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, 2012

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from              to             

Commission File Number 000-25921

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)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

Yes X No   

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

Yes X No   

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

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

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

Yes    No X

As of October 31, 2012, 14,731.6708 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, 2012 (unaudited) and December 31, 2011	3
		Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2012 and 2011 (unaudited)	4
		Notes to Financial Statements, including the Financial Statements of AAA Master Fund LLC (unaudited)	5 –21
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	22 –24
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	25 –26
	Item 4.	Controls and Procedures	27
PART II - Other Information
	Item 1.	Legal Proceedings	28
	Item 1A.	Risk Factors	29
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	30
	Item 5.	Other Information	31
	Item 6.	Exhibits	32 –33

2

PART I

Item 1. Financial Statements

AAA Capital Energy Fund L.P.

Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2012		2011
Assets:
Investment in Master, at fair value	$	164,438,033	$	194,591,148
Cash		141,838		145,664
Total assets	$	164,579,871	$	194,736,812
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions	$	561,087	$	691,682
Management fees		273,172		323,228
Other		115,870		108,253
Redemptions payable		922,473		5,609,345
Total liabilities		1,872,602		6,732,508
Partners’ Capital:
General Partner, 178.7937 and 218.7937 unit equivalents outstanding at September 30, 2012 and December 31, 2011, respectively		1,896,166		2,302,616
Special Limited Partner, 118.5047 Redeemable Units outstanding at September 30, 2012 and December 31, 2011		1,256,781		1,247,160
Limited Partners, 15,044.7221 and 17,526.7992 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively		159,554,322		184,454,528
Total partners’ capital		162,707,269		188,004,304
Total liabilities and partners’ capital	$	164,579,871	$	194,736,812
Net asset value per unit	$	10,605.33	$	10,524.14

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,
	2012			2011			2012			2011
Investment income:
Interest income allocated from Master	$	16,429		$	4,983		$	43,047		$	49,473
Expenses:
Expenses allocated from Master		161,226			134,287			506,995			491,701
Brokerage commissions		566,245			539,325			1,654,419			1,677,051
Management fees		822,011			1,005,115			2,603,554			3,191,758
Other		20,545			12,236			100,826			136,439
Total expenses		1,570,027			1,690,963			4,865,794			5,496,949
Net investment income (loss)		(1,553,598	)		(1,685,980	)		(4,822,747	)		(5,447,476	)
Trading Results:
Net realized gains (losses) on closed contracts allocated from Master		10,361,031			5,285,556			36,016,471			(8,642,517	)
Change in net unrealized gains (losses) on open contracts allocated from Master		410,288			(843,059	)		(30,574,814	)		12,654,620
Total trading results allocated from Master		10,771,319			4,442,497			5,441,657			4,012,103
Net income (loss)		9,217,721			2,756,517			618,910			(1,435,373	)
Redemptions—Limited Partners		(9,919,589	)		(11,471,232	)		(25,515,135	)		(36,545,983	)
Redemptions—General Partner		0			0			(400,810	)		(250,000	)
Net increase (decrease) in Partners’ Capital		(701,868	)		(8,714,715	)		(25,297,035	)		(38,231,356	)
Partners’ Capital, beginning of period		163,409,137			201,904,880			188,004,304			231,421,521
Partners’ Capital, end of period	$	162,707,269		$	193,190,165		$	162,707,269		$	193,190,165
Net asset value per unit (15,342.0205 and 19,131.1437 units outstanding at September 30, 2012 and 2011, respectively)	$	10,605.33		$	10,098.20		$	10,605.33		$	10,098.20
Net income (loss) per unit*	$	585.08		$	137.01		$	81.19		$	(73.86	)
Weighted average units outstanding		15,770.3315			19,909.8171			16,765.7686			20,907.5031

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

4

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(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, commodity futures contracts on U.S. exchanges and certain foreign exchanges. The Partnership, through its investment in the Master (defined below), 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”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. indirectly, owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of September 30, 2012, all trading decisions for the Partnership are made by the Advisor (defined below).

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 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. (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 of the Partnership (in its capacity as special limited partner, the “Special Limited Partner”). 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 option contracts of any kind, but trades solely energy, energy-related products, grains, indices, lumber and softs. 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 its 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, 2012.

At September 30, 2012, the Partnership owned approximately 17.6% of the Master. At December 31, 2011, the Partnership owned approximately 19.9% 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, swap and option 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.

5

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 or losses, if any, net of distributions.

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

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

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

6

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Members’ Capital for the three and nine months ended September 30, 2012 and 2011 are presented below:

AAA Master Fund LLC

Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2012		2011
Assets:
Equity in trading account:
Cash	$	741,173,411	$	671,605,055
Cash margin		53,026,786		33,580,718
Options purchased, at fair value (cost $354,919,507 and $394,712,745, respectively)		232,445,238		374,133,088
Total assets	$	1,026,645,435	$	1,079,318,861
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	22,285,448	$	6,062,595
Options premium received, at fair value (premium $155,850,388 and $223,316,821, respectively)		72,143,401		96,374,598
Accrued expenses:
Professional fees		319,172		371,076
Total liabilities		94,748,021		102,808,269
Members’ Capital:
Members’ Capital, 89,055.4837 and 96,401.5933 units outstanding at September 30, 2012 and December 31, 2011, respectively		931,897,414		976,510,592
Total liabilities and members’ capital	$	1,026,645,435	$	1,079,318,861
Net asset value per unit	$	10,464.23	$	10,129.61

7

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

AAA Master Fund LLC

Condensed Schedule of Investments

September 30, 2012

(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		23,646	$	(20,006,928	)		(2.15	)%
Grains		69		832,312			0.09
Total futures and exchange-cleared swap contracts purchased				(19,174,616	)		(2.06	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		18,353		(3,110,832	)		(0.33	)
Total futures and exchange-cleared swap contracts sold				(3,110,832	)		(0.33	)
Options Purchased
Call
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,502		94,363,060			10.13
Other		7,860		27,988,020			3.00
Call options purchased				122,351,080			13.13
Put
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,791		73,566,960			7.89
Other		8,198		36,526,767			3.92
Grains		69		431			0.00	*
Put options purchased				110,094,158			11.81
Total options purchased				232,445,238			24.94
Options Premium Received
Call
Energy		20,652		(40,860,138	)		(4.38	)
Grains		69		(573,994	)		(0.06	)
Call options premium received				(41,434,132	)		(4.44	)
Put
Energy		15,155		(30,709,269	)		(3.30	)
Put options premium received				(30,709,269	)		(3.30	)
Total options premium received				(72,143,401	)		(7.74	)
Net fair value			$	138,016,389			14.81	%

* Due to rounding.

8

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of  Members’ Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		31,887	$	(119,406,111	)		(12.23	)%
Indices		60		(5,232	)		(0.00	)*
Lumber		41		21,365			0.00	*
Softs		430		(815,575	)		(0.08	)
Total futures and exchange-cleared swap contracts purchased				(120,205,553	)		(12.31	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Mar 12 – Dec 14		10,565		79,310,347			8.12
Other		17,763		35,201,407			3.60
Grains		153		(331,229	)		(0.03	)
Lumber		41		(37,567	)		(0.00	)*
Total futures and exchange-cleared swap contracts sold				114,142,958			11.69
Options Purchased
Call
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		9,179		97,782,830			10.01
Other		8,590		38,624,446			3.96
Indices		120		189,600			0.02
Call options purchased				136,596,876			13.99
Put
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		15,707		105,386,170			10.79
NYMEX Natural Gas E Feb 12 – Jan 13		3,022		84,054,102			8.61
Other		6,764		46,428,317			4.75
Grains		70		300,563			0.03
Indices		1,348		1,367,060			0.14
Put options purchased				237,536,212			24.32
Total options purchased				374,133,088			38.31
Options Premium Received
Call
Energy		25,531		(42,662,618	)		(4.37	)
Grains		164		(169,713	)		(0.01	)
Indices		270		(449,100	)		(0.05	)
Call options premium received				(43,281,431	)		(4.43	)
Put
Energy		25,561		(53,008,680	)		(5.43	)
Indices		585		(84,487	)		(0.01	)
Put options premium received				(53,093,167	)		(5.44	)
Total options premium received				(96,374,598	)		(9.87	)
Net fair value			$	271,695,895			27.82	%

* Due to rounding.

9

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(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,
	2012			2011			2012			2011
Investment income:
Interest income	$	102,464		$	25,879		$	259,756		$	236,478
Expenses:
Clearing fees		880,584			504,922			2,532,654			1,751,867
Professional fees		21,395			129,784			199,158			482,612
Total expenses		901,979			634,706			2,731,812			2,234,479
Net investment income (loss)		(799,515	)		(608,827	)		(2,472,056	)		(1,998,001	)
Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		58,147,024			24,740,487			192,863,690			(39,673,549	)
Change in unrealized gains (losses) on open contracts		1,960,907			(3,814,676	)		(161,352,701	)		56,379,623
Total trading results		60,107,931			20,925,811			31,510,989			16,706,074
Net income (loss)		59,308,416			20,316,984			29,038,933			14,708,073
Subscriptions		7,866,906			34,613			49,182,387			106,053,886
Redemptions		(33,992,568	)		(42,796,897	)		(122,574,742	)		(156,300,791	)
Distribution of interest to feeder funds		(102,464	)		(25,879	)		(259,756	)		(236,478	)
Net increase (decrease) in Members’ Capital		33,080,290			(22,471,179	)		(44,613,178	)		(35,775,310	)
Members’ Capital, beginning of period		898,817,124			967,065,507			976,510,592			980,369,638
Members’ Capital, end of period	$	931,897,414		$	944,594,328		$	931,897,414		$	944,594,328
Net asset value per unit (89,055.4837 and 97,881.6157 units outstanding in September 30, 2012 and 2011, respectively)	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38
Net income (loss) per unit*	$	660.49		$	203.84		$	337.43		$	155.14
Weighted average units outstanding		90,919.0513			100,759.3411			94,329.3985			103,060.4574

* Based on change in net asset value per unit.

