UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2012

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                   to                 .

Commission File Number 000-22491

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II

(Exact name of registrant as specified in its charter)

New York	13-3769020
(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)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

Yes   X     No    

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of 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, 2012, 13,318.4824 Limited Partnership Redeemable Units were outstanding.

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. II

FORM 10-Q

INDEX

		Page Number
PART I - Financial Information:
Item 1.	Financial Statements:
	Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011	3
	Condensed Schedules of Investments at September 30, 2012 (unaudited) and December 31, 2011	4–5
	Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2012 and 2011 (unaudited)	6
	Notes to Financial Statements (unaudited)	7–19
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20-22
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	23-27
Item 4.	Controls and Procedures	28
PART II - Other Information
Item 1.	Legal Proceedings	29
Item 1A.	Risk Factors	30
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31
Item 5.	Other Information	32
Item 6.	Exhibits	33-34

2

PART I

Item 1. Financial Statements

Diversified Multi-Advisor Futures Fund L.P. II

Statements of Financial Condition

	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Investment in Funds, at fair value	$	13,436,073	$	14,562,030
Equity in trading account:
Cash		6,232,496		7,526,677
Cash margin		1,233,651		1,290,400
Net unrealized appreciation on open futures contracts		78,430		163,388
Net unrealized appreciation on open forward contracts		—		95,709
Total trading equity		20,980,650		23,638,204
Interest receivable		307		—
Total assets	$	20,980,957	$	23,638,204
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	46,524	$	—
Accrued expenses:
Brokerage fees		104,672		118,192
Management fees		34,560		38,986
Other		94,226		128,648
Redemptions payable		92,414		148,394
Total liabilities		372,396		434,220
Partners’ Capital:
General Partner, 196.3844 unit equivalents at September 30, 2012 and December 31, 2011		296,374		308,746
Limited Partners, 13,459.3814 and 14,562.9818 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively		20,312,187		22,895,238
Total partners’ capital		20,608,561		23,203,984
Total liabilities and partners’ capital	$	20,980,957	$	23,638,204
Net asset value per unit	$	1,509.15	$	1,572.15

See accompanying notes to financial statements.

3

Diversified Multi-Advisor Futures Fund L.P. II

Condensed Schedule of Investments

September 30, 2012

(Unaudited)

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		90	$	(32,820	)		(0.16	)%
Energy		10		24,939			0.12
Grains		33		(22,149	)		(0.11	)
Indices		51		(24,413	)		(0.12	)
Interest Rates Non-U.S.		220		89,651			0.44
Interest Rates U.S.		212		60,519			0.29
Metals		10		7,495			0.04
Total futures contracts purchased				103,222			0.50
Futures Contracts Sold
Currencies		7		5,975			0.03
Energy		11		(23,570	)		(0.11	)
Livestock		4		150			0.00	*
Softs		23		(7,347	)		(0.04	)
Total futures contracts sold				(24,792	)		(0.12	)
Unrealized Appreciation on Open Forward Contracts
Metals		316		1,840,000			8.93
Total unrealized appreciation on open forward contracts				1,840,000			8.93
Unrealized Depreciation on Open Forward Contracts
Metals		300		(1,886,524	)		(9.15	)
Total unrealized depreciation on open forward contracts				(1,886,524	)		(9.15	)
Investment in Funds
CMF Willowbridge Argo Master Fund L.P.				3,255,945			15.80
CMF Graham Capital Master Fund L.P.				2,908,726			14.11
CMF Eckhardt Master Fund L.P.				5,566,048			27.01
CMF Sandridge Master Fund L.P.				1,705,354			8.27
Total Investment in Funds				13,436,073			65.19
Net fair value			$	13,467,979			65.35	%

* Due to rounding.

See accompanying notes to financial statements.

4

Diversified Multi-Advisor Futures Fund L.P. II

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		43	$	25,870			0.11	%
Energy		10		(9,399	)		(0.04	)
Grains		16		8,627			0.04
Indices		25		24,647			0.11
Interest Rates Non-U.S.		347		72,497			0.31
Interest Rates U.S.		51		5,750			0.02
Livestock		1		(480	)		(0.00	)*
Metals		2		(1,430	)		(0.01	)
Softs		5		1,148			0.01
Total futures contracts purchased				127,230			0.55
Futures Contracts Sold
Currencies		87		71,769			0.31
Energy		1		160			0.00	*
Grains		16		(33,021	)		(0.14	)
Indices		13		66			0.00	*
Interest Rates Non-U.S.		7		(1,749	)		(0.01	)
Interest Rates U.S.		61		(4,550	)		(0.02	)
Livestock		2		(530	)		(0.00	)*
Metals		5		2,870			0.01
Softs		14		1,143			0.00	*
Total futures contracts sold				36,158			0.15
Unrealized Appreciation on Open Forward Contracts
Metals		201		653,331			2.81
Total unrealized appreciation on open forward contracts				653,331			2.81
Unrealized Depreciation on Open Forward Contracts
Metals		185		(557,622	)		(2.40	)
Total unrealized depreciation on open forward contracts				(557,622	)		(2.40	)
Investment in Funds
CMF Willowbridge Argo Master Fund L.P.				3,245,835			13.99
CMF Graham Capital Master Fund L.P.				3,731,550			16.08
CMF Eckhardt Master Fund L.P.				5,314,148			22.90
CMF SandRidge Master Fund L.P.				2,270,497			9.79
Total Investment in Funds				14,562,030			62.76
Net fair value			$	14,821,127			63.87	%

* Due to rounding.

