Investment in Funds

6 Months Ended

Jun. 30, 2011

5. Investment in Funds:

On January 1, 2005, the assets allocated to Campbell for trading were invested in CMF Campbell Master Fund L.P. (“Campbell Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 17,534.8936 units of Campbell Master with cash equal to $17,341,826 and a contribution of open commodity futures and forward contracts with a fair value of $193,067. Campbell Master was formed in order to permit commodity pools managed now or in the future by Campbell using Campbell’s Financials, Metals and Energy (“FME”) Large Portfolio, Campbell’s proprietary, systematic trading system, to invest together in one trading vehicle. On November 30, 2010 the Partnership fully redeemed its investment in Campbell Master for cash equal to $3,548,386.

On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 16,015.3206 units of Aspect Master with cash equal to $14,955,106 and a contribution of open commodity futures and forward contracts with a fair value of $1,060,214. Aspect Master was formed in order to permit commodity pools managed now or in the future by Aspect using Aspect’s Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2005, the assets allocated to Altis for trading were invested in CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 13,013.6283 units of the Altis Master with cash equal to $11,227,843 and a contribution of open commodity futures and forwards contracts with a fair value of $1,785,785. Altis Master was formed to permit commodity pools managed now and in the future by Altis using Altis’s Global Futures Portfolio Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2010, the assets allocated to Waypoint for trading were invested in Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 4,959.4220 units of Waypoint Master with cash equal to $4,959,422. Waypoint Master was formed in order to permit commodity pools managed now or in the future by Waypoint using its Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to Blackwater for trading were invested in Blackwater Master Fund L.P. (“Blackwater Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 5,000.0000 units of Blackwater Master with cash equal to $5,000,000. Blackwater Master was formed in order to permit commodity pools managed now or in the future by Blackwater using its Global Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Blackwater Master. Individual and pooled accounts currently managed by Blackwater, including the Partnership, are permitted to be limited partners of Blackwater Master. The General Partner and Blackwater believe that trading through this structure should promote efficiency and economy in the trading process.

On December 1, 2010, the assets allocated to Sasco for trading were invested in CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 3,064.6736 units of Sasco Master with cash equal to $4,000,000. Sasco Master was formed in order to permit commodity pools managed now or in the future by Sasco using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. On May 31, 2011 the Partnership fully redeemed its investment in Sasco Master for cash equal to $ 3,583,752.

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

Aspect Master’s, Altis Master’s, Waypoint Master’s and Blackwater Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained by CGM.

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

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

At June 30, 2011, the Partnership owned approximately 3.8%, 5.0%, 19.0% and 18.7% of Aspect Master, Altis Master, Waypoint Master and Blackwater, respectively. At December 31, 2010, the Partnership owned approximately 3.9%, 9.2%, 17.2%, 22.7% and 4.7% of Aspect Master, Altis Master, Waypoint Master, Blackwater Master and Sasco Master, respectively. It is the intention of the Partnership to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to the investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and capital of the Funds is shown in the following tables.


	June 30, 2011
			Total		Total
	Total Assets		Liabilities		Capital
Aspect Master	$	161,590,568	$	1,233,120	$	160,357,448
Altis Master		104,815,171		945,798		103,869,373
Waypoint Master		38,256,105		292,377		37,963,728
Blackwater Master		35,191,918		447,132		34,744,786

Total	$	339,853,762	$	2,918,427	$	336,935,335


	December 31, 2010
			Total		Total
	Total Assets		Liabilities		Capital
Aspect Master	$	157,910,582	$	46,523	$	157,864,059
Altis Master		64,276,767		591,256		63,685,511
Waypoint Master		41,306,976		59,330		41,247,646
Blackwater Master		25,966,821		28,810		25,938,011
Sasco Master		81,882,294		198,664		81,683,630

Total	$	371,343,440	$	924,583	$	370,418,857

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


	For the Three months ended June 30, 2011
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Aspect Master	$	(49,767	)	$	(4,157,070	)	$	(4,206,837	)
Altis Master		(86,627	)		(11,353,961	)		(11,440,588	)
Waypoint Master		(49,050	)		846,382			797,332
Blackwater Master		(20,229	)		(503,805	)		(524,034	)
Sasco Master		(337,870	)		3,450,469			3,112,599

Total	$	(543,543	)	$	(11,717,985	)	$	(12,261,528	)


	For the Six months ended June 30, 2011
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Aspect Master	$	(78,606	)	$	(2,431,100	)	$	(2,509,706	)
Altis Master		(139,884	)		(19,456,564	)		(19,596,448	)
Waypoint Master		(113,465	)		(760,597	)		(874,062	)
Blackwater Master		(47,734	)		516,903			469,169
Sasco Master		(707,823	)		1,199,725			491,902