10

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2.    Financial Highlights:

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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	637.73		$	189.21		$	242.01		$	87.92
Interest income allocated from Master		1.05			0.25			2.60			2.28
Expenses and allocation to Special Limited Partner**		(53.70	)		(52.45	)		(163.42	)		(164.06	)
Increase (decrease) for the period		585.08			137.01			81.19			(73.86	)
Net asset value per unit, beginning of period		10,020.25			9,961.19			10,524.14			10,172.06
Net asset value per unit, end of period	$	10,605.33		$	10,098.20		$	10,605.33		$	10,098.20

* 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 the three and nine months ended September 30, 2012 and 2011 if any.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011***			2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Net investment income (loss) before allocation to Special Limited Partner*****		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Operating expenses		3.9	%		3.4	%		3.8	%		3.5	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total expenses and allocation to Special Limited Partner		3.9	%		3.4	%		3.8	%		3.5	%
Total return:
Total return before allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total return after allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%

*** The ratios are shown net and gross of allocation to Special Limited Partner to conform to current period presentation.

**** 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.

11

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Financial Highlights of the Master:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses)*	$	659.59		$	204.88		$	336.73		$	157.56
Interest income		1.14			0.26			2.81			2.33
Expenses **		(0.24	)		(1.30	)		(2.11	)		(4.75	)
Increase (decrease) for the period		660.49			203.84			337.43			155.14
Distribution of interest income to feeder funds		(1.14	)		(0.26	)		(2.81	)		(2.33	)
Net asset value per unit, beginning of period		9,804.88			9,446.80			10,129.61			9,497.57
Net asset value per unit, end of period	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38

*   Includes clearing fees.

**   Excludes clearing fees.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Ratios to average net assets:***
Net investment income (loss)****		(0.3	)%		(0.3	)%		(0.4	)%		(0.3	)%
Operating expenses		0.4	%		0.3	%		0.4	%		0.3	%
Total return		6.7	%		2.2	%		3.3	%		1.6	%

***   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.

12

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(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”) 210-20, “Balance Sheet,” have been met.

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

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures and exchange-cleared swap contracts traded during the three months ended September 30, 2012 and 2011 were 43,121 and 84,370, respectively. The monthly average number of futures and exchange-cleared swap contracts traded during the nine months ended September 30, 2012 and 2011 were 41,743 and 88,598, respectively. The monthly average number of option contracts traded during the three months ended September 30, 2012 and 2011 were 80,827 and 104,178, respectively. The monthly average number of option contracts traded during the nine months ended September 30, 2012 and 2011 were 78,836 and 111,131, respectively.

13

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	54,337,776
Grains		832,312
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	55,170,088
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(77,455,536	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(77,455,536	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(22,285,448	)*
Assets
Options Purchased
Energy	$	232,444,807
Grains		431
Total options purchased	$	232,445,238	**
Liabilities
Options Premium Received
Energy	$	(71,569,407	)
Grains		(573,994	)
Total options premium received	$	(72,143,401	)***

* 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.

14

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

	December 31, 2011
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	149,194,744
Indices		5,735
Lumber		21,365
Softs		583,472
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	149,805,316
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(154,089,101	)
Grains		(331,229	)
Indices		(10,967	)
Lumber		(37,567	)
Softs		(1,399,047	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(155,867,911	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(6,062,595	)*
Assets
Options Purchased
Energy	$	372,275,865
Grains		300,563
Indices		1,556,660
Total options purchased	$	374,133,088	**
Liabilities
Options Premium Received
Energy	$	(95,671,298	)
Grains		(169,713	)
Indices		(533,587	)
Total options premium received	$	(96,374,598	)***

* 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, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months  Ended September 30, 2012 Gain (loss) from trading			Nine Months  Ended September 30, 2011 Gain (loss) from trading
Energy	$	60,070,413			20,967,573		$	33,144,396			17,629,437
Grains		37,518			207,501			670,620			172,626
Indices		—			—			(836,720	)		—
Lumber		—			395,146			163,753			397,250
Softs		—			(644,409	)		(1,631,060	)		(1,493,239	)
Total	$	60,107,931	****	$	20,925,811	****	$	31,510,989	****	$	16,706,074	****

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

15

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

4.    Fair Value Measurements:

Partnership’s Investments. The Partnership values its investment in the Master at the 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, 2011.

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

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

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

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

The Partnership values its investment in the Master with no 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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	September 30, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	164,438,033	$	—	$	164,438,033	$	—
Net fair value	$	164,438,033	$	—	$	164,438,033	$	—

	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	194,591,148	$	—	$	194,591,148	$	—
Net fair value	$	194,591,148	$	—	$	194,591,148	$	—

16

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(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. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Members’ Capital.

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

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

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

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

17

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

	September 30, 2012		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	55,170,088	$	55,170,088	$	—	$	—
Options purchased		232,445,238		232,445,238		—		—
Total assets		287,615,326		287,615,326		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	77,455,536	$	77,455,536	$	—	$	—
Options premium received		72,143,401		72,143,401		—		—
Total liabilities		149,598,937		149,598,937		—		—
Net fair value	$	138,016,389	$	138,016,389	$	—	$	—

	December 31, 2011		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	149,805,316	$	149,805,316	$	—	$	—
Options purchased		374,133,088		374,133,088		—		—
Total assets		523,938,404		523,938,404		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	155,867,911	$	155,867,911	$	—	$	—
Options premium received		96,374,598		96,374,598		—		—
Total liabilities		252,242,509		252,242,509		—		—
Net fair value	$	271,695,895	$	271,695,895	$	—	$	—

18

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

5.    Financial Instrument Risks:

In the normal course of 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 forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/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 is 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 CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Master’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 Partnership/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.

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, online 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 financial 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.

19

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(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. As a result, actual results could differ from these estimates.

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, 2011.

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

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

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

The Partnership values its investment 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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.

The Master considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non–exchange-traded 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 and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, 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 and liabilities from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.

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. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

20

AAA Capital Energy Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Options. The Master may purchase and write (sell), both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the 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. Net realized gains (losses) and changes in net unrealized gains (losses) on option 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 positions are established and when the option contracts are closed.

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

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

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

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

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

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

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

21

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. The Master’s only assets are its equity in its trading accounts, consisting of cash, cash margin and options purchased at fair value. 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 2012.

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, 2012, Partnership capital decreased 13.5% from $188,004,304 to $162,707,269. This decrease was attributable to redemptions of 2,482.0771 Redeemable Units resulting in an outflow of $25,515,135, and the redemption of 40.0000 General Partner unit equivalents totaling $400,810, which was partially offset by the net income of $618,910. 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 trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the nine months ended September 30, 2012, the Master’s capital decreased 4.6% from $976,510,592 to $931,897,414. This decrease was attributable to the redemptions of 12,226.7785 units totaling $122,574,742 and distribution of interest income to feeder funds totaling $259,756, which was partially offset by the subscriptions of 4,880.6689 units totaling $49,182,387, coupled with the net income of $29,038,933. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 6 of the Financial Statements.

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

22

Results of Operations

During the Partnership’s third quarter of 2012, the net asset value per unit increased 5.8% from $10,020.25 to $10,605.33 as compared to an increase of 1.4% in the same period of 2011. 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 2012 of $10,771.319. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Crude Oil, NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Natural Gas and Corn and were partially offset by losses in Brent Crude Oil, IPE Gas Oil and NYMEX Heating 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 2011 of $4,442,497. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Heating Oil, NYMEX Crude Oil, IPE Gas Oil, Brent Crude Oil, Lumber and Corn and were partially offset by losses in NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Natural Gas and Softs.

The most significant gains were recorded within the energies complex during August from long futures and options positions in RBOB gasoline as prices rallied during the end of the summer months when demand is at its highest. Further gains were recorded in August from short futures positions in natural gas as prices declined as mild temperatures throughout the U.S. help to weaken demand for the commodity. Gains were also recorded in July as long futures and options positions in RBOB gasoline benefited from rallying crude oil prices due to unrest in the Middle East. Gains were also recorded during September from short futures and options positions in Brent crude oil as prices declined due to concerns about the “health” of the U.S. economy and increased supplies.

During the nine months ended September 30, 2012, the net asset value per unit increased 0.8% from $10,524.14 to $10,605.33 as compared to a decrease of 0.7% in the same period of 2011. 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 nine months ended September 30, 2012 of $5,441,657. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Heating Oil, NYMEX Natural Gas, Lumber and Corn and were partially offset by losses in Brent Crude Oil, NYMEX Crude Oil, IPE Gas Oil, Indices and Softs. 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 nine months ended September 30, 2011 of $4,012,103. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Crude Oil, NYMEX Heating Oil, Brent Crude Oil, Lumber and Corn and were partially offset by losses in NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Natural Gas, IPE Gas Oil and Softs.