See accompanying notes to financial statements.

5

Diversified Multi-Advisor Futures Fund L.P. II

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment Income:
Interest income	$	992		$	246		$	2,588		$	1,895
Interest income from investment in Funds		1,700			497			4,380			4,766
Total investment income (loss)		2,692			743			6,968			6,661
Expenses:
Brokerage fees including clearing fees		349,621			423,947			1,104,786			1,304,442
Management fees		106,374			126,876			331,072			384,835
Other		7,696			49,067			110,011			152,812
Total expenses		463,691			599,890			1,545,869			1,842,089
Net investment income (loss)		(460,999	)		(599,147	)		(1,538,901	)		(1,835,428	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		269,590			1,958,521			(393,936	)		3,056,780
Net realized gains (losses) on investment in Funds		484,619			(437,251	)		1,535,906			588,835
Change in net unrealized gains (losses) on open contracts		(154,195	)		263,874			(227,191	)		(252	)
Change in net unrealized gains (losses) on investments in Funds		64,812			133,765			(280,043	)		(705,835	)
Total trading results		664,826			1,918,909			634,736			2,939,528
Net income (loss)		203,827			1,319,762			(904,165	)		1,104,100
Redemptions — Limited Partners		(382,583	)		(470,713	)		(1,691,258	)		(1,774,212	)
Net increase (decrease) in Partners’ Capital		(178,756	)		849,049			(2,595,423	)		(670,112	)
Partners’ Capital, beginning of period		20,787,317			24,230,196			23,203,984			25,749,357
Partners’ Capital, end of period	$	20,608,561		$	25,079,245		$	20,608,561		$	25,079,245
Net asset value per unit (13,655.7658 and 15,157.2566 units outstanding at September 30, 2012 and 2011, respectively)	$	1,509.15		$	1,654.60		$	1,509.15		$	1,654.60
Net income (loss) per unit*	$	14.06		$	85.51		$	(63.00	)	$	68.19
Weighted average units outstanding		13,805.8208			15,359.9945			14,276.7984			15,715.7358

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

6

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

1. General:

Diversified Multi-Advisor Futures Fund L.P. II (the “Partnership”) is a limited partnership organized on May 10, 1994 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, metals, softs, livestock, lumber and U.S. and non-U.S. interest rates. The commodity interests that are traded by the Partnership directly and through its investment in the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk. The Partnership was authorized to sell up to 100,000 redeemable units of limited partnership interest (“Redeemable Units”) during its initial offering period. The Partnership no longer offers Redeemable Units for sale.

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

As of September 30, 2012, all trading decisions are made for the Partnership by Capital Fund Management S.A. (“CFM”), Graham Capital Management L.P. (“Graham”), Willowbridge Associates Inc. (“Willowbridge”), Eckhardt Trading Company (“Eckhardt”) and SandRidge Capital L.P. (“SandRidge”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to CFM directly, whereas the Partnership invests the portion of its assets allocated to each of the other Advisors indirectly through investments in master funds.

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

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

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

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

7

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

2. Financial Highlights:

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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	22.12		$	96.92		$	(32.71	)	$	101.91
Interest income		0.19			0.05			0.49			0.41
Expenses **		(8.25	)		(11.46	)		(30.78	)		(34.13	)
Increase (decrease) for the period		14.06			85.51			(63.00	)		68.19
Net asset value per unit, beginning of period		1,495.09			1,569.09			1,572.15			1,586.41
Net asset value per unit, end of period	$	1,509.15		$	1,654.60		$	1,509.15		$	1,654.60

* Includes brokerage fees.

** Excludes brokerage fees.

	Three Months  Ended September 30,						Nine Months  Ended September 30,
	2012			2011*****			2012			2011*****
Ratios to average net assets: ***
Net investment income (loss)		(8.7	)%		(9.5	)%		(9.3	)%		(9.6	)%
Incentive fees		—	%		—	%		—	%		—	%
Net investment income (loss) before incentive fees ****		(8.7	)%		(9.5	)%		(9.3	)%		(9.6	)%
Operating expenses		8.8	%		9.5	%		9.4	%		9.7	%
Incentive fees		—	%		—	%		—	%		—	%
Total expenses		8.8	%		9.5	%		9.4	%		9.7	%
Total return:
Total return before incentive fees		0.9	%		5.4	%		(4.0	)%		4.3	%
Incentive fees		—	%		—	%		—	%		—	%
Total return after incentive fees		0.9	%		5.4	%		(4.0	)%		4.3	%

*** Annualized (other than incentive fees).

**** Interest income less total expenses.

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

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. Trading Activities:

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

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures contracts, 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 exchange-cleared swaps and on open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet,” have been met.

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by 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, 2012 and 2011 were 780 and 641, respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine months ended September 30, 2012 and 2011 were 803 and 719, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended September 30, 2012 and 2011 were 481 and 459, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the nine months ended September 30, 2012 and 2011 were 567 and 260, respectively.

