10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2010

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 000-25921

AAA CAPITAL ENERGY FUND L.P.

(Exact name of registrant as specified in its charter)

New York	13-3986032
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

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

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

Yes X  No  

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

Yes    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, 2010, 23,594.3452 Limited Partnership Redeemable Units were outstanding.

AAA CAPITAL ENERGY FUND L.P.

FORM 10-Q

INDEX

		Page
		Number
PART I - Financial Information:
Item 1.	Financial Statements:
	Statements of Financial Condition at September 30, 2010 (unaudited) and December 31, 2009	3
	Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2010 and 2009 (unaudited)	4
	Notes to Financial Statements, including the Financial Statements of AAA Master Fund LLC (unaudited)	5 – 17
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18 – 20
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	21
Item 4.	Controls and Procedures	22
PART II - Other Information		23 – 26
Exhibits
EX-31.1
EX-31.2
EX-32.1
EX-32.2

Exhibit 31.1 Certification

Exhibit 31.2 Certification

Exhibit 32.1 Certification

Exhibit 32.2 Certification

2

PART I

Item 1. Financial Statements

AAA Capital Energy Fund L.P.
Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2010		2009
Assets:
Investment in Master, at fair value	$	255,847,221	$	285,810,508
Cash		206,610		169,528
Total assets	$	256,053,831	$	285,980,036
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions	$	1,579,575	$	1,337,299
Management fees		423,834		474,144
Other		173,993		156,093
Redemptions payable		2,530,968		1,720,377
Total liabilities		4,708,370		3,687,913
Partners’ Capital:
General Partner, 242.9887 and 292.7225 unit equivalents outstanding at September 30, 2010 and December 31, 2009, respectively		2,518,447		3,218,876
Special Limited Partner, 118.5047 Redeemable Units outstanding at September 30, 2010 and December 31, 2009		1,228,237		1,303,118
Limited Partners, 23,889.2097 and 25,260.2367 Redeemable Units outstanding at September 30, 2010 and December 31, 2009, respectively		247,598,777		277,770,129
Total partners’ capital		251,345,461		282,292,123
Total liabilities and partners’ capital	$	256,053,831	$	285,980,036
Net asset value per unit	$	10,364.46	$	10,996.34

See accompanying notes to financial statements.

3

AAA Capital Energy Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Income:
Net realized gains (losses) on closed contracts allocated from Master	$	3,624,540		$	19,435,696		$	(8,280,068	)	$	170,060,711
Change in net unrealized gains (losses) on open contracts allocated from Master		(1,253,136	)		(10,286,435	)		(181,522	)		(136,575,981	)
Interest income allocated from Master		48,245			43,566			120,027			131,620
Expenses allocated from Master		(201,120	)		(211,328	)		(731,057	)		(626,338	)
Total income (loss)		2,218,529			8,981,499			(9,072,620	)		32,990,012
Expenses:
Brokerage commissions		721,184			868,625			2,722,016			2,412,005
Management fees		1,283,546			1,505,538			3,966,980			4,565,105
Other		23,865			34,995			161,865			173,478
Total expenses		2,028,595			2,409,158			6,850,861			7,150,588
Net income (loss) before allocation to Special Limited Partner		189,934			6,572,341			(15,923,481	)		25,839,424
Allocation to Special Limited Partner		—			(1,305,755	)		—			(5,141,561	)
Net income (loss) after allocation to Special Limited Partner		189,934			5,266,586			(15,923,481	)		20,697,863
Additions — Special Limited Partner		—			1,305,755			—			5,141,561
Redemptions — Special Limited Partner		—			(2,225,188	)		—			(15,224,202	)
Redemptions — Limited Partners		(3,604,581	)		(4,431,006	)		(14,498,184	)		(19,109,776	)
Redemptions — General Partner		(225,000	)		(4,000,106	)		(524,997	)		(4,000,106	)
Net increase (decrease) in Partners’ Capital		(3,639,647	)		(4,083,959	)		(30,946,662	)		(12,494,660	)
Partners’ Capital, beginning of period		254,985,108			293,389,980			282,292,123			301,800,681
Partners’ Capital, end of period	$	251,345,461		$	289,306,021		$	251,345,461		$	289,306,021
Net asset value per unit (24,250.7031 and 26,256.1699 units outstanding at September 30, 2010 and 2009, respectively)	$	10,364.46		$	11,018.59		$	10,364.46		$	11,018.59
Net income (loss) per Redeemable Unit and General Partner unit equivalents	$	7.04		$	191.51		$	(631.88	)	$	719.59
Weighted average units outstanding		24,565.0332			26,845.9016			24,999.5172			27,830.5169

See accompanying notes to financial statements.

4

AAA Capital Energy Fund L.P.