The most significant gains were recorded within the energies complex during August from long futures and options positions in RBOB gasoline as prices rallied during the end of the summer months when demand is at its highest. Gains were also recorded in July as long futures and options positions in RBOB gasoline benefited from rallying crude oil prices due to unrest in the Middle East. Further gains were recorded in August from short futures positions in natural gas as prices declined as mild temperatures throughout the U.S. help to weaken demand for the commodity. Smaller gains were recorded during May from long call options positions in natural gas as prices rallied given concerns over warmer-than-expected weather forecasts in May and for June. Smaller gains were also recorded from futures and options positions in the S&P 500 Index as prices declined during May given concerns over slowing growth in the United States. A portion of the Partnership’s gains for the first nine months of the year was offset by losses incurred within the energies complex during April and May from a net long exposure to crude oil as prices moved lower given concerns about the euro zone and the overall health of the global economy. Further losses were incurred during May from long futures positions in RBOB gasoline as prices fell due to a weakening global economy and a general sell-off of “risk assets” throughout global markets. Losses were also incurred in May from long call options positions in West Texas Intermediate (“WTI”) crude oil as volatility declined despite the drop in crude oil prices. The Partnership also incurred losses during February as short futures positions in Brent crude oil were negatively impacted as potential supply disruptions from Iran helped push prices higher. Further losses were incurred from short call options in Brent crude oil as prices rallied during January and February which also detracted from performance. Short futures positions in Light Sweet crude oil incurred smaller losses during February as prices strengthened on potential supply disruptions and an expected increase in demand.

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Commodity futures markets are highly volatile. Broad and rapid price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit or loss. 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 for the three months ended September 30, 2012 increased by $26,920 as compared to the corresponding period in 2011. The increase in brokerage commissions is primarily due to an increase in the number of trades during the three months ended September 30, 2012 as compared to the corresponding period in 2011. Brokerage commissions for the nine months ended September 30, 2012 decreased by $22,632 as compared to the corresponding period in 2011. The decrease in brokerage commissions is primarily due to a decrease in the Partnership’s ownership percentage during the nine months ended September 30, 2012 as compared to the corresponding period in 2011.

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. Interest income allocated from the Master for the three months ended September 30, 2012 increased by $11,446 as compared to the corresponding period in 2011. 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, 2012 as compared to the corresponding period in 2011. Interest income allocated from the Master for the nine months ended September 30, 2012 decreased by $6,426 as compared to the corresponding period in 2011. The decrease in interest income is primarily due to lower average daily equity for the Partnership during the nine months ended September 30, 2012. 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 Master’s account and upon interest rates over which the Partnership, the Master and CGM have no 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, 2012 decreased by $183,104 and $588,204, respectively, as compared to the corresponding periods in 2011. The decrease in management fees is due to lower average net assets during the three and nine months ended September 30, 2012, as compared to the corresponding periods in 2011.

Special Limited Partner profit share allocations 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 made for the three and nine months ended September 30, 2012 and 2011. 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 considers 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.

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

Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash balances. 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 market value of financial instruments and contracts, the diversification effects among the Master’s open contracts 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.

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Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of September 30, 2012 and December 31, 2011, and the highest, lowest and average value during the three months ended September 30, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures of the 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, 2011.

As of September 30, 2012, the Master’s total capitalization was $931,897,414 and the Partnership owned approximately 17.6% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of September 30, 2012 was as follows:

September 30, 2012

						Three Months Ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at  Risk*
Energy	$	95,561,580		10.26	%	$	95,561,580	$	53,403,879	$	74,013,255
Grains		4,692		0.00	%**		12,420		1,863		4,577
Total	$	95,566,272		10.26	%

*   Average monthly Values at Risk.

**   Due to rounding.

As of December 31, 2011, the Master’s total capitalization was $976,510,592 and the Partnership owned approximately 19.9% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2011 was as follows:

December 31, 2011

						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at  Risk*
Energy	$	55,102,501		5.64	%	$	94,389,860	$	26,234,892	$	59,052,953
Grains		296,485		0.03			301,619		53,188		150,902
Indices		1,456,343		0.15			2,900,159		17,268		1,177,895
Lumber		41,000		0.01			156,000		1,600		50,692
Softs		2,042,500		0.21			2,261,000		108,000		1,188,141
Total	$	58,938,829		6.04	%

* Annual average of month-end Values at Risk.

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Item 4.    Controls and Procedures

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

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

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

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

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

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

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

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

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PART II. OTHER INFORMATION

Item 1.    Legal Proceedings

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

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

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

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

RMBS Litigation and Other Matters

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

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

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

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

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

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

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

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

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

Other Matters

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

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

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Item 1A.    Risk Factors

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

Speculative position and trading limits may reduce profitability.

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

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

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

The Partnership no longer offers Redeemable Units 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.

Period	(a) Total Number of Redeemable  Units Purchased*		(b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
July 1, 2012 — July 31, 2012		733.7790	$	10,198.90		N/A		N/A
August 1, 2012 — August 31, 2012		145.1040	$	10,429.60		N/A		N/A
September 1, 2012 — September 30, 2012		86.9820	$	10,605.33		N/A		N/A
		965.8650	$	10,270.16		N/A		N/A

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

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

Item 3.    Defaults Upon Senior Securities – None

Item 4.    Mine Safety Disclosures – None

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Item 5.    Other Information

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

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

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

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Item 6.    Exhibits

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).

(h) Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

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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 2011, dated June 1, 2011 (filed as Exhibit 10.5(a) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).

31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).

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

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

101. INS	XBRL Instance Document.
101. SCH	XBRL Taxonomy Extension Schema Document.
101. CAL	XBRL Taxonomy Extension Calculation Linkbase Document.
101. LAB	XBRL Taxonomy Extension Label Linkbase Document.
101. PRE	XBRL Taxonomy Extension Presentation Linkbase Document.
101. DEF	XBRL Taxonomy Extension Definition Linkbase Document.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

AAA Capital Energy Fund L.P.

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

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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.;

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 14, 2012

/s/  Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

EX-31.2

Exhibit 31.2

CERTIFICATIONS

I, Damian George, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of AAA Capital Energy Fund L.P.;

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 14, 2012

/s/  Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer 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, 2012 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

Date: November 14, 2012

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, 2012 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Damian George, Chief Financial Officer 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/ Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer and Director

Date: November 14, 2012

XML

Trading Activities - Gross Fair Values of Derivative Instruments of Futures and Exchange-Cleared Swaps and Options Contracts as Separate Assets and Liabilities (Detail) (USD $)	Sep. 30, 2012		Dec. 31, 2011
Derivative [Line Items]
Derivative assets	$ 287,615,326		$ 523,938,404
Derivative liabilities	(149,598,937)		(252,242,509)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	(138,016,389)		(271,695,895)
Futures and Exchange-Cleared Swap Contracts [Member]
Derivative [Line Items]
Derivative assets	55,170,088		149,805,316
Derivative liabilities	(77,455,536)		(155,867,911)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	(22,285,448)	[1]	(6,062,595)	[1]
Futures and Exchange-Cleared Swap Contracts [Member] | Energy [Member]
Derivative [Line Items]
Derivative assets	54,337,776		149,194,744
Derivative liabilities	(77,455,536)		(154,089,101)
Futures and Exchange-Cleared Swap Contracts [Member] | Indices [Member]
Derivative [Line Items]
Derivative assets			5,735
Derivative liabilities			(10,967)
Futures and Exchange-Cleared Swap Contracts [Member] | Lumber [Member]
Derivative [Line Items]
Derivative assets			21,365
Derivative liabilities			(37,567)
Futures and Exchange-Cleared Swap Contracts [Member] | Softs [Member]
Derivative [Line Items]
Derivative assets			583,472
Derivative liabilities			(1,399,047)
Futures and Exchange-Cleared Swap Contracts [Member] | Grains [Member]
Derivative [Line Items]
Derivative assets	832,312
Derivative liabilities			(331,229)
Options Purchased [Member]
Derivative [Line Items]
Derivative assets	232,445,238	[2]	374,133,088	[2]
Options Purchased [Member] | Energy [Member]
Derivative [Line Items]
Derivative assets	232,444,807		372,275,865
Options Purchased [Member] | Grains [Member]
Derivative [Line Items]
Derivative assets	431		300,563
Options Purchased [Member] | Indices [Member]
Derivative [Line Items]
Derivative assets			1,556,660
Options Premium Received [Member]
Derivative [Line Items]
Derivative liabilities	(72,143,401)	[3]	(96,374,598)	[3]
Options Premium Received [Member] | Energy [Member]
Derivative [Line Items]
Derivative liabilities	(71,569,407)		(95,671,298)
Options Premium Received [Member] | Grains [Member]
Derivative [Line Items]
Derivative liabilities	(573,994)		(169,713)
Options Premium Received [Member] | Indices [Member]
Derivative [Line Items]
Derivative liabilities			$ (533,587)

[1] This amount is in "Net unrealized depreciation on open futures and exchange-cleared swap contracts" on the Master's Statements of Financial Condition.

[2] This amount is in "Options purchased, at fair value" on the Master's Statements of Financial Condition.

[3] This amount is in "Options premium received, at fair value" on the Master's Statements of Financial Condition.

XML

Fair Value Measurements

9 Months Ended

Sep. 30, 2012

Fair Value Measurements

4.    Fair Value Measurements:

Partnership’s Investments. The Partnership values its investment in the Master at the 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, 2011.

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

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

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

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

The Partnership values its investment in the Master with no 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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	September 30, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	164,438,033	$	—	$	164,438,033	$	—
Net fair value	$	164,438,033	$	—	$	164,438,033	$	—

	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	194,591,148	$	—	$	194,591,148	$	—
Net fair value	$	194,591,148	$	—	$	194,591,148	$	—

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. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Members’ Capital.