8

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

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

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

	September 30, 2012
Assets
Futures Contracts
Currencies	$	23,960
Energy		27,744
Grains		8,726
Indices		3,862
Interest Rates U.S.		60,519
Interest Rates Non-U.S.		90,012
Livestock		350
Metals		8,775
Softs		6,811
Total unrealized appreciation on open futures contracts	$	230,759
Liabilities
Futures Contracts
Currencies	$	(50,805	)
Energy		(26,375	)
Grains		(30,875	)
Indices		(28,275	)
Interest Rates Non-U.S.		(361	)
Livestock		(200	)
Metals		(1,280	)
Softs		(14,158	)
Total unrealized depreciation on open futures contracts	$	(152,329	)
Net unrealized appreciation on open futures contracts	$	78,430	*
Assets
Forward Contracts
Metals		1,840,000
Total unrealized appreciation on open forward contracts	$	1,840,000
Liabilities
Forward Contracts
Metals		(1,886,524	)
Total unrealized depreciation on open forward contracts	$	(1,886,524	)
Net unrealized depreciation on open forward contracts	$	(46,524	)**

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

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

9

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

	December 31, 2011
Assets
Futures Contracts
Currencies	$	102,414
Energy		3,746
Grains		10,099
Indices		26,205
Interest Rates U.S.		8,484
Interest Rates Non-U.S.		94,587
Metals		4,658
Softs		9,138
Total unrealized appreciation on open futures contracts	$	259,331
Liabilities
Futures Contracts
Currencies	$	(4,775	)
Energy		(12,985	)
Grains		(34,493	)
Indices		(1,492	)
Interest Rates U.S.		(7,284	)
Interest Rates Non-U.S.		(23,839	)
Livestock		(1,010	)
Metals		(3,218	)
Softs		(6,847	)
Total unrealized depreciation on open futures contracts	$	(95,943	)
Net unrealized appreciation on open futures contracts	$	163,388	*
Assets
Forward Contracts
Metals		653,331
Total unrealized appreciation on open forward contracts	$	653,331
Liabilities
Forward Contracts
Metals		(557,622	)
Total unrealized depreciation on open forward contracts	$	(557,622	)
Net unrealized appreciation on open forward contracts	$	95,709	**

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

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

10

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months Ended September 30, 2012 Gain (loss) from trading			Nine Months  Ended September 30, 2011 Gain (loss) from trading
Currencies	$	(62,311	)	$	67,006		$	(226,826	)	$	327,356
Energy		36,899			(110,643	)		147,289			(134,814	)
Grains		106,335			43,246			(44,325	)		89,164
Indices		(35,795	)		997,697			(278,648	)		1,527,727
Interest Rates U.S.		15,492			277,614			11,324			807,578
Interest Rates Non-U.S.		150,057			733,376			166,623			281,254
Livestock		(5,780	)		(14,120	)		(5,193	)		(34,950	)
Softs		(36,694	)		9,819			(17,335	)		(55,677	)
Metals		(52,808	)		218,400			(374,036	)		248,890
Total	$	115,395	***	$	2,222,395	***	$	(621,127	)***	$	3,056,528	***

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

4. Fair Value Measurements:

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

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

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

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

11

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

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

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and 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 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, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 or Level 2.

	September 30, 2012		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	13,436,073	$	—	$	13,436,073	$	—
Futures		230,759		230,759		—		—
Forwards		1,840,000		1,840,000		—		—
Total Assets		15,506,832		2,070,759		13,436,073		—
Liabilities
Futures	$	152,329	$	152,329	$	—	$	—
Forwards		1,886,524		1,886,524		—		—
Total Liabilities		2,038,853		2,038,853		—		—
Net fair value	$	13,467,979	$	31,906	$	13,436,073	$	—
	December 31, 2011		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	14,562,030	$	—	$	14,562,030	$	—
Futures		259,331		259,331		—		—
Forwards		653,331		653,331		—		—
Total assets		15,474,692		912,662		14,562,030		—
Liabilities
Futures	$	95,943	$	95,943	$	—	$	—
Forwards		557,622		557,622		—		—
Total liabilities		653,565		653,565		—		—
Net fair value	$	14,821,127	$	259,097	$	14,562,030	$	—

12

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

5. Investment in Funds:

The assets allocated to CFM for trading are invested directly pursuant to CFM’s Discus (1.5x Leverage) Program, a proprietary, systematic trading system.

On July 1, 2005, 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 10,980.9796 units of Willowbridge Master with cash equal to $9,895,326 and a contribution of open commodity futures and forward positions with a fair value of $1,085,654. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by Willowbridge using its Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 11,192.9908 units of Graham Master with cash equal to $11,192,991. Graham Master was formed in order to permit commodity pools managed now or in the future by Graham using its K4D-15V Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash equal to $7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the future by Eckhardt using its Standard Program-Higher Leveraged, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2009, the assets allocated to SandRidge for trading were invested in the CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 2,086.0213 units of SandRidge Master with cash equal to $4,288,986. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge 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 any of the trading programs discussed above during the fiscal quarter ended September 30, 2012.

Willowbridge Master’s, Graham Master’s, Eckhardt Master’s and SandRidge 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. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM.

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

Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly and through its investment in the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

As of September 30, 2012, the Partnership owned approximately 7.6%, 3.1%, 26.7% and 0.6%, of Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. As of December 31, 2011, the Partnership owned approximately 5.5%, 2.9%, 25.9% and 0.8%, of Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. 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 of the Funds is shown in the following tables.