Notes to Financial Statements
September 30, 2010
(Unaudited)

1.   General:

AAA Capital Energy Fund L.P. (the “Partnership”) is a limited partnership organized on January 5, 1998 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 commodity options and commodity futures contracts on U.S. exchanges and certain foreign exchanges. The Partnership, through its investment in the Master (defined herein), may trade commodity futures and options contracts of any kind. In addition, the Partnership, through its investment in the Master, may enter into swap contracts on energy-related products. During the initial offering period (February 12, 1998 through March 15, 1998), the Partnership sold 49,538 redeemable units of limited partnership interest (“Redeemable Units”). The Partnership commenced trading on March 16, 1998. From March 16, 1998 to August 31, 2001, the Partnership engaged directly in the speculative trading of a diversified portfolio of commodity interests. The Partnership no longer offers Redeemable Units for sale.

Ceres Managed Futures LLC (“CMF”), 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”), a registered non-clearing futures commission merchant and a member of the National Futures Association (“NFA”). Morgan Stanley, indirectly through various subsidiaries, owns a majority interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

On September 1, 2001, the Partnership allocated substantially all of its capital to AAA Master Fund LLC (the “Master”), a New York limited liability company. The Partnership purchased 128,539.1485 units of the Master (“Units of Member Interest”) with a fair value of $128,539,149 (including unrealized appreciation of $7,323,329). The Master was formed in order to permit commodity pools managed now or in the future by AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (the “Advisor”) using the Energy Program—Futures and Swaps, a proprietary, discretionary trading program, to invest together in one trading vehicle. In addition, the Advisor is a special limited partner (the “Special Limited Partner”) of the Partnership. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The Master’s commodity broker is CGM and its managing member is CMF. The Master may trade commodity futures and options contracts of any kind, but trades solely energy, energy-related products, lumber and grains. In addition, the Master may enter into swap contracts or trade in energy-related products. The commodity interests that are traded by the Partnership through it’s investment in the Master, are volatile and involve a high degree of market risk.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2010.

At September 30, 2010, the Partnership owned approximately 25.0% of the Master. At December 31, 2009, the Partnership owned approximately 23.3% of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and options contracts, as applicable, is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Members’ Capital are included herein.

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

The accompanying financial statements 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, 2010 and December 31, 2009, and the results of its operations for the three and nine months ended September 30, 2010 and 2009. 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, 2009.

The preparation of financial statements 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, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through the date the financial statements were filed. 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.

5

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2010 and December 31, 2009 and Statements of Income and Expenses and Changes in Members’ Capital for the three and nine months ended September 30, 2010 and 2009 are presented below:

AAA Master Fund LLC
Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2010		2009
Assets:
Equity in trading account:
Cash	$	588,191,115	$	778,736,469
Cash margin		161,259,703		112,350,862
Net unrealized appreciation on open futures and exchange-cleared swap contracts		23,822,359		—
Options purchased, at fair value (cost $964,221,372 and $885,211,273, respectively)		591,911,367		741,495,723
Total assets	$	1,365,184,544	$	1,632,583,054
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	—	$	50,857,890
Options premium received, at fair value (premium $582,867,928 and $435,825,576, respectively)		343,562,156		352,233,900
Accrued expenses:
Professional fees		189,613		296,072
Total liabilities		343,751,769		403,387,862
Members’ Capital:
Members’ Capital, 106,317.8812 and 123,710.6078 Units of Member Interest outstanding at September 30, 2010 and December 31, 2009, respectively		1,021,432,775		1,229,195,192
Total liabilities and members’ capital	$	1,365,184,544	$	1,632,583,054
Net asset value per Unit of Member Interest	$	9,607.35	$	9,936.05

6

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

AAA Master Fund LLC
Condensed Schedule of Investments
September 30, 2010
(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy
NYMEX HH Swap Nov 10 - Dec 16		17,555	$	(73,547,038	)		(7.20	)%
NYMEX HH Natural Gas Feb 11 - Dec 14		9,701		(97,907,489	)		(9.58	)
Other		37,216		1,404,320			0.14
Lumber		29		(163,777	)		(0.02	)
Total futures and exchange-cleared swap contracts purchased				(170,213,984	)		(16.66	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Feb 11 - Dec 14		23,138		128,079,000			12.54
NYMEX HH Natural Gas Nov 10 - Oct 15		8,431		64,660,179			6.33
Other		29,079		1,319,423			0.13
Lumber		46		(22,259	)		(0.00)	*
Total futures and exchange-cleared swap contracts sold				194,036,343			19.00
Options Purchased
Energy
Call
NYMEX LT Crude Oil Nov 10 - Dec 13		16,290		121,046,990			11.85
Other		33,003		127,126,963			12.45
Call options purchased				248,173,953			24.30
Put
NYMEX Crude Oil E Dec 10 - Dec 16		12,526		88,786,490			8.69
NYMEX LT Crude Oil Nov 10 - Dec 13		16,698		88,339,330			8.65
NYMEX Natural Gas E Nov 10 - May 14		11,136		145,436,127			14.24
Other		12,760		21,175,467			2.07
Put options purchased				343,737,414			33.65
Total options purchased				591,911,367			57.95
Options Premium Received
Energy
Call
NYMEX Heating Oil Dec 10 - Jun 11		15,320		(81,569,061	)		(7.98	)
NYMEX LT Crude Oil Nov 10 - Dec 16		13,229		(60,973,600	)		(5.97	)
Other		26,490		(51,145,507	)		(5.01	)
Call options premium received				(193,688,168	)		(18.96	)
Put
NYMEX Heating Oil Dec 10 - Jun 11		10,714		(59,225,531	)		(5.80	)
Other		26,821		(90,648,457	)		(8.88	)
Put options premium received				(149,873,988	)		(14.68	)
Total options premium received				(343,562,156	)		(33.64	)
Total fair value			$	272,171,570			26.65	%