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

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

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

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

	September 30, 2012		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	55,170,088	$	55,170,088	$	—	$	—
Options purchased		232,445,238		232,445,238		—		—
Total assets		287,615,326		287,615,326		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	77,455,536	$	77,455,536	$	—	$	—
Options premium received		72,143,401		72,143,401		—		—
Total liabilities		149,598,937		149,598,937		—		—
Net fair value	$	138,016,389	$	138,016,389	$	—	$	—

	December 31, 2011		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	149,805,316	$	149,805,316	$	—	$	—
Options purchased		374,133,088		374,133,088		—		—
Total assets		523,938,404		523,938,404		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	155,867,911	$	155,867,911	$	—	$	—
Options premium received		96,374,598		96,374,598		—		—
Total liabilities		252,242,509		252,242,509		—		—
Net fair value	$	271,695,895	$	271,695,895	$	—	$	—

XML

Financial Instruments Risks - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2012
Concentration Risk [Line Items]
Financial instruments maturity period	1 year

XML

Fair Value Measurements - Derivative Instruments, Fair Value Based on Hierarchy (Detail) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Derivative [Line Items]
Derivative assets	$ 287,615,326	$ 523,938,404
Derivative liabilities	149,598,937	252,242,509
Net fair value	138,016,389	271,695,895
Futures And Exchange Cleared Swaps [Member]
Derivative [Line Items]
Derivative assets	55,170,088	149,805,316
Derivative liabilities	77,455,536	155,867,911
Options Purchased [Member]
Derivative [Line Items]
Derivative assets	232,445,238	374,133,088
Options Premium Received [Member]
Derivative [Line Items]
Derivative liabilities	72,143,401	96,374,598
Quoted Prices in Active Markets for Identical Assets (Level 1) [Member]
Derivative [Line Items]
Derivative assets	287,615,326	523,938,404
Derivative liabilities	149,598,937	252,242,509
Net fair value	138,016,389	271,695,895
Quoted Prices in Active Markets for Identical Assets (Level 1) [Member] | Futures And Exchange Cleared Swaps [Member]
Derivative [Line Items]
Derivative assets	55,170,088	149,805,316
Derivative liabilities	77,455,536	155,867,911
Quoted Prices in Active Markets for Identical Assets (Level 1) [Member] | Options Purchased [Member]
Derivative [Line Items]
Derivative assets	232,445,238	374,133,088
Quoted Prices in Active Markets for Identical Assets (Level 1) [Member] | Options Premium Received [Member]
Derivative [Line Items]
Derivative liabilities	72,143,401	96,374,598
Significant Other Observable Inputs (Level 2) [Member]
Derivative [Line Items]
Derivative assets
Derivative liabilities
Net fair value
Significant Other Observable Inputs (Level 2) [Member] | Futures And Exchange Cleared Swaps [Member]
Derivative [Line Items]
Derivative assets
Derivative liabilities
Significant Other Observable Inputs (Level 2) [Member] | Options Purchased [Member]
Derivative [Line Items]
Derivative assets
Significant Other Observable Inputs (Level 2) [Member] | Options Premium Received [Member]
Derivative [Line Items]
Derivative liabilities
Significant Unobservable Inputs (Level 3) [Member]
Derivative [Line Items]
Derivative assets
Derivative liabilities
Net fair value
Significant Unobservable Inputs (Level 3) [Member] | Futures And Exchange Cleared Swaps [Member]
Derivative [Line Items]
Derivative assets
Derivative liabilities
Significant Unobservable Inputs (Level 3) [Member] | Options Purchased [Member]
Derivative [Line Items]
Derivative assets
Significant Unobservable Inputs (Level 3) [Member] | Options Premium Received [Member]
Derivative [Line Items]
Derivative liabilities

XML

Trading Activities

9 Months Ended

Sep. 30, 2012

Trading Activities

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”) 210-20, “Balance Sheet,” have been met.

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

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures and exchange-cleared swap contracts traded during the three months ended September 30, 2012 and 2011 were 43,121 and 84,370, respectively. The monthly average number of futures and exchange-cleared swap contracts traded during the nine months ended September 30, 2012 and 2011 were 41,743 and 88,598, respectively. The monthly average number of option contracts traded during the three months ended September 30, 2012 and 2011 were 80,827 and 104,178, respectively. The monthly average number of option contracts traded during the nine months ended September 30, 2012 and 2011 were 78,836 and 111,131, respectively.

The following tables indicate the gross fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	54,337,776
Grains		832,312
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	55,170,088
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(77,455,536	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(77,455,536	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(22,285,448	)*
Assets
Options Purchased
Energy	$	232,444,807
Grains		431
Total options purchased	$	232,445,238	**
Liabilities
Options Premium Received
Energy	$	(71,569,407	)
Grains		(573,994	)
Total options premium received	$	(72,143,401	)***

* 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.

	December 31, 2011
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	149,194,744
Indices		5,735
Lumber		21,365
Softs		583,472
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	149,805,316
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(154,089,101	)
Grains		(331,229	)
Indices		(10,967	)
Lumber		(37,567	)
Softs		(1,399,047	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(155,867,911	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(6,062,595	)*
Assets
Options Purchased
Energy	$	372,275,865
Grains		300,563
Indices		1,556,660
Total options purchased	$	374,133,088	**
Liabilities
Options Premium Received
Energy	$	(95,671,298	)
Grains		(169,713	)
Indices		(533,587	)
Total options premium received	$	(96,374,598	)***

* 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, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months  Ended September 30, 2012 Gain (loss) from trading			Nine Months  Ended September 30, 2011 Gain (loss) from trading
Energy	$	60,070,413			20,967,573		$	33,144,396			17,629,437
Grains		37,518			207,501			670,620			172,626
Indices		—			—			(836,720	)		—
Lumber		—			395,146			163,753			397,250
Softs		—			(644,409	)		(1,631,060	)		(1,493,239	)
Total	$	60,107,931	****	$	20,925,811	****	$	31,510,989	****	$	16,706,074	****

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

XML

Statements of Financial Condition (USD $)	Sep. 30, 2012	Dec. 31, 2011
Assets:
Investment in Master, at fair value	$ 164,438,033	$ 194,591,148
Cash	141,838	145,664
Total assets	164,579,871	194,736,812
Accrued expenses:
Brokerage commissions	561,087	691,682
Management fees	273,172	323,228
Other	115,870	108,253
Redemptions payable	922,473	5,609,345
Total liabilities	1,872,602	6,732,508
Partners' Capital:
General Partner, 178.7937 and 218.7937 unit equivalents outstanding at September 30, 2012 and December 31, 2011, respectively	1,896,166	2,302,616
Special Limited Partner, 118.5047 Redeemable Units outstanding at September 30, 2012 and December 31, 2011	1,256,781	1,247,160
Limited Partners, 15,044.7221 and 17,526.7992 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively	159,554,322	184,454,528
Total partners' capital	162,707,269	188,004,304
Total liabilities and partners' capital	$ 164,579,871	$ 194,736,812
Net asset value per unit	$ 10,605.33	$ 10,524.14

XML

General

9 Months Ended

Sep. 30, 2012

General

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, commodity futures contracts on U.S. exchanges and certain foreign exchanges. The Partnership, through its investment in the Master (defined below), 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”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. indirectly, owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of September 30, 2012, all trading decisions for the Partnership are made by the Advisor (defined below).

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 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. (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 of the Partnership (in its capacity as special limited partner, the “Special Limited Partner”). 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 option contracts of any kind, but trades solely energy, energy-related products, grains, indices, lumber and softs. 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 its 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, 2012.

At September 30, 2012, the Partnership owned approximately 17.6% of the Master. At December 31, 2011, the Partnership owned approximately 19.9% 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, swap and option 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 or losses, if any, net of distributions.

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

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

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

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Members’ Capital for the three and nine months ended September 30, 2012 and 2011 are presented below:

AAA Master Fund LLC

Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2012		2011
Assets:
Equity in trading account:
Cash	$	741,173,411	$	671,605,055
Cash margin		53,026,786		33,580,718
Options purchased, at fair value (cost $354,919,507 and $394,712,745, respectively)		232,445,238		374,133,088
Total assets	$	1,026,645,435	$	1,079,318,861
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	22,285,448	$	6,062,595
Options premium received, at fair value (premium $155,850,388 and $223,316,821, respectively)		72,143,401		96,374,598
Accrued expenses:
Professional fees		319,172		371,076
Total liabilities		94,748,021		102,808,269
Members’ Capital:
Members’ Capital, 89,055.4837 and 96,401.5933 units outstanding at September 30, 2012 and December 31, 2011, respectively		931,897,414		976,510,592
Total liabilities and members’ capital	$	1,026,645,435	$	1,079,318,861
Net asset value per unit	$	10,464.23	$	10,129.61

AAA Master Fund LLC

Condensed Schedule of Investments

September 30, 2012

(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		23,646	$	(20,006,928	)		(2.15	)%
Grains		69		832,312			0.09
Total futures and exchange-cleared swap contracts purchased				(19,174,616	)		(2.06	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		18,353		(3,110,832	)		(0.33	)
Total futures and exchange-cleared swap contracts sold				(3,110,832	)		(0.33	)
Options Purchased
Call
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,502		94,363,060			10.13
Other		7,860		27,988,020			3.00
Call options purchased				122,351,080			13.13
Put
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,791		73,566,960			7.89
Other		8,198		36,526,767			3.92
Grains		69		431			0.00	*
Put options purchased				110,094,158			11.81
Total options purchased				232,445,238			24.94
Options Premium Received
Call
Energy		20,652		(40,860,138	)		(4.38	)
Grains		69		(573,994	)		(0.06	)
Call options premium received				(41,434,132	)		(4.44	)
Put
Energy		15,155		(30,709,269	)		(3.30	)
Put options premium received				(30,709,269	)		(3.30	)
Total options premium received				(72,143,401	)		(7.74	)
Net fair value			$	138,016,389			14.81	%

* Due to rounding.