Total	$	(1,087,512	)	$	(20,931,633	)	$	(22,019,145	)


	For the Three months ended June 30, 2010
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Aspect Master	$	(66,054	)	$	993,585		$	927,531
Altis Master		(80,238	)		(6,238,080	)		(6,318,318	)
Waypoint Master		(47,691	)		5,344,480			5,296,789
Campbell Master		(51,553	)		447,826			396,273

Total	$	(245,536	)	$	547,811		$	302,275


	For the Six months ended June 30, 2010
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Aspect Master	$	(113,944	)	$	7,879,872		$	7,765,928
Altis Master		(119,263	)		(4,102,014	)		(4,221,277	)
Waypoint Master		(59,189	)		5,917,533			5,858,344
Campbell Master		(87,737	)		(1,114,798	)		(1,202,535	)

Total	$	(380,133	)	$	8,580,593		$	8,200,460

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


	June 30, 2011					For the three months ended June 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		24.83	%	$	6,121,097	$	(159,693	)	$	1,530	$	427	$	(161,650	)	Commodity Portfolio	Monthly
Altis Master		21.11	%		5,204,570		(445,074	)		3,961		1,132		(450,167	)	Commodity Portfolio	Monthly
Waypoint Master		29.20	%		7,196,647		137,690			6,247		2,675		128,768		Commodity Portfolio	Monthly
Blackwater Master		26.38	%		6,501,455		(114,795	)		3,228		689		(118,712	)	Commodity Portfolio	Monthly
Sasco Master		—			—		183,906			11,257		2,673		169,976		Energy Portfolio	Monthly

Total				$	25,023,769	$	(397,966	)	$	26,223	$	7,596	$	(431,785	)


	June 30, 2011					For the six months ended June 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Aspect Master		24.83	%	$	6,121,097	$	(101,118	)	$	2,824	$	1,301	$	(105,243	)	Commodity Portfolio	Monthly
Altis Master		21.11	%		5,204,570		(1,247,413	)		8,797		2,807		(1,259,017	)	Commodity Portfolio	Monthly
Waypoint Master		29.20	%		7,196,647		(133,341	)		14,910		6,375		(154,626	)	Commodity Portfolio	Monthly
Blackwater Master		26.38	%		6,501,455		128,116			6,695		4,543		116,878		Commodity Portfolio	Monthly
Sasco Master		—			—		107,791			24,669		4,617		78,505		Energy Portfolio	Monthly

Total				$	25,023,769	$	(1,245,965	)	$	57,895	$	19,643	$	(1,323,503	)


	December 31, 2010					For the three months ended June 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Campbell Master		—	%	$	—	$	40,871		$	1,950	$	2,912	$	36,009		FME Portfolio	Monthly
Aspect Master		21.47	%		6,105,359		56,098			3,085		2,925		50,088		Commodity Portfolio	Monthly
Altis Master		20.72	%		5,893,177		(827,396	)		5,070		8,431		(840,897	)	Commodity Portfolio	Monthly
Waypoint Master		24.90	%		7,080,876		706,427			5,416		2,401		698,610		Commodity Portfolio	Monthly
Blackwater Master(a)		20.72	%		5,892,624		—			—		—		—		Commodity Portfolio	Monthly
Sasco Master(b)		13.64	%		3,877,751		—			—		—		—		Energy Portfolio	Monthly

Total				$	28,849,787	$	(24,000	)	$	15,521	$	16,669	$	(56,190	)


	December 31, 2010					For the six months ended June 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Funds	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Campbell Master		—	%	$	—	$	(73,832	)	$	4,354	$	3,791	$	(81,977	)	FME Portfolio	Monthly
Aspect Master		21.47	%		6,105,359		438,856			5,937		3,809		429,110		Commodity Portfolio	Monthly
Altis Master		20.72	%		5,893,177		(551,811	)		9,997		9,975		(571,783	)	Commodity Portfolio	Monthly
Waypoint Master		24.90	%		7,080,876		782,550			6,553		3,221		772,776		Commodity Portfolio	Monthly
Blackwater Master(a)		20.72	%		5,892,624		—			—		—		—		Commodity Portfolio	Monthly
Sasco Master(b)		13.64	%		3,877,751		—			—		—		—		Energy Portfolio	Monthly

Total				$	28,849,787	$	595,763		$	26,841	$	20,796	$	548,126


(a)		Commenced trading on November 1, 2010.

(a)		Commenced trading on December 1, 2010.