||||
Total | $ | 21,024,733 |
|
8.46 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
** | Due to rounding |
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As of June 30, 2006, AAA Master's total capitalization was $1,114,862,975. The Partnership owned 8.3% of AAA Master.
June 30, 2006
(Unaudited)
* | Average of month-end Values at Risk |
As of June 30, 2006, Graham Master's total capitalization was $247,451,738. The Partnership owned 41.0% of Graham Master.
June 30, 2006
(Unaudited)
Three months ended June 30, 2006 | ||||||||||||||||||||||||||||||
Market Sector | Value at Risk | % of
Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||||||||||||
Currencies: |
|
|
|
|
|
|||||||||||||||||||||||||
-Exchange Traded Contracts | $ | 555,209 |
|
0.22 |
%
|
$ | 1,433,009 |
|
$ | 4,389 |
|
$ | 261,146 |
|
||||||||||||||||
-OTC Contracts | 6,657,340 |
|
2.69 |
%
|
10,032,744 |
|
358,137 |
|
2,955,785 |
|
||||||||||||||||||||
Energy | 723,525 |
|
0.29 |
%
|
919,454 |
|
115,980 |
|
370,898 |
|
||||||||||||||||||||
Grains | 341,797 |
|
0.14 |
%
|
2,340,603 |
|
52,279 |
|
516,740 |
|
||||||||||||||||||||
Interest Rates U.S. | 1,549,109 |
|
0.63 |
%
|
7,281,127 |
|
1,549,109 |
|
2,304,747 |
|
||||||||||||||||||||
Interest Rates Non-U.S. | 3,623,282 |
|
1.46 |
%
|
8,653,251 |
|
2,859,855 |
|
3,790,563 |
|
||||||||||||||||||||
Metals |
|
|
|
|
|
|||||||||||||||||||||||||
-OTC Contracts | 67,950 |
|
0.03 |
%
|
523,391 |
|
10,350 |
|
121,262 |
|
||||||||||||||||||||
Softs | 1,413,743 |
|
0.57 |
%
|
1,698,688 |
|
148,926 |
|
697,213 |
|
||||||||||||||||||||
Indices | 841,858 |
|
0.34 |
%
|
6,960,954 |
|
315,426 |
|
2,908,206 |
|
||||||||||||||||||||
Total | $ | 15,773,813 |
|
6.37 |
%
|
|
|
|
||||||||||||||||||||||
* | Average of month-end Values at Risk |
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Item 4. Controls and Procedures
The General Partner of the Partnership, with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) with respect to the Partnership as of the end of the period covered by the report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. There was no change in the Partnership's internal control over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Partnership's internal control over financial reporting.
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PART II. OTHER INFORMATION
Item 1. Legal Proceedings
The following information supplements and amends our discussion set forth under Part I, Item, 3 ‘‘Legal Proceedings’’ in the Partnership's Annual Report on Form 10-K for the year ended December 31, 2005 and under Part II, Item 1, ‘‘Legal Proceedings’’ in the Partnerships Quarterly Report on Form 10-Q for the quarter ended March 31, 2006.
Enron Corp.
On May 24, 2006, the District Court gave final approval to Citigroup's settlement of the securities class action (NEWBY, ET AL. V. ENRON CORP., ET AL.).
Research
On May 12, 2006, the District Court preliminarily approved the class action settlements in IN RE SALOMON ANALYST LEVEL 3 LITIGATION, IN RE SALOMON ANALYST XO LITIGATION, and IN RE SALOMON ANALYST WILLIAMS LITIGATION.
On May 18, 2006, the District Court gave final approval to the settlement in NORMAN v. SALOMON SMITH BARNEY.
On June 20, 2006, the District Court certified the plaintiff class in IN RE SALOMON ANALYST METROMEDIA LITIGATION.
On June 26, 2006, the United States Supreme Court granted plaintiffs' petition for a writ of ceriorari, vacated the opinion of the United States Court of Appeals for the Seventh Circuit in DISHER v. CITITGROUP GLOBAL MARKETS INC., and then remanded the case to the Seventh Circuit for further proceedings in light of the Supreme Court's decision in Kircher v. Putnam Funds Trust.