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of  Members’ Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		31,887	$	(119,406,111	)		(12.23	)%
Indices		60		(5,232	)		(0.00	)*
Lumber		41		21,365			0.00	*
Softs		430		(815,575	)		(0.08	)
Total futures and exchange-cleared swap contracts purchased				(120,205,553	)		(12.31	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Mar 12 – Dec 14		10,565		79,310,347			8.12
Other		17,763		35,201,407			3.60
Grains		153		(331,229	)		(0.03	)
Lumber		41		(37,567	)		(0.00	)*
Total futures and exchange-cleared swap contracts sold				114,142,958			11.69
Options Purchased
Call
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		9,179		97,782,830			10.01
Other		8,590		38,624,446			3.96
Indices		120		189,600			0.02
Call options purchased				136,596,876			13.99
Put
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		15,707		105,386,170			10.79
NYMEX Natural Gas E Feb 12 – Jan 13		3,022		84,054,102			8.61
Other		6,764		46,428,317			4.75
Grains		70		300,563			0.03
Indices		1,348		1,367,060			0.14
Put options purchased				237,536,212			24.32
Total options purchased				374,133,088			38.31
Options Premium Received
Call
Energy		25,531		(42,662,618	)		(4.37	)
Grains		164		(169,713	)		(0.01	)
Indices		270		(449,100	)		(0.05	)
Call options premium received				(43,281,431	)		(4.43	)
Put
Energy		25,561		(53,008,680	)		(5.43	)
Indices		585		(84,487	)		(0.01	)
Put options premium received				(53,093,167	)		(5.44	)
Total options premium received				(96,374,598	)		(9.87	)
Net fair value			$	271,695,895			27.82	%

* Due to rounding.

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,
	2012			2011			2012			2011
Investment income:
Interest income	$	102,464		$	25,879		$	259,756		$	236,478
Expenses:
Clearing fees		880,584			504,922			2,532,654			1,751,867
Professional fees		21,395			129,784			199,158			482,612
Total expenses		901,979			634,706			2,731,812			2,234,479
Net investment income (loss)		(799,515	)		(608,827	)		(2,472,056	)		(1,998,001	)
Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		58,147,024			24,740,487			192,863,690			(39,673,549	)
Change in unrealized gains (losses) on open contracts		1,960,907			(3,814,676	)		(161,352,701	)		56,379,623
Total trading results		60,107,931			20,925,811			31,510,989			16,706,074
Net income (loss)		59,308,416			20,316,984			29,038,933			14,708,073
Subscriptions		7,866,906			34,613			49,182,387			106,053,886
Redemptions		(33,992,568	)		(42,796,897	)		(122,574,742	)		(156,300,791	)
Distribution of interest to feeder funds		(102,464	)		(25,879	)		(259,756	)		(236,478	)
Net increase (decrease) in Members’ Capital		33,080,290			(22,471,179	)		(44,613,178	)		(35,775,310	)
Members’ Capital, beginning of period		898,817,124			967,065,507			976,510,592			980,369,638
Members’ Capital, end of period	$	931,897,414		$	944,594,328		$	931,897,414		$	944,594,328
Net asset value per unit (89,055.4837 and 97,881.6157 units outstanding in September 30, 2012 and 2011, respectively)	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38
Net income (loss) per unit*	$	660.49		$	203.84		$	337.43		$	155.14
Weighted average units outstanding		90,919.0513			100,759.3411			94,329.3985			103,060.4574

* Based on change in net asset value per unit.

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General - Statements of Income and Expenses and Changes in Members Capital (Parenthetical) (Detail)	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2012 Limited Partner [Member]	Sep. 30, 2011 Limited Partner [Member]
Condensed Financial Statements, Captions [Line Items]
Member's capital account units outstanding	89,055.4837	96,401.5933	15,342.0205	19,131.1437

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Trading Activities - Additional Information (Detail)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Schedule of Trading Securities and Other Trading Assets [Line Items]
Average number of futures and exchange-cleared swap contracts traded	43,121	84,370	41,743	88,598
Average number of option contracts traded	80,827	104,178	78,836	111,131

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Financial Highlights

9 Months Ended

Sep. 30, 2012

Financial Highlights

2.    Financial Highlights:

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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	637.73		$	189.21		$	242.01		$	87.92
Interest income allocated from Master		1.05			0.25			2.60			2.28
Expenses and allocation to Special Limited Partner**		(53.70	)		(52.45	)		(163.42	)		(164.06	)
Increase (decrease) for the period		585.08			137.01			81.19			(73.86	)
Net asset value per unit, beginning of period		10,020.25			9,961.19			10,524.14			10,172.06
Net asset value per unit, end of period	$	10,605.33		$	10,098.20		$	10,605.33		$	10,098.20

* 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 the three and nine months ended September 30, 2012 and 2011 if any.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011***			2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Net investment income (loss) before allocation to Special Limited Partner*****		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Operating expenses		3.9	%		3.4	%		3.8	%		3.5	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total expenses and allocation to Special Limited Partner		3.9	%		3.4	%		3.8	%		3.5	%
Total return:
Total return before allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total return after allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%

*** The ratios are shown net and gross of allocation to Special Limited Partner to conform to current period presentation.

**** 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.

Financial Highlights of the Master:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses)*	$	659.59		$	204.88		$	336.73		$	157.56
Interest income		1.14			0.26			2.81			2.33
Expenses **		(0.24	)		(1.30	)		(2.11	)		(4.75	)
Increase (decrease) for the period		660.49			203.84			337.43			155.14
Distribution of interest income to feeder funds		(1.14	)		(0.26	)		(2.81	)		(2.33	)
Net asset value per unit, beginning of period		9,804.88			9,446.80			10,129.61			9,497.57
Net asset value per unit, end of period	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38

*   Includes clearing fees.

**   Excludes clearing fees.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Ratios to average net assets:***
Net investment income (loss)****		(0.3	)%		(0.3	)%		(0.4	)%		(0.3	)%
Operating expenses		0.4	%		0.3	%		0.4	%		0.3	%
Total return		6.7	%		2.2	%		3.3	%		1.6	%

***   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.

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Statements of Financial Condition (Parenthetical)	Sep. 30, 2012	Dec. 31, 2011
General Partner, unit equivalents outstanding	178.7937	218.7937
Special Limited Partner, Redeemable Units outstanding	118.5047	118.5047
Limited Partners, Redeemable Units outstanding	15,044.7221	17,526.7992

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General - Additional Information (Detail) (USD $)	1 Months Ended	9 Months Ended	12 Months Ended
	Mar. 15, 1998	Sep. 30, 2012	Dec. 31, 2011	Sep. 01, 2001
Related Party Transaction [Line Items]
Number of units sold during initial offering period	49,538
Unrealized appreciation				$ 7,323,329
Percentage of partnership owned		17.60%	19.90%
AAA Master Fund LLC [Member]
Related Party Transaction [Line Items]
Units of partnership purchased				128,539.1485
Fair value, partnership purchased				$ 128,539,149

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Document and Entity Information	9 Months Ended
	Sep. 30, 2012	Oct. 31, 2012
Entity Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Sep. 30, 2012
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q3
Entity Registrant Name	AAA CAPITAL ENERGY FUND L.P.
Entity Central Index Key	0001057051
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Entity Limited Partnership Redeemable Units Oustanding		14,731.6708

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General - Statements of Financial Condition (Detail) (USD $)	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Equity in trading account:
Cash	$ 141,838	$ 145,664
Total assets	164,579,871	194,736,812
Accrued expenses:
Total liabilities	1,872,602	6,732,508
Partners' Capital
Total liabilities and partners' capital	164,579,871	194,736,812
Net asset value per unit	$ 10,605.33	$ 10,524.14	$ 10,098.20
Limited Partner [Member]
Equity in trading account:
Cash	741,173,411	671,605,055
Cash margin	53,026,786	33,580,718
Options purchased, at fair value (cost $354,919,507 and $394,712,745, respectively)	232,445,238	374,133,088
Total assets	1,026,645,435	1,079,318,861
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	22,285,448	6,062,595
Options premium received, at fair value (premium $155,850,388 and $223,316,821, respectively)	72,143,401	96,374,598
Accrued expenses:
Professional fees	319,172	371,076
Total liabilities	94,748,021	102,808,269
Partners' Capital
Members' Capital, 89,055.4837 and 96,401.5933 units outstanding at September 30, 2012 and December 31, 2011, respectively	931,897,414	976,510,592
Total liabilities and partners' capital	$ 1,026,645,435	$ 1,079,318,861
Net asset value per unit	$ 10,464.23	$ 10,129.61	$ 9,650.38

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Statements of Income and Expenses and Changes in Partners Capital (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Investment income:
Interest income allocated from Master	$ 16,429		$ 4,983		$ 43,047		$ 49,473
Expenses:
Expenses allocated from Master	161,226		134,287		506,995		491,701
Brokerage commissions	566,245		539,325		1,654,419		1,677,051
Management fees	822,011		1,005,115		2,603,554		3,191,758
Other	20,545		12,236		100,826		136,439
Total expenses	1,570,027		1,690,963		4,865,794		5,496,949
Net investment income (loss)	(1,553,598)		(1,685,980)		(4,822,747)		(5,447,476)
Trading Results:
Net realized gains (losses) on closed contracts allocated from Master	10,361,031		5,285,556		36,016,471		(8,642,517)
Change in net unrealized gains (losses) on open contracts allocated from Master	410,288		(843,059)		(30,574,814)		12,654,620
Total trading results allocated from Master	10,771,319		4,442,497		5,441,657		4,012,103
Net income (loss)	9,217,721		2,756,517		618,910		(1,435,373)
Redemptions-Limited Partners	(9,919,589)		(11,471,232)		(25,515,135)		(36,545,983)
Redemptions-General Partner	0		0		(400,810)		(250,000)
Net increase (decrease) in Partners' Capital	(701,868)		(8,714,715)		(25,297,035)		(38,231,356)
Partners' Capital, beginning of period	163,409,137		201,904,880		188,004,304		231,421,521
Partners' Capital, end of period	$ 162,707,269		$ 193,190,165		$ 162,707,269		$ 193,190,165
Net asset value per unit (15,342.0205 and 19,131.1437 units outstanding at September 30, 2012 and 2011, respectively)	$ 10,605.33		$ 10,098.20		$ 10,605.33		$ 10,098.20
Net income (loss) per unit	$ 585.08	[1]	$ 137.01	[1]	$ 81.19	[1]	$ (73.86)	[1]
Weighted average units outstanding	15,770.3315		19,909.8171		16,765.7686		20,907.5031

[1] Based on change in net asset value per unit.