	September 30, 2012
	Total Assets		Total Liabilities		Total Capital
Willowbridge Master	$	43,137,151	$	51,975	$	43,085,176
Graham Master		95,924,800		3,450,230		92,474,570
Eckhardt Master		20,974,138		155,310		20,818,828
SandRidge Master		311,313,835		16,909,222		294,404,613
Total	$	471,349,924	$	20,566,737	$	450,783,187

	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Willowbridge Master	$	58,685,838	$	62,005	$	58,623,833
Graham Master		127,567,600		44,426		127,523,174
Eckhardt Master		20,578,273		71,694		20,506,579
SandRidge Master		303,638,504		7,192,752		296,445,752
Total	$	510,470,215	$	7,370,877	$	503,099,338

13

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

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

	For the three months ended September 30, 2012
	Net Investment Income (Loss)			Total  Trading Results			Net Income (Loss)
Willowbridge Master	$	(25,369	)	$	1,523,607		$	1,498,238
Graham Master		(76,849	)		1,524,964			1,448,115
Eckhardt Master		(28,830	)		1,967,793			1,938,963
SandRidge Master		(212,727	)		(19,078,252	)		(19,290,979	)
Total	$	(343,775	)	$	(14,061,888	)	$	(14,405,663	)
	For the nine months ended September 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Willowbridge Master	$	(76,478	)	$	2,997,608		$	2,921,130
Graham Master		(337,956	)		566,270			228,314
Eckhardt Master		(118,720	)		3,074,933			2,956,213
SandRidge Master		(592,387	)		29,005,472			28,413,085
Total	$	(1,125,541	)	$	35,644,283		$	34,518,742
	For the three months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Willowbridge Master	$	(26,164	)	$	6,231,581		$	6,205,417
Graham Master		(213,853	)		(7,001,386	)		(7,215,239	)
Eckhardt Master		(36,609	)		(2,067,641	)		(2,104,250	)
SandRidge Master		(153,758	)		18,193,702			18,039,944
Total	$	(430,384	)	$	15,356,256		$	14,925,872
	For the nine months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Willowbridge Master	$	(96,550	)	$	21,510,516		$	21,413,966
Graham Master		(596,969	)		(15,857,052	)		(16,454,021	)
Eckhardt Master		(153,299	)		(2,439,928	)		(2,593,227	)
SandRidge Master		(584,251	)		48,322,928			47,738,677
Total	$	(1,431,069	)	$	51,536,464		$	50,105,395

14

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

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

	September 30, 2012					For the three months ended September 30, 2012
	% of Partnership’s			Fair		Income			Expenses				Net Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Willowbridge Master		15.80	%	$	3,255,945	$	110,110		$	748	$	1,537	$	107,825		Commodity Portfolio	Monthly
Graham Master		14.11	%		2,908,726		34,269			2,015		718		31,536		Commodity Portfolio	Monthly
Eckhardt Master		27.01	%		5,566,048		518,062			4,788		3,584		509,690		Commodity Portfolio	Monthly
SandRidge Master		8.27	%		1,705,354		(111,310	)		1,014		498		(112,822	)	Energy Portfolio	Monthly
Total				$	13,436,073	$	551,131		$	8,565	$	6,337	$	536,229
	September 30, 2012					For the nine months ended September 30, 2012
	% of Partnership’s			Fair		Income			Expenses				Net Income			Investment	Redemptions
Investments	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Willowbridge Master		15.80	%	$	3,255,945	$	225,022		$	2,231	$	4,184	$	218,607		Commodity Portfolio	Monthly
Graham Master		14.11	%		2,908,726		(9,750	)		9,677		1,757		(21,184	)	Commodity Portfolio	Monthly
Eckhardt Master		27.01	%		5,566,048		803,670			19,871		12,935		770,864		Commodity Portfolio	Monthly
SandRidge Master		8.27	%		1,705,354		241,301			3,013		1,585		236,703		Energy Portfolio	Monthly
Total				$	13,436,073	$	1,260,243		$	34,792	$	20,461	$	1,204,990
	December 31, 2011					For the three months ended September 30, 2011
	% of Partnership’s			Fair		Income			Expenses				Net Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Willowbridge Master		13.99	%	$	3,245,835	$	271,471		$	593	$	642	$	270,236		Commodity Portfolio	Monthly
Graham Master		16.08	%		3,731,550		(206,360	)		5,753		672		(212,785	)	Commodity Portfolio	Monthly
Eckhardt Master		22.90	%		5,314,148		(536,763	)		5,878		3,822		(546,463	)	Commodity Portfolio	Monthly
SandRidge Master		9.79	%		2,270,497		168,663			782		723		167,158		Energy Portfolio	Monthly
Total				$	14,562,030	$	(302,989	)	$	13,006	$	5,859	$	(321,854	)
	December 31, 2011					For the nine months ended September 30, 2011
	% of Partnership’s			Fair		Income			Expenses				Net Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Willowbridge Master		13.99	%	$	3,245,835	$	488,261		$	2,424	$	1,719	$	484,118		Commodity Portfolio	Monthly
Graham Master		16.08	%		3,731,550		(427,651	)		16,757		1,749		(446,157	)	Commodity Portfolio	Monthly
Eckhardt Master		22.90	%		5,314,148		(623,331	)		28,365		13,083		(664,779	)	Commodity Portfolio	Monthly
SandRidge Master		9.79	%		2,270,497		450,487			3,747		2,130		444,610		Energy Portfolio	Monthly
Total				$	14,562,030	$	(112,234	)	$	51,293	$	18,681	$	(182,208	)

15

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at 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 forward and option contracts. OTC contracts are negotiated between contracting parties and include certain forward, swap and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 1.8% to 5.4% of the Partnership’s/Fund’s contracts are traded OTC.

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

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

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

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

The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line 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 financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity.

16

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

7. Critical Accounting Policies:

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

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

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

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

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

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) 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, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

17

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(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 the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

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

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership/Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership/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/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/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 Funds may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

18

Diversified Multi-Advisor Futures Fund L.P. II

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 of or disclosure in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2009 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

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

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

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

19

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, (ii) equity in its trading account, consisting of cash and cash equivalents and net unrealized appreciation on open futures contracts, (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the third quarter of 2012.