Adelphia Communications Corporation
Without admitting any liability, CGMI and numerous other financial institution defendants have agreed to settle IN RE ADELPHIA COMMUNICATIONS CORPORATION SECURITIES AND DERIVATIVE LITIGATION for a total of $250 million, subject to final court approval. On June 15, 2006, the court granted its preliminary approval of the settlement and set November 10, 2006 for a final hearing. CGMI's share of the settlement is covered by existing reserves.
Item 1A. Risk Factors.
There are no material changes from the risk factors set forth under Part I, Item 1A. ‘‘Risk Factors’’ in our Annual Report on Form 10-K for the fiscal year ended December 31, 2005.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended June 30, 2006 there were additional sales of 62,117.3127 Redeemable Units of Limited Partnership totaling $60,983,000. 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 there under.
Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options, forwards and swap contracts. Proceeds are also used to make additional investments in other Partnerships.
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The following chart sets forth the purchases of Redeemable Units by the Partnership.
Period | (a)
Total Number of Shares (or Units) Purchased* |
(b)
Average Price Paid per Share (or Unit)** |
(c) Total
Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs |
||||||||||||||||||||
April 1, 2006
– April 30, 2006 |
21,525.8306 |
|
$ | 1,023.39 |
|
N/A |
|
N/A |
|
|||||||||||||||
May
1, 2006 – May 31, 2006 |
14,115.8799 |
|
$ | 991.41 |
|
N/A |
|
N/A |
|
|||||||||||||||
June
1, 2006 – June 30, 2006 |
8,091.9718 |
|
$ | 970.40 |
|
N/A |
|
N/A |
|
|||||||||||||||
43,733.6823 |
|
$ | 995.07 |
|
N/A |
|
N/A |
|
||||||||||||||||
* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days' notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership's business in connection with effecting redemptions for Limited Partners. |
** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day. |
Item 3. Defaults Upon Senior Securities – None
Item 4. Submission of Matters to a Vote of Security Holders – None
Item 5. Other Information – None
Item 6. Exhibits
The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference to the exhibit index of the Partnership's Annual Report on Form 10-K for the period ended December 31, 2005 and the exhibit index of the Partnership's Quarterly Report on form 10-Q for the quarter ended March 31, 2006. |
Exhibit – 31.1
– Rule 13a-14(a)/15d-14(a) Certification
(Certification of
President and Director)
Exhibit – 31.2 –
Rule 13a-14(a)/15d-14(a) Certification
(Certification of Chief
Financial Officer and Director)
Exhibit – 32.1
– Section 1350 Certification
(Certification of President and
Director).
Exhibit – 32.2 – Section 1350
Certification
(Certification of Chief Financial Officer and
Director).
26
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CITIGROUP DIVERSIFIED FUTURES FUND L.P.
By: | Citigroup Managed Futures LLC | ||
(General Partner) | |||
By: | /s/ David J. Vogel | ||
David J. Vogel President and Director |
|||
Date: August 14, 2006 | |||
By: | /s/ Daniel R. McAuliffe, Jr. | ||
Daniel R. McAuliffe, Jr. Chief Financial Officer and Director |
|||
Date: August 14, 2006 | |||
27
Referenced-On Page | |||||||||
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Filed on: | 8/14/06 | 28 | |||||||
For Period End: | 6/30/06 | 2 | 27 | ||||||
6/26/06 | 26 | ||||||||
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6/15/06 | 26 | ||||||||
6/1/06 | 12 | 27 | 8-K | ||||||
5/31/06 | 27 | ||||||||
5/24/06 | 26 | ||||||||
5/18/06 | 26 | ||||||||
5/12/06 | 26 | 10-Q | |||||||
5/1/06 | 27 | 8-K | |||||||
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8/1/05 | 12 | ||||||||
7/1/05 | 11 | 8-K/A | |||||||
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