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Critical Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2012

Use of Estimates

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

Partnership's Investments

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, 2011.

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

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

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

The Partnership values its investment 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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.

Futures Contracts

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. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

Options

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

Brokerage Commissions

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 positions are established and when the option contracts are closed.

Income Taxes

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

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

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

Subsequent Events

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

Recent Accounting Pronouncements

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

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

Net Income (Loss) per unit

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

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Critical Accounting Policies

9 Months Ended

Sep. 30, 2012

Critical Accounting Policies

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. As a result, actual results could differ from these estimates.

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, 2011.

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

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

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

The Partnership values its investment 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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.

The Master considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non–exchange-traded 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 and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, 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 and liabilities from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.

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. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

Options. The Master may purchase and write (sell), both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the 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. Net realized gains (losses) and changes in net unrealized gains (losses) on option 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 positions are established and when the option contracts are closed.

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

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

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

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

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

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

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

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Financial Highlights - Changes in Net Asset Value per Unit (Detail) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Ratios to average net assets:
Net investment income (loss)	(0.30%)	[1]	(0.30%)	[1]	(0.40%)	[1]	(0.30%)	[1]
Operating expenses	0.40%		0.30%		0.40%		0.30%
Total return:
Total return	6.70%		2.20%		3.30%		1.60%
Limited Partner [Member]
Ratios to average net assets:
Net investment income (loss)	(3.80%)		(3.40%)	[2]	(3.70%)		(3.50%)	[2]
Allocation to Special Limited Partner				[2]				[2]
Net investment income (loss) before allocation to Special Limited Partner	(3.80%)	[3]	(3.40%)	[2],[3]	(3.70%)	[3]	(3.50%)	[2],[3]
Operating expenses	3.90%		3.40%	[2]	3.80%		3.50%	[2]
Allocation to Special Limited Partner				[2]				[2]
Total expenses and allocation to Special Limited Partner	3.90%		3.40%	[2]	3.80%		3.50%	[2]
Total return:
Total return before allocation to Special Limited Partner	5.80%		1.40%	[2]	0.80%		(0.70%)	[2]
Allocation to Special Limited Partner				[2]				[2]
Total return	5.80%		1.40%	[2]	0.80%		(0.70%)	[2]
Net realized and unrealized gains (losses)	637.73	[4]	189.21	[4]	242.01	[4]	87.92	[4]
Interest income allocated from Master	1.05		0.25		2.60		2.28
Expenses	(53.70)	[5]	(52.45)	[5]	(163.42)	[5]	(164.06)	[5]
Increase (decrease) for the period	585.08		137.01		81.19		(73.86)
Net asset value per unit, beginning of period	10,020.25		9,961.19		10,524.14		10,172.06
Net asset value per unit, end of period	10,605.33		10,098.20		10,605.33		10,098.20
Non-managing [Member] | AAA Master Fund LLC [Member]
Total return:
Net realized and unrealized gains (losses)	659.59	[6]	204.88	[6]	336.73	[6]	157.56	[6]
Interest income allocated from Master	1.14		0.26		2.81		2.33
Expenses	(0.24)	[7]	(1.30)	[7]	(2.11)	[7]	(4.75)	[7]
Increase (decrease) for the period	660.49		203.84		337.43		155.14
Distribution of interest income to feeder funds	(1.14)		(0.26)		(2.81)		(2.33)
Net asset value per unit, beginning of period	9,804.88		9,446.80		10,129.61		9,497.57
Net asset value per unit, end of period	10,464.23		9,650.38		10,464.23		9,650.38

[1] Interest income less total expenses.

[2] The ratios are shown net and gross of allocation to Special Limited Partner to conform to current period presentation.

[3] Interest income allocated from Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable).

[4] Includes brokerage commissions and clearing fees allocated from the Master.

[5] ** Excludes brokerage commissions, clearing fees allocated from the Master and includes allocation to Special Limited Partner in the three and nine months ended September 30, 2012 and 2011 if any.

[6] Includes clearing fees.

[7] Excludes clearing fees.

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General - Statements of Financial Condition (Parenthetical) (Detail) (USD $)	Sep. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Condensed Financial Statements, Captions [Line Items]
Cost of options purchased	$ 354,919,507	$ 394,712,745
Member's capital account units outstanding	89,055.4837	96,401.5933
Limited Partner [Member]
Condensed Financial Statements, Captions [Line Items]
Options premium received, at fair value	$ 72,143,401	$ 96,374,598
Member's capital account units outstanding	15,342.0205		19,131.1437

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Trading Activities (Tables)

9 Months Ended

Sep. 30, 2012

Gross Fair Values of Derivative Instruments of Futures and Exchange-Cleared Swaps and Options Contracts as Separate Assets and Liabilities

The following tables indicate the gross fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	54,337,776
Grains		832,312
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	55,170,088
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(77,455,536	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(77,455,536	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(22,285,448	)*
Assets
Options Purchased
Energy	$	232,444,807
Grains		431
Total options purchased	$	232,445,238	**
Liabilities
Options Premium Received
Energy	$	(71,569,407	)
Grains		(573,994	)
Total options premium received	$	(72,143,401	)***

* 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.

	December 31, 2011
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	149,194,744
Indices		5,735
Lumber		21,365
Softs		583,472
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	149,805,316
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(154,089,101	)
Grains		(331,229	)
Indices		(10,967	)
Lumber		(37,567	)
Softs		(1,399,047	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(155,867,911	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(6,062,595	)*
Assets
Options Purchased
Energy	$	372,275,865
Grains		300,563
Indices		1,556,660
Total options purchased	$	374,133,088	**
Liabilities
Options Premium Received
Energy	$	(95,671,298	)
Grains		(169,713	)
Indices		(533,587	)
Total options premium received	$	(96,374,598	)***

* 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.

Trading Gains and Losses, by Market Sector, on Derivative Instruments

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.

Sector	Three Months Ended September 30, 2012 Gain (loss) from trading			Three Months Ended September 30, 2011 Gain (loss) from trading			Nine Months  Ended September 30, 2012 Gain (loss) from trading			Nine Months  Ended September 30, 2011 Gain (loss) from trading
Energy	$	60,070,413			20,967,573		$	33,144,396			17,629,437
Grains		37,518			207,501			670,620			172,626
Indices		—			—			(836,720	)		—
Lumber		—			395,146			163,753			397,250
Softs		—			(644,409	)		(1,631,060	)		(1,493,239	)
Total	$	60,107,931	****	$	20,925,811	****	$	31,510,989	****	$	16,706,074	****

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

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General (Tables)

9 Months Ended

Sep. 30, 2012

Statements of Financial Condition

	(Unaudited) September 30,		December 31,
	2012		2011
Assets:
Equity in trading account:
Cash	$	741,173,411	$	671,605,055
Cash margin		53,026,786		33,580,718
Options purchased, at fair value (cost $354,919,507 and $394,712,745, respectively)		232,445,238		374,133,088
Total assets	$	1,026,645,435	$	1,079,318,861
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	22,285,448	$	6,062,595
Options premium received, at fair value (premium $155,850,388 and $223,316,821, respectively)		72,143,401		96,374,598
Accrued expenses:
Professional fees		319,172		371,076
Total liabilities		94,748,021		102,808,269
Members’ Capital:
Members’ Capital, 89,055.4837 and 96,401.5933 units outstanding at September 30, 2012 and December 31, 2011, respectively		931,897,414		976,510,592
Total liabilities and members’ capital	$	1,026,645,435	$	1,079,318,861
Net asset value per unit	$	10,464.23	$	10,129.61

Condensed Schedule of Investments

Condensed Schedule of Investments

September 30, 2012

(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		23,646	$	(20,006,928	)		(2.15	)%
Grains		69		832,312			0.09
Total futures and exchange-cleared swap contracts purchased				(19,174,616	)		(2.06	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		18,353		(3,110,832	)		(0.33	)
Total futures and exchange-cleared swap contracts sold				(3,110,832	)		(0.33	)
Options Purchased
Call
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,502		94,363,060			10.13
Other		7,860		27,988,020			3.00
Call options purchased				122,351,080			13.13
Put
Energy
NYMEX LT Crude Oil Nov 12 - Dec 14		12,791		73,566,960			7.89
Other		8,198		36,526,767			3.92
Grains		69		431			0.00	*
Put options purchased				110,094,158			11.81
Total options purchased				232,445,238			24.94
Options Premium Received
Call
Energy		20,652		(40,860,138	)		(4.38	)
Grains		69		(573,994	)		(0.06	)
Call options premium received				(41,434,132	)		(4.44	)
Put
Energy		15,155		(30,709,269	)		(3.30	)
Put options premium received				(30,709,269	)		(3.30	)
Total options premium received				(72,143,401	)		(7.74	)
Net fair value			$	138,016,389			14.81	%

* Due to rounding.

