Investment in JWH Master

9 Months Ended

Sep. 30, 2011

5. Investment in JWH Master:

The Advisor trades a portion of the assets allocated to the Advisor directly, in accordance with the systematic JWH Diversified Plus Program. On January 2, 2008, 80% of the assets allocated to the Advisor for trading were invested in JWH Master, a limited liability company organized under the laws of the State of New York. The Partnership purchased 29,209.3894 units of JWH Master (each, a “Unit of Member Interest”) with cash equal to $39,540,753. JWH Master was formed in order to permit accounts managed by the Advisor using the Global Analytics Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the managing member of the JWH Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be non-managing members of JWH Master. The General Partner and the Advisor believe that trading through this structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in JWH Master are approximately the same and redemptions rights are not affected.

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

JWH Master’s trading of futures and forward contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. JWH Master engages in such trading through commodity brokerage accounts maintained by CGM.

A non-managing member may withdraw all or part of its redeemable capital contributions and undistributed profits, if any, from JWH Master in multiples of the net asset value per Unit of Member Interest as of the end of any day (the “Redemption Date”), after a request for redemption has been made to the General Partner at least three days in advance of the Redemption date. The Unit of Member Interest is classified as a liability when the non-managing member elects to redeem and informs JWH Master.

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 and through its investment in JWH Master. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

At September 30, 2011, the Partnership owned approximately 78.7% of JWH Master. At December 31, 2010, the Partnership owned approximately 78.7% of JWH Master. The Partnership intends to continue to invest a portion of its assets in JWH Master. The performance of the Partnership is directly affected by the performance of JWH Master.

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Members’ Capital for the three and nine months ended September 30, 2011 and 2010 are presented below:

JWH Master Fund LLC
Statements of Financial Condition


	(Unaudited) September 30,		December 31,
	2011		2010
Assets:
Equity in trading account:
Cash	$	58,771,805	$	58,147,328
Cash margin		10,231,524		9,601,427
Net unrealized appreciation on open futures contracts		4,362,524		4,314,312

Total assets	$	73,365,853	$	72,063,067

Liabilities and Members’ Capital:
Liabilities:
Accrued expenses:
Professional fees	$	68,920	$	71,427

Total liabilities		68,920		71,427


Members’ Capital:
Members’ Capital, 20,080.8437 and 21,244.0589 units outstanding at September 30, 2011 and December 31, 2010, respectively		73,296,933		71,991,640

Total liabilities and members’ capital	$	73,365,853	$	72,063,067

Net asset value per unit	$	3,650.09	$	3,388.79

JWH Master Fund LLC
Condensed Schedule of Investments
September 30, 2011
(Unaudited)


	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		165	$	(38,388	)		(0.05	)%
Interest Rates U.S.		355		912,633			1.24
Interest Rates Non-U.S.		423		(96,683	)		(0.13	)

Total futures contracts purchased				777,562			1.06


Futures Contracts Sold
Currencies		348		786,675			1.07
Energy		243		698,838			0.95
Grains		469		1,811,275			2.47
Indices		65		(71,365	)		(0.09	)
Metals		88		120,030			0.16
Softs		450		239,509			0.33

Total futures contracts sold				3,584,962			4.89


Net fair value			$	4,362,524			5.95	%

JWH Master Fund LLC
Condensed Schedule of Investments
December 31, 2010


	Number of					% of Members’
	Contracts		Fair Value			Capital

Futures Contracts Purchased
Currencies		328	$	608,700			0.85	%
Energy		212		361,671			0.50
Grains		390		530,375			0.74
Indices		68		57,461			0.08
Interest Rates Non-U.S.		37		4,326			0.01
Metals		236		2,104,700			2.92
Softs		592		563,962			0.78

Total futures contracts purchased				4,231,195			5.88

Futures Contracts Sold
Currencies		46		(41,600	)		(0.06	)
Energy		3		(3,750	)		(0.01	)
Interest Rates U.S.		318		321,553			0.45
Interest Rates Non-U.S.		228		(193,086	)		(0.27	)

Total futures contracts sold				83,117			0.11

Net fair value			$	4,314,312			5.99	%

JWH Master Fund LLC
Statements of Income and Expenses and Changes in Members’ Capital
(Unaudited)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Investment Income:
Interest income	$	2,271		$	15,633		$	20,290		$	36,301

Total investment income		2,271			15,633			20,290			36,301

Expenses:
Clearing fees		22,306			21,826			69,708			65,924
Professional fees		4,494			33,631			56,331			87,843

Total expenses		26,800			55,457			126,039			153,767

Net investment income (loss)		(24,529	)		(39,824	)		(105,749	)		(117,466	)


Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		3,069,927			3,722,007			5,436,667			3,742,616
Change in net unrealized gains (losses) on open contracts		4,117,918			3,483,345			48,212			5,509,763

Total trading results		7,187,845			7,205,352			5,484,879			9,252,379

Net income (loss)		7,163,316			7,165,528			5,379,130			9,134,913
Subscriptions		870,200			1,132,560			3,974,826			2,243,760
Redemptions		(2,974,802	)		(2,886,082	)		(8,028,373	)		(8,357,948	)
Distribution of interest income to feeder funds		(2,271	)		(15,633	)		(20,290	)		(36,301	)

Net increase (decrease) in Members’ Capital		5,056,443			5,396,373			1,305,293			2,984,424
Members’ capital, beginning of period		68,240,490			54,521,067			71,991,640			56,933,016

Members’ capital, end of period	$	73,296,933		$	59,917,440		$	73,296,933		$	59,917,440

Net asset value per unit (20,080.8437 and 20,724.1361 units outstanding at September 30, 2011 and 2010, respectively)	$	3,650.09		$	2,891.19		$	3,650.09		$	2,891.19

Net income (loss) per unit*	$	354.71		$	340.90		$	262.27		$	434.96

Weighted average units outstanding		20,409.3753			21,522.4463			20,957.7650			22,330.1925


*		Based on change in net asset value per unit.