*  Due to rounding.

7

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2009

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		76,309	$	(83,380,536	)		(6.78	)%
Total futures and exchange-cleared swap contracts purchased				(83,380,536	)		(6.78	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		68,230		32,522,646			2.65
Total futures and exchange-cleared swap contracts sold				32,522,646			2.65
Options Purchased
Energy
Call
NYMEX LT Crude Oil Feb 10 – Dec 12		10,366		130,224,950			10.59
NYMEX Natural Gas E Feb 10 – Oct 14		23,072		135,333,168			11.01
Other		8,589		115,880,958			9.43
Call options purchased				381,439,076			31.03
Put
NYMEX Crude Oil E Dec 10 – Dec 16		13,074		127,745,250			10.39
NYMEX LT Crude Oil Feb 10 – Dec 13		10,761		73,976,480			6.02
NYMEX Natural Gas E Feb 10 – May 14		9,735		116,193,705			9.45
Other		8,960		42,141,212			3.43
Put options purchased				360,056,647			29.29
Total options purchased				741,495,723			60.32
Options Premium Received
Energy
Call
NYMEX Heating Oil Feb 10 – Dec 10		6,014		(61,856,584	)		(5.03	)
NYMEX Natural Gas E Feb 10 – Oct 14		18,423		(77,041,748	)		(6.27	)
Other		19,042		(109,221,068	)		(8.89	)
Call options premium received				(248,119,400	)		(20.19	)
Put
Other		21,738		(104,114,500	)		(8.47	)
Put options premium received				(104,114,500	)		(8.47	)
Total options premium received				(352,233,900	)		(28.66	)
Total fair value			$	338,403,933			27.53	%

8

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

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

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Income:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	$	14,465,672		$	86,532,707		$	(36,308,875	)	$	737,614,040
Change in net unrealized gains (losses) on open contracts		(4,975,687	)		(46,337,712	)		1,799,890			(593,895,716	)
Gain (loss) from trading, net		9,489,985			40,194,995			(34,508,985	)		143,718,324
Interest income		207,252			206,338			516,422			609,156
Total income (loss)		9,697,237			40,401,333			(33,992,563	)		144,327,480
Expenses:
Clearing fees		618,341			808,203			2,404,508			2,242,333
Professional fees		185,424			132,300			540,073			486,585
Total expenses		803,765			940,503			2,944,581			2,728,918
Net income (loss)		8,893,472			39,460,830			(36,937,144	)		141,598,562
Additions		193,888			36,998,828			15,805,022			149,637,872
Redemptions		(24,709,949	)		(45,385,436	)		(186,113,873	)		(301,095,796	)
Distribution of interest to feeder funds		(207,252	)		(206,338	)		(516,422	)		(609,156	)
Net increase (decrease) in Members Capital		(15,829,841	)		30,867,884			(207,762,417	)		(10,468,518	)
Members’ Capital, beginning of period		1,037,262,616			1,297,294,697			1,229,195,192			1,338,631,099
Members’ Capital, end of period	$	1,021,432,775		$	1,328,162,581		$	1,021,432,775		$	1,328,162,581
Net asset value per Unit of Member Interest (106,317.8812 and 134,496.1590 Units outstanding at September 30, 2010 and 2009, respectively)	$	9,607.35		$	9,875.10		$	9,607.35		$	9,875.10
Net income (loss) per Unit of Member Interest	$	81.89		$	289.49		$	(323.98	)	$	1,002.99
Weighted average units oustanding		107,869.1608			136,371.7331			112,710.7115			141,872.2270

9

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

2.   Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2010 and 2009 were as follows:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Net realized and unrealized gains (losses) *	$	60.19		$	295.93		$	(466.23	)	$	1,068.21
Interest income		1.97			1.61			4.83			4.73
Expenses and allocation to Special Limited Partner**		(55.12	)		(106.03	)		(170.48	)		(353.35	)
Increase (decrease) for the period		7.04			191.51			(631.88	)		719.59
Net asset value per unit, beginning of period		10,357.42			10,827.08			10,996.34			10,299.00
Net asset value per unit, end of period	$	10,364.46		$	11,018.59		$	10,364.46		$	11,018.59

*	Includes brokerage commissions and clearing fees allocated from the Master.
**	Excludes brokerage commissions, clearing fees allocated from the Master and includes allocation to Special Limited Partner in 2010 and 2009.