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of  Members’ Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		31,887	$	(119,406,111	)		(12.23	)%
Indices		60		(5,232	)		(0.00	)*
Lumber		41		21,365			0.00	*
Softs		430		(815,575	)		(0.08	)
Total futures and exchange-cleared swap contracts purchased				(120,205,553	)		(12.31	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Mar 12 – Dec 14		10,565		79,310,347			8.12
Other		17,763		35,201,407			3.60
Grains		153		(331,229	)		(0.03	)
Lumber		41		(37,567	)		(0.00	)*
Total futures and exchange-cleared swap contracts sold				114,142,958			11.69
Options Purchased
Call
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		9,179		97,782,830			10.01
Other		8,590		38,624,446			3.96
Indices		120		189,600			0.02
Call options purchased				136,596,876			13.99
Put
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		15,707		105,386,170			10.79
NYMEX Natural Gas E Feb 12 – Jan 13		3,022		84,054,102			8.61
Other		6,764		46,428,317			4.75
Grains		70		300,563			0.03
Indices		1,348		1,367,060			0.14
Put options purchased				237,536,212			24.32
Total options purchased				374,133,088			38.31
Options Premium Received
Call
Energy		25,531		(42,662,618	)		(4.37	)
Grains		164		(169,713	)		(0.01	)
Indices		270		(449,100	)		(0.05	)
Call options premium received				(43,281,431	)		(4.43	)
Put
Energy		25,561		(53,008,680	)		(5.43	)
Indices		585		(84,487	)		(0.01	)
Put options premium received				(53,093,167	)		(5.44	)
Total options premium received				(96,374,598	)		(9.87	)
Net fair value			$	271,695,895			27.82	%

* Due to rounding.

Statements of Income and Expenses and Changes in Members' Capital

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
Investment income:
Interest income	$	102,464		$	25,879		$	259,756		$	236,478
Expenses:
Clearing fees		880,584			504,922			2,532,654			1,751,867
Professional fees		21,395			129,784			199,158			482,612
Total expenses		901,979			634,706			2,731,812			2,234,479
Net investment income (loss)		(799,515	)		(608,827	)		(2,472,056	)		(1,998,001	)
Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		58,147,024			24,740,487			192,863,690			(39,673,549	)
Change in unrealized gains (losses) on open contracts		1,960,907			(3,814,676	)		(161,352,701	)		56,379,623
Total trading results		60,107,931			20,925,811			31,510,989			16,706,074
Net income (loss)		59,308,416			20,316,984			29,038,933			14,708,073
Subscriptions		7,866,906			34,613			49,182,387			106,053,886
Redemptions		(33,992,568	)		(42,796,897	)		(122,574,742	)		(156,300,791	)
Distribution of interest to feeder funds		(102,464	)		(25,879	)		(259,756	)		(236,478	)
Net increase (decrease) in Members’ Capital		33,080,290			(22,471,179	)		(44,613,178	)		(35,775,310	)
Members’ Capital, beginning of period		898,817,124			967,065,507			976,510,592			980,369,638
Members’ Capital, end of period	$	931,897,414		$	944,594,328		$	931,897,414		$	944,594,328
Net asset value per unit (89,055.4837 and 97,881.6157 units outstanding in September 30, 2012 and 2011, respectively)	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38
Net income (loss) per unit*	$	660.49		$	203.84		$	337.43		$	155.14
Weighted average units outstanding		90,919.0513			100,759.3411			94,329.3985			103,060.4574

* Based on change in net asset value per unit.

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Financial Highlights (Tables)

9 Months Ended

Sep. 30, 2012

Changes in Net Asset Value per Unit

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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	637.73		$	189.21		$	242.01		$	87.92
Interest income allocated from Master		1.05			0.25			2.60			2.28
Expenses and allocation to Special Limited Partner**		(53.70	)		(52.45	)		(163.42	)		(164.06	)
Increase (decrease) for the period		585.08			137.01			81.19			(73.86	)
Net asset value per unit, beginning of period		10,020.25			9,961.19			10,524.14			10,172.06
Net asset value per unit, end of period	$	10,605.33		$	10,098.20		$	10,605.33		$	10,098.20

* 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 the three and nine months ended September 30, 2012 and 2011 if any.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011***			2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Net investment income (loss) before allocation to Special Limited Partner*****		(3.8	)%		(3.4	)%		(3.7	)%		(3.5	)%
Operating expenses		3.9	%		3.4	%		3.8	%		3.5	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total expenses and allocation to Special Limited Partner		3.9	%		3.4	%		3.8	%		3.5	%
Total return:
Total return before allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%
Total return after allocation to Special Limited Partner		5.8	%		1.4	%		0.8	%		(0.7	)%

*** The ratios are shown net and gross of allocation to Special Limited Partner to conform to current period presentation.

**** 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.

Financial Highlights of the Master:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses)*	$	659.59		$	204.88		$	336.73		$	157.56
Interest income		1.14			0.26			2.81			2.33
Expenses **		(0.24	)		(1.30	)		(2.11	)		(4.75	)
Increase (decrease) for the period		660.49			203.84			337.43			155.14
Distribution of interest income to feeder funds		(1.14	)		(0.26	)		(2.81	)		(2.33	)
Net asset value per unit, beginning of period		9,804.88			9,446.80			10,129.61			9,497.57
Net asset value per unit, end of period	$	10,464.23		$	9,650.38		$	10,464.23		$	9,650.38

*   Includes clearing fees.

**   Excludes clearing fees.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Ratios to average net assets:***
Net investment income (loss)****		(0.3	)%		(0.3	)%		(0.4	)%		(0.3	)%
Operating expenses		0.4	%		0.3	%		0.4	%		0.3	%
Total return		6.7	%		2.2	%		3.3	%		1.6	%

XML

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Value of Partnership's Investment in Master

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, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were 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). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	September 30, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	164,438,033	$	—	$	164,438,033	$	—
Net fair value	$	164,438,033	$	—	$	164,438,033	$	—

	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	194,591,148	$	—	$	194,591,148	$	—
Net fair value	$	194,591,148	$	—	$	194,591,148	$	—

Derivative Instruments, Fair Value Based on Hierarchy

and liabilities from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	September 30, 2012		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	55,170,088	$	55,170,088	$	—	$	—
Options purchased		232,445,238		232,445,238		—		—
Total assets		287,615,326		287,615,326		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	77,455,536	$	77,455,536	$	—	$	—
Options premium received		72,143,401		72,143,401		—		—
Total liabilities		149,598,937		149,598,937		—		—
Net fair value	$	138,016,389	$	138,016,389	$	—	$	—

	December 31, 2011		Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)		Significant  Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	149,805,316	$	149,805,316	$	—	$	—
Options purchased		374,133,088		374,133,088		—		—
Total assets		523,938,404		523,938,404		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	155,867,911	$	155,867,911	$	—	$	—
Options premium received		96,374,598		96,374,598		—		—
Total liabilities		252,242,509		252,242,509		—		—
Net fair value	$	271,695,895	$	271,695,895	$	—	$	—

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General - Statements of Income and Expenses and Changes in Members Capital (Detail) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011		Dec. 31, 2011
Investment income:
Interest income	$ 16,429		$ 4,983		$ 43,047		$ 49,473
Expenses:
Total expenses	1,570,027		1,690,963		4,865,794		5,496,949
Net investment income (loss)	(1,553,598)		(1,685,980)		(4,822,747)		(5,447,476)
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	10,361,031		5,285,556		36,016,471		(8,642,517)
Change in unrealized gains (losses) on open contracts	410,288		(843,059)		(30,574,814)		12,654,620
Total trading results	10,771,319		4,442,497		5,441,657		4,012,103
Net income (loss)	9,217,721		2,756,517		618,910		(1,435,373)
Net increase (decrease) in Partners' Capital	(701,868)		(8,714,715)		(25,297,035)		(38,231,356)
Partners' Capital, beginning of period	163,409,137		201,904,880		188,004,304		231,421,521
Partners' Capital, end of period	162,707,269		193,190,165		162,707,269		193,190,165
Net asset value per unit (15,342.0205 and 19,131.1437 units outstanding in September 30, 2012 and 2011, respectively)	$ 10,605.33		$ 10,098.20		$ 10,605.33		$ 10,098.20		$ 10,524.14
Net income (loss) per unit	$ 585.08	[1]	$ 137.01	[1]	$ 81.19	[1]	$ (73.86)	[1]
Weighted average units outstanding	15,770.3315		19,909.8171		16,765.7686		20,907.5031
Limited Partner [Member]
Investment income:
Interest income	102,464		25,879		259,756		236,478
Expenses:
Clearing fees	880,584		504,922		2,532,654		1,751,867
Professional fees	21,395		129,784		199,158		482,612
Total expenses	901,979		634,706		2,731,812		2,234,479
Net investment income (loss)	(799,515)		(608,827)		(2,472,056)		(1,998,001)
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	58,147,024		24,740,487		192,863,690		(39,673,549)
Change in unrealized gains (losses) on open contracts	1,960,907		(3,814,676)		(161,352,701)		56,379,623
Total trading results	60,107,931		20,925,811		31,510,989		16,706,074
Net income (loss)	59,308,416		20,316,984		29,038,933		14,708,073
Subscriptions	7,866,906		34,613		49,182,387		106,053,886
Redemptions	(33,992,568)		(42,796,897)		(122,574,742)		(156,300,791)
Distribution of interest to feeder funds	(102,464)		(25,879)		(259,756)		(236,478)
Net increase (decrease) in Partners' Capital	33,080,290		(22,471,179)		(44,613,178)		(35,775,310)
Partners' Capital, beginning of period	898,817,124		967,065,507		976,510,592		980,369,638
Partners' Capital, end of period	$ 931,897,414		$ 944,594,328		$ 931,897,414		$ 944,594,328
Net asset value per unit (15,342.0205 and 19,131.1437 units outstanding in September 30, 2012 and 2011, respectively)	$ 10,464.23		$ 9,650.38		$ 10,464.23		$ 9,650.38		$ 10,129.61
Net income (loss) per unit	$ 660.49	[1]	$ 203.84	[1]	$ 337.43	[1]	$ 155.14	[1]
Weighted average units outstanding	90,919.0513		100,759.3411		94,329.3985		103,060.4574

[1] Based on change in net asset value per unit.