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, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2012, Partnership capital decreased 11.2% from $23,203,984 to $20,608,561. This decrease was attributable to the redemptions of 1,103.6004 Redeemable Units resulting in an outflow of $1,691,258, coupled with a net loss of $904,165. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

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

The Partnership and the Funds record all investments at fair value in their 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.

20

Results of Operations

During the Partnership’s third quarter of 2012, the net asset value per unit increased 0.9% from $1,495.09 to $1,509.15 as compared to an increase of 5.4% in the third quarter of 2011. The Partnership experienced a net trading gain (comprised of net realized gains (losses) on closed positions and investment in Funds and change in net unrealized gains (losses) on open positions and investment in Funds) before brokerage fees and related fees in the third quarter of 2012 of $664,826. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates, metals and indices, and were partially offset by losses in energy, livestock and softs. The Partnership experienced a net trading gain before brokerage fees and related fees in the third quarter of 2011 of $1,918,909. Gains were primarily attributable to the Partnership’s and the Funds’ trading of commodity futures in indices, metals, U.S. and non-U.S. interest rates and were partially offset by losses in currencies, energy, grains, livestock and softs.

During the third quarter of 2012, trading results in the currencies sector was relatively flat and had no material impact on Fund performance during the third quarter. The most significant gains were experienced within the global interest rate sector, primarily during July, from long positions in European and U.S. fixed income futures as prices advanced as a euro-area report showing inflation held at the slowest since February 2011 added to signs the region is headed for a recession. Prices of European and U.S. fixed income futures continued to move higher after Germany’s top court said it will take more than eight weeks to rule on the euro-area’s bailout fund, holding up crisis resolution efforts and boosting demand for the relative “safety” of government debt. Gains were also experienced within the agricultural markets, primarily during July, from long positions in corn and soybean futures as corn futures prices advanced to an all-time high and soybean futures prices reached the highest level since July 2008 as a heat wave and drought in the U.S. Midwest threatened to limit output. Meanwhile, prices of corn futures continued to rise as increased demand for corn imports by Asian nations including China. Additional gains in this market sector were experienced from long positions in wheat futures. Within the stock index sector, gains were recorded primarily during August and September from long positions in U.S. equity index futures as prices moved higher, sending the Standard & Poor’s 500 Index to the highest level since 2007, as the U.S. Federal Reserve’s plan to buy mortgage securities fueled demand for “riskier” assets. Elsewhere, gains were recorded from long positions in European equity index futures as prices advanced as an unexpected decline in Chinese manufacturing boosted speculation China will announce further economic stimulus. Within the metals sector, gains were experienced primarily during September from long positions in gold futures as prices climbed to a 6-month high as government data showed that the U.S. added fewer jobs than forecast last month, spurring speculation that the U.S. Federal Reserve will expand stimulus measures to boost the labor market. A portion of the Partnership’s gains during the quarter was offset by losses incurred within the soft commodities sector, primarily during July and September, from short positions in coffee futures as prices advanced on speculation that supplies will tighten in South America, the world’s top coffee producing region. Within the energy sector, losses were recorded primarily during July and September from short positions in natural gas futures as prices rose as forecasts for cooler U.S. Midwest weather signaled higher demand for the heating fuel.

During the Partnership’s nine months ended September 30, 2012, the net asset value per unit decreased 4.0% from $1,572.15 to $1,509.15 as compared to an increase of 4.3% during the nine months ended September 30, 2011. The Partnership experienced a net trading gain (comprised of net realized gains (losses) on closed positions and investment in Funds and change in net unrealized gains (losses) on open positions and investment in Funds) before brokerage fees and related fees during the nine months ended September 30, 2012 of $634,736. Gains were primarily attributable to the Master’s trading of commodity futures in energy, grains and U.S. and non-U.S. interest rates, and were partially offset by losses in currencies, livestock, metals, softs and indices. The Partnership experienced a net trading gain before brokerage fees and related fees during the nine months ended September 30, 2011 of $2,939,528. Gains were primarily attributable to the Partnership’s and the Funds’ trading of commodity futures in U.S. and non-U.S. interest rates, indices, metals and softs and were partially offset by losses in currencies, energy, grains and livestock.

During the nine months ended September 30, 2012, the most significant losses were incurred within the currency sector, primarily during June, from short positions in the British pound versus the U.S. dollar as the value of the British pound advanced as European Union leaders eased terms on loans to Spanish banks, taking a step towards resolving the region’s debt crisis. Elsewhere, further currency losses were incurred from short positions in the Canadian dollar and Swiss franc as the value of these currencies also advanced versus the U.S. dollar. Within the metals sector, losses were incurred primarily during February and March from long positions in silver futures as prices declined on speculation that the U.S. Federal Reserve will refrain from offering additional stimulus as the economy recovers, eroding demand for the precious metal. Within the global stock indices, losses were experienced primarily during April and May due to short futures positions in Pacific Rim and European equity index futures as prices rose on speculation the Chinese government will ease monetary policy and global central banks will take action to bolster economies amid Europe’s sovereign debt crisis. Within the soft commodities sector, losses were incurred throughout the majority of the first nine months of the year from positions in sugar futures as prices moved without consistent direction amid weather related concerns. A portion of the Partnership’s losses during the first nine months of the year was offset by gains achieved within the global interest rate sector, primarily during April and May, from long positions in European, U.S., and Australian fixed-income futures as prices advanced as Greece failed to form a unified government, increasing concern Europe’s debt crisis is worsening and spurring demand for the relative “safety” of government debt. Additional gains in this market sector were recorded during July from long positions in European and U.S. interest rate futures. Gains were also experienced in the energy sector, primarily during February and March, from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S. Gains were also experienced within the agricultural markets, primarily during July, from long positions in soybean futures as prices reached the highest level since July 2008 as a heat wave and drought in the U.S. Midwest threatened to limit output. Gains in this sector were also experienced from long positions in wheat futures.