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Ratios to average net assets:***
Net investment income (loss) before allocation to Special Limited Partner****		(3.4	)%		(3.5	)%		(3.8	)%		(3.4	)%
Operating expenses		3.5	%		3.5	%		3.8	%		3.5	%
Allocation to Special Limited Partner		—	%		0.4	%		—	%		1.7	%
Total expenses and allocation to Special Limited Partner		3.5	%		3.9	%		3.8	%		5.2	%
Total return:
Total return before allocation to Special Limited Partner		0.1	%		2.2	%		(5.7	)%		8.9	%
Allocation to Special Limited Partner		—	%		(0.4	)%		—	%		(1.9	)%
Total return after allocation to Special Limited Partner		0.1	%		1.8	%		(5.7	)%		7.0	%

***	Annualized (except for allocation to Special Limited Partner, if applicable).
****	Interest income allocated from Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable).

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.

10

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Financial Highlights of the Master:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Net realized and unrealized gains (losses)*	$	81.69		$	288.94		$	(323.82	)	$	1,002.09
Interest income		1.93			1.53			4.72			4.41
Expenses **		(1.73	)		(0.98	)		(4.88	)		(3.51	)
Increase (decrease) for the period		81.89			289.49			(323.98	)		1,002.99
Distribution of interest income to feeder funds		(1.93	)		(1.53	)		(4.72	)		(4.41	)
Net asset value per Unit of Member Interest, beginning of period		9,527.39			9,587.14			9,936.05			8,876.52
Net asset value per Unit of Member Interest, end of period	$	9,607.35		$	9,875.10		$	9,607.35		$	9,875.10

*	Includes clearing fees.
**	Excludes clearing fees.

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Ratios to average net assets:***
Net investment income (losses)****		(0.2	)%		(0.2	)%		(0.3	)%		(0.2	)%
Operating expense		0.3	%		0.3	%		0.4	%		0.3	%
Total return		0.9	%		3.0	%		(3.3	)%		11.3	%

***	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.

11

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

3.   Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro rata share of the results of the Master’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 Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and exchange-cleared swap contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210, Balance Sheet, has been met.

Brokerage commissions are based on the number of trades executed by the Advisor and the Partnership’s ownership percentage of the Master.

The Master adopted ASC 815, Derivatives and Hedging, as of January 1, 2009, which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of, and gains and losses on, derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. ASC 815 only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Changes in Members’ Capital. The following tables indicate the fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2010 and December 31, 2009.

All of the commodity interests owned by the Master are held for trading purposes. The average number of futures and exchange-cleared swap contracts traded for the three months ended September 30, 2010 and 2009, based on a monthly calculation, were 130,493 and 144,263, respectively. The average number of futures and exchange-cleared swap contracts traded for the nine months ended September 30, 2010 and 2009, based on a monthly calculation, were 136,688 and 146,288, respectively. The average number of options contracts traded for the three months ended September 30, 2010 and 2009, based on a monthly calculation, were 198,507 and 188,258, respectively. The average number of options contracts traded for the nine months ended September 30, 2010 and 2009, based on a monthly calculation, were 192,390 and 175,006, respectively. The average notional value of currency forward contracts for the three and nine months ended September 30, 2010, based on a monthly calculation, was $2,202,605.

	September 30, 2010
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	364,750,205
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	364,750,205
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(340,741,810	)
Lumber		(186,036	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(340,927,846	)
Net unrealized appreciation on open futures and exchange-cleared swap contracts	$	23,822,359	*
Assets
Options Purchased
Energy	$	591,911,367
Total options purchased	$	591,911,367	**
Liabilities
Options Premium Received
Energy	$	(343,562,156	)
Total options premium received	$	(343,562,156	)***

*	This amount is in “Net unrealized appreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.
**	This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.
***	This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

12

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

	December 31, 2009
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	274,140,959
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	274,140,959
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(324,998,849	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(324,998,849	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(50,857,890	)*
Assets
Options Purchased
Energy	$	741,495,723
Options purchased	$	741,495,723	**
Liabilities
Options Premium Received
Energy	$	(352,233,900	)
Options premium received	$	(352,233,900	)***

*	This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Master’s Statements of Financial Condition.
**	This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.
***	This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2010 and September 30, 2009.

	Three Months Ended			Three Months Ended			Nine Months Ended			Nine Months Ended
	September 30, 2010			September 30, 2009			September 30, 2010			September 30, 2009
Sector	Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading
Currencies	$	(173,160	)	$	—		$	(173,160	)	$	—
Energy		9,647,205			40,194,995			(34,358,955	)		143,718,324
Lumber		15,940			—			23,130			—
Total	$	9,489,985	****	$	40,194,995	****	$	(34,508,985	)****	$	143,718,324	****

**** This amount is in “Gain (loss) from trading, net” on the Master’s Statements of Income and Expenses and Changes in Members’ Capital.