JWH Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2011 and December 31, 2010, JWH Master did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers that derive fair values from those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).


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

Assets
Futures	$	4,957,109	$	4,957,109	$	—	$	—

Total assets		4,957,109		4,957,109		—		—


Liabilities
Futures		594,585		594,585		—		—

Total Liabilities		594,585		594,585		—		—

Net fair value	$	4,362,524	$	4,362,524	$	—	$	—



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

Assets
Futures	$	5,068,371	$	5,068,371	$	—	$	—

Total assets		5,068,371		5,068,371		—		—


Liabilities
Futures		754,059		754,059		—		—

Total Liabilities		754,059		754,059		—		—

Net fair value	$	4,314,312	$	4,314,312	$	—	$	—


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

Financial Highlights of JWH Master:

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


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Net realized and unrealized gains (losses)*	$	354.82		$	341.76		$	263.98		$	437.34
Interest income		0.11			0.74			0.97			1.67
Expenses**		(0.22	)		(1.60	)		(2.68	)		(4.05	)

Increase (decrease) for the period		354.71			340.90			262.27			434.96
Distributions of interest income to feeder funds		(0.11	)		(0.74	)		(0.97	)		(1.67	)
Net asset value per unit, beginning of period		3,295.49			2,551.03			3,388.79			2,457.90

Net asset value per unit, end of period	$	3,650.09		$	2,891.19		$	3,650.09		$	2,891.19


*		Includes clearing fees.

**		Excludes clearing fees.


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Ratios to average net assets:***
Net investment income (loss)****		(0.1	)%		(0.3	)%		(0.2	)%		(0.3	)%

Operating expenses		0.2	%		0.4	%		0.2	%		0.4	%

Total return		10.8	%		13.4	%		7.7	%		17.7	%


***		Annualized.

****		Interest income less total expenses.

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 non-managing member class using the non-managing member’s share of income, expenses and average net assets.

The following tables indicate JWH Master’s gross fair values of derivative instruments of futures contracts as separate assets and liabilities as of September 30, 2011 and December 31, 2010.


	September 30,
	2011
Assets
Futures Contracts
Currencies	$	899,663
Energy		699,229
Grains		1,811,275
Interest Rates U.S.		927,295
Interest Rates Non-U.S.		161,657
Metals		120,030
Softs		337,960

Total unrealized appreciation on open futures contracts	$	4,957,109


Liabilities
Futures Contracts
Currencies	$	(151,375	)
Energy		(390	)
Indices		(71,365	)
Interest Rates U.S.		(14,663	)
Interest Rates Non-U.S.		(258,341	)
Softs		(98,451	)

Total unrealized depreciation on open futures contracts	$	(594,585	)

Net unrealized appreciation on open futures contracts	$	4,362,524	*


	December 31, 2010
Assets
Futures Contracts
Currencies	$	608,700
Energy		362,521
Grains		530,375
Indices		57,461
Interest Rates U.S.		342,828
Interest Rates Non-U.S.		149,777
Metals		2,104,700
Softs		912,009

Total unrealized appreciation on open futures contracts	$	5,068,371

Liabilities
Futures Contracts
Currencies	$	(41,600	)
Energy		(4,600	)
Interest Rates U.S.		(21,275	)
Interest Rates Non-U.S.		(338,537	)
Softs		(348,047	)

Total unrealized depreciation on open futures contracts	$	(754,059	)

Net unrealized appreciation on open futures contracts	$	4,314,312	*


*		This amount is in “Net unrealized appreciation on open futures contracts” on JWH Master’s Statements of Financial Condition.

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


	Three Months Ended			Three Months Ended			Nine Months Ended			Nine Months Ended
Sector	September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2010
Currencies	$	974,336		$	2,412,125		$	177,106		$	4,154,887
Energy		(1,145,165	)		(1,657,922	)		86,274			(3,597,964	)
Grains		(675,562	)		1,629,264			(4,366,738	)		984,727
Indices		94,951			(336,626	)		(1,217,477	)		(769,004	)
Interest Rates U.S.		3,480,976			1,504,568			3,727,285			3,117,926
Interest Rates Non-U.S.		4,923,428			862,921			4,944,464			3,414,090
Metals		(118,275	)		1,039,070			723,680			(666,575	)
Softs		(346,844	)		1,751,952			1,410,285			2,614,292

Total	$	7,187,845	*	$	7,205,352	*	$	5,484,879	*	$	9,252,379	*


*		This amount is in “Total trading results” on JWH Master’s Statements of Income and Expenses and Changes in Members’ Capital.