21

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

Interest income on 80% of the Partnership’s daily average equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income for the three and nine months ended September 30, 2012 increased by $1,949 and $307, respectively, as compared to the corresponding periods in 2011. The increase in interest income was primarily due to higher U.S. Treasury bill rates during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s account and upon interest rates over which neither the Partnership, the Funds nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s net asset value as of the end of the month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and nine months ended September 30, 2012 decreased by $74,326 and $199,656, respectively, as compared to the corresponding periods in 2011. The decrease in brokerage fees is due to lower average net assets during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Management fees are calculated on the portion of the Partnership’s net asset value allocated to each Advisor at the end of the month and are affected by trading performance and redemptions. Management fees for the three and nine months ended September 30, 2012 decreased by $20,502 and $53,763, respectively, as compared to the corresponding periods in 2011. The decrease in management fees is due to lower average net assets during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Incentive fees are based on the new trading profits generated by each Advisor as defined in the advisory agreement among the Partnership, the General Partner and each Advisor. There were no incentive fees for the three and nine months ended September 30, 2012 and 2011, respectively. An Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by any Advisor and earns additional new trading profits for the Partnership.

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

As of September 30, 2012 and June 30, 2012, the Partnership’s assets were allocated among the trading Advisors in the following approximate percentages:

Advisor	September 30, 2012			June 30, 2012
Graham Capital Management, L.P.		14	%		14	%
Capital Fund Management SA		36	%		37	%
Willowbridge Associates, Inc.		15	%		14	%
Eckhardt Trading Company		27	%		26	%
SandRidge Capital, L.P.		8	%		9	%

22

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership and the Funds are speculative commodity pools. The market sensitive instruments held by the Partnership and the Funds are acquired for speculative trading purposes, and all or substantially all of the Partnership’s and the 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 and the Funds’ main line of business.

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

Market movements result in frequent changes in the fair value of the Partnership’s and the Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s and the 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 and the Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership and the 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 and the Funds’ past performance is not necessarily indicative of their future results.

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of CFM, 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. CFM directly trades a managed account in the Partnership’s name. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investment in the Funds as of September 30, 2012 and December 31, 2011. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by CFM) and indirectly by each Fund separately. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

23

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2012 and December 31, 2011. As of September 30, 2012, the Partnership’s total capitalization was $20,608,561.

September 30, 2012

Market Sector	Value at Risk		% of  Total Capitalization
Currencies	$	551,470		2.68	%
Energy		310,693		1.51	%
Grains		134,873		0.65	%
Indices		371,924		1.81	%
Interest Rates U.S.		297,682		1.44	%
Interest Rates Non-U.S.		406,688		1.97	%
Livestock		222,572		1.08	%
Metals		141,992		0.69	%
Softs		203,774		0.99	%
Total	$	2,641,668		12.82	%
As of December 31, 2011, the Partnership’s total capitalization was $23,203,984. December 31, 2011
Market Sector	Value at Risk		% of  Total Capitalization
Currencies	$	677,467		2.92%
Energy		197,094		0.85%
Grains		107,413		0.46%
Indices		188,001		0.81%
Interest Rates U.S.		320,082		1.38%
Interest Rates Non-U.S.		334,486		1.44%
Livestock		468,606		2.02%
Metals		138,132		0.59%
Softs		182,559		0.79%
Total	$	2,613,840		11.26%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of September 30, 2012 and December 31, 2011 and the highest and lowest value at any point and the average value during the three months ended September 30, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures of the Partnership/Funds have been included in calculating the figures set forth below.

As of September 30, 2012, the Partnership’s total capitalization was $20,608,561. The Partnership’s Value at Risk for the portion of its assets that are traded directly by CFM using its Discus (1.5x Leverage) Program was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	216,950		1.05	%	$	417,790	$	202,300	$	265,381
Energy		61,635		0.30	%		105,800		20,890		70,157
Grains		78,595		0.38	%		104,745		30,106		58,122
Indices		134,571		0.65	%		396,166		108,464		210,419
Interest Rates U.S.		120,475		0.59	%		160,525		71,647		145,833
Interest Rates Non -U.S.		240,644		1.17	%		290,390		98,700		232,769
Livestock		4,900		0.02	%		4,900		800		2,555
Metals		154,836		0.75	%		239,588		78,508		181,723
Softs		44,675		0.22	%		112,469		44,375		64,214
Total	$	1,057,281		5.13	%

* Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s total capitalization was $23,203,984. The Partnership’s Value at Risk for the portion of its assets that are traded directly by CFM using its Discus (1.5x Leverage) Program was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	254,220		1.10	%	$	466,000	$	56,937	$	210,969
Energy		41,050		0.18	%		184,704		3,750		43,309
Grains		35,462		0.15	%		97,179		4,500		32,161
Indices		151,831		0.65	%		699,165		32,135		276,814
Interest Rates U.S.		84,161		0.36	%		527,400		4,025		188,478
Interest Rates Non -U.S.		468,293		2.02	%		588,449		32,678		290,335
Livestock		2,475		0.01	%		11,050		450		3,438
Metals		116,672		0.50	%		320,124		11,076		121,162
Softs		44,249		0.19	%		73,672		1,350		22,661
Total	$	1,198,413		5.16	%

* Annual average based on month-end Value at Risk.