13

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

4.    Fair Value Measurements:

Partnership’s Investments.  The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2009.

Partnership’s Fair Value Measurements.  The Partnership adopted ASC 820, Fair Value Measurements and Disclosures as of January 1, 2008, which defines fair value 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. ASC 820 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. 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. The Partnership did not apply the deferral allowed by ASC 820 for non-financial assets and non-financial liabilities measured at fair value on a nonrecurring basis.

In 2009, the Partnership adopted amendments to ASC 820, which reaffirm that fair value is 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. These amendments to ASC 820 also reaffirm the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. These amendments to ASC 820 are required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, there has not been a decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities. The adoption of the amendments to ASC 820 had no effect on the Partnership’s Financial Statements.

The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2010 and December 31, 2009, the Partnership did not hold any derivative instruments that are based on unadjusted quoted prices in active markets for identical assets (Level 1) or 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 for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	9/30/2010		(Level 1)		(Level 2)		(Level 3)
Assets
Investment in Master	$	255,847,221	$	—	$	255,847,221	$	—
Total fair value	$	255,847,221	$	—	$	255,847,221	$	—

			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	12/31/2009		(Level 1)		(Level 2)		(Level 3)
Assets
Investment in Master	$	285,810,508	$	—	$	285,810,508	$	—
Total fair value	$	285,810,508	$	—	$	285,810,508	$	—

14

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Master’s Investments.  All commodity interests of the Master (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. 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 Members’ Capital.

Master’s Fair Value Measurements.  The Master adopted ASC 820, Fair Value Measurements and Disclosures, as of January 1, 2008 which defines fair value 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. ASC 820 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. 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. The Master did not apply the deferral allowed by ASC 820, for nonfinancial assets and liabilities measured at fair value on a nonrecurring basis.

The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2010 and December 31, 2009, the Master did not hold any derivative instruments for which market quotations are not readily available and which are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are 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 for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	9/30/2010		(Level 1)		(Level 2)		(Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	23,822,359	$	23,822,359	$	—	$	—
Options purchased		591,911,367		591,911,367		—		—
Total assets		615,733,726		615,733,726		—		—
Liabilities
Options premium received	$	343,562,156	$	343,562,156		—		—
Total liabilites		343,562,156		343,562,156		—		—
Total fair value	$	272,171,570	$	272,171,570	$	—	$	—
			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	12/31/2009		(Level 1)		(Level 2)		(Level 3)
Assets
Options purchased	$	741,495,723	$	741,495,723	$	—	$	—
Total assets		741,495,723		741,495,723		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	50,857,890	$	50,857,890	$	—	$	—
Options premium received		352,233,900		352,233,900		—		—
Total liabilites		403,091,790		403,091,790		—		—
Total fair value	$	338,403,933	$	338,403,933	$	—	$	—

15

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

5.   Financial Instrument Risks:

     In the normal course of its business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at 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 forwards and options contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. 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 related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

     Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master 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 by the Partnership/Master. The Partnership/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

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

     The Advisor will concentrate the Partnership’s/Master’s trading in energy related markets. Concentration in a limited number of commodity interests may subject the Partnership’s/Master’s account to greater volatility than if a more diversified portfolio of contracts were traded on behalf of the Partnership/Master.

     As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Master to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Master does not consider these contracts to be guarantees as described in ASC 460, Guarantees.

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

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

16

AAA Capital Energy Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

6. Critical Accounting Policies:

     Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through the date the financial statements were issued. As a result, actual results could differ from these estimates.

     Statement of Cash Flows. The Partnership is not required to provide a Statement of Cash Flows as permitted by ASC 230, Statement of Cash Flows.

     Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2009.

     Partnership’s and the Master’s Fair Value Measurements. The Partnership and the Master adopted ASC 820 as of January 1, 2008 which defines fair value 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. The Partnership and the Master did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

     The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2010 and December 31, 2009, the Partnership did not hold any derivative instruments that are based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2010 and December 31, 2009, the Master did not hold any derivative instruments for which market quotations are not readily available, and are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     Futures Contracts. The Master trades 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 Master 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 Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. 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 Members’ Capital.

     Options. The Master may purchase and write (sell), both exchange listed and over-the-counter, 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 Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

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

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

     ASC 740, Income Taxes, provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.

     The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States — 2007.

     Subsequent Events. In 2009, the Partnership adopted ASC 855, Subsequent Events. The objective of ASC 855 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are filed. Management has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment in the financial statements.

     Recent Accounting Pronouncements. In January 2010, the FASB issued guidance, which, among other things, amends ASC 820, Fair Value Measurements and Disclosures, to require entities to 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 which clarifies existing disclosure requirements 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. This guidance is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The adoption of this guidance did not have a material impact on the Partnership’s financial statements.