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Trading Activities - Trading Gains and Losses, by Market Sector, on Derivative Instruments (Detail) (USD $)	3 Months Ended				9 Months Ended
	Sep. 30, 2012		Sep. 30, 2011		Sep. 30, 2012		Sep. 30, 2011
Derivative [Line Items]
Gain (loss) from trading	$ 60,107,931	[1]	$ 20,925,811	[1]	$ 31,510,989	[1]	$ 16,706,074	[1]
Energy [Member]
Derivative [Line Items]
Gain (loss) from trading	60,070,413		20,967,573		33,144,396		17,629,437
Grains [Member]
Derivative [Line Items]
Gain (loss) from trading	37,518		207,501		670,620		172,626
Indices [Member]
Derivative [Line Items]
Gain (loss) from trading					(836,720)
Lumber [Member]
Derivative [Line Items]
Gain (loss) from trading			395,146		163,753		397,250
Softs [Member]
Derivative [Line Items]
Gain (loss) from trading			$ (644,409)		$ (1,631,060)		$ (1,493,239)

[1] This amount is in "Total trading results" on the Master's Statements of Income and Expenses and Changes in Members' Capital.

XML

Statements of Income and Expenses and Changes in Partners Capital (Parenthetical)	Sep. 30, 2012	Sep. 30, 2011
Net asset value per units outstanding	15,342.0205	19,131.1437

XML

Financial Instrument Risks

9 Months Ended

Sep. 30, 2012

Financial Instrument Risks

5.    Financial Instrument Risks:

In the normal course of 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 forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/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 is 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 CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Master’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 Partnership/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.

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, online 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 financial 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.

XML

Fair Value Measurements - Value of Partnership's Investment in Master (Detail) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in Master	$ 164,438,033	$ 194,591,148
Net fair value	164,438,033	194,591,148
Quoted Prices in Active Markets for Identical Assets (Level 1) [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in Master
Net fair value
Significant Other Observable Inputs (Level 2) [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in Master	164,438,033	194,591,148
Net fair value	164,438,033	194,591,148
Significant Unobservable Inputs (Level 3) [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in Master
Net fair value

XML

General - Condensed Schedule of Investments (Detail) (USD $)	Sep. 30, 2012		Dec. 31, 2011
Schedule of Investments [Line Items]
Investment in Master, at fair value	$ 164,438,033		$ 194,591,148
Percentage of Members Capital	14.81%		27.82%
Futures and Exchange-Cleared Swap Contracts Purchased [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	(19,174,616)		(120,205,553)
Percentage of Members Capital	(2.06%)		(12.31%)
Futures and Exchange-Cleared Swap Contracts Purchased [Member] | Energy [Member]
Schedule of Investments [Line Items]
Number of Contracts	23,646		31,887
Investment in Master, at fair value	(20,006,928)		(119,406,111)
Percentage of Members Capital	(2.15%)		(12.23%)
Futures and Exchange-Cleared Swap Contracts Purchased [Member] | Indices [Member]
Schedule of Investments [Line Items]
Number of Contracts			60
Investment in Master, at fair value			(5,232)
Percentage of Members Capital			0.00%	[1]
Futures and Exchange-Cleared Swap Contracts Purchased [Member] | Lumber [Member]
Schedule of Investments [Line Items]
Number of Contracts			41
Investment in Master, at fair value			21,365
Percentage of Members Capital			0.00%	[1]
Futures and Exchange-Cleared Swap Contracts Purchased [Member] | Softs [Member]
Schedule of Investments [Line Items]
Number of Contracts			430
Investment in Master, at fair value			(815,575)
Percentage of Members Capital			(0.08%)
Futures and Exchange-Cleared Swap Contracts Purchased [Member] | Grains [Member]
Schedule of Investments [Line Items]
Number of Contracts	69
Investment in Master, at fair value	832,312
Percentage of Members Capital	0.09%
Futures and Exchange-Cleared Swap Contracts Sold [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	(3,110,832)		114,142,958
Percentage of Members Capital	(0.33%)		11.69%
Futures and Exchange-Cleared Swap Contracts Sold [Member] | Energy [Member]
Schedule of Investments [Line Items]
Number of Contracts	18,353
Investment in Master, at fair value	(3,110,832)
Percentage of Members Capital	(0.33%)
Futures and Exchange-Cleared Swap Contracts Sold [Member] | Lumber [Member]
Schedule of Investments [Line Items]
Number of Contracts			41
Investment in Master, at fair value			(37,567)
Percentage of Members Capital			0.00%	[1]
Futures and Exchange-Cleared Swap Contracts Sold [Member] | Nymex HH Swap [Member]
Schedule of Investments [Line Items]
Number of Contracts			10,565
Investment in Master, at fair value			79,310,347
Percentage of Members Capital			8.12%
Futures and Exchange-Cleared Swap Contracts Sold [Member] | Other Swap Contract [Member]
Schedule of Investments [Line Items]
Number of Contracts			17,763
Investment in Master, at fair value			35,201,407
Percentage of Members Capital			3.60%
Futures and Exchange-Cleared Swap Contracts Sold [Member] | Grains [Member]
Schedule of Investments [Line Items]
Number of Contracts			153
Investment in Master, at fair value			(331,229)
Percentage of Members Capital			(0.03%)
Options Purchased [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	232,445,238		374,133,088
Percentage of Members Capital	24.94%		38.31%
Options Purchased [Member] | Call Option Energy NYMEX LT Crude Oil [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts	12,502		9,179
Investment in Master, at fair value	94,363,060		97,782,830
Percentage of Members Capital	10.13%		10.01%
Options Purchased [Member] | Other [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts	7,860		8,590
Investment in Master, at fair value	27,988,020		38,624,446
Percentage of Members Capital	3.00%		3.96%
Options Purchased [Member] | Other [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts	8,198		6,764
Investment in Master, at fair value	36,526,767		46,428,317
Percentage of Members Capital	3.92%		4.75%
Options Purchased [Member] | Call options purchased [Member] | Call [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	122,351,080		136,596,876
Percentage of Members Capital	13.13%		13.99%
Options Purchased [Member] | Put Option Energy NYMEX LT Crude Oil [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts	12,791		15,707
Investment in Master, at fair value	73,566,960		105,386,170
Percentage of Members Capital	7.89%		10.79%
Options Purchased [Member] | Put Option Energy Nymex Natural Gas [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts			3,022
Investment in Master, at fair value			84,054,102
Percentage of Members Capital			8.61%
Options Purchased [Member] | Put options purchased [Member] | Put [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	110,094,158		237,536,212
Percentage of Members Capital	11.81%		24.32%
Options Purchased [Member] | Indices [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts			120
Investment in Master, at fair value			189,600
Percentage of Members Capital			0.02%
Options Purchased [Member] | Indices [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts			1,348
Investment in Master, at fair value			1,367,060
Percentage of Members Capital			0.14%
Options Purchased [Member] | Grains [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts	69		70
Investment in Master, at fair value	431		300,563
Percentage of Members Capital	0.00%	[2]	0.03%
Options Premium Received [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	(72,143,401)		(96,374,598)
Percentage of Members Capital	(7.74%)		(9.87%)
Options Premium Received [Member] | Call options premium received [Member] | Call [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	(41,434,132)		(43,281,431)
Percentage of Members Capital	(4.44%)		(4.43%)
Options Premium Received [Member] | Put options premium received [Member] | Put [Member]
Schedule of Investments [Line Items]
Investment in Master, at fair value	(30,709,269)		(53,093,167)
Percentage of Members Capital	(3.30%)		(5.44%)
Options Premium Received [Member] | Energy [Member] | Call options premium received [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts	20,652		25,531
Investment in Master, at fair value	(40,860,138)		(42,662,618)
Percentage of Members Capital	(4.38%)		(4.37%)
Options Premium Received [Member] | Energy [Member] | Put options premium received [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts	15,155		25,561
Investment in Master, at fair value	(30,709,269)		(53,008,680)
Percentage of Members Capital	(3.30%)		(5.43%)
Options Premium Received [Member] | Indices [Member] | Call options premium received [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts			270
Investment in Master, at fair value			(449,100)
Percentage of Members Capital			(0.05%)
Options Premium Received [Member] | Indices [Member] | Put options premium received [Member] | Put [Member]
Schedule of Investments [Line Items]
Number of Contracts			585
Investment in Master, at fair value			(84,487)
Percentage of Members Capital			(0.01%)
Options Premium Received [Member] | Grains [Member] | Call options premium received [Member] | Call [Member]
Schedule of Investments [Line Items]
Number of Contracts	69		164
Investment in Master, at fair value	$ (573,994)		$ (169,713)
Percentage of Members Capital	(0.06%)		(0.01%)

[1] * Due to rounding.

[2] Due to rounding.