24

As of September 30, 2012, Willowbridge Master’s total capitalization was $43,085,176. The Partnership owned approximately 7.6% of Willowbridge Master. As of September 30, 2012, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	671,388		1.56	%	$	673,396	$	164,000	$	453,834
Energy		98,400		0.23	%		318,200		98,400		138,867
Grains		183,731		0.43	%		505,250		66,625		380,160
Interest Rates U.S.		55,350		0.13	%		113,519		28,000		49,733
Interest Rates Non-U.S.		24,828		0.06	%		575,284		24,828		248,058
Livestock		24,000		0.05	%		25,200		24,000		24,000
Metals		953,250		2.21	%		999,750		268,857		752,229
Softs		82,400		0.19	%		292,300		78,750		165,733
Total	$	2,093,347		4.86	%

* Average of month-end Values at Risk.

As of December 31, 2011, Willowbridge Master’s total capitalization was $58,623,833. The Partnership owned approximately 5.5% of Willowbridge Master. As of December 31, 2011, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	1,519,874		2.60	%	$	3,114,825	$	191,750	$	1,146,326
Energy		283,500		0.48	%		4,681,000		144,000		1,513,100
Interest Rates U.S.		285,900		0.49	%		1,654,100		108,350		417,625
Interest Rates Non-U.S.		813,981		1.39	%		2,784,138		382,835		972,513
Metals		1,350,000		2.30	%		4,137,702		272,000		1,716,030
Softs		481,250		0.82	%		3,503,200		112,000		1,050,396
Total	$	4,734,505		8.08	%

* Annual average based on month-end Value at Risk.

As of September 30, 2012, Graham Master’s total capitalization was $92,474,570. The Partnership owned approximately 3.1% of Graham Master. As of September 30, 2012, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	2,567,494		2.78	%	$	4,733,601	$	2,153,005		3,523,033
Energy		1,048,265		1.13	%		1,446,040		328,716		958,017
Grains		736,750		0.80	%		1,199,925		694,650		863,867
Indices		5,066,164		5.48	%		5,399,465		3,650,988		4,751,021
Interest Rates U.S.		1,287,925		1.39	%		1,827,200		1,011,300		1,466,600
Interest Rates Non-U.S.		3,253,133		3.52	%		3,871,167		2,704,921		3,450,631
Livestock		10,800		0.01	%		35,175		8,550		17,642
Metals		949,025		1.03	%		2,984,515		661,356		1,897,484
Softs		705,600		0.76	%		970,701		454,083		717,721
Total	$	15,625,156		16.90	%

* Average of month-end Values at Risk.

25

As of December 31, 2011, Graham Master’s total capitalization was $127,523,174. The Partnership owned approximately 2.9% of Graham Master. As of December 31, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	5,181,686		4.06	%	$	14,715,746	$	1,934,690	$	8,500,010
Energy		2,114,289		1.66	%		2,114,289		430,473		1,224,336
Grains		1,611,500		1.27	%		1,783,300		325,891		633,165
Indices		4,513,393		3.54	%		11,180,261		924,448		3,873,039
Interest Rates U.S.		1,636,222		1.28	%		4,564,925		91,689		1,397,376
Interest Rates Non-U.S.		5,486,252		4.30	%		5,647,770		813,077		2,296,485
Livestock		10,800		0.01	%		127,950		2,400		35,984
Metals		2,117,496		1.66	%		2,219,604		616,825		1,237,109
Softs		987,729		0.77	%		987,729		161,005		421,227
Total	$	23,659,367		18.55	%

* Annual average based on month-end Value at Risk.

As of September 30, 2012, Eckhardt Master’s total capitalization was $20,818,828. The Partnership owned approximately 26.7% of Eckhardt Master. As of September 30, 2012, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	922,883		4.43	%	$	1,071,074	$	724,883	$	868,887
Energy		384,300		1.85	%		407,700		133,170		308,657
Grains		183,000		0.88	%		273,678		132,250		198,691
Indices		641,834		3.08	%		674,922		433,616		576,305
Interest Rates U.S.		386,150		1.86	%		551,825		130,300		428,808
Interest Rates Non-U.S.		714,189		3.43	%		719,853		137,819		530,915
Metals		139,887		0.67	%		316,501		83,378		195,621
Softs		56,529		0.27	%		111,543		25,033		67,130
Total	$	3,428,772		16.47	%

• Average of month-end Values at Risk.

As of December 31, 2011, Eckhardt Master’s total capitalization was $20,506,579. The Partnership owned approximately 25.9% of Eckhardt Master. As of December 31, 2011, Eckhardt Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Eckhardt for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	731,217		3.57	%	$	1,678,029	$	27,951	$	834,998
Energy		223,190		1.10	%		886,666		6,000		412,832
Grains		97,363		0.47	%		528,082		3,500		144,509
Indices		49,666		0.24	%		1,132,389		5,600		466,488
Interest Rates U.S.		405,700		1.98	%		1,698,650		3,900		330,777
Interest Rates Non-U.S.		179,363		0.87	%		1,114,087		9,616		264,205
Softs		41,600		0.20	%		131,208		10,463		66,776
Total	$	1,728,099		8.43	%

* Annual average based on month-end Value at Risk.