     In February 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2010-09 (“ASU 2010-09”), “Subsequent Events (Topic 855): Amendments to Certain Recognition and Disclosure Requirements,” which among other things amended ASC 855 to remove the requirement for an SEC filer to disclose the date through which subsequent events have been evaluated. This change alleviates potential conflicts between ASC 855 and the SEC’s requirements. All of the amendments in this update were effective upon issuance of this update. Management has included the provisions of these amendments in the financial statements.

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

7. Subsequent Event:

     In 2009, Morgan Stanley and Citigroup combined certain assets of the Global Wealth Management Group of Morgan Stanley & Co. Incorporated, including Demeter Management LLC (“Demeter”) and the Smith Barney division of CGM into a new joint venture, MSSB Holdings. As part of that transaction Ceres Managed Futures LLC (“Ceres” or the “General Partner”) was contributed to and, together with Demeter, became wholly-owned subsidiaries of MSSB Holdings. Demeter currently serves as commodity pool operator for various legacy Morgan Stanley sponsored commodity pools formed prior to the joint venture. Since their contribution to the joint venture, Demeter and Ceres have worked closely to align the operations and management of the commodity pools they oversee. As a result, MSSB Holdings, together with the unanimous support of the Boards of Directors of Demeter and Ceres, has determined that a combination of the assets and operations of Demeter and Ceres into a single commodity pool operator, Ceres, is in the best interest of limited partners and believes that this combination will achieve the intended benefits of the joint venture. Ceres will continue to be wholly-owned by MSSB Holdings. The targeted effective date of the combination is on or about December 1, 2010. Refer to Form 8-K filed on September 15, 2010 for additional information.

17

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in the sale of goods or services. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the third quarter of 2010.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by income (loss) from its investment in the Master and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2010, Partnership capital decreased 11.0% from $282,292,123 to $251,345,461. This decrease was attributable to redemptions of 1,371.0270 Redeemable Units resulting in an outflow of $14,498,184, and the redemption of 49.7338 General Partner unit equivalents totaling $524,997, coupled with the net loss from operations of $15,923,481. Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.

The Master’s capital consists of the capital contributions of the members as increased or decreased by realized and/or unrealized gains or losses on commodity futures trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the nine months ended September 30, 2010, the Master’s capital decreased 16.9% from $1,229,195,192 to $1,021,432,775. This decrease was attributable to the redemption of 18,988.7516 Units of Member Interest totaling $186,113,873 and distribution of interest income to feeder funds totaling $516,422 to the non-managing members of the Master, coupled with the net loss from operations of $36,937,144, which was partially offset by the addition of 1,596.0250 Units of Member Interest totaling $15,805,022. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods.

Critical Accounting Policies

Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2009.

Partnership’s Fair Value Measurements. The Partnership adopted ASC 820 as of January 1, 2008 which defines fair value 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. The Partnership did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2010 and December 31, 2009, the Partnership did not hold any derivative instruments that are based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended September 30, 2010 and December 31, 2009, the Master did not hold any derivative instruments for which market quotations are not readily available and are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Futures Contracts. The Master trades 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 Master 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 Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. 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 Members’ Capital.

Options. The Master may purchase and write (sell), both exchange listed and over-the-counter, 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 Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

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

18

Results of Operations

     During the Partnership’s third quarter of 2010, the net asset value per unit increased 0.1% from $10,357.42 to $10,364.46 as compared to an increase of 1.8% in the same period of 2009. The Partnership, for its own account, through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2010 of $2,371,404. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Heating Oil, NYMEX Gasoline, NYMEX Natural Gas, IPE Gas Oil, Brent Crude Oil and Lumber and were partially offset by losses in NYMEX Energy Swaps and NYMEX Crude Oil. The Partnership, for its own account, through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2009 of $9,149,261. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Heating Oil, IPE Gas Oil, RBOB Gasoline, Unleaded Gasoline, Brent Crude Oil and Grains and were partially offset by losses in NYMEX Crude Oil, NYMEX Gasoline and NYMEX Natural Gas.

     The third quarter macro environment was marked by changes in market sentiment. While some doubted the credibility of the European bank stress test, it was well received by the market in July as it removed some of the worst fears through increased bank level balance sheet transparency. Fears that the recovery in the global economy may be stalling had a pivotal effect on markets during August. Economic releases in the U.S. continued to deteriorate; employment data suggested that the labor market recovery was slowing while subsequent news on manufacturing and retail sales also disappointed. As the quarter came to an end in September, there was a sense of market optimism for the majority of commodity and stock indices as an overall rally was supported by favorable economic data not only in the U.S., but in emerging economies as well. U.S. data releases showed improvements in employment conditions, growth amongst manufacturers and stabilization in the housing sector. Elsewhere, Chinese industrial production rose to signal accelerating growth while the European Commission revised higher growth forecasts for the region’s economy. Performance for the quarter was relatively flat with losses in September partially offsetting gains recorded in July and August.