26

As of September 30, 2012, SandRidge Master’s total capitalization was $294,404,613. The Partnership owned approximately 0.6% of SandRidge Master. As of September 30, 2012, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at  Risk		Average Value at  Risk*
Energy	$	21,675,334		7.36	%	$	21,675,334	$	12,624,778	$	16,720,061
Total	$	21,675,334		7.36	%

* Average of month-end Values at Risk.

As of December 31, 2011, SandRidge Master’s total capitalization was $296,445,752. The Partnership owned approximately 0.8% of SandRidge Master. As of December 31, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at  Risk*
Energy	$	2,666,386		0.90	%	$	61,733,650	$	1,015,817	$	20,188,738
Total	$	2,666,386		0.90	%

* Annual average based on month-end Value at Risk.

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Item 4. Controls and Procedures

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2012 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

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

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

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

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

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

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

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

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

RMBS Litigation and Other Matters

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

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

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

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

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

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

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

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

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

Other Matters

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

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

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Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012, other than as set forth below.

Speculative position and trading limits may reduce profitability.

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

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

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

The Partnership no longer offers Redeemable Units for sale.

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

Period	(a) Total Number of Shares (or Units) Purchased*		(b) Average Price Paid per Share (or Unit)**		(c) Total Number     of Shares (or Units)     Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number     (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs
July 1, 2012 –     July 31, 2012		106.9670	$	1,561.12		N/A		N/A
August 1, 2012 –     August 31, 2012		79.7450	$	1,544.68		N/A		N/A
September 1, 2012 –     September 30, 2012		61.2360	$	1,509.15		N/A		N/A
		247.9480	$	1,543.00

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

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

Item 3. Defaults Upon Senior Securities — None.

Item 4. Mine Safety Disclosures — None.

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Item 5. Other Information

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

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

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

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Item 6. Exhibits

Exhibit

3.1(a)	Certificate of Limited Partnership dated May 10, 1994 (filed as Exhibit 3.1(a) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(b)	Certificate of Amendment of the Certificate of Limited Partnership dated July 31, 1995 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(c)	Certificate of Amendment of the Certificate of Limited Partnership dated October 1, 1999 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(d)	Certificate of Change of the Certificate of Limited Partnership effective January 31, 2000 (filed as Exhibit 3.1(d) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(e)	Certificate of Amendment of the Certificate of Limited Partnership dated May 21, 2003 (filed as Exhibit 3.1(e) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(f)	Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(f) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(g)	Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(g) to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
(h)	Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
(i)	Certificate of Amendment of the Certificate of Limited Partnership dated April 12, 2010 (filed as Exhibit 3.1(i) to the Form 8-K/A filed on April 14, 2010 and incorporated herein by reference).
(j)	Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1 to the Current Report on form 8-K filed on July 2, 2010 and incorporated herein by reference).
(k)	Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).
3.2	Limited Partnership Agreement (attached as Exhibit A to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference).
10.1	Customer Agreement between the Partnership and Smith Barney (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference).
10.2	Form of Subscription Agreement (attached as Exhibit B to the Registration Statement on Form S-1 filed on May 29, 1996 and incorporated herein by reference).
10.3	Form of Escrow Agreement (filed as Exhibit 10.3 to the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009 filed on November 16, 2009 and incorporated herein by reference).
10.4(a)	Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Annual Report on Form 10-K for the fiscal year ended December 31, 1997 filed on March 30, 1998 and incorporated herein by reference).

33

(b)	Letter extending Management Agreement with Willowbridge for 2011 (filed as Exhibit 10.4(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
10.6(a)	Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.21 to the Annual Report on Form 10-K for the fiscal year ended December 31, 2000 filed on March 29, 2001 and incorporated herein by reference).
(b)	Letter extending Management Agreement with Graham for 2011 (filed as Exhibit 10.6(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
10.7(a)	Amended and Restated Management Agreement among the Partnership, the General Partner and CFM (filed as Exhibit 10.7A to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
(b)	Letter extending Management Agreement with CFM for 2011 (filed as Exhibit 10.7(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
10.8(a)	Management Agreement among the Partnership, the General Partner and Eckhardt (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2008 filed on August 14, 2008 and incorporated herein by reference).
(b)	Letter extending Management Agreement with Eckhardt Trading Company for 2011 (filed as Exhibit 10.8(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
10.9(a)	Management Agreement among the Partnership, the General Partner and SandRidge (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on June 2, 2009 and incorporated herein by reference).
(b)	Letter extending Management Agreement with SandRidge for 2011 (filed as Exhibit 10.9(b) to the Annual Report on Form 10-K for the fiscal year ended December 31, 2011 filed on March 30, 2012 and incorporated herein by reference).
10.10	Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009 filed August 14, 2009 and incorporated herein by reference).
31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).
31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).
32.1	Section 1350 Certification (Certification of President and Director).
32.2	Section 1350 Certification (Certification of Chief Financial Officer and Director).
101. INS	XBRL Instance Document.
101. SCH	XBRL Taxonomy Extension Schema Document.
101. CAL	XBRL Taxonomy Extension Calculation Linkbase Document.
101. LAB	XBRL Taxonomy Extension Label Linkbase Document.
101. PRE	XBRL Taxonomy Extension Presentation Linkbase Document.
101. DEF	XBRL Taxonomy Extension Definition Linkbase Document.

34

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.

Diversified Multi-Advisor Futures Fund L.P. II

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