     Profits were earned in July primarily in distillate spreads. From a fundamental perspective, global distillates remain the key market fulcrum and gains were earned in short distillate crack spreads/structures. Inventory surplus continues to grow in the Atlantic Basin on still solid refinery margins, especially in the U.S. In August, gains were realized on the petroleum side of the complex. The Partnership implemented a series of short option volatility on the refined products and long option volatility in the crude oil with an expectation of higher volatility in the crude oil compared to refined products. Gains were recorded in August as the volatility position in crude was roughly two times that of the refined products. These gains were partially offset by losses in trading gasoline and distillates in September. U.S. gasoline has been on the mend (firmer outright prices, spreads and cracks) for the month, helping to support margins alongside still quite healthy distillate crack spreads. Europe has also been a surprisingly strong pocket of support for Atlantic Basin oil markets. Despite high on-land refined product and crude stocks levels, European gasoil markets are in backwardation and physical Brent traded at a premium to forward contracts.

     During the nine months ended September 30, 2010, the net asset value per unit decreased 5.7% from $10,996.34 to $10,364.46 as compared to an increase of 7.0% in the same period of 2009. The Partnership experienced a net trading loss before brokerage commissions and related fees in the nine months ended September 30, 2010 of $8,461,590. Losses were primarily attributable to the Master’s trading of commodity futures in NYMEX Crude Oil, NYMEX Gasoline, IPE Gas Oil and Brent Crude Oil and were partially offset by gains in NYMEX Energy Swaps, NYMEX Heating Oil, NYMEX Natural Gas, Unleaded Gasoline, and Lumber. The Partnership experienced a net trading gain before brokerage commissions and related fees in the nine months ended September 30, 2009 of $33,484,730. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Heating Oil, NYMEX Gasoline, NYMEX Natural Gas, Unleaded Gasoline, Brent Crude Oil and Grains and were partially offset by losses in IPE Gas Oil, RBOB Gasoline and NYMEX Crude Oil.

19

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 (and the Master) depends on the Advisor’s ability to forecast price changes in energy and energy-related commodities. Such price changes 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 the Advisor correctly makes such forecasts, the Partnership (and the Master) expects to increase capital through operations.

Brokerage commissions are based on the number of trades executed by the Advisor and the Partnership’s ownership percentage of the Master. Brokerage commissions and fees for the three months ended September 30, 2010 decreased by $147,441 as compared to the corresponding period in 2009. The decrease in commissions and fees is primarily due to a decrease in the number of trades during the three months ended September 30, 2010 as compared to the corresponding period in 2009. Brokerage commissions and fees for the nine months ended September 30, 2010 increased by $310,011 as compared to the corresponding period in 2009. The increase in commissions and fees is primarily due to an increase in the number of trades during the nine months ended September 30, 2010 as compared to the corresponding period in 2009.

Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master 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. CGM may continue to maintain the Master’s assets in cash and/or place up to all of the Master’s assets in 90-day Treasury bills and pay the Partnership its allocable share of 80% of the interest earned on the U.S. Treasury bills purchased. Twenty percent of the interest earned on U.S. Treasury bills purchased may be retained by CGM and/or credited to the General Partner. Interest income allocated from the Master for the three months ended September 30, 2010 increased by $4,679 as compared to the corresponding period in 2009. The increase in interest income is primarily due to higher U.S. Treasury bill rates for the Partnership during the three months ended September 30, 2010 as compared to the corresponding period in 2009. Interest income allocated from the Master for the nine months ended September 30, 2010 decreased by $11,593 as compared to the corresponding period in 2009. The decrease in interest income is primarily due to lower U.S. Treasury bill rates for the Partnership during the nine months ended September 30, 2010, as compared to the corresponding period in 2009. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s account and upon interest rates over which neither the Partnership nor CGM has control.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three and nine months ended September 30, 2010, decreased by $221,992 and $598,125, respectively as compared to the corresponding periods in 2009. The decrease in management fees is due to lower average net assets during the three and nine months ended September 30, 2010, as compared to the corresponding periods in 2009.

Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the advisory agreement among the Partnership, the General Partner and the Advisor. There were no profit share allocations earned for the three and nine months ended September 30, 2010. The profit share allocation accrued for the three and nine months ended September 30, 2009 was $1,305,755 and $5,141,561, respectively. The Advisor will not be allocated a profit share until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

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

20

Item 3.   Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnership’s capital is subject to the risk of trading loss through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.

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

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

The Master rapidly acquires and liquidates both long and short positions in a range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master’s past performance is not necessarily indicative of its future results.

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following table indicates the trading Value at Risk associated with the Master’s open positions by market category as of September 30, 2010 and the highest, lowest and average value during the three months ended September 30, 2010. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2009.

As of September 30, 2010, the Master’s total capitalization was $1,021,432,775 and the Partnership owned approximately 25.0% of the Master. The Partnership invests substantially all of its assets in the Master. The Partnership’s Value at Risk for the portion of its assets that are traded indirectly through its investment in the Master as of September 30, 2010 was as follows:

September 30, 2010
(Unaudited)

						Three Months Ended September 30, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	100,250,545		9.82	%	$	131,455,008	$	67,777,807	$	95,952,362
Lumber		41,900		0.00	% **		88,100		41,900		55,033
Total	$	100,292,445		9.82	%

*	Average monthly Values at Risk.
**	Due to rounding.

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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 Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

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

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2010 and, based on that evaluation, the General Partners CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

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

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2010 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

     There are no material changes to 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, 2009, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarters ended March 31, 2010 and June 30, 2010.

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Item 1A.   Risk Factors

     There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarters ended March 31, 2010 and June 30, 2010.

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

The Partnership no longer offers Redeemable Units at the net asset value per Redeemable Unit as of the end of each month.

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

							(d) Maximum Number
							(or Approximate
					(c) Total Number		Dollar Value) of
					of Redeemable Units		Redeemable Units that
	(a) Total Number		(b) Average		Purchased as Part		May Yet Be
	of Redeemable Units		Price Paid per		of Publicly Announced		Purchased Under the
Period	Purchased*		Redeemable Unit**		Plans or Programs		Plans or Programs
July 1, 2010 – July 31, 2010		37.0000	$	10,389.09		N/A		N/A
August 1, 2010 – August 31, 2010		86.7000	$	10,544.60		N/A		N/A
September 1, 2010 – September 30, 2010		222.4880	$	10,364.46		N/A		N/A
		346.1880	$	10,412.21		N/A		N/A

24

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption but 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.   [Removed and Reserved]

Item 5.   Other Information – None

25

Item 6.   Exhibits

Exhibits:

3.1 — Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated December 30, 1997 (filed as Exhibit 3.1 to the Partnership Form 10 filed on April 30, 1999 and incorporated herein by reference).

(a)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated October 1, 1999 (filed as Exhibit 3.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(b)	Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, effective January 31, 2000 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(c)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(d)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(d) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(e)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(e) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(f)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference).
(g)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(g) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

3.2 — Amended and Restated Limited Partnership Agreement, dated September 30, 2006 (filed as Exhibit 10.1 to the Form 10-Q filed on November 14, 2006 and incorporated herein by reference).

10.1 — Customer Agreement between the Partnership and Smith Barney Inc., dated February 12, 1998 (filed as Exhibit 10.B to the Form 10 filed on April 30, 1999 and incorporated herein by reference).

10.2 — Agency Agreement among the Partnership, Smith Barney Futures Management Inc. and Smith Barney Inc., dated February 12, 1998 (filed as Exhibit 10.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.3 — Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

10.4 — Escrow Agreement among the Partnership, Smith Barney Futures Management Inc., Smith Barney Inc. and European American Bank, dated February 9, 1998 (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.5 — Advisory Agreement among the Partnership, the General Partner and AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 33 to the Form 10-Q filed on August 14, 2006 and incorporated herein by reference).

(a) Letter from the General Partner extending Advisory Agreement with AAA Capital Management Advisors, Ltd. for 2009, dated June 9, 2009 (filed as Exhibit 10.5(a) to the Form 10-K filed on March 31, 2010 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, Secretary and Director).

32.1 Section 1350 Certification (Certification of President and Director).

32.2 Section 1350 Certification (Certification of Chief Financial Officer, Secretary and Director).

26

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.

AAA Capital Energy Fund L.P.

By:       Ceres Managed Futures LLC

(General Partner)

By:       /s/  Walter Davis

Walter Davis

President and Director

Date:    November 12, 2010

By:       /s/  Jennifer Magro

Jennifer Magro

Chief Financial Officer, Secretary and

Director
(Principal Accounting Officer)

Date:    November 12, 2010

27

EX-31.1

Exhibit 31.1

CERTIFICATIONS

I, Walter Davis, certify that:

1.	I have reviewed this Quarterly Report on Form 10-Q of AAA Capital Energy Fund L.P. (the “registrant”);
2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.	The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)	Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)	Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)	Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d)	Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

a)	All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 12, 2010

/s/  Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

EX-31.2

Exhibit 31.2

CERTIFICATIONS

I, Jennifer Magro, certify that:

1.	I have reviewed this Quarterly Report on Form 10-Q of AAA Capital Energy Fund L.P. (the “registrant”);
2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.	The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)	Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)	Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)	Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d)	Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

a)	All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 12, 2010

/s/  Jennifer Magro

Jennifer Magro

Ceres Managed Futures LLC

Chief Financial Officer, Secretary and Director

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of AAA Capital Energy Fund L.P. (the “Partnership”) on Form 10-Q for the period ended September 30, 2010 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Walter Davis, President and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

/s/ Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

November 12, 2010

EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of AAA Capital Energy Fund L.P. (the “Partnership”) on Form 10-Q for the period ended September 30, 2010 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jennifer Magro, Chief Financial Officer, Secretary and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

/s/ Jennifer Magro

Jennifer Magro

Ceres Managed Futures LLC

Chief Financial Officer, Secretary and Director

November 12